UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
INVESTMENT COMPANIES
Investment Company Act file number 811-4108
Oppenheimer Variable Account Funds
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: December 31
Date of reporting period: 06/30/2009
Item 1. Reports to Stockholders.
June 30, 2009 Oppenheimer MidCap Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Investment Strategy Discussion Listing of Top Holdings Listing of Investments Financial Statements |
OPPENHEIMER MIDCAP FUND/VA
Fund Objective. The Fund seeks capital appreciation by investing in “growth type” companies.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 7.59 | % | ||
Service Shares | 7.44 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -39.36 | % | -6.02 | % | -3.82 | % | ||||||
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (10/16/00) | ||||||||||
Service Shares | -39.52 | % | -6.29 | % | -11.17 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.81 | % | 0.71 | % | ||||
Service Shares | 1.05 | 0.96 |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year. The net expense ratios take into account a voluntary fee waiver or expense reimbursement, without which performance would have been less. This undertaking may be modified or terminated at any time.
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings | ||||
Rovi Corp. | 2.7 | % | ||
Edwards Lifesciences Corp. | 2.6 | |||
Cablevision Systems Corp. New York Group, Cl. A | 2.6 | |||
Amphenol Corp., Cl. A | 2.4 | |||
Ansys, Inc. | 2.2 | |||
Equinix, Inc. | 2.1 | |||
Alexion Pharmaceuticals, Inc. | 2.1 | |||
Affiliated Managers Group, Inc. | 2.0 | |||
C.H. Robinson Worldwide, Inc. | 2.0 | |||
NuVasive, Inc. | 1.9 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER MIDCAP FUND/VA
Narrative by Ronald J. Zibelli, Jr., Portfolio Manager1
Oppenheimer MidCap Fund/VA’s Non-Service shares returned 7.59% for the six-month period ended June 30, 2009, compared to the Russell Midcap Growth® Index (“the Index”), which returned 16.61%. The Fund’s underperformance relative to the Index can be primarily attributed to a strong market advance beginning in early March through period end, which was led by lower-quality stocks. This caused the Fund to underperform during this period, since our investment process typically emphasizes higher-quality companies.
The Fund’s weakest performing sectors versus the Index were in the consumer discretionary, industrials and health care sectors. Relative Fund performance was primarily hurt by weaker stock selection than the Index in the consumer discretionary sector. The Fund was overweight compared to the Index in a few securities that suffered during the reporting period, including Burger King Holdings, Inc., New Oriental Education & Technology Group, Inc. (which we exited), Strayer Education, Inc. and DeVry, Inc.
Within industrials, the Fund was overweight the commercial services and supplies subsector, which hurt relative results. Within this subsector, Stericycle, Inc., Clean Harbors, Inc. and Waste Connections, Inc. had a rocky reporting period and detracted from relative Fund performance. Within the health care sector, a few performance detractors included Cephalon, Inc., C.R. Bard, Inc. (which we exited) and Shire Ltd.
The Fund outperformed the Index in the utilities sector due to its underweight position, and the energy sector, due to better relative stock selection. There were also a number of individual holdings that contributed to performance during the reporting period. Top performing securities included information technology companies Rovi Corp. (formerly Macrovision Solutions Corp.) and Equinix, Inc. Rovi, the Fund’s largest equity holding at period end, is a global company which focuses on digital entertainment technology solutions. Other top contributors to Fund performance included energy companies Petrohawk Energy Corp., Range Resources Corp. and IHS, Inc.; and within financials, Affiliated Managers Group, Inc. The Fund’s overweight position to each of these holdings benefited performance relative to the Index, as they performed well over the reporting period amidst a rallying stock market and market optimism over the recessionary period coming to a close sooner than expected.
At the end of the reporting period, the Fund was overweight versus the Index in the energy, financials, health care, industrials, information technology and telecommunication services sectors, and was underweight in the consumer discretionary, consumer staples, materials, and utilities sectors.
Mid-cap stocks tend to be more sensitive to changes in earnings expectations, and tend to have lower trading volumes than large-cap securities, and therefore they may experience more abrupt and erratic price movements.
1. | Effective November 17, 2008. |
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
3 | OPPENHEIMER MIDCAP FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2009 | June 30, 2009 | June 30, 2009 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,075.90 | $3.56 | |||||||
Service shares | 1,000.00 | 1,074.40 | 5.00 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.37 | 3.46 | |||||||||
Service shares | 1,000.00 | 1,019.98 | 4.87 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.69 | % | ||
Service shares | 0.97 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
4 | OPPENHEIMER MIDCAP FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares | Value | |||||||
Common Stocks—94.7% | ||||||||
Consumer Discretionary—15.2% | ||||||||
Diversified Consumer Services—1.7% | ||||||||
DeVry, Inc. | 54,410 | $ | 2,722,676 | |||||
Strayer Education, Inc. | 26,400 | 5,758,104 | ||||||
8,480,780 | ||||||||
Hotels, Restaurants & Leisure—3.8% | ||||||||
Burger King Holdings, Inc. | 349,100 | 6,028,957 | ||||||
Chipotle Mexican Grill, Inc., Cl. A1 | 45,630 | 3,650,400 | ||||||
Darden Restaurants, Inc. | 132,970 | 4,385,351 | ||||||
Penn National Gaming, Inc.1 | 165,400 | 4,814,794 | ||||||
18,879,502 | ||||||||
Media—3.4% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 647,080 | 12,559,823 | ||||||
Liberty Media Corp.- Entertainment, Series A1 | 152,800 | 4,087,400 | ||||||
16,647,223 | ||||||||
Multiline Retail—1.5% | ||||||||
Dollar Tree, Inc.1 | 169,150 | 7,121,215 | ||||||
Specialty Retail—3.5% | ||||||||
Aeropostale, Inc.1 | 68,600 | 2,350,922 | ||||||
GameStop Corp., Cl. A1 | 227,100 | 4,998,471 | ||||||
O’Reilly Automotive, Inc.1 | 130,480 | 4,968,678 | ||||||
Urban Outfitters, Inc.1 | 230,280 | 4,805,944 | ||||||
17,124,015 | ||||||||
Textiles, Apparel & Luxury Goods—1.3% | ||||||||
Polo Ralph Lauren Corp., Cl. A | 118,240 | 6,330,570 | ||||||
Consumer Staples—0.4% | ||||||||
Beverages—0.4% | ||||||||
Hansen Natural Corp.1 | 60,300 | 1,858,446 | ||||||
Energy—8.7% | ||||||||
Energy Equipment & Services—3.9% | ||||||||
Cameron International Corp.1 | 206,150 | 5,834,045 | ||||||
Core Laboratories NV | 27,000 | 2,353,050 | ||||||
IHS, Inc., Cl. A1 | 175,880 | 8,771,136 | ||||||
Oceaneering International, Inc.1 | 51,600 | 2,332,320 | ||||||
19,290,551 | ||||||||
Oil, Gas & Consumable Fuels—4.8% | ||||||||
Concho Resources, Inc.1 | 238,850 | 6,852,607 | ||||||
Petrohawk Energy Corp.1 | 384,500 | 8,574,350 | ||||||
Range Resources Corp. | 189,046 | 7,828,395 | ||||||
23,255,352 | ||||||||
Financials—10.4% | ||||||||
Capital Markets—5.1% | ||||||||
Affiliated Managers Group, Inc.1 | 170,060 | 9,895,791 | ||||||
Greenhill & Co., Inc. | 35,200 | 2,541,792 | ||||||
Jefferies Group, Inc.1 | 282,000 | 6,015,060 | ||||||
Waddell & Reed Financial, Inc., Cl. A | 258,900 | 6,827,193 | ||||||
25,279,836 | ||||||||
Diversified Financial Services—2.3% | ||||||||
IntercontinentalExchange, Inc.1 | 32,280 | 3,687,667 | ||||||
MSCI, Inc., Cl. A1 | 318,110 | 7,774,608 | ||||||
11,462,275 | ||||||||
Insurance—1.3% | ||||||||
Fidelity National Financial, Inc., Cl. A | 185,550 | 2,510,492 | ||||||
RenaissanceRe Holdings Ltd. | 78,960 | 3,674,798 | ||||||
6,185,290 | ||||||||
Real Estate Investment Trusts—1.0% | ||||||||
Digital Realty Trust, Inc. | 132,800 | 4,760,880 | ||||||
Thrifts & Mortgage Finance—0.7% | ||||||||
Hudson City Bancorp, Inc. | 265,130 | 3,523,578 | ||||||
Health Care—16.9% | ||||||||
Biotechnology—4.2% | ||||||||
Alexion Pharmaceuticals, Inc.1 | 247,300 | 10,168,976 | ||||||
Cephalon, Inc.1 | 101,030 | 5,723,350 | ||||||
Myriad Genetics, Inc.1 | 121,150 | 4,318,998 | ||||||
Myriad Pharmaceuticals, Inc.1 | 30,287 | 140,835 | ||||||
20,352,159 | ||||||||
Health Care Equipment & Supplies—6.2% | ||||||||
Edwards Lifesciences Corp.1 | 187,270 | 12,739,978 | ||||||
Haemonetics Corp.1 | 66,910 | 3,813,870 | ||||||
IDEXX Laboratories, Inc.1 | 102,440 | 4,732,728 | ||||||
NuVasive, Inc.1 | 205,600 | 9,169,760 | ||||||
30,456,336 | ||||||||
Health Care Providers & Services—2.1% | ||||||||
MEDNAX, Inc.1 | 93,200 | 3,926,516 | ||||||
Schein (Henry), Inc.1 | 132,370 | 6,347,142 | ||||||
10,273,658 | ||||||||
Life Sciences Tools & Services—2.8% | ||||||||
Covance, Inc.1 | 100,320 | 4,935,744 | ||||||
Illumina, Inc.1 | 228,001 | 8,878,359 | ||||||
13,814,103 |
F1 | OPPENHEIMER MIDCAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Pharmaceuticals—1.6% | ||||||||
Perrigo Co. | 155,210 | $ | 4,311,734 | |||||
Shire Ltd., ADR | 85,500 | 3,546,540 | ||||||
7,858,274 | ||||||||
Industrials—14.8% | ||||||||
Aerospace & Defense—1.4% | ||||||||
Curtiss-Wright Corp. | 101,940 | 3,030,676 | ||||||
Rockwell Collins, Inc. | 98,600 | 4,114,578 | ||||||
7,145,254 | ||||||||
Air Freight & Logistics—3.0% | ||||||||
C.H. Robinson Worldwide, Inc. | 187,480 | 9,777,082 | ||||||
Expeditors International of Washington, Inc. | 155,300 | 5,177,702 | ||||||
14,954,784 | ||||||||
Commercial Services & Supplies—5.8% | ||||||||
Clean Harbors, Inc.1 | 75,800 | 4,092,442 | ||||||
Copart, Inc.1 | 150,780 | 5,227,543 | ||||||
FTI Consulting, Inc.1 | 110,440 | 5,601,517 | ||||||
Stericycle, Inc.1 | 159,722 | 8,230,475 | ||||||
Waste Connections, Inc.1 | 198,100 | 5,132,771 | ||||||
28,284,748 | ||||||||
Construction & Engineering—2.4% | ||||||||
Quanta Services, Inc.1 | 281,310 | 6,506,700 | ||||||
URS Corp.1 | 103,270 | 5,113,930 | ||||||
11,620,630 | ||||||||
Electrical Equipment—0.7% | ||||||||
Regal-Beloit Corp. | 88,800 | 3,527,136 | ||||||
Machinery—1.5% | ||||||||
Bucyrus International, Inc., Cl. A | 135,700 | 3,875,592 | ||||||
Flowserve Corp. | 47,600 | 3,322,956 | ||||||
7,198,548 | ||||||||
Information Technology—22.0% | ||||||||
Communications Equipment—0.8% | ||||||||
Brocade Communications Systems, Inc.1 | 500,000 | 3,910,000 | ||||||
Computers & Peripherals—1.7% | ||||||||
NetApp, Inc.1 | 417,470 | 8,232,508 | ||||||
Electronic Equipment & Instruments—3.2% | ||||||||
Amphenol Corp., Cl. A | 371,710 | 11,760,904 | ||||||
FLIR Systems, Inc.1 | 180,540 | 4,072,982 | ||||||
15,833,886 | ||||||||
Internet Software & Services—2.9% | ||||||||
Baidu, Inc., ADR1 | 12,500 | 3,763,625 | ||||||
Equinix, Inc.1 | 142,483 | 10,364,213 | ||||||
14,127,838 | ||||||||
IT Services—3.5% | ||||||||
Cognizant Technology Solutions Corp.1 | 322,410 | 8,608,347 | ||||||
SAIC, Inc.1 | 458,390 | 8,503,135 | ||||||
17,111,482 | ||||||||
Semiconductors & Semiconductor Equipment—2.0% | ||||||||
Lam Research Corp.1 | 182,820 | 4,753,320 | ||||||
MEMC Electronic Materials, Inc.1 | 299,310 | 5,330,711 | ||||||
10,084,031 | ||||||||
Software—7.9% | ||||||||
Ansys, Inc.1 | 344,830 | 10,744,903 | ||||||
FactSet Research Systems, Inc. | 123,480 | 6,157,948 | ||||||
Rovi Corp.1 | 597,459 | 13,030,581 | ||||||
Salesforce.com, Inc.1 | 229,080 | 8,743,984 | ||||||
38,677,416 | ||||||||
Materials—3.5% | ||||||||
Chemicals—2.8% | ||||||||
Airgas, Inc. | 99,200 | 4,020,576 | ||||||
Intrepid Potash, Inc.1 | 108,570 | 3,048,646 | ||||||
Lubrizol Corp. (The) | 142,020 | 6,718,966 | ||||||
13,788,188 | ||||||||
Metals & Mining—0.7% | ||||||||
Steel Dynamics, Inc. | 230,200 | 3,390,846 | ||||||
Telecommunication Services—2.1% | ||||||||
Wireless Telecommunication Services—2.1% | ||||||||
American Tower Corp.1 | 179,780 | 5,668,463 | ||||||
SBA Communications Corp.1 | 187,070 | 4,590,698 | ||||||
10,259,161 | ||||||||
Utilities—0.7% | ||||||||
Gas Utilities—0.7% | ||||||||
Questar Corp. | 109,390 | 3,397,651 | ||||||
Total Common Stocks (Cost $458,481,242) | 464,498,150 | |||||||
Investment Companies—3.7% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,4 | 113,679 | 113,679 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%2,3 | 17,970,886 | 17,970,886 | ||||||
Total Investment Companies (Cost $18,084,565) | 18,084,565 | |||||||
Total Investments, at Value (Cost $476,565,807) | 98.4 | % | 482,582,715 | |||||
Other Assets Net of Liabilities | 1.6 | 8,014,521 | ||||||
Net Assets | 100.0 | % | $ | 490,597,236 | ||||
F2 | OPPENHEIMER MIDCAP FUND/VA
Footnotes to Statement of Investments
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2009. | |
3. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 28,742,391 | 105,096,342 | 115,867,847 | 17,970,886 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 17,970,886 | $ | 102,246 |
4. | Interest rate less than 0.0005%. |
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 3 | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 74,583,305 | $ | — | $ | — | $ | 74,583,305 | ||||||||
Consumer Staples | 1,858,446 | — | — | 1,858,446 | ||||||||||||
Energy | 42,545,903 | — | — | 42,545,903 | ||||||||||||
Financials | 51,211,859 | — | — | 51,211,859 | ||||||||||||
Health Care | 82,754,530 | — | — | 82,754,530 | ||||||||||||
Industrials | 72,731,100 | — | — | 72,731,100 | ||||||||||||
Information Technology | 107,977,161 | — | — | 107,977,161 | ||||||||||||
Materials | 17,179,034 | — | — | 17,179,034 | ||||||||||||
Telecommunication Services | 10,259,161 | — | — | 10,259,161 | ||||||||||||
Utilities | 3,397,651 | — | — | 3,397,651 | ||||||||||||
Investment Companies | 18,084,565 | — | — | 18,084,565 | ||||||||||||
Total Assets | $ | 482,582,715 | $ | — | $ | — | $ | 482,582,715 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
See accompanying Notes to Financial Statements.
F3 | OPPENHEIMER MIDCAP FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $458,594,921) | $ | 464,611,829 | ||
Affiliated companies (cost $17,970,886) | 17,970,886 | |||
482,582,715 | ||||
Receivables and other assets: | ||||
Shares of beneficial interest sold | 4,997,125 | |||
Investments sold | 4,721,405 | |||
Dividends | 121,122 | |||
Other | 18,955 | |||
Total assets | 492,441,322 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 1,484,551 | |||
Shares of beneficial interest redeemed | 249,446 | |||
Transfer and shareholder servicing agent fees | 40,113 | |||
Shareholder communications | 26,357 | |||
Distribution and service plan fees | 12,896 | |||
Trustees’ compensation | 12,482 | |||
Other | 18,241 | |||
Total liabilities | 1,844,086 | |||
Net Assets | $ | 490,597,236 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 16,574 | ||
Additional paid-in capital | 1,248,314,812 | |||
Accumulated net investment loss | (171,972 | ) | ||
Accumulated net realized loss on investments | (763,579,086 | ) | ||
Net unrealized appreciation on investments | 6,016,908 | |||
Net Assets | $ | 490,597,236 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $468,681,050 and 15,819,688 shares of beneficial interest outstanding) | $ | 29.63 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $21,916,186 and 754,693 shares of beneficial interest outstanding) | $ | 29.04 |
See accompanying Notes to Financial Statements.
F4 | OPPENHEIMER MIDCAP FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies | $ | 1,240,866 | ||
Affiliated companies | 102,246 | |||
Interest | 1,651 | |||
Total investment income | 1,344,763 | |||
Expenses | ||||
Management fees | 1,678,208 | |||
Distribution and service plan fees—Service shares | 25,946 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 80,132 | |||
Service shares | 6,922 | |||
Shareholder communications: | ||||
Non-Service shares | 114,580 | |||
Service shares | 5,386 | |||
Trustees’ compensation | 11,487 | |||
Custodian fees and expenses | 1,332 | |||
Other | 21,081 | |||
Total expenses | 1,945,074 | |||
Less waivers and reimbursements of expenses | (348,135 | ) | ||
Net expenses | 1,596,939 | |||
Net Investment Loss | (252,176 | ) | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on investments from unaffiliated companies | (81,537,493 | ) | ||
Net change in unrealized appreciation on investments | 115,057,276 | |||
Net Increase in Net Assets Resulting from Operations | $ | 33,267,607 | ||
See accompanying Notes to Financial Statements.
F5 | OPPENHEIMER MIDCAP FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment loss | $ | (252,176 | ) | $ | (2,429,611 | ) | ||
Net realized loss | (81,537,493 | ) | (219,835,993 | ) | ||||
Net change in unrealized appreciation (depreciation) | 115,057,276 | (251,402,010 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 33,267,607 | (473,667,614 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (24,858,058 | ) | (88,752,649 | ) | ||||
Service shares | (1,448,168 | ) | (3,655,383 | ) | ||||
(26,306,226 | ) | (92,408,032 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | 6,961,381 | (566,075,646 | ) | |||||
Beginning of period | 483,635,855 | 1,049,711,501 | ||||||
End of period (including accumulated net investment income (loss) of $(171,972) and $80,204, respectively) | $ | 490,597,236 | $ | 483,635,855 | ||||
See accompanying Notes to Financial Statements.
F6 | OPPENHEIMER MIDCAP FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.54 | $ | 54.07 | $ | 50.85 | $ | 49.39 | $ | 43.97 | $ | 36.71 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss1 | (.01 | ) | (.13 | ) | (.02 | ) | (.02 | ) | (.12 | ) | (.15 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 2.10 | (26.40 | ) | 3.24 | 1.48 | 5.54 | 7.41 | |||||||||||||||||
Total from investment operations | 2.09 | (26.53 | ) | 3.22 | 1.46 | 5.42 | 7.26 | |||||||||||||||||
Net asset value, end of period | $ | 29.63 | $ | 27.54 | $ | 54.07 | $ | 50.85 | $ | 49.39 | $ | 43.97 | ||||||||||||
Total Return, at Net Asset Value2 | 7.59 | % | (49.07 | )% | 6.33 | % | 2.96 | % | 12.33 | % | 19.78 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 468,681 | $ | 461,684 | $ | 1,002,442 | $ | 1,054,809 | $ | 1,227,881 | $ | 1,209,459 | ||||||||||||
Average net assets (in thousands) | $ | 443,559 | $ | 754,170 | $ | 1,045,592 | $ | 1,135,831 | $ | 1,177,979 | $ | 1,124,874 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment loss | (0.10 | )% | (0.30 | )% | (0.04 | )% | (0.04 | )% | (0.26 | )% | (0.39 | )% | ||||||||||||
Total expenses | 0.83 | %4 | 0.71 | %4 | 0.69 | %4 | 0.69 | %4 | 0.69 | % | 0.69 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.69 | % | 0.68 | % | 0.69 | % | 0.69 | % | 0.69 | % | 0.69 | % | ||||||||||||
Portfolio turnover rate | 43 | % | 78 | % | 112 | % | 56 | % | 32 | % | 53 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.83 | % | ||
Year Ended December 31, 2008 | 0.71 | % | ||
Year Ended December 31, 2007 | 0.69 | % | ||
Year Ended December 31, 2006 | 0.69 | % |
See accompanying Notes to Financial Statements.
F7 | OPPENHEIMER MIDCAP FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.03 | $ | 53.22 | $ | 50.19 | $ | 48.87 | $ | 43.64 | $ | 36.54 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss1 | (.05 | ) | (.24 | ) | (.17 | ) | (.16 | ) | (.25 | ) | (.27 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 2.06 | (25.95 | ) | 3.20 | 1.48 | 5.48 | 7.37 | |||||||||||||||||
Total from investment operations | 2.01 | (26.19 | ) | 3.03 | 1.32 | 5.23 | 7.10 | |||||||||||||||||
Net asset value, end of period | $ | 29.04 | $ | 27.03 | $ | 53.22 | $ | 50.19 | $ | 48.87 | $ | 43.64 | ||||||||||||
Total Return, at Net Asset Value2 | 7.44 | % | (49.21 | )% | 6.04 | % | 2.70 | % | 11.99 | % | 19.43 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,916 | $ | 21,952 | $ | 47,270 | $ | 47,131 | $ | 36,551 | $ | 24,151 | ||||||||||||
Average net assets (in thousands) | $ | 20,929 | $ | 35,815 | $ | 49,421 | $ | 44,273 | $ | 28,798 | $ | 17,579 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment loss | (0.38 | )% | (0.57 | )% | (0.31 | )% | (0.33 | )% | (0.54 | )% | (0.68 | )% | ||||||||||||
Total expenses | 1.11 | %4 | 0.98 | %4 | 0.96 | %4 | 0.97 | %4 | 0.97 | % | 0.99 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.97 | % | 0.95 | % | 0.96 | % | 0.97 | % | 0.97 | % | 0.99 | % | ||||||||||||
Portfolio turnover rate | 43 | % | 78 | % | 112 | % | 56 | % | 32 | % | 53 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 1.11 | % | ||
Year Ended December 31, 2008 | 0.98 | % | ||
Year Ended December 31, 2007 | 0.96 | % | ||
Year Ended December 31, 2006 | 0.97 | % |
See accompanying Notes to Financial Statements.
F8 | OPPENHEIMER MIDCAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer MidCap Fund/VA (the “Fund”), is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation by investing in “growth type” companies. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
F9 | OPPENHEIMER MIDCAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund utilized $4,134,778 of capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $217,996,958 and unused capital loss carryforwards as follows:
Expiring | ||||
2009 | $ | 225,332,848 | ||
2010 | 230,224,822 | |||
Total | $ | 455,557,670 | ||
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $755,092,121 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or
F10 | OPPENHEIMER MIDCAP FUND/VA
decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 476,565,807 | ||
Gross unrealized appreciation | $ | 41,617,572 | ||
Gross unrealized depreciation | (35,600,664 | ) | ||
Net unrealized appreciation | $ | 6,016,908 | ||
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
F11 | OPPENHEIMER MIDCAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 452,606 | $ | 12,765,688 | 1,670,583 | $ | 61,944,000 | ||||||||||
Redeemed | (1,396,268 | ) | (37,623,746 | ) | (3,445,654 | ) | (150,696,649 | ) | ||||||||
Net decrease | (943,662 | ) | $ | (24,858,058 | ) | (1,775,071 | ) | $ | (88,752,649 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 69,113 | $ | 1,901,719 | 131,251 | $ | 5,180,963 | ||||||||||
Redeemed | (126,429 | ) | (3,349,887 | ) | (207,366 | ) | (8,836,346 | ) | ||||||||
Net decrease | (57,316 | ) | $ | (1,448,168 | ) | (76,115 | ) | $ | (3,655,383 | ) | ||||||
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 188,564,837 | $ | 195,654,936 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $700 million | 0.60 | |||
Over $1.5 billion | 0.58 |
F12 | OPPENHEIMER MIDCAP FUND/VA
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $48,661 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 0.80% for Non-Service shares and 1.05% for Service shares.
Effective September 1, 2008 through August 31, 2009 (the “waiver period”), the Manager has voluntarily agreed to reduce its advisory fee rate by 0.10% of the Fund’s average daily net assets if the Fund’s trailing one-year total return performance is in the fourth or fifth quintile of the Fund’s Lipper peer group as of August 31, 2008. However, if the Fund’s trailing one-year total return performance, as measured at the end of any subsequent calendar quarter during the waiver period, improves to the third or higher quintile of the Fund’s Lipper peer group, the advisory fee reduction will be terminated effective the following business day.
Effective April 1, 2009 through March 31, 2010, the Manager has agreed to voluntarily waive its advisory fee by 0.09% of the Fund’s average annual net assets. This voluntary waiver will be applied after all other waivers and/or reimbursements.
During the six months ended June 30, 2009, the Manager waived $336,988 in advisory fees as a result of these voluntary arrangements. These voluntary undertakings may be amended or withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $11,147 for IMMF management fees.
5. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
6. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant
F13 | OPPENHEIMER MIDCAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Pending Litigation Continued
Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff ”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F14 | OPPENHEIMER MIDCAP FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
5 | OPPENHEIMER MIDCAP FUND/VA
OPPENHEIMER MIDCAP FUND/VA
A Series of Oppenheimer Variable Account Funds | ||
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Ronald J. Zibelli, Jr., Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved. |
June 30, 2009 Oppenheimer Balanced Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Investment Strategy Discussion Listing of Top Holdings Listing of Investments Financial Statements OppenheimerFunds The Right Way to Invest |
OPPENHEIMER BALANCED FUND/VA
Fund Objective. The Fund seeks high total investment return, which includes current income and capital appreciation.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 8.05 | % | ||
Service Shares | 8.00 |
Average Annual Total Returns
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -34.41 | % | -4.48 | % | 0.12 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/02) | ||||||||||
Service Shares | -34.52 | % | -4.71 | % | -1.49 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/08
Gross | Net | |||||||||||
Expense | Expense | |||||||||||
Ratios | Ratios | |||||||||||
Non-Service Shares | 0.86 | % | 0.59 | % | ||||||||
Service Shares | 1.10 | 0.84 |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year. The net expense ratios take into account a voluntary fee waiver or expense reimbursement, without which performance would have been less. This undertaking may be modified or terminated at any time.
Portfolio Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of investments.
Top Ten Common Stock Holdings
Take-Two Interactive Software, Inc. | 5.6 | % | ||
Microsoft Corp. | 3.4 | |||
Exxon Mobil Corp. | 2.9 | |||
THQ, Inc. | 2.6 | |||
Google, Inc., Cl. A | 2.5 | |||
QUALCOMM, Inc. | 2.2 | |||
Everest Re Group Ltd. | 2.1 | |||
Research in Motion Ltd. | 2.0 | |||
Chevron Corp. | 1.8 | |||
Wells Fargo & Co. | 1.6 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER BALANCED FUND/VA
Fund Performance Discussion
For the six-month period ended June 30, 2009, the Fund’s Non-Service shares returned 8.05%, outperforming its benchmarks, the S&P 500 Index, which returned 3.19% and the Barclays Capital Aggregate Bond Index, which returned 1.90%. The Fund’s relative outperformance was primarily due to its equity component’s performance versus the S&P 500 Index. In the second half of the reporting period, the Fund’s fixed-income component also provided alpha versus its benchmark, handily outperforming the Barclays Capital Aggregate Bond Index.
The Fund’s equity component outperformed in eight of ten sectors versus the S&P 500 Index. Relative outperformance was strongest in the information technology sector, which was also the Fund’s largest sector weighting at period end, followed by significant outperformance in the health care and industrials sectors.
Fund performance in the information technology sector was helped by both its relative overweight and successful stock selection. The top contributor to relative Fund performance in the sector was Research in Motion Ltd. The Canadian-based developer of mobile communications and wireless email products, including the BlackBerry smartphone, saw its stock price jump as year-over-year revenue growth, net income and sales of BlackBerry devices jumped in the 1st quarter of 2009. The Fund’s largest equity holding at period end, Take-Two Interactive Software, Inc., was the second largest contributor to relative Fund performance. Take-Two, a leading publisher and distributor of video games and video game peripherals, continues to be a leader in the video gaming space. THQ, Inc., another developer and publisher of video games, was the third largest contributor to relative Fund performance during the period and produced solid returns for the Fund. A few other notables included QUALCOMM, Inc., a leading manufacturer of the CDMA chip-technology that is used in 3G wireless communications, Google, Inc., Apple, Inc., eBay, Inc. and Microsoft Corp.
The Fund outperformed the S&P 500 Index in the health care sector, where it had better relative stock selection. Within the sector, the two top contributors to Fund performance were pharmaceutical stocks Schering-Plough Corp. and Mylan, Inc. In the industrials sector, relative performance was aided by both the Fund’s stock selection and underweight position. Mining equipment manufacturer Joy Global, Inc. and commercial trucking manufacturer Navistar International Corp. were the top contributors to Fund performance within the sector.
In terms of performance detractors, financials and consumer discretionary were the two sectors where the Fund’s equity component underperformed the S&P 500 Index for the reporting period. Stock selection within financials fared worse than the S&P 500 Index. Relative Fund performance was hurt by the Fund’s holdings in Julius Baer Holding AG, and we exited our position by period end. Stock selection in the consumer discretionary sector also detracted from Fund performance. In particular, Las Vegas Sands Corp. had a difficult reporting period and we exited our position in the security. Liberty Global, Inc. also detracted from relative Fund performance. We retained our holdings in Liberty Global as of period end.
The Fund’s fixed-income component underperformed the Barclays Capital Aggregate Bond Index during the reporting period. In the first half of the reporting period, with the credit markets still “frozen” and suffering from the aftershocks of the financial disarray that occurred in the second half of 2008, the fixed-income component’s performance declined and underperformed its benchmark. An easing of credit conditions helped the Fund’s fixed-income component outpace the Barclays Capital Aggregate Bond Index in the second half of the period.
Effective April 2009, Krishna Memani was named the head of OppenheimerFunds’ Investment Grade Fixed Income team and Mr. Memani and Peter Strzalkowski, another key member of the team, have been appointed as portfolio managers of the Fund’s fixed-income component. Since taking over the Fund’s fixed-income component, Messrs. Memani and Strzalkowski have transitioned the portfolio to a position they feel is suitable for market conditions existing as of period end. They believe that a core bond allocation should act as a “ballast” in a portfolio, providing competitive returns, while holding its value in a down market.
3 | OPPENHEIMER BALANCED FUND/VA
OPPENHEIMER BALANCED FUND/VA
At period end, the portfolio has been positioned to source risk and return from a diversified set of factors. The Fund’s investments in the commercial mortgage-backed securities (CMBS), non-agency mortgage-backed securities (MBS) and investment grade financials sectors were reduced, while its investments in investment grade non-financials increased during the period. The Fund’s largest allocation within the MBS sector at period end was comprised mostly of agency mortgages.
Please note that derivative instruments, securities whose values depend on the performance of an underlying security or asset, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. Fixed income investing entails credit risks and interest rate risks. When interest rates rise, bond prices generally fall, and the Fund’s share prices can fall. The Fund invests in debt securities below investment grade, which may entail greater credit risks, as described in the prospectus. Mortgage-related securities have greater potential for loss when interest rates rise.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. The performance data quoted represents past performance, which does not guarantee future results.
4 | OPPENHEIMER BALANCED FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,080.50 | $ | 3.15 | ||||||
Service Shares | 1,000.00 | 1,080.00 | 4.44 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.77 | 3.06 | |||||||||
Service Shares | 1,000.00 | 1,020.53 | 4.32 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.61 | % | ||
Service shares | 0.86 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
5 | OPPENHEIMER BALANCED FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares | Value | |||||||
Common Stocks—53.4% | ||||||||
Consumer Discretionary—4.6% | ||||||||
Media—4.6% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 193,360 | $ | 3,753,118 | |||||
Cinemark Holdings, Inc. | 2,100 | 23,772 | ||||||
Jupiter Telecommunications Co. Ltd. | 4,088 | 3,106,260 | ||||||
Liberty Global, Inc., Series A1 | 128,838 | 2,047,236 | ||||||
Liberty Global, Inc., Series C1 | 85,760 | 1,355,866 | ||||||
National CineMedia, Inc. | 40,660 | 559,482 | ||||||
10,845,734 | ||||||||
Consumer Staples—4.3% | ||||||||
Food & Staples Retailing—0.8% | ||||||||
Kroger Co. (The) | 89,600 | 1,975,680 | ||||||
Food Products—1.4% | ||||||||
Nestle SA | 87,780 | 3,305,837 | ||||||
Tobacco—2.1% | ||||||||
Altria Group, Inc. | 83,010 | 1,360,534 | ||||||
Lorillard, Inc. | 50,660 | 3,433,228 | ||||||
4,793,762 | ||||||||
Energy—4.7% | ||||||||
Oil, Gas & Consumable Fuels—4.7% | ||||||||
Chevron Corp. | 64,600 | 4,279,750 | ||||||
Exxon Mobil Corp. | 96,370 | 6,737,227 | ||||||
11,016,977 | ||||||||
Financials—5.4% | ||||||||
Commercial Banks—1.7% | ||||||||
Wells Fargo & Co. | 158,100 | 3,835,506 | ||||||
Diversified Financial Services—1.1% | ||||||||
JPMorgan Chase & Co. | 78,000 | 2,660,580 | ||||||
Insurance—2.6% | ||||||||
Assurant, Inc. | 51,500 | 1,240,635 | ||||||
Everest Re Group Ltd. | 68,430 | 4,897,535 | ||||||
6,138,170 | ||||||||
Health Care—7.2% | ||||||||
Biotechnology—1.4% | ||||||||
Amicus Therapeutics, Inc.1 | 95,449 | 1,092,891 | ||||||
Genzyme Corp. (General Division)1 | 13,400 | 745,978 | ||||||
Human Genome Sciences, Inc.1 | 256,420 | 733,361 | ||||||
Orexigen Therapeutics, Inc.1 | 153,170 | 785,762 | ||||||
3,357,992 | ||||||||
Health Care Equipment & Supplies—1.5% | ||||||||
Beckman Coulter, Inc. | 32,120 | 1,835,337 | ||||||
Covidien plc | 46,700 | 1,748,448 | ||||||
3,583,785 | ||||||||
Health Care Providers & Services—2.0% | ||||||||
Aetna, Inc. | 87,140 | 2,182,857 | ||||||
Medco Health Solutions, Inc.1 | 53,320 | 2,431,925 | ||||||
4,614,782 | ||||||||
Pharmaceuticals—2.3% | ||||||||
Abbott Laboratories | 48,410 | 2,277,206 | ||||||
Wyeth | 69,000 | 3,131,910 | ||||||
5,409,116 | ||||||||
Industrials—2.7% | ||||||||
Aerospace & Defense—0.4% | ||||||||
Orbital Sciences Corp.1 | 65,404 | 992,179 | ||||||
Machinery—1.8% | ||||||||
Joy Global, Inc. | 57,780 | 2,063,902 | ||||||
Navistar International Corp.1 | 46,350 | 2,020,860 | ||||||
4,084,762 | ||||||||
Trading Companies & Distributors—0.5% | ||||||||
Aircastle Ltd. | 168,100 | 1,235,535 | ||||||
Information Technology—22.2% | ||||||||
Communications Equipment—4.2% | ||||||||
QUALCOMM, Inc. | 113,360 | 5,123,872 | ||||||
Research in Motion Ltd.1 | 65,680 | 4,666,564 | ||||||
9,790,436 | ||||||||
Computers & Peripherals—1.2% | ||||||||
Apple, Inc.1 | 19,600 | 2,791,628 | ||||||
Electronic Equipment & Instruments—0.0% | ||||||||
CalAmp Corp.1 | 19 | 15 | ||||||
Internet Software & Services—3.6% | ||||||||
eBay, Inc.1 | 150,600 | 2,579,778 | ||||||
Google, Inc., Cl. A1 | 13,810 | 5,822,158 | ||||||
8,401,936 | ||||||||
Software—13.2% | ||||||||
Microsoft Corp. | 338,700 | 8,050,899 | ||||||
Novell, Inc.1 | 337,980 | 1,531,049 | ||||||
Synopsys, Inc.1 | 114,640 | 2,236,626 | ||||||
Take-Two Interactive Software, Inc. | 1,387,976 | 13,144,133 | ||||||
THQ, Inc.1 | 853,300 | 6,109,628 | ||||||
31,072,335 | ||||||||
Materials—1.8% | ||||||||
Chemicals—1.8% | ||||||||
Lubrizol Corp. (The) | 60,140 | 2,845,223 | ||||||
Potash Corp. of Saskatchewan, Inc. | 15,100 | 1,405,055 | ||||||
4,250,278 |
F1 | OPPENHEIMER BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Telecommunication Services—0.0% | ||||||||
Diversified Telecommunication Services—0.0% | ||||||||
XO Holdings, Inc.1 | 85 | $ | 26 | |||||
Utilities—0.5% | ||||||||
Energy Traders—0.5% | ||||||||
NRG Energy, Inc.1 | 50,540 | 1,312,018 | ||||||
Total Common Stocks (Cost $135,393,040) | 125,469,069 | |||||||
Preferred Stocks—3.6% | ||||||||
Mylan, Inc., 6.50% Cv., Non-Vtg. | 4,800 | 4,134,720 | ||||||
Schering-Plough Corp., 6% Cv. | 18,800 | 4,261,960 | ||||||
Total Preferred Stocks (Cost $5,743,030) | 8,396,680 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
XO Communications, Inc.: | ||||||||
Series A Wts., Strike Price $6.25, Exp. 1/16/101,2 | 171 | 1 | ||||||
Series B Wts., Strike Price $7.50, Exp. 1/16/101,2 | 128 | — | ||||||
Series C Wts., Strike Price $10, Exp. 1/16/101,2 | 128 | — | ||||||
Total Rights, Warrants and Certificates (Cost $0) | 1 | |||||||
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—2.4% | ||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.794%, 5/25/343 | $ | 830,484 | $ | 478,634 | ||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 | 165,000 | 170,739 | ||||||
Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 | 665,000 | 688,649 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 180,000 | 154,590 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.054%, 2/25/333 | 18,836 | 8,079 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/363 | 349,986 | 269,967 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/363 | 203,211 | 148,230 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.434%, 6/25/473 | 480,000 | 230,272 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 120,000 | 120,100 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.575%, 1/20/353 | 278,708 | 185,500 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.425%, 3/20/363 | 180,000 | 156,375 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 2A1B, 5.18%, 8/25/353 | 12,595 | 12,515 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables: | ||||||||
Series 2003-C7, Cl. C7, 1.669%, 3/15/163 | 1,710,000 | 1,298,576 | ||||||
Series 2005-A6, Cl. A6, 4.50%, 1/15/13 | 660,000 | 678,678 | ||||||
Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.414%, 7/1/363 | 776,281 | 507,803 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.414%, 9/25/363 | 472,324 | 410,148 | ||||||
Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.354%, 9/25/363 | 101,427 | 97,487 | ||||||
Total Asset-Backed Securities (Cost $7,318,662) | 5,616,342 | |||||||
Mortgage-Backed Obligations—21.3% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/454 | 1,800,000 | 932,776 | ||||||
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 0.414%, 9/25/363 | 39,923 | 38,820 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2008-C7, Cl. A4, 6.299%, 12/1/493 | 300,000 | 246,098 | ||||||
Series 2008-C7, Cl. AM, 6.299%, 12/1/493 | 780,000 | 420,867 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 510,749 | 351,274 | ||||||
Federal Home Loan Mortgage Corp., 7%, 10/1/37 | 2,426,564 | 2,612,278 |
F2 | OPPENHEIMER BALANCED FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates: | ||||||||
Series 3279, Cl. PH, 6%, 2/1/27 | $ | 675,000 | $ | 702,714 | ||||
Series 3306, Cl. PA, 5.50%, 10/1/27 | 255,254 | 264,118 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 194,957 | 200,189 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates, Interest-Only Mtg.-Backed Security, Series 3399, Cl. SC, 12.252%, 12/15/375 | 1,176,827 | 102,230 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 3045, Cl. DI, 44.089%, 10/15/355 | 1,344,778 | 112,730 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2006-11, Cl. PS, 23.416%, 3/25/363 | 297,828 | 357,614 | ||||||
Series 3025, Cl. SJ, 23.579%, 8/15/353 | 94,492 | 113,504 | ||||||
Series 3094, Cl. HS, 23.212%, 6/15/343 | 182,320 | 214,089 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. IO, 12.892%, 6/1/265 | 159,333 | 31,341 | ||||||
Series 183, Cl. IO, 10.333%, 4/1/275 | 253,559 | 45,991 | ||||||
Series 184, Cl. IO, 17.303%, 12/1/265 | 276,825 | 53,834 | ||||||
Series 192, Cl. IO, 10.868%, 2/1/285 | 73,846 | 15,450 | ||||||
Series 200, Cl. IO, 10.248%, 1/1/295 | 90,530 | 15,905 | ||||||
Series 2130, Cl. SC, 48.922%, 3/15/295 | 196,624 | 23,769 | ||||||
Series 224, Cl. IO, 1.677%, 3/1/335 | 439,385 | 74,084 | ||||||
Series 243, Cl. 6, 1.711%, 12/15/325 | 268,102 | 40,173 | ||||||
Series 2527, Cl. SG, 47.357%, 2/15/325 | 157,096 | 9,819 | ||||||
Series 2531, Cl. ST, 63.467%, 2/15/305 | 1,874,370 | 129,642 | ||||||
Series 2796, Cl. SD, 65.696%, 7/15/265 | 283,754 | 32,917 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/335 | 365,955 | 28,501 | ||||||
Series 2920, Cl. S, 77.044%, 1/15/355 | 1,578,912 | 158,333 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/255 | 1,546,692 | 131,274 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/265 | 230,959 | 19,348 | ||||||
Series 3146, Cl. SA, 49.905%, 4/15/365 | 1,514,203 | 163,276 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. PO, 4.662%, 6/1/266 | 70,121 | 58,830 | ||||||
Series 192, Cl. PO, 8.951%, 2/1/286 | 73,846 | 62,684 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 7/1/24-7/1/397 | 2,487,000 | 2,506,898 | ||||||
5%, 7/1/24-7/1/397 | 4,968,000 | 5,078,381 | ||||||
5.50%, 9/25/20 | 17,175 | 18,062 | ||||||
5.50%, 7/1/24-7/1/397 | 8,638,000 | 8,939,324 | ||||||
6%, 3/1/37-10/1/37 | 2,251,266 | 2,358,012 | ||||||
6%, 7/1/23-7/1/397 | 5,198,000 | 5,470,737 | ||||||
6.50%, 7/1/377 | 3,277,000 | 3,490,516 | ||||||
7%, 11/1/178 | 351,221 | 370,250 | ||||||
7.50%, 1/1/33 | 285,007 | 311,057 | ||||||
8.50%, 7/1/32 | 12,870 | 14,015 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 235,683 | 251,995 | ||||||
Trust 2005-57, Cl. PA, 5.50%, 5/1/27 | 633,217 | 646,390 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | 620,625 | 654,324 | ||||||
Trust 2006-46, Cl. SW, 23.049%, 6/25/363 | 222,243 | 265,598 | ||||||
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 | 644,093 | 664,111 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2005-14, Cl. SE, 42.618%, 3/25/355 | 235,853 | 20,998 | ||||||
Trust 2006-60, Cl. DI, 42.267%, 4/25/355 | 155,596 | 13,514 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-65, Cl. S, 52.087%, 11/25/315 | 692,807 | 74,969 | ||||||
Trust 2001-81, Cl. S, 36.828%, 1/25/325 | 151,553 | 17,159 | ||||||
Trust 2002-47, Cl. NS, 35.792%, 4/25/325 | 342,550 | 37,058 | ||||||
Trust 2002-51, Cl. S, 36.115%, 8/25/325 | 314,541 | 33,562 | ||||||
Trust 2002-52, Cl. SD, 39.685%, 9/25/325 | 361,609 | 38,101 | ||||||
Trust 2002-77, Cl. SH, 45.207%, 12/18/325 | 210,297 | 25,382 | ||||||
Trust 2002-84, Cl. SA, 54.817%, 12/25/325 | 625,398 | 64,114 | ||||||
Trust 2002-9, Cl. MS, 36.493%, 3/25/325 | 231,448 | 25,820 | ||||||
Trust 2003-33, Cl. SP, 62.33%, 5/25/335 | 714,132 | 76,472 | ||||||
Trust 2003-4, Cl. S, 50.418%, 2/25/335 | 405,305 | 42,812 | ||||||
Trust 2003-46, Cl. IH, (8.622)%, 6/1/335 | 2,349,131 | 262,419 | ||||||
Trust 2003-89, Cl. XS, 66.925%, 11/25/325 | 340,662 | 22,145 | ||||||
Trust 2004-54, Cl. DS, 51.606%, 11/25/305 | 307,632 | 38,631 | ||||||
Trust 2005-40, Cl. SA, 76.253%, 5/25/355 | 892,827 | 85,535 | ||||||
Trust 2005-6, Cl. SE, 88.843%, 2/25/355 | 1,188,599 | 111,116 | ||||||
Trust 2005-71, Cl. SA, 74.882%, 8/25/255 | 990,553 | 94,424 | ||||||
Trust 2005-87, Cl. SE, 49.35%, 10/25/355 | 1,147,858 | 102,755 | ||||||
Trust 222, Cl. 2, 16.107%, 6/1/235 | 558,513 | 77,212 | ||||||
Trust 233, Cl. 2, 18.665%, 8/1/235 | 475,575 | 91,716 | ||||||
Trust 240, Cl. 2, 21.617%, 9/1/235 | 903,965 | 124,070 | ||||||
Trust 252, Cl. 2, 16.868%, 11/1/235 | 436,205 | 82,440 | ||||||
Trust 273, Cl. 2, 14.646%, 8/1/265 | 120,596 | 23,658 | ||||||
Trust 319, Cl. 2, 5.94%, 2/1/325 | 154,604 | 27,250 | ||||||
Trust 331, Cl. 9, 15.30%, 2/1/335 | 452,167 | 68,801 | ||||||
Trust 334, Cl. 17, 22.198%, 2/1/335 | 258,457 | 31,094 | ||||||
Trust 334, Cl. 3, (15.137)%, 7/1/335 | 62,759 | 7,683 | ||||||
Trust 339, Cl. 12, 3.909%, 7/1/335 | 457,413 | 65,587 | ||||||
Trust 339, Cl. 7, (8.136)%, 7/1/335 | 1,655,657 | 185,396 | ||||||
Trust 339, Cl. 8, (7.298)%, 8/1/335 | 36,050 | 4,466 | ||||||
Trust 343, Cl. 13, 6.355%, 9/1/335 | 376,766 | 59,556 | ||||||
Trust 345, Cl. 9, 2.362%, 1/1/345 | 649,439 | 113,801 | ||||||
Trust 351, Cl. 10, 3.464%, 4/1/345 | 63,441 | 8,165 | ||||||
Trust 351, Cl. 11, (0.318)%, 11/1/345 | 63,950 | 8,261 | ||||||
Trust 351, Cl. 8, 2.745%, 4/1/345 | 195,879 | 26,612 |
F3 | OPPENHEIMER BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 356, Cl. 10, (2.058)%, 6/1/355 | $ | 163,233 | $ | 20,045 | ||||
Trust 356, Cl. 12, (3.812)%, 2/1/355 | 88,000 | 10,609 | ||||||
Trust 362, Cl. 12, 1.301%, 8/1/355 | 1,061,063 | 163,101 | ||||||
Trust 362, Cl. 13, (0.567)%, 8/1/355 | 585,856 | 82,102 | ||||||
Trust 364, Cl. 16, 0.008%, 9/1/355 | 464,390 | 71,358 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.34%, 9/25/236 | 200,861 | 181,610 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 335,183 | 273,722 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 365,824 | 263,478 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2005-C4, Cl. AM, 5.513%, 11/1/453 | 355,000 | 226,642 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 | 290,000 | 312,284 | ||||||
Government National Mortgage Assn.: | ||||||||
4.50%, 7/1/247 | 2,490,000 | 2,486,111 | ||||||
8%, 4/15/23 | 118,843 | 130,509 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-21, Cl. SB, 77.329%, 1/16/275 | 323,798 | 38,054 | ||||||
Series 2002-15, Cl. SM, 69.603%, 2/16/325 | 388,591 | 50,663 | ||||||
Series 2002-76, Cl. SY, 71.058%, 12/16/265 | 830,133 | 96,062 | ||||||
Series 2004-11, Cl. SM, 52.612%, 1/17/305 | 270,497 | 33,331 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 | 485,000 | 309,039 | ||||||
Series 2007-LD11, Cl. A2, 5.992%, 6/15/493 | 270,000 | 249,324 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 235,000 | 212,800 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-C1, Cl. A2, 5.084%, 2/11/31 | 345,000 | 334,667 | ||||||
Series 2006-C1, Cl. AM, 5.217%, 2/11/313 | 1,010,000 | 637,036 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. | ||||||||
Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.166%, 9/11/453 | 550,000 | 267,338 | ||||||
Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 4.369%, 4/1/343 | 321,142 | 282,936 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 686,469 | 525,992 | ||||||
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 | 3,127 | 3,131 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 243,409 | 231,554 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 257,133 | 238,653 | ||||||
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 | 28,635 | 27,886 | ||||||
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.478%, 9/25/333 | 447,856 | 403,464 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.981%, 12/25/343 | 345,680 | 308,216 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.581%, 9/25/343 | 294,122 | 255,932 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.092%, 3/25/363 | 370,450 | 251,879 | ||||||
Total Mortgage-Backed Obligations (Cost $52,039,544) | 49,976,424 | |||||||
U.S. Government Obligations—0.6% | ||||||||
Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 | 765,000 | 754,075 | ||||||
Federal National Mortgage Assn. Nts., 2.50%, 5/15/14 | 625,000 | 615,404 | ||||||
Total U.S. Government Obligations (Cost $1,387,524) | 1,369,479 | |||||||
Non-Convertible Corporate Bonds and Notes—8.3% | ||||||||
Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 | 280,000 | 321,514 | ||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 | 155,000 | 152,291 |
F4 | OPPENHEIMER BALANCED FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
American Express Co., 8.125% Sr. Unsec. Nts., 5/20/19 | $ | 100,000 | $ | 103,949 | ||||
American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 | 320,000 | 84,000 | ||||||
Analog Devices, Inc., 5% Sr. Unsec. Nts., 7/1/14 | 67,000 | 67,217 | ||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||
8% Sr. Nts., 11/15/399 | 65,000 | 70,983 | ||||||
8.20% Sr. Unsec. Unsub. Nts., 1/15/399 | 250,000 | 278,915 | ||||||
AT&T Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 365,000 | 353,459 | ||||||
Atmos Energy Corp., 8.50% Sr. Unsec. Nts., 3/15/19 | 80,000 | 93,574 | ||||||
Axa SA, 6.379% Sub. Perpetual Bonds9,10 | 260,000 | 166,804 | ||||||
BAE Systems Holdings, Inc., 6.375% Nts., 6/1/199 | 170,000 | 174,124 | ||||||
Barclays Bank plc, 6.278% Perpetual Bonds10 | 130,000 | 70,315 | ||||||
Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 | 150,000 | 140,757 | ||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 190,000 | 185,137 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 150,000 | 157,112 | ||||||
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/092 | 485,000 | 485,606 | ||||||
CenturyTel, Inc., 8.375% Sr. Unsec. Nts., Series H, 10/15/10 | �� | 125,000 | 130,978 | |||||
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 | 330,000 | 280,527 | ||||||
Citigroup, Inc.: | ||||||||
5.50% Unsec. Sub. Nts., 2/15/17 | 215,000 | 175,445 | ||||||
5.625% Unsec. Sub. Nts., 8/27/12 | 140,000 | 131,202 | ||||||
6.125% Sub. Nts., 8/25/36 | 185,000 | 137,993 | ||||||
8.30% Jr. Sub. Bonds, 12/21/573 | 85,000 | 66,387 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 115,000 | 134,721 | ||||||
Comcast Cable Communications, Inc., 8.875% Unsub. Nts., 5/1/17 | 200,000 | 235,469 | ||||||
ConAgra Foods, Inc., 7% Nts., 4/15/19 | 160,000 | 175,719 | ||||||
ConocoPhillips, 6.50% Sr. Unsec. Nts., 2/1/39 | 70,000 | 74,662 | ||||||
Covidien International Finance SA, 6.55% Sr. Unsec. Unsub. Nts., 10/15/37 | 170,000 | 188,718 | ||||||
Credit Suisse New York, 6% Unsec. Sub. Nts., 2/15/18 | 210,000 | 209,997 | ||||||
CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 | 265,000 | 288,300 | ||||||
Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 | 175,000 | 178,128 | ||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 95,000 | 115,507 | ||||||
Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/103 | 167,000 | 175,681 | ||||||
Duke Energy Carolinas LLC, 6.10% Sr. Unsec. Unsub. Nts., 6/1/37 | 165,000 | 173,062 | ||||||
Enterprise Products Operating LP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 | 195,000 | 204,467 | ||||||
Exelon Generation Co. LLC, 6.20% Sr. Nts., 10/1/17 | 102,000 | 101,676 | ||||||
Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 | 185,000 | 185,924 | ||||||
Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 | 595,000 | 570,102 | ||||||
Genentech, Inc., 5.25% Sr. Unsec. Unsub. Nts., 7/15/35 | 190,000 | 177,375 | ||||||
General Electric Capital Corp.: | ||||||||
5.45% Sr. Unsec. Nts., Series A, 1/15/13 | 285,000 | 292,825 | ||||||
5.875% Unsec. Unsub. Nts., 1/14/38 | 135,000 | 107,031 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 313,000 | 252,934 | ||||||
Goldman Sachs Group, Inc. (The), 7.50% Sr. Unsec. Nts., 2/15/19 | 120,000 | 128,714 | ||||||
Home Depot, Inc. (The), 5.40% Sr. Nts., 3/1/16 | 120,000 | 119,974 | ||||||
Hospira, Inc., 6.40% Sr. Unsec. Unsub. Nts., 5/15/15 | 30,000 | 31,634 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353 | 430,000 | 227,545 | ||||||
John Deere Capital Corp., 5.75% Sr. Nts., 9/10/18 | 160,000 | 163,547 | ||||||
JPMorgan Chase & Co.: | ||||||||
5.125% Unsec. Sub. Nts., 9/15/14 | 155,000 | 154,493 | ||||||
7.90% Perpetual Bonds, Series 110 | 345,000 | 302,748 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 350,000 | 326,563 | ||||||
Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 | 150,000 | 170,894 | ||||||
Kraft Foods, Inc., 6.875% Sr. Unsec. Unsub. Nts., 2/1/38 | 135,000 | 143,078 | ||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/382,11 | 1,895,000 | 190 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 640,000 | 595,475 | ||||||
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/363 | 155,000 | 111,116 | ||||||
Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 | 330,000 | 334,257 | ||||||
Morgan Stanley: | ||||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 100,000 | 93,232 |
F5 | OPPENHEIMER BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
Morgan Stanley: Continued | ||||||||
7.30% Sr. Unsec. Nts., 5/13/19 | $ | 445,000 | $ | 462,253 | ||||
News America, Inc., 6.65% Sr. Unsec. Unsub. Nts., 11/15/37 | 165,000 | 148,686 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 170,000 | 156,466 | ||||||
Noble Energy, Inc., 8.25% Sr. Unsec. Nts., 3/1/19 | 185,000 | 210,842 | ||||||
Nokia Corp., 5.375% Sr. Unsec. Nts., 5/15/19 | 175,000 | 177,390 | ||||||
Oncor Electric Delivery Co.: | ||||||||
5.95% Sec. Bonds, 9/1/13 | 110,000 | 114,599 | ||||||
6.375% Sr. Sec. Nts., 1/15/15 | 125,000 | 130,905 | ||||||
Oracle Corp., 6.125% Sr. Unsec. Nts., 7/8/397 | 225,000 | 222,615 | ||||||
Pacific Gas & Electric Co., 6.25% Sr. Unsec. Unsub. Nts., 3/1/39 | 115,000 | 123,196 | ||||||
Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 | 100,000 | 90,313 | ||||||
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/139 | 219,741 | 225,349 | ||||||
Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 | 215,000 | 217,923 | ||||||
PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 | 210,000 | 200,007 | ||||||
Pride International, Inc., 8.50% Sr. Nts., 6/15/19 | 200,000 | 198,500 | ||||||
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/239 | 185,000 | 177,371 | ||||||
Prudential Insurance Co. of America, 8.30% Nts., 7/1/259 | 235,000 | 213,899 | ||||||
R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 | 350,000 | 338,324 | ||||||
Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 | 33,000 | 36,017 | ||||||
Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 | 115,000 | 121,848 | ||||||
Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 | 165,000 | 174,502 | ||||||
Schering-Plough Corp., 6% Sr. Unsec. Nts., 9/15/17 | 165,000 | 175,988 | ||||||
Sempra Energy: | ||||||||
6.50% Sr. Unsec. Nts., 6/1/16 | 100,000 | 104,518 | ||||||
9.80% Sr. Unsec. Nts., 2/15/19 | 145,000 | 175,898 | ||||||
Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 | 137,000 | 144,948 | ||||||
Target Corp., 7% Bonds, 1/15/38 | 135,000 | 144,165 | ||||||
Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 | 345,000 | 348,635 | ||||||
Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 | 165,000 | 174,121 | ||||||
Telus Corp., 8% Nts., 6/1/11 | 265,000 | 284,583 | ||||||
TEPPCO Partners LP, 6.125% Nts., 2/1/13 | 490,000 | 488,650 | ||||||
Time Warner Cable, Inc., 7.30% Sr. Nts., 7/1/38 | 65,000 | 67,854 | ||||||
Time Warner Cos., Inc., 9.125% Debs., 1/15/13 | 250,000 | 275,526 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 100,000 | 112,142 | ||||||
Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 | 355,000 | 336,291 | ||||||
Union Pacific Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 11/15/17 | 100,000 | 100,968 | ||||||
6.125% Sr. Unsec. Nts., 2/15/20 | 180,000 | 187,006 | ||||||
United Health Group, Inc., 6% Sr. Unsec. Nts., 2/15/18 | 80,000 | 76,904 | ||||||
Vale Overseas Ltd.: | ||||||||
6.25% Nts., 1/23/17 | 135,000 | 136,774 | ||||||
6.875% Bonds, 11/21/36 | 210,000 | 200,256 | ||||||
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 | 35,000 | 33,437 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 285,000 | 279,625 | ||||||
Viacom, Inc.: | ||||||||
6.25% Sr. Unsec. Nts., 4/30/16 | 75,000 | 73,980 | ||||||
6.875% Sr. Unsec. Nts., 4/30/36 | 155,000 | 143,085 | ||||||
Wachovia Corp., 5.625% Sub. Nts., 10/15/16 | 90,000 | 86,104 | ||||||
WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 | 170,000 | 174,366 | ||||||
Wells Fargo Capital X, 5.95% Unsec. Sub. Bonds, 12/15/36 | 285,000 | 211,499 | ||||||
Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 | 140,000 | 141,046 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 180,000 | 159,663 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 132,000 | 117,076 | ||||||
Xstrata Finance Canada Ltd., 6.90% Nts., 11/15/377,9 | 233,000 | 186,110 | ||||||
XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 | 65,000 | 69,858 | ||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $21,400,746) | 19,526,128 |
F6 | OPPENHEIMER BALANCED FUND/VA
Shares | Value | |||||||
Investment Companies—21.9% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%12,14 | 185,881 | $ | 185,881 | |||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%12,13 | 51,211,612 | 51,211,612 | ||||||
Total Investment Companies (Cost $51,397,493) | 51,397,493 | |||||||
Total Investments, at Value (Cost $274,680,039) | 111.5 | % | 261,751,616 | |||||
Liabilities in Excess of Other Assets | (11.5 | ) | (26,968,077 | ) | ||||
Net Assets | 100.0 | % | $ | 234,783,539 | ||||
Footnotes to Statement of Investments | ||
1. | Non-income producing security. | |
2. | Illiquid security. The aggregate value of illiquid securities as of June 30, 2009 was $485,797, which represents 0.21% of the Fund’s net assets. See Note 6 of accompanying Notes. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
4. | A sufficient amount of liquid assets has been designated to cover outstanding written put options. See Note 5 of accompanying Notes. | |
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 $3,946,696 or 1.68% of the Fund’s net assets as of June 30, 2009. | |
6. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $303,124 or 0.13% of the Fund’s net assets as of June 30, 2009. | |
7. | When-issued security or delayed delivery to be delivered and settled after June 30, 2009. See Note 1 of accompanying Notes. | |
8. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $370,250. See Note 5 of accompanying Notes. | |
9. | 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 $1,493,555 or 0.64% of the Fund’s net assets as of June 30, 2009. | |
10. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
11. | Issue is in default. See Note 1 of accompanying Notes. | |
12. | Rate shown is the 7-day yield as of June 30, 2009. | |
13. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 8,646,429 | 94,480,379 | 51,915,196 | 51,211,612 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 51,211,612 | $ | 137,168 |
14. | Interest rate less than 0.0005%. |
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
F7 | OPPENHEIMER BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 10,845,734 | $ | — | $ | — | $ | 10,845,734 | ||||||||
Consumer Staples | 10,075,279 | — | — | 10,075,279 | ||||||||||||
Energy | 11,016,977 | — | — | 11,016,977 | ||||||||||||
Financials | 12,634,256 | — | — | 12,634,256 | ||||||||||||
Health Care | 16,965,675 | — | — | 16,965,675 | ||||||||||||
Industrials | 6,312,476 | — | — | 6,312,476 | ||||||||||||
Information Technology | 52,056,350 | — | — | 52,056,350 | ||||||||||||
Materials | 4,250,278 | — | — | 4,250,278 | ||||||||||||
Telecommunication Services | 26 | — | — | 26 | ||||||||||||
Utilities | 1,312,018 | — | — | 1,312,018 | ||||||||||||
Preferred Stocks | 4,134,720 | 4,261,960 | — | 8,396,680 | ||||||||||||
Rights, Warrants and Certificates | 1 | — | — | 1 | ||||||||||||
Asset-Backed Securities | — | 5,616,342 | — | 5,616,342 | ||||||||||||
Mortgage-Backed Obligations | — | 49,976,424 | — | 49,976,424 | ||||||||||||
U.S. Government Obligations | — | 1,369,479 | — | 1,369,479 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | — | 19,526,128 | — | 19,526,128 | ||||||||||||
Investment Companies | 51,397,493 | — | — | 51,397,493 | ||||||||||||
Total Investments, at Value | 181,001,283 | 80,750,333 | — | 261,751,616 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps | — | 32,214 | — | 32,214 | ||||||||||||
Futures | 9,204 | — | — | 9,204 | ||||||||||||
Total Assets | $ | 181,010,487 | $ | 80,782,547 | $ | — | $ | 261,793,034 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps | $ | — | $ | (54,784 | ) | $ | — | $ | (54,784 | ) | ||||||
Options written | — | — | — | — | ||||||||||||
Futures | (21,608 | ) | — | — | (21,608 | ) | ||||||||||
Total Liabilities | $ | (21,608 | ) | $ | (54,784 | ) | $ | — | $ | (76,392 | ) | |||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
Futures Contracts as of June 30, 2009 are as follows:
Number of | Expiration | Unrealized | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | Appreciation | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 60 | 9/21/09 | $ | 7,101,563 | $ | 130,049 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 10 | 9/30/09 | 2,162,188 | 5,465 | |||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 19 | 9/30/09 | 2,179,656 | 23,544 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 105 | 9/21/09 | 12,207,891 | 165,430 | |||||||||||||||
$ | 324,488 | |||||||||||||||||||
F8 | OPPENHEIMER BALANCED FUND/VA
Written Options as of June 30, 2009 are as follows:
Number of | Exercise | Expiration | Premiums | |||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | ||||||||||||||||||
Aetna, Inc. | Put | 494 | $ | 17.50 | 7/20/09 | $ | 104,769 | $ | — | |||||||||||||||
Electronic Arts, Inc. | Put | 494 | 12.50 | 9/21/09 | 72,618 | — | ||||||||||||||||||
$ | 177,387 | $ | — | |||||||||||||||||||||
Credit Default Swap Contracts as of June 30, 2009 are as follows:
Buy/Sell | Notional | Receive | ||||||||||||||||||||
Swap | Credit | Amount | Fixed | Termination | ||||||||||||||||||
Reference Entity | Counterparty | Protection | (000’s) | Rate | Date | Value | ||||||||||||||||
Inco Ltd.: | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | $ | 545 | 0.70 | % | 3/20/17 | $ | 10,659 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 550 | 0.63 | 3/20/17 | 13,308 | |||||||||||||||||
Total | 1,095 | 23,967 | ||||||||||||||||||||
Merrill Lynch & Co., Inc.: | ||||||||||||||||||||||
Barclays Bank plc | Sell | 1,080 | 4.15 | 9/20/09 | 5,498 | |||||||||||||||||
Credit Suisse International | Sell | 540 | 4.15 | 9/20/09 | 2,749 | |||||||||||||||||
Total | 1,620 | 8,247 | ||||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 545 | 1.17 | 3/20/17 | (26,026 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 550 | 1.10 | 3/20/17 | (28,758 | ) | ||||||||||||||||
Total | 1,095 | (54,784 | ) | |||||||||||||||||||
Grand Total Buys | 23,967 | |||||||||||||||||||||
Grand Total Sells | (46,537 | ) | ||||||||||||||||||||
Total Credit Default Swaps | $ | (22,570 | ) | |||||||||||||||||||
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 | ||||||||||||
Type of Reference Asset | Payments for Selling Credit | Reference Asset | ||||||||||
on which the Fund Sold Protection | Protection (Undiscounted) | Amount Recoverable* | Rating Range** | |||||||||
Investment Grade Single Name Corporate Debt | $ | 2,715,000 | $ | — | A to BBB+ |
* | The Fund has no amounts recoverable from related purchased 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 & Poor’s 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. |
Swap Summary as of June 30, 2009 is as follows:
The following table aggregates, as of period, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||||
Barclays Bank plc | Credit Default Sell Protection | $ | 1,080 | $ | 5,498 | |||||||
Credit Suisse International | Credit Default Sell Protection | 540 | 2,749 | |||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||||
Credit Default Buy Protection | 1,095 | 23,967 | ||||||||||
Credit Default Sell Protection | 1,095 | (54,784 | ) | |||||||||
(30,817 | ) | |||||||||||
Total Swaps | $ | (22,570 | ) | |||||||||
See accompanying Notes to Financial Statements.
F9 | OPPENHEIMER BALANCED FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $223,468,427) | $ | 210,540,004 | ||
Affiliated companies (cost $51,211,612) | 51,211,612 | |||
261,751,616 | ||||
Swaps, at value | 32,214 | |||
Receivables and other assets: | ||||
Investments sold (including $3,362,506 sold on a when-issued or delayed delivery basis) | 4,069,169 | |||
Interest, dividends and principal paydowns | 744,817 | |||
Terminated investment contracts | 20,836 | |||
Futures margins | 9,204 | |||
Other | 13,128 | |||
Total assets | 266,640,984 | |||
Liabilities | ||||
Swaps, at value | 54,784 | |||
Option written, at value (premiums received $177,387) | — | |||
Payables and other liabilities: | ||||
Investments purchased (including $31,295,733 purchased on a when-issued or delayed delivery basis) | 31,412,560 | |||
Shares of beneficial interest redeemed | 272,727 | |||
Distribution and service plan fees | 43,941 | |||
Futures margins | 21,608 | |||
Transfer and shareholder servicing agent fees | 19,222 | |||
Trustees’ compensation | 8,148 | |||
Shareholder communications | 5,504 | |||
Other | 18,951 | |||
Total liabilities | 31,857,445 | |||
Net Assets | $ | 234,783,539 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 25,788 | ||
Additional paid-in capital | 341,381,668 | |||
Accumulated net investment income | 3,943,815 | |||
Accumulated net realized loss on investments and foreign currency transactions | (98,123,258 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (12,444,474 | ) | ||
Net Assets | $ | 234,783,539 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $157,773,058 and 17,274,194 shares of beneficial interest outstanding) | $ | 9.13 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $77,010,481 and 8,513,417 shares of beneficial interest outstanding) | $ | 9.05 |
See accompanying Notes to Financial Statements.
F10 | OPPENHEIMER BALANCED FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Interest (net of foreign withholding taxes of $102) | $ | 2,700,427 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $20,030) | 1,219,219 | |||
Affiliated companies | 137,168 | |||
Total investment income | 4,056,814 | |||
Expenses | ||||
Management fees | 835,020 | |||
Distribution and service plan fees—Service shares | 84,838 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 29,565 | |||
Service shares | 15,736 | |||
Shareholder communications: | ||||
Non-Service shares | 30,125 | |||
Service shares | 13,281 | |||
Trustees’ compensation | 5,968 | |||
Custodian fees and expenses | 1,951 | |||
Other | 27,551 | |||
Total expenses | 1,044,035 | |||
Less waivers and reimbursements of expenses | (273,067 | ) | ||
Net expenses | 770,968 | |||
Net Investment Income | 3,285,846 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | (29,412,709 | ) | ||
Closing and expiration of futures contracts | (447,919 | ) | ||
Foreign currency transactions | (602,684 | ) | ||
Short positions | 2,696 | |||
Swap contracts | (4,860,274 | ) | ||
Net realized loss | (35,320,890 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 49,828,061 | |||
Translation of assets and liabilities denominated in foreign currencies | (169,603 | ) | ||
Futures contracts | (622,210 | ) | ||
Option contracts written | 177,387 | |||
Swap contracts | (469,957 | ) | ||
Net change in unrealized depreciation | 48,743,678 | |||
Net Increase in Net Assets Resulting from Operations | $ | 16,708,634 | ||
See accompanying Notes to Financial Statements.
F11 | OPPENHEIMER BALANCED FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 3,285,846 | $ | 12,177,619 | ||||
Net realized loss | (35,320,890 | ) | (85,153,827 | ) | ||||
Net change in unrealized depreciation | 48,743,678 | (121,531,304 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 16,708,634 | (194,507,512 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | — | (8,878,080 | ) | |||||
Service shares | — | (2,607,795 | ) | |||||
— | (11,485,875 | ) | ||||||
Distributions from net realized gain: | ||||||||
Non-Service shares | — | (21,412,945 | ) | |||||
Service shares | — | (7,011,379 | ) | |||||
— | (28,424,324 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (22,928,595 | ) | (42,030,701 | ) | ||||
Service shares | 2,584,227 | 7,520,395 | ||||||
(20,344,368 | ) | (34,510,306 | ) | |||||
Net Assets | ||||||||
Total decrease | (3,635,734 | ) | (268,928,017 | ) | ||||
Beginning of period | 238,419,273 | 507,347,290 | ||||||
End of period (including accumulated net investment income of $3,943,815 and $657,969, respectively) | $ | 234,783,539 | $ | 238,419,273 | ||||
See accompanying Notes to Financial Statements.
F12 | OPPENHEIMER BALANCED FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 16.41 | $ | 17.69 | $ | 17.07 | $ | 17.35 | $ | 15.92 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .13 | .41 | .43 | .40 | .33 | .26 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .55 | (7.03 | ) | .19 | 1.38 | .31 | 1.33 | |||||||||||||||||
Total from investment operations | .68 | (6.62 | ) | .62 | 1.78 | .64 | 1.59 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | (.39 | ) | (.46 | ) | (.36 | ) | (.30 | ) | (.16 | ) | |||||||||||||
Distributions from net realized gain | — | (.95 | ) | (1.44 | ) | (.80 | ) | (.62 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | — | (1.34 | ) | (1.90 | ) | (1.16 | ) | (.92 | ) | (.16 | ) | |||||||||||||
Net asset value, end of period | $ | 9.13 | $ | 8.45 | $ | 16.41 | $ | 17.69 | $ | 17.07 | $ | 17.35 | ||||||||||||
Total Return, at Net Asset Value2 | 8.05 | % | (43.47 | )% | 3.79 | % | 11.15 | % | 3.89 | % | 10.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 157,773 | $ | 169,621 | $ | 385,948 | $ | 435,639 | $ | 503,753 | $ | 547,290 | ||||||||||||
Average net assets (in thousands) | $ | 156,267 | $ | 295,669 | $ | 418,103 | $ | 456,513 | $ | 522,754 | $ | 528,655 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.02 | % | 3.14 | % | 2.55 | % | 2.42 | % | 1.98 | % | 1.59 | % | ||||||||||||
Total expenses | 0.86 | %4 | 0.76 | %4 | 0.75 | %4 | 0.75 | %4 | 0.74 | % | 0.74 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.61 | % | 0.67 | % | 0.73 | % | 0.75 | % | 0.74 | % | 0.74 | % | ||||||||||||
Portfolio turnover rate5 | 43 | % | 67 | % | 68 | % | 76 | % | 67 | % | 68 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.88 | % | ||
Year Ended December 31, 2008 | 0.76 | % | ||
Year Ended December 31, 2007 | 0.75 | % | ||
Year Ended December 31, 2006 | 0.75 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2009 | $ | 223,852,742 | $ | 244,141,910 | ||||
Year Ended December 31, 2008 | $ | 474,582,075 | $ | 434,587,487 | ||||
Year Ended December 31, 2007 | $ | 296,201,319 | $ | 315,527,720 | ||||
Year Ended December 31, 2006 | $ | 612,825,833 | $ | 666,549,894 | ||||
Year Ended December 31, 2005 | $ | 1,224,652,741 | $ | 1,250,455,539 | ||||
Year Ended December 31, 2004 | $ | 1,460,076,994 | $ | 1,473,590,963 |
See accompanying Notes to Financial Statements.
F13 | OPPENHEIMER BALANCED FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.38 | $ | 16.28 | $ | 17.57 | $ | 16.97 | $ | 17.26 | $ | 15.87 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .11 | .37 | .38 | .36 | .29 | .23 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .56 | (6.97 | ) | .19 | 1.37 | .31 | 1.31 | |||||||||||||||||
Total from investment operations | .67 | (6.60 | ) | .57 | 1.73 | .60 | 1.54 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | (.35 | ) | (.42 | ) | (.33 | ) | (.27 | ) | (.15 | ) | |||||||||||||
Distributions from net realized gain | — | (.95 | ) | (1.44 | ) | (.80 | ) | (.62 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | — | (1.30 | ) | (1.86 | ) | (1.13 | ) | (.89 | ) | (.15 | ) | |||||||||||||
Net asset value, end of period | $ | 9.05 | $ | 8.38 | $ | 16.28 | $ | 17.57 | $ | 16.97 | $ | 17.26 | ||||||||||||
Total Return, at Net Asset Value2 | 8.00 | % | (43.62 | )% | 3.49 | % | 10.86 | % | 3.67 | % | 9.79 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 77,011 | $ | 68,798 | $ | 121,399 | $ | 111,363 | $ | 88,156 | $ | 59,650 | ||||||||||||
Average net assets (in thousands) | $ | 69,262 | $ | 100,164 | $ | 117,012 | $ | 100,010 | $ | 72,977 | $ | 39,851 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 2.75 | % | 2.90 | % | 2.30 | % | 2.17 | % | 1.74 | % | 1.41 | % | ||||||||||||
Total expenses | 1.11 | %4 | 1.01 | %4 | 1.00 | %4 | 1.01 | %4 | 1.00 | % | 1.02 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.86 | % | 0.92 | % | 0.98 | % | 1.01 | % | 1.00 | % | 1.02 | % | ||||||||||||
Portfolio turnover rate5 | 43 | % | 67 | % | 68 | % | 76 | % | 67 | % | 68 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 1.13 | % | ||
Year Ended December 31, 2008 | 1.01 | % | ||
Year Ended December 31, 2007 | 1.00 | % | ||
Year Ended December 31, 2006 | 1.01 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2009 | $ | 223,852,742 | $ | 244,141,910 | ||||
Year Ended December 31, 2008 | $ | 474,582,075 | $ | 434,587,487 | ||||
Year Ended December 31, 2007 | $ | 296,201,319 | $ | 315,527,720 | ||||
Year Ended December 31, 2006 | $ | 612,825,833 | $ | 666,549,894 | ||||
Year Ended December 31, 2005 | $ | 1,224,652,741 | $ | 1,250,455,539 | ||||
Year Ended December 31, 2004 | $ | 1,460,076,994 | $ | 1,473,590,963 |
See accompanying Notes to Financial Statements.
F14 | OPPENHEIMER BALANCED FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Balanced Fund/VA (the “Fund”), is a separate series of Oppenheimer Variable Account Funds, an open end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek a high total investment return, which includes current income and capital appreciation. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
F15 | OPPENHEIMER BALANCED FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
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 maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of June 30, 2009, 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:
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $ | 31,295,733 | ||
Sold securities | 3,362,506 |
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
F16 | OPPENHEIMER BALANCED FUND/VA
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. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll.
Securities Sold Short. The Fund may short sell when-issued securities for future settlement. The value of the open short position is recorded as a liability, and the Fund records an unrealized gain or loss for the change in value of the open short position. The Fund records a realized gain or loss when the short position is closed out.
As of June 30, 2009, the Fund held no securities sold short.
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 in default, and is not obligated to dispose of securities whose issuers subsequently default. As of June 30, 2009, securities with an aggregate market value of $190, representing less than 0.005% of the Fund’s net assets, were in default.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income
F17 | OPPENHEIMER BALANCED FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $15,792,384, post-October foreign currency losses of $526, straddle losses of $277,087 and unused capital loss carryforward as follows:
Expiring | ||||
2016 | $ | 44,402,106 |
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $95,792,993 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 277,475,534 | ||
Federal tax cost of other investments | 14,465,734 | |||
Total federal tax cost | $ | 291,941,268 | ||
Gross unrealized appreciation | $ | 20,232,245 | ||
Gross unrealized depreciation | (35,476,858 | ) | ||
Net unrealized depreciation | $ | (15,244,613 | ) | |
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times
F18 | OPPENHEIMER BALANCED FUND/VA
as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 347,403 | $ | 2,920,141 | 908,475 | $ | 11,841,885 | ||||||||||
Dividends and/or distributions reinvested | — | — | 2,214,256 | 30,291,025 | ||||||||||||
Redeemed | (3,144,586 | ) | (25,848,736 | ) | (6,571,367 | ) | (84,163,611 | ) | ||||||||
Net decrease | (2,797,183 | ) | $ | (22,928,595 | ) | (3,448,636 | ) | $ | (42,030,701 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 1,045,383 | $ | 8,538,373 | 1,716,888 | $ | 19,475,736 | ||||||||||
Dividends and/or distributions reinvested | — | — | 707,292 | 9,619,174 | ||||||||||||
Redeemed | (739,831 | ) | (5,954,146 | ) | (1,673,753 | ) | (21,574,515 | ) | ||||||||
Net increase | 305,552 | $ | 2,584,227 | 750,427 | $ | 7,520,395 | ||||||||||
F19 | OPPENHEIMER BALANCED FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 73,799,352 | $ | 127,803,607 | ||||
U.S. government and government agency obligations | 1,387,523 | — | ||||||
To Be Announced (TBA) mortgage-related securities | 223,852,742 | 244,141,910 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $27,799 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. The Manager has voluntarily agreed to waive a portion of the advisory fee and/or reimburse certain expenses so the “Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses” will not exceed 0.67% of average annual net assets for Non-Service shares and 0.92% of average annual net assets for Service shares. During the six months ended June 30, 2009, the Manager waived $143,643 and $65,190 for Non-Service and Service shares, respectively. This voluntary undertaking may be amended or withdrawn at any time.
Effective April 1, 2009 through March 31, 2010, the Manager has agreed to voluntarily waive its advisory fee by 0.08% of the Fund’s average annual net assets. During the six months ended June 30, 2009, the Manager waived $45,632. This voluntary waiver will be applied after all other waivers and may be withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $18,602 for IMMF management fees.
F20 | OPPENHEIMER BALANCED FUND/VA
5. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return 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. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This 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.
Market Risk Factors. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
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.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. 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.
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. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.
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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of June 30, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative
F21 | OPPENHEIMER BALANCED FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. | Risk Exposures and the Use of Derivative Instruments Continued transactions failed to perform would be $32,214, which represents the gross unrealized appreciation on these derivative contracts. To reduce this risk 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 net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $8,247 as of June 30, 2009. | |
Credit Related Contingent Features. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. | ||
As of June 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $30,817. If a contingent feature would have been triggered as of June 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. |
Valuations of derivative instruments as of June 30, 2009 are as follows:
Asset Derivatives | Liability Derivatives | |||||||||||||||
Derivatives not Accounted for as Hedging | Statement of Assets | Statement of Assets | ||||||||||||||
Instruments under Statement 133(a) | and Liabilities Location | Value | and Liabilities Location | Value | ||||||||||||
Credit contracts | Swaps, at value | $ | 32,214 | Swaps, at value | $ | 54,784 | ||||||||||
Interest rate contracts | Futures margins | 9,204 | * | Futures margins | 21,608 | * | ||||||||||
Equity contracts | Options written, at value | — | ||||||||||||||
Total | $ | 41,418 | $ | 76,392 | ||||||||||||
* | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. |
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or Loss Recognized on Derivative | ||||||||||||
Derivatives Not | ||||||||||||
Accounted for as | Closing and | |||||||||||
Hedging Instruments | expiration of | |||||||||||
under Statement 133(a) | futures contracts | Swap contracts | Total | |||||||||
Interest rate contracts | $ | (447,919 | ) | $ | 584,634 | $ | 136,715 | |||||
Credit contracts | — | (5,444,908 | ) | (5,444,908 | ) | |||||||
Total | $ | (447,919 | ) | $ | (4,860,274 | ) | $ | (5,308,193 | ) | |||
Amount of Change in Unrealized Gain or Loss Recognized on Derivative | ||||||||||||||||
Derivatives Not | ||||||||||||||||
Accounted for as | ||||||||||||||||
Hedging Instruments | Option | |||||||||||||||
under Statement 133(a) | contracts written | Futures contracts | Swap contracts | Total | ||||||||||||
Interest rate contracts | $ | — | $ | (622,210 | ) | $ | (1,133,699 | ) | $ | (1,755,909 | ) | |||||
Equity contracts | 177,387 | — | — | 177,387 | ||||||||||||
Credit contracts | — | — | 663,742 | 663,742 | ||||||||||||
Total | $ | 177,387 | $ | (622,210 | ) | $ | (469,957 | ) | $ | (914,780 | ) | |||||
F22 | OPPENHEIMER BALANCED FUND/VA
Foreign Currency Exchange Contracts
The Fund may enter into foreign currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
As of June 30, 2009, the Fund had no outstanding forward contracts.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a financial instrument 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 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.
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. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized
F23 | OPPENHEIMER BALANCED FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities.
The Fund has written put options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.
Written option activity for the six months ended June 30, 2009 was as follows:
Put Options | ||||||||
Number of | Amount of | |||||||
Contracts | Premiums | |||||||
Options outstanding as of December 31, 2008 | — | $ | — | |||||
Options written | 988 | 177,387 | ||||||
Options outstanding as of June 30, 2009 | 988 | $ | 177,387 | |||||
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, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps.
Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. 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 at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counter-party, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference 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 require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received. If there is an illiquid market for the agreement, the Fund may be unable to close the contract prior to contract termination.
F24 | OPPENHEIMER BALANCED FUND/VA
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, or a basket of securities (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying 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 reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market.
The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer. The intent of a pairs trade is to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
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 interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of June 30, 2009, the Fund had no such interest rate swap agreements outstanding.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
F25 | OPPENHEIMER BALANCED FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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 has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes.
The Fund has entered into total return swaps to 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, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of June 30, 2009, the Fund had no such total return swap agreements outstanding.
6. Illiquid Securities
As of June 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments.
7. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
8. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
F26 | OPPENHEIMER BALANCED FUND/VA
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F27 | OPPENHEIMER BALANCED FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form
N-PX filing on the SEC’s website at www.sec.gov.
N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
7 | OPPENHEIMER BALANCED FUND/VA
OPPENHEIMER BALANCED FUND/VA
A Series of Oppenheimer Variable Account Funds
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Emmanuel Ferreira, Vice President and Portfolio Manager | ||
Krishna Memani, Vice President and Portfolio Manager | ||
Peter A. Strzalkowski, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates llp | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved. |
OPPENHEIMER CAPITAL APPRECIATION FUND/VA
Fund Objective. The Fund seeks capital appreciation by investing in securities of well-known, established companies.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 17.84 | % | ||
Service Shares | 17.71 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -29.67% | -2.78% | -0.96% | |||||||||
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/01) | ||||||||||
Service Shares | -29.83% | -3.02% | -0.46% |
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Non-Service Shares | 0.76 | % | ||
Service Shares | 1.01 |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account.
The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year.
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings
Google, Inc., Cl. A | 3.6 | % | ||
QUALCOMM, Inc. | 3.6 | |||
Apple, Inc. | 3.3 | |||
Monsanto Co. | 2.6 | |||
Baxter International, Inc. | 2.1 | |||
PepsiCo, Inc. | 2.1 | |||
Nestle SA | 2.0 | |||
Express Scripts, Inc. | 2.0 | |||
Wal-Mart Stores, Inc. | 1.9 | |||
Occidental Petroleum Corp. | 1.9 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
Narrative by Marc L. Baylin, Portfolio Manager
During the six-month reporting period ended June 30, 2009, the Fund’s Non-Service shares returned 17.84%, outperforming the Russell 1000 Growth Index (the “Index”), which returned 11.53%. The Fund outperformed the Index in eight of the ten Index sectors, particularly in the financials, information technology and industrials sectors. The Fund underperformed in the consumer discretionary sector. Performance in the health care sector was essentially flat versus the benchmark.
Performance was best versus the Index in the financials sector, as the Fund benefited from better relative stock selection as well as a substantial overweight position in the sector. Within the sector, a number of securities had double-digit positive performance as financial stocks rebounded over the second half of the reporting period after being beaten down in 2008 and early 2009. For the Fund, positive contributors included The Goldman Sachs Group, Inc., IntercontinentalExchange, Inc., Credit Suisse Group AG, MSCI, Inc. and BM&F BOVESPA SA. In general, financials had a strong reporting period. As market volatility lessened, most major global financial markets stabilized and overall conditions for financial institutions showed improvement.
An overweight to the information technology sector helped relative Fund performance and the Fund outperformed the Index in terms of stock selection within the sector. Similar to the financials sector, the information technology sector rebounded partly as a result of renewed market optimism that market conditions have improved. The Fund’s second largest holding at period end, QUALCOMM, Inc. performed well during the reporting period. QUALCOMM, a leading manufacturer of the CDMA chip-technology that is used in 3G wireless communications, has weathered the economic downturn relatively well and continued to expand on its product line. Research in Motion Ltd., a Canadian-based developer of mobile communications and wireless email products including the BlackBerry smartphone, saw its stock price jump as year-over-year revenue growth and net income jumped in the 1st quarter of 2009 as did sales of BlackBerry devices. Other solid contributors to Fund performance included the Fund’s first and third largest holdings at period end, respectively, Google, Inc. and Apple, Inc. Broadcom Corp. and NVIDIA Corp. also positively contributed.
The Fund outperformed in the industrials sector due to better stock selection relative to the Index and an underweight position, as it was one of the weaker performing sectors in the Index during the reporting period. The main contributor to Fund performance was worldwide mining machinery and services company Joy Global, Inc., which had a strong reporting period. The Fund was heavily overweight Joy Global relative to the Index.
Another individual holding of note was Crown Castle International Corp. (“CCI”) within the telecommunication services sector. As market conditions improved for the company, which is the largest cell phone tower company in the U.S., its stock price rose significantly. The Fund did not hold any utilities stocks, which benefited relative performance as it was the second worst performing sector in the Index.
The Fund underperformed in the consumer discretionary sector due to weaker stock selection versus the Index. An overweight to Apollo Group, Inc. detracted from Fund performance as the stock had a difficult reporting period. Within the sector, Fund performance was also hurt by an underweight to the internet and catalog retail subsector as certain stocks in that subsector performed strongly. In terms of the health care sector, while Fund performance was roughly flat against the Index, the Fund’s overweight to the sector hurt relative Fund performance as it was one of the weaker performing sectors within the Index.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
3 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,178.40 | $ | 4.06 | ||||||
Service shares | 1,000.00 | 1,177.10 | 5.41 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.08 | 3.77 | |||||||||
Service shares | 1,000.00 | 1,019.84 | 5.02 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.75 | % | ||
Service shares | 1.00 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
4 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares | Value | |||||||
Common Stocks—98.9% | ||||||||
Consumer Discretionary—7.6% | ||||||||
Diversified Consumer Services—1.3% | ||||||||
Apollo Group, Inc., Cl. A1 | 243,410 | $ | 17,311,319 | |||||
Hotels, Restaurants & Leisure—0.7% | ||||||||
McDonald’s Corp. | 144,800 | 8,324,552 | ||||||
Media—2.2% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 676,835 | 13,137,367 | ||||||
McGraw-Hill Cos., Inc. (The) | 281,600 | 8,478,976 | ||||||
Walt Disney Co. (The) | 303,100 | 7,071,323 | ||||||
28,687,666 | ||||||||
Specialty Retail—1.1% | ||||||||
Bed Bath & Beyond, Inc.1 | 126,900 | 3,902,175 | ||||||
Staples, Inc. | 525,010 | 10,589,452 | ||||||
14,491,627 | ||||||||
Textiles, Apparel & Luxury Goods—2.3% | ||||||||
Coach, Inc. | 598,510 | 16,087,949 | ||||||
Nike, Inc., Cl. B | 124,600 | 6,451,788 | ||||||
Polo Ralph Lauren Corp., Cl. A | 124,800 | 6,681,792 | ||||||
29,221,529 | ||||||||
Consumer Staples—8.7% | ||||||||
Beverages—2.1% | ||||||||
PepsiCo, Inc. | 485,600 | 26,688,576 | ||||||
Food & Staples Retailing—1.9% | ||||||||
Wal-Mart Stores, Inc. | 502,200 | 24,326,568 | ||||||
Food Products—2.7% | ||||||||
Cadbury plc | 987,080 | 8,412,014 | ||||||
Nestle SA | 688,466 | 25,927,963 | ||||||
34,339,977 | ||||||||
Household Products—1.0% | ||||||||
Colgate-Palmolive Co. | 192,800 | 13,638,672 | ||||||
Tobacco—1.0% | ||||||||
Philip Morris International, Inc. | 287,700 | 12,549,474 | ||||||
Energy—8.9% | ||||||||
Energy Equipment & Services—3.0% | ||||||||
Cameron International Corp.1 | 309,400 | 8,756,020 | ||||||
Schlumberger Ltd. | 340,700 | 18,435,277 | ||||||
Transocean Ltd.1 | 67,300 | 4,999,717 | ||||||
Weatherford International Ltd.1 | 286,800 | 5,609,808 | ||||||
37,800,822 | ||||||||
Oil, Gas & Consumable Fuels—5.9% | ||||||||
Apache Corp. | 138,200 | 9,971,130 | ||||||
Occidental Petroleum Corp. | 365,000 | 24,020,650 | ||||||
Range Resources Corp. | 300,980 | 12,463,582 | ||||||
Southwestern Energy Co.1 | 185,100 | 7,191,135 | ||||||
XTO Energy, Inc. | 584,830 | 22,305,416 | ||||||
75,951,913 | ||||||||
Financials—9.1% | ||||||||
Capital Markets—4.3% | ||||||||
Charles Schwab Corp. (The) | 718,200 | 12,597,228 | ||||||
Credit Suisse Group AG | 331,141 | 15,116,280 | ||||||
Goldman Sachs Group, Inc. (The) | 108,800 | 16,041,472 | ||||||
Julius Baer Holding AG | 146,815 | 5,724,311 | ||||||
T. Rowe Price Group, Inc. | 131,500 | 5,479,605 | ||||||
54,958,896 | ||||||||
Commercial Banks—0.6% | ||||||||
Wells Fargo & Co. | 345,280 | 8,376,493 | ||||||
Diversified Financial Services—3.8% | ||||||||
BM&F BOVESPA SA | 1,889,000 | 11,279,051 | ||||||
IntercontinentalExchange, Inc.1 | 196,100 | 22,402,464 | ||||||
MSCI, Inc., Cl. A1 | 593,813 | 14,512,790 | ||||||
48,194,305 | ||||||||
Real Estate Management & Development—0.4% | ||||||||
Jones Lang LaSalle, Inc. | 173,830 | 5,689,456 | ||||||
Health Care—18.1% | ||||||||
Biotechnology—4.3% | ||||||||
Amgen, Inc.1 | 155,300 | 8,221,582 | ||||||
Celgene Corp.1 | 408,820 | 19,557,949 | ||||||
Gilead Sciences, Inc.1 | 449,430 | 21,051,301 | ||||||
Vertex Pharmaceuticals, Inc.1 | 190,150 | 6,776,946 | ||||||
55,607,778 | ||||||||
Health Care Equipment & Supplies—4.1% | ||||||||
Bard (C.R.), Inc. | 91,790 | 6,833,766 | ||||||
Baxter International, Inc. | 514,100 | 27,226,736 | ||||||
Dentsply International, Inc. | 385,500 | 11,765,460 | ||||||
Stryker Corp. | 170,800 | 6,787,592 | ||||||
52,613,554 | ||||||||
Health Care Providers & Services—3.5% | ||||||||
Express Scripts, Inc.1 | 367,900 | 25,293,125 | ||||||
Medco Health Solutions, Inc.1 | 203,200 | 9,267,952 | ||||||
Schein (Henry), Inc.1 | 211,490 | 10,140,946 | ||||||
44,702,023 | ||||||||
Life Sciences Tools & Services—2.4% | ||||||||
Illumina, Inc.1 | 307,100 | 11,958,474 | ||||||
Thermo Fisher Scientific, Inc.1 | 460,880 | 18,790,078 | ||||||
30,748,552 |
F1 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Pharmaceuticals—3.8% | ||||||||
Abbott Laboratories | 219,900 | $ | 10,344,096 | |||||
Allergan, Inc. | 248,230 | 11,810,783 | ||||||
Novo Nordisk AS, Cl. B | 117,100 | 6,364,625 | ||||||
Roche Holding AG | 91,942 | 12,498,121 | ||||||
Shire plc | 598,090 | 8,248,971 | ||||||
49,266,596 | ||||||||
Industrials—6.6% | ||||||||
Aerospace & Defense—3.4% | ||||||||
General Dynamics Corp. | 147,100 | 8,147,869 | ||||||
Goodrich Corp. | 95,402 | 4,767,238 | ||||||
Lockheed Martin Corp. | 290,020 | 23,390,113 | ||||||
United Technologies Corp. | 128,500 | 6,676,860 | ||||||
42,982,080 | ||||||||
Construction & Engineering—0.5% | ||||||||
Quanta Services, Inc.1 | 300,290 | 6,945,708 | ||||||
Electrical Equipment—1.5% | ||||||||
ABB Ltd. | 1,200,114 | 18,865,167 | ||||||
Machinery—0.7% | ||||||||
Joy Global, Inc. | 248,217 | 8,866,311 | ||||||
Road & Rail—0.5% | ||||||||
Burlington Northern Santa Fe Corp. | 87,700 | 6,449,458 | ||||||
Information Technology—32.4% | ||||||||
Communications Equipment—6.7% | ||||||||
F5 Networks, Inc.1 | 179,860 | 6,221,357 | ||||||
Juniper Networks, Inc.1 | 403,300 | 9,517,880 | ||||||
QUALCOMM, Inc. | 1,021,310 | 46,163,212 | ||||||
Research in Motion Ltd.1 | 332,000 | 23,588,600 | ||||||
85,491,049 | ||||||||
Computers & Peripherals—5.7% | ||||||||
Apple, Inc.1 | 297,110 | 42,317,377 | ||||||
Dell, Inc.1 | 237,500 | 3,260,875 | ||||||
Hewlett-Packard Co. | 394,500 | 15,247,425 | ||||||
NetApp, Inc.1 | 653,030 | 12,877,752 | ||||||
73,703,429 | ||||||||
Internet Software & Services—4.5% | ||||||||
eBay, Inc.1 | 609,900 | 10,447,587 | ||||||
Google, Inc., Cl. A1 | 110,900 | 46,754,331 | ||||||
57,201,918 | ||||||||
IT Services—5.2% | ||||||||
Accenture Ltd., Cl. A | 359,700 | 12,035,562 | ||||||
MasterCard, Inc., Cl. A | 136,260 | 22,797,661 | ||||||
SAIC, Inc.1 | 516,300 | 9,577,365 | ||||||
Visa, Inc., Cl. A | 369,037 | 22,976,244 | ||||||
67,386,832 | ||||||||
Semiconductors & Semiconductor Equipment—5.3% | ||||||||
Applied Materials, Inc. | 823,300 | 9,031,601 | ||||||
Broadcom Corp., Cl. A1 | 687,700 | 17,048,083 | ||||||
MEMC Electronic Materials, Inc.1 | 417,100 | 7,428,551 | ||||||
NVIDIA Corp.1 | 1,683,900 | 19,011,231 | ||||||
Texas Instruments, Inc. | 751,550 | 16,008,015 | ||||||
68,527,481 | ||||||||
�� | ||||||||
Software—5.0% | ||||||||
Adobe Systems, Inc.1 | 545,500 | 15,437,650 | ||||||
Microsoft Corp. | 779,800 | 18,535,846 | ||||||
Nintendo Co. Ltd. | 51,600 | 14,200,533 | ||||||
Oracle Corp. | 405,200 | 8,679,384 | ||||||
Salesforce.com, Inc.1 | 176,385 | 6,732,615 | ||||||
63,586,028 | ||||||||
Materials—5.3% | ||||||||
Chemicals—5.3% | ||||||||
Ecolab, Inc. | 70,991 | 2,767,939 | ||||||
Monsanto Co. | 450,600 | 33,497,604 | ||||||
Potash Corp. of Saskatchewan, Inc. | 129,000 | 12,003,450 | ||||||
Praxair, Inc. | 282,032 | 20,044,012 | ||||||
68,313,005 | ||||||||
Telecommunication Services—2.2% | ||||||||
Wireless Telecommunication Services—2.2% | ||||||||
Crown Castle International Corp.1 | 707,020 | 16,982,620 | ||||||
NII Holdings, Inc.1 | 569,870 | 10,867,421 | ||||||
27,850,041 | ||||||||
Total Common Stocks (Cost $1,152,148,810) | 1,269,658,855 | |||||||
Investment Companies—1.5% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,4 | 238,893 | 238,893 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%2,3 | 18,895,479 | 18,895,479 | ||||||
Total Investment Companies (Cost $19,134,372) | 19,134,372 | |||||||
Total Investments, at Value (Cost $1,171,283,182) | 100.4 | % | 1,288,793,227 | |||||
Liabilities in Excess of Other Assets | (0.4 | ) | (4,635,497 | ) | ||||
Net Assets | 100.0 | % | $ | 1,284,157,730 | ||||
F2 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
Footnotes to Statement of Investments
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2009. | |
3. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 22,383,442 | 107,265,600 | 110,753,563 | 18,895,479 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 18,895,479 | $ | 111,357 |
4. | Interest rate less than 0.0005%. |
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset).
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 3 | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 98,036,693 | $ | — | $ | — | $ | 98,036,693 | ||||||||
Consumer Staples | 111,543,267 | — | — | 111,543,267 | ||||||||||||
Energy | 113,752,735 | — | — | 113,752,735 | ||||||||||||
Financials | 111,494,839 | 5,724,311 | — | 117,219,150 | ||||||||||||
Health Care | 218,324,907 | 14,613,596 | — | 232,938,503 | ||||||||||||
Industrials | 84,108,724 | — | — | 84,108,724 | ||||||||||||
Information Technology | 401,696,204 | 14,200,533 | — | 415,896,737 | ||||||||||||
Materials | 68,313,005 | — | — | 68,313,005 | ||||||||||||
Telecommunication Services | 27,850,041 | — | — | 27,850,041 | ||||||||||||
Investment Companies | 19,134,372 | — | — | 19,134,372 | ||||||||||||
Total Assets | $ | 1,254,254,787 | $ | 34,538,440 | $ | — | $ | 1,288,793,227 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
See accompanying Notes to Financial Statements.
F3 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,152,387,703) | $ | 1,269,897,748 | ||
Affiliated companies (cost $18,895,479) | 18,895,479 | |||
1,288,793,227 | ||||
Receivables and other assets: | ||||
Investments sold | 8,119,595 | |||
Dividends | 2,119,735 | |||
Other | 29,053 | |||
Total assets | 1,299,061,610 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 7,285,743 | |||
Investments purchased | 7,193,003 | |||
Distribution and service plan fees | 213,803 | |||
Transfer and shareholder servicing agent fees | 106,539 | |||
Shareholder communications | 56,471 | |||
Trustees’ compensation | 19,260 | |||
Other | 29,061 | |||
Total liabilities | 14,903,880 | |||
Net Assets | $ | 1,284,157,730 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 42,716 | ||
Additional paid-in capital | 1,637,374,184 | |||
Accumulated net investment income | 755,268 | |||
Accumulated net realized loss on investments and foreign currency transactions | (471,560,904 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 117,546,466 | |||
Net Assets | $ | 1,284,157,730 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $916,816,926 and 30,437,220 shares of beneficial interest outstanding) | $ | 30.12 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $367,340,804 and 12,278,485 shares of beneficial interest outstanding) | $ | 29.92 |
See accompanying Notes to Financial Statements.
F4 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $235,305) | $ | 7,091,862 | ||
Affiliated companies | 111,357 | |||
Interest | 4,029 | |||
Total investment income | 7,207,248 | |||
Expenses | ||||
Management fees | 3,878,461 | |||
Distribution and service plan fees—Service shares | 403,870 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 154,954 | |||
Service shares | 63,065 | |||
Shareholder communications: | ||||
Non-Service shares | 138,729 | |||
Service shares | 53,674 | |||
Trustees’ compensation | 21,422 | |||
Custodian fees and expenses | 8,558 | |||
Other | 30,034 | |||
Total expenses | 4,752,767 | |||
Less waivers and reimbursements of expenses | (11,906 | ) | ||
Net expenses | 4,740,861 | |||
Net Investment Income | 2,466,387 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies | (64,294,557 | ) | ||
Foreign currency transactions | (3,572,479 | ) | ||
Net realized loss | (67,867,036 | ) | ||
Net change in unrealized appreciation on: | ||||
Investments | 252,998,647 | |||
Translation of assets and liabilities denominated in foreign currencies | 5,589,585 | |||
Net change in unrealized appreciation | 258,588,232 | |||
Net Increase in Net Assets Resulting from Operations | $ | 193,187,583 | ||
See accompanying Notes to Financial Statements.
F5 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 2,466,387 | $ | 3,204,095 | ||||
Net realized loss | (67,867,036 | ) | (264,875,837 | ) | ||||
Net change in unrealized appreciation (depreciation) | 258,588,232 | (676,764,840 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 193,187,583 | (938,436,582 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (2,975,281 | ) | (1,851,681 | ) | ||||
Service shares | (24,236 | ) | — | |||||
(2,999,517 | ) | (1,851,681 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (49,421,690 | ) | (114,814,298 | ) | ||||
Service shares | (470,859 | ) | 20,286,295 | |||||
(49,892,549 | ) | (94,528,003 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | 140,295,517 | (1,034,816,266 | ) | |||||
Beginning of period | 1,143,862,213 | 2,178,678,479 | ||||||
End of period (including accumulated net investment income of $755,268 and $1,288,398, respectively) | $ | 1,284,157,730 | $ | 1,143,862,213 | ||||
See accompanying Notes to Financial Statements.
F6 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.67 | $ | 47.18 | $ | 41.43 | $ | 38.52 | $ | 36.99 | $ | 34.70 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .07 | .10 | .07 | .07 | .18 | .35 | 2 | |||||||||||||||||
Net realized and unrealized gain (loss) | 4.47 | (21.55 | ) | 5.78 | 2.98 | 1.68 | 2.05 | |||||||||||||||||
Total from investment operations | 4.54 | (21.45 | ) | 5.85 | 3.05 | 1.86 | 2.40 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.06 | ) | (.10 | ) | (.14 | ) | (.33 | ) | (.11 | ) | ||||||||||||
Net asset value, end of period | $ | 30.12 | $ | 25.67 | $ | 47.18 | $ | 41.43 | $ | 38.52 | $ | 36.99 | ||||||||||||
Total Return, at Net Asset Value3 | 17.84 | % | (45.52 | )% | 14.15 | % | 7.95 | % | 5.10 | % | 6.93 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 916,817 | $ | 829,931 | $ | 1,631,791 | $ | 1,598,967 | $ | 1,652,282 | $ | 1,770,273 | ||||||||||||
Average net assets (in thousands) | $ | 838,358 | $ | 1,256,525 | $ | 1,631,686 | $ | 1,615,352 | $ | 1,658,910 | $ | 1,708,511 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 0.50 | % | 0.25 | % | 0.15 | % | 0.17 | % | 0.47 | % | 0.99 | %2 | ||||||||||||
Total expenses | 0.75 | %5,6 | 0.66 | %5,6,7 | 0.65 | %5,6,7 | 0.67 | %5,6,7 | 0.66 | %7 | 0.66 | %7 | ||||||||||||
Portfolio turnover rate | 28 | % | 67 | % | 59 | % | 47 | % | 70 | % | 44 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Net investment income per share and the net investment income ratio include $.16 and 0.43%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.75 | % | ||
Year Ended December 31, 2008 | 0.66 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.67 | % |
6. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
7. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F7 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 25.42 | $ | 46.78 | $ | 41.09 | $ | 38.23 | $ | 36.73 | $ | 34.53 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | .03 | — | 2 | (.05 | ) | (.03 | ) | .08 | .29 | 3 | ||||||||||||||
Net realized and unrealized gain (loss) | 4.47 | (21.36 | ) | 5.74 | 2.96 | 1.69 | 1.99 | |||||||||||||||||
Total from investment operations | 4.50 | (21.36 | ) | 5.69 | 2.93 | 1.77 | 2.28 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | 2 | — | — | 2 | (.07 | ) | (.27 | ) | (.08 | ) | |||||||||||||
Net asset value, end of period | $ | 29.92 | $ | 25.42 | $ | 46.78 | $ | 41.09 | $ | 38.23 | $ | 36.73 | ||||||||||||
Total Return, at Net Asset Value4 | 17.71 | % | (45.66 | )% | 13.86 | % | 7.68 | % | 4.87 | % | 6.62 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 367,341 | $ | 313,931 | $ | 546,887 | $ | 463,140 | $ | 381,852 | $ | 248,649 | ||||||||||||
Average net assets (in thousands) | $ | 326,073 | $ | 454,558 | $ | 510,874 | $ | 426,539 | $ | 301,780 | $ | 184,273 | ||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||||||
Net investment income (loss) | 0.25 | % | 0.00 | %6 | (0.10 | )% | (0.08 | )% | 0.20 | % | 0.85 | %3 | ||||||||||||
Total expenses | 1.00 | %7,8 | 0.91 | %7,8,9 | 0.91 | %7,8,9 | 0.92 | %7,8,9 | 0.91 | %9 | 0.91 | %9 | ||||||||||||
Portfolio turnover rate | 28 | % | 67 | % | 59 | % | 47 | % | 70 | % | 44 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Net investment income per share and the net investment income ratio include $.16 and 0.43%, respectively, resulting from a special dividend from Microsoft Corp. in November 2004. | |
4. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
5. | Annualized for periods less than one full year. | |
6. | Less than 0.005%. | |
7. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 1.00 | % | ||
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.91 | % | ||
Year Ended December 31, 2006 | 0.92 | % |
8. | Voluntary waiver or reimbursement of indirect management fees less than 0.005%. | |
9. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F8 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Capital Appreciation Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation by investing in securities of well-known, established companies. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
F9 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise
F10 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $138,475,074, post-October foreign currency losses of $63,277 and unused capital loss carryforwards as follows:
Expiring | ||||
2011 | $ | 96,270,872 | ||
2013 | 34,677,838 | |||
2016 | 112,971,841 | |||
Total | $ | 243,920,551 | ||
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $450,325,938 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 1,198,469,831 | ||
Gross unrealized appreciation | $ | 169,226,928 | ||
Gross unrealized depreciation | (78,903,532 | ) | ||
Net unrealized appreciation | $ | 90,323,396 | ||
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
F11 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,507,447 | $ | 40,078,631 | 5,158,989 | $ | 168,163,089 | ||||||||||
Dividends and/or distributions reinvested | 134,506 | 2,975,281 | 45,642 | 1,851,681 | ||||||||||||
Redeemed | (3,535,272 | ) | (92,475,602 | ) | (7,457,105 | ) | (284,829,068 | ) | ||||||||
Net decrease | (1,893,319 | ) | $ | (49,421,690 | ) | (2,252,474 | ) | $ | (114,814,298 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 1,348,813 | $ | 36,574,478 | 2,605,573 | $ | 92,870,576 | ||||||||||
Dividends and/or distributions reinvested | 1,099 | 24,157 | — | — | ||||||||||||
Redeemed | (1,420,334 | ) | (37,069,494 | ) | (1,946,810 | ) | (72,584,281 | ) | ||||||||
Net increase (decrease) | (70,422 | ) | $ | (470,859 | ) | 658,763 | $ | 20,286,295 | ||||||||
F12 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 319,402,407 | $ | 336,253,456 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $113,200 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 0.80% for Non-Service shares and 1.05% for Service shares. This voluntary undertaking may be amended or withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $11,906 for IMMF management fees.
5. Foreign Currency Exchange Contracts
The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange
F13 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Foreign Currency Exchange Contracts Continued
as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
As of June 30, 2009, the Fund had no outstanding forward contracts.
6. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
7. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F14 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
5 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
OPPENHEIMER CAPITAL APPRECIATION FUND/ VA
A Series of Oppenheimer Variable Account Funds
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Marc L. Baylin, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered Public Accounting Firm | KPMG LLP | |
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved.
June 30, 2009 Oppenheimer Core Bond Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds S E M I A N N UA L R E P O RT Investment Strategy Discussion Listing of Top Holdings Listing of Investments Financial Statements |
OPPENHEIMER CORE BOND FUND/VA
Fund Objective. The Fund’s main objective is to seek a high level of current income. As a secondary objective, the Fund seeks capital appreciation when consistent with its primary objective.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
Non-Service Shares | –1.71 | % | ||
Service Shares | –2.03 |
Average Annual Total Returns
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||
Non-Service Shares | –39.27% | –6.67% | –0.50% |
Since | ||||||
Inception | ||||||
1-Year | 5-Year | (5/1/02) | ||||
Service Shares | –39.44% | –6.92% | –2.93% |
Expense Ratios
For the Fiscal Year Ended 12/31/08
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.73 | % | 0.55 | % | ||||
Service Shares | 0.97 | 0.79 |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year. The net expense ratios take into account a voluntary fee waiver or expense reimbursement, without which performance would have been less. This undertaking may be modified or terminated at any time.
Credit Allocation
Agency | 50.0 | % | ||
AAA | 14.3 | |||
AA | 1.4 | |||
A | 8.3 | |||
BBB | 11.3 | |||
BB | 0.6 | |||
B | 0.6 | |||
Not Rated | 0.3 | |||
Other Securities | 13.2 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of investments. Securities rated by any rating organization are included in the equivalent Standard & Poor’s rating category. Average credit quality and allocation include rated securities and those not rated by a national rating organization but which the ratings given above have been assigned by the Manager for internal purposes as being comparable, in the Manager’s judgment, to securities rated by a rating agency in the same category.
Corporate Bonds & Notes—Top Ten Industries
Oil, Gas & Consumable Fuels | 3.3 | % | ||
Diversified Financial Services | 2.6 | |||
Diversified Telecommunication Services | 2.4 | |||
Media | 1.7 | |||
Capital Markets | 1.7 | |||
Food Products | 1.2 | |||
Commercial Banks | 1.1 | |||
Automobiles | 1.0 | |||
Electric Utilities | 1.0 | |||
Industrial Conglomerates | 1.0 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER CORE BOND FUND/VA
Fund Performance Discussion
The Fund’s Non-Service shares returned –1.71% for the six-month period ended June 30, 2009. The Fund’s benchmarks, the Barclays Capital Credit Index, the Barclays Capital Aggregate Bond Index and the Citigroup Broad Investment Grade Bond Index, returned 6.87%, 1.90% and 1.44%, respectively, over the same time frame.
In the first half of the reporting period, with the credit markets still frozen and suffering from the aftershocks of the financial disarray that occurred in the second half of 2008, the Fund’s performance during that time declined and underperformed its benchmarks. An easing of credit conditions in the bond space over the reporting period helped the Fund outpace the Barclays Capital Aggregate Bond Index and the Citigroup Broad Investment Grade Bond Index over the second half of the period.
During the first half of the reporting period, the Fund’s investments in the high yield, investment grade and commercial mortgage-backed securities (CMBS) sectors detracted from Fund performance, while investments in the mortgage-backed securities (MBS) sector added to Fund performance. In the second half of the reporting period, the investment grade sector rebounded strongly and, along with the MBS and CMBS sectors, added to Fund performance.
Effective April 2009, Krishna Memani and Peter Strzalkowski, with the support of the Investment Grade Fixed Income team, are the new portfolio managers of the Fund. Since taking over the Fund, they have transitioned the portfolio to a position they feel is suitable for the market conditions existing as of the period’s end. The team believes that a core bond allocation should act as a “ballast” in a portfolio, providing competitive returns, while holding its value in a down market.
At period end, the portfolio has been positioned to diversify its sources of risk and return. The Fund’s investments in the commercial mortgage-backed securities (CMBS), non-agency mortgage-backed securities (MBS) and investment grade financials sectors have been reduced, while its investments in investment grade non-financials have increased. The Fund’s largest allocation within the MBS sector at period end was comprised mostly of agency mortgages.
Although it appears that the worst of the financial crisis may be behind us, the team believes volatility is likely to be with us for some time due to lower economic growth. As such, the portfolio managers plan to manage risk very tightly in the coming months.
Fixed income investing entails credit risks and interest rate risks. When interest rates rise, bond prices generally fall, and the Fund’s share prices can fall. The Fund invests in debt securities below investment grade, which may entail greater credit risks, as described in the prospectus. Mortgage-related securities have greater potential for loss when interest rates rise. Please note that derivative instruments, securities whose values depend on the performance of an underlying security or asset, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
3 | OPPENHEIMER CORE BOND FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 982.90 | $ | 3.05 | ||||||
Service shares | 1,000.00 | 979.70 | 4.33 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.72 | 3.11 | |||||||||
Service shares | 1,000.00 | 1,020.43 | 4.42 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||||||
Non-Service shares | 0.62 | % | ||||||
Service shares | 0.88 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
4 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—5.7% | ||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.794%, 5/25/341 | $ | 1,538,283 | $ | 886,560 | ||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.414%, 9/25/361 | 30,000 | 20,501 | ||||||
Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 0.414%, 5/26/361 | 12,585 | 11,592 | ||||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 | 730,000 | 755,389 | ||||||
Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.414%, 5/16/361 | 11,631 | 11,218 | ||||||
Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 | 1,730,000 | 1,791,522 | ||||||
Citibank Credit Card Issuance Trust Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 310,000 | 266,238 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.054%, 2/25/331 | 35,747 | 15,333 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/361 | 680,528 | 524,936 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/361 | 389,489 | 284,108 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.434%, 6/25/471 | 40,000 | 19,189 | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.404%, 7/25/361 | 47,229 | 43,023 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.424%, 7/7/361 | 27,723 | 18,965 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 545,000 | 545,453 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.575%, 1/20/351 | 553,976 | 368,710 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.425%, 3/20/361 | 25,000 | 21,719 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/351 | 912 | 906 | ||||||
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 | 183,403 | 172,901 | ||||||
Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/312 | 1,050,363 | 1,040,532 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.414%, 8/25/361 | 70,000 | 22,327 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2005-A6, Cl. A6, 4.50%, 1/15/13 | 1,740,000 | 1,789,243 | ||||||
NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.199%, 1/25/291,2 | 3,370,016 | 572,903 | ||||||
Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.414%, 7/1/361 | 882,138 | 577,049 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/361 | 598,711 | 510,329 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.414%, 9/25/361 | 35,424 | 30,761 | ||||||
Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.354%, 9/25/361 | 205,867 | 197,870 | ||||||
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.414%, 7/25/361 | 22,733 | 22,219 | ||||||
Total Asset-Backed Securities (Cost $14,941,129) | 10,521,496 | |||||||
Mortgage-Backed Obligations—78.8% | ||||||||
Government Agency—65.5% | ||||||||
FHLMC/FNMA/Sponsored—61.2% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 8/15/33-12/15/34 | 3,643,913 | 3,726,897 | ||||||
6%, 5/15/18-10/15/29 | 5,386,038 | 5,692,707 | ||||||
6.50%, 4/15/18-4/1/34 | 1,091,326 | 1,166,596 | ||||||
7%, 8/15/16-10/1/37 | 968,164 | 1,041,332 | ||||||
7%, 10/1/313 | 614,260 | 665,843 | ||||||
8%, 4/1/16 | 382,371 | 409,823 |
F1 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp.: Continued | ||||||||
9%, 8/1/22-5/1/25 | $ | 108,368 | $ | 119,801 | ||||
10.50%, 11/14/20 | 4,765 | 5,398 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates: | ||||||||
Series 3279, Cl. PH, 6%, 2/1/27 | 1,030,000 | 1,072,289 | ||||||
Series 3306, Cl. PA, 5.50%, 10/1/27 | 903,738 | 935,122 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 603,850 | 620,056 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates, Interest-Only Mtg.-Backed Security, Series 3399, Cl. SC, 12.252%, 12/15/374 | 1,866,967 | 162,182 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 3045, Cl. DI, 44.194%, 10/15/354 | 1,931,997 | 161,956 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 151, Cl. F, 9%, 5/15/21 | 23,871 | 25,838 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 79,463 | 85,539 | ||||||
Series 2006-11, Cl. PS, 23.416%, 3/25/361 | 572,642 | 687,595 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 10,423 | 11,216 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 | 28,988 | 30,628 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 901,998 | 961,225 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 | 86,496 | 92,465 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 12,558 | 13,445 | ||||||
Series 2066, Cl. Z, 6.50%, 6/15/28 | 1,587,563 | 1,687,670 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 978,082 | 1,039,775 | ||||||
Series 2220, Cl. PD, 8%, 3/15/30 | 4,368 | 4,785 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 311,784 | 333,105 | ||||||
Series 2435, Cl. EQ, 6%, 5/15/31 | 22,224 | 22,742 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,458,369 | 1,560,745 | ||||||
Series 2470, Cl. LF, 1.319%, 2/15/321 | 14,385 | 14,519 | ||||||
Series 2500, Cl. FD, 0.819%, 3/15/321 | 252,186 | 248,912 | ||||||
Series 2526, Cl. FE, 0.719%, 6/15/291 | 395,610 | 387,753 | ||||||
Series 2538, Cl. F, 0.919%, 12/15/321 | 2,173,889 | 2,161,558 | ||||||
Series 2551, Cl. FD, 0.719%, 1/15/331 | 290,784 | 287,637 | ||||||
Series 2641, Cl. CE, 3.50%, 9/15/25 | 8,114 | 8,160 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 | 130,000 | 135,432 | ||||||
Series 2890, Cl. PE, 5%, 11/1/34 | 130,000 | 135,549 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 69,000 | 71,781 | ||||||
Series 2939, Cl. PE, 5%, 2/15/35 | 247,000 | 257,418 | ||||||
Series 3025, Cl. SJ, 23.579%, 8/15/351 | 119,690 | 143,772 | ||||||
Series 3035, Cl. DM, 5.50%, 11/15/25 | 34,789 | 35,402 | ||||||
Series 3094, Cl. HS, 23.212%, 6/15/341 | 336,590 | 395,241 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. IO, 12.978%, 6/1/264 | 430,280 | 84,638 | ||||||
Series 183, Cl. IO, 10.404%, 4/1/274 | 660,638 | 119,828 | ||||||
Series 184, Cl. IO, 17.374%, 12/1/264 | 728,656 | 141,700 | ||||||
Series 192, Cl. IO, 10.935%, 2/1/284 | 176,331 | 36,891 | ||||||
Series 200, Cl. IO, 10.312%, 1/1/294 | 216,044 | 37,956 | ||||||
Series 202, Cl. IO, (1.583)%, 4/1/294 | 1,452,634 | 233,409 | ||||||
Series 205, Cl. IO, 8.953%, 9/1/294 | 33,609 | 7,135 | ||||||
Series 206, Cl. IO, (6.616)%, 12/1/294 | 407,957 | 76,281 | ||||||
Series 2074, Cl. S, 47.868%, 7/17/284 | 6,628 | 905 | ||||||
Series 2079, Cl. S, 59.96%, 7/17/284 | 11,169 | 1,522 | ||||||
Series 2130, Cl. SC, 49.149%, 3/15/294 | 460,661 | 55,686 | ||||||
Series 224, Cl. IO, 1.656%, 3/1/334 | 859,666 | 144,946 | ||||||
Series 243, Cl. 6, 1.711%, 12/15/324 | 523,735 | 78,478 | ||||||
Series 2526, Cl. SE, 43.684%, 6/15/294 | 17,866 | 2,133 | ||||||
Series 2527, Cl. SG, 55.703%, 2/15/324 | 1,827,328 | 114,215 | ||||||
Series 2531, Cl. ST, 55.753%, 2/15/304 | 566,201 | 39,162 | ||||||
Series 2796, Cl. SD, 65.624%, 7/15/264 | 739,307 | 85,763 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/334 | 718,230 | 55,936 | ||||||
Series 2819, Cl. S, 53.49%, 6/15/344 | 150,230 | 14,243 | ||||||
Series 2920, Cl. S, 77.123%, 1/15/354 | 2,818,477 | 282,637 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/254 | 3,197,401 | 271,377 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/354 | 165,584 | 13,470 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/264 | 461,917 | 38,696 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Series 176, Cl. PO, 4.652%, 6/1/265 | 175,303 | 147,074 | ||||||
Series 192, Cl. PO, 8.951%, 2/1/285 | 176,331 | 149,677 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 7/1/24-7/1/396 | 6,330,000 | 6,379,146 | ||||||
5%, 2/25/22-7/25/22 | 40,225 | 41,712 | ||||||
5%, 7/1/24-7/1/396 | 8,889,000 | 9,062,448 | ||||||
5.296%, 10/1/36 | 438,734 | 457,177 | ||||||
5.50%, 7/1/24-7/1/396 | 19,990,000 | 20,685,802 | ||||||
6%, 10/1/37 | 1,622,015 | 1,697,825 | ||||||
6%, 7/1/23-7/1/396 | 7,464,000 | 7,859,836 | ||||||
6.50%, 3/25/11-1/1/34 | 1,997,386 | 2,119,680 | ||||||
6.50%, 8/25/173 | 325,775 | 345,335 | ||||||
6.50%, 7/1/376 | 9,566,000 | 10,189,282 | ||||||
7%, 11/1/17-7/25/35 | 1,194,554 | 1,273,824 | ||||||
7.50%, 1/1/33 | 18,213 | 19,878 | ||||||
8.50%, 7/1/32 | 47,191 | 51,387 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Trust 1989-17, Cl. E, 10.40%, 4/25/19 | 29,997 | 32,617 | ||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 | 986,475 | 1,060,976 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | 844,647 | 899,933 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 443,638 | 474,344 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 672,443 | 709,562 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 48,030 | 51,365 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 49,158 | 52,529 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 | 1,328,289 | 1,418,417 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 23,306 | 24,944 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 3,964,000 | 4,041,790 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,975,000 | 2,093,349 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 1,160,000 | 1,180,811 |
F2 | OPPENHEIMER CORE BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Continued | ||||||||
Trust 2005-117, Cl. LA, 5.50%, 12/25/27 | $ | 96,075 | $ | 98,553 | ||||
Trust 2005-57, Cl. PA, 5.50%, 5/1/27 | 983,875 | 1,004,343 | ||||||
Trust 2006-110, Cl. PW, 5.50%, 5/25/28 | 138,434 | 143,140 | ||||||
Trust 2006-46, Cl. SW, 23.049%, 6/25/361 | 433,125 | 517,619 | ||||||
Trust 2006-50, Cl. KS, 23.05%, 6/25/361 | 917,741 | 1,030,281 | ||||||
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 | 1,365,403 | 1,407,839 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2005-14, Cl. SE, 42.618%, 3/25/354 | 562,554 | 50,083 | ||||||
Trust 2006-60, Cl. DI, 42.267%, 4/25/354 | 416,774 | 36,199 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 55.49%, 11/18/314 | 53,801 | 5,760 | ||||||
Trust 2001-63, Cl. SD, 43.456%, 12/18/314 | 16,425 | 1,844 | ||||||
Trust 2001-65, Cl. S, 52.087%, 11/25/314 | 1,349,854 | 146,069 | ||||||
Trust 2001-68, Cl. SC, 34.096%, 11/25/314 | 11,200 | 1,233 | ||||||
Trust 2001-81, Cl. S, 37.084%, 1/25/324 | 342,905 | 38,825 | ||||||
Trust 2002-28, Cl. SA, 40.872%, 4/25/324 | 8,960 | 1,208 | ||||||
Trust 2002-38, Cl. SO, 58.622%, 4/25/324 | 20,307 | 1,989 | ||||||
Trust 2002-39, Cl. SD, 42.792%, 3/18/324 | 13,428 | 1,438 | ||||||
Trust 2002-47, Cl. NS, 35.792%, 4/25/324 | 891,639 | 96,459 | ||||||
Trust 2002-48, Cl. S, 37.70%, 7/25/324 | 14,977 | 1,632 | ||||||
Trust 2002-51, Cl. S, 36.115%, 8/25/324 | 818,528 | 87,338 | ||||||
Trust 2002-52, Cl. SD, 39.252%, 9/25/324 | 945,077 | 99,578 | ||||||
Trust 2002-52, Cl. SL, 38.523%, 9/25/324 | 9,261 | 1,015 | ||||||
Trust 2002-53, Cl. SK, 40.205%, 4/25/324 | 46,786 | 5,003 | ||||||
Trust 2002-56, Cl. SN, 40.571%, 7/25/324 | 20,420 | 2,256 | ||||||
Trust 2002-60, Cl. SM, 55.601%, 8/25/324 | 189,196 | 16,852 | ||||||
Trust 2002-7, Cl. SK, 55.314%, 1/25/324 | 87,862 | 10,065 | ||||||
Trust 2002-77, Cl. BS, 45.141%, 12/18/324 | 112,213 | 11,637 | ||||||
Trust 2002-77, Cl. IS, 50.974%, 12/18/324 | 34,597 | 3,728 | ||||||
Trust 2002-77, Cl. JS, 43.621%, 12/18/324 | 189,609 | 20,690 | ||||||
Trust 2002-77, Cl. SA, 45.93%, 12/18/324 | 180,922 | 18,827 | ||||||
Trust 2002-77, Cl. SH, 45.245%, 12/18/324 | 438,964 | 52,980 | ||||||
Trust 2002-84, Cl. SA, 54.817%, 12/25/324 | 1,221,095 | 125,183 | ||||||
Trust 2002-9, Cl. MS, 36.818%, 3/25/324 | 17,196 | 1,918 | ||||||
Trust 2002-90, Cl. SN, 58.034%, 8/25/324 | 97,332 | 8,673 | ||||||
Trust 2002-90, Cl. SY, 59.287%, 9/25/324 | 61,114 | 5,310 | ||||||
Trust 2003-26, Cl. DI, 10.585%, 4/25/334 | 35,800 | 4,441 | ||||||
Trust 2003-33, Cl. SP, 62.33%, 5/25/334 | 1,312,274 | 140,524 | ||||||
Trust 2003-4, Cl. S, 50.438%, 2/25/334 | 853,525 | 90,157 | ||||||
Trust 2003-89, Cl. XS, 66.926%, 11/25/324 | 999,556 | 64,976 | ||||||
Trust 2004-54, Cl. DS, 51.606%, 11/25/304 | 684,018 | 85,896 | ||||||
Trust 2005-40, Cl. SA, 76.277%, 5/25/354 | 1,609,382 | 154,182 | ||||||
Trust 2005-40, Cl. SB, 90.122%, 5/25/354 | 72,277 | 8,984 | ||||||
Trust 2005-6, Cl. SE, 88.998%, 2/25/354 | 2,076,287 | 194,101 | ||||||
Trust 2005-71, Cl. SA, 74.914%, 8/25/254 | 2,044,428 | 194,885 | ||||||
Trust 2005-87, Cl. SE, 80.932%, 10/25/354 | 6,381,791 | 571,293 | ||||||
Trust 2005-87, Cl. SG, 99.999%, 10/25/354 | 4,000,110 | 419,722 | ||||||
Trust 221, Cl. 2, 19.434%, 5/1/234 | 11,556 | 2,141 | ||||||
Trust 222, Cl. 2, 16.841%, 6/1/234 | 1,410,407 | 194,983 | ||||||
Trust 240, Cl. 2, 20.422%, 9/1/234 | 1,749,738 | 240,152 | ||||||
Trust 252, Cl. 2, 19.613%, 11/1/234 | 1,141,161 | 215,672 | ||||||
Trust 273, Cl. 2, 14.757%, 8/1/264 | 325,691 | 63,894 | ||||||
Trust 294, Cl. 2, 8.333%, 2/1/284 | 127,831 | 18,088 | ||||||
Trust 301, Cl. 2, 0.719%, 4/1/294 | 15,591 | 2,766 | ||||||
Trust 303, Cl. IO, (2.865)%, 11/1/294 | 190,575 | 35,816 | ||||||
Trust 319, Cl. 2, 6.021%, 2/1/324 | 311,656 | 54,932 | ||||||
Trust 321, Cl. 2, 1.106%, 4/1/324 | 3,383,134 | 606,520 | ||||||
Trust 324, Cl. 2, 0.028%, 7/1/324 | 58,090 | 9,755 | ||||||
Trust 331, Cl. 5, 2.085%, 2/1/334 | 47,274 | 6,485 | ||||||
Trust 331, Cl. 9, 15.376%, 2/1/334 | 797,452 | 121,338 |
F3 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 334, Cl. 12, (7.843)%, 2/1/334 | $ | 82,047 | $ | 11,058 | ||||
Trust 334, Cl. 17, 22.317%, 2/1/334 | 545,620 | 65,641 | ||||||
Trust 334, Cl. 3, (15.137)%, 7/1/334 | 385,213 | 47,157 | ||||||
Trust 334, Cl. 5, (15.087)%, 5/1/334 | 54,986 | 6,656 | ||||||
Trust 338, Cl. 2, (4.661)%, 7/1/334 | 1,632,272 | 258,964 | ||||||
Trust 339, Cl. 12, 3.909%, 7/1/334 | 1,096,999 | 157,296 | ||||||
Trust 339, Cl. 7, (7.218)%, 7/1/334 | 2,785,724 | 311,939 | ||||||
Trust 339, Cl. 8, (7.298)%, 8/1/334 | 218,877 | 27,118 | ||||||
Trust 343, Cl. 13, 6.355%, 9/1/334 | 898,951 | 142,097 | ||||||
Trust 343, Cl. 18, 3.918%, 5/1/344 | 273,699 | 51,911 | ||||||
Trust 345, Cl. 9, 2.401%, 1/1/344 | 1,234,793 | 216,372 | ||||||
Trust 351, Cl. 10, 3.464%, 4/1/344 | 384,173 | 49,445 | ||||||
Trust 351, Cl. 11, (0.318)%, 11/1/344 | 195,845 | 25,298 | ||||||
Trust 351, Cl. 8, 2.745%, 4/1/344 | 596,303 | 81,015 | ||||||
Trust 355, Cl. 6, 4.166%, 12/1/334 | 224,737 | 29,796 | ||||||
Trust 355, Cl. 7, 1.119%, 11/1/334 | 166,546 | 22,869 | ||||||
Trust 356, Cl. 10, (2.058)%, 6/1/354 | 515,350 | 63,285 | ||||||
Trust 356, Cl. 12, (3.812)%, 2/1/354 | 264,000 | 31,828 | ||||||
Trust 362, Cl. 12, 1.298%, 8/1/354 | 1,568,322 | 241,074 | ||||||
Trust 362, Cl. 13, (0.567)%, 8/1/354 | 865,934 | 121,352 | ||||||
Trust 364, Cl. 15, (0.136)%, 9/1/354 | 59,012 | 7,918 | ||||||
Trust 364, Cl. 16, 0.008%, 9/1/354 | 1,115,077 | 171,341 | ||||||
Trust 365, Cl. 16, 15.722%, 3/1/364 | 1,819,558 | 263,585 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 1993-184, Cl. M, 5.894%, 9/25/235 | 425,000 | 384,265 | ||||||
Trust 324, Cl. 1, 7.759%, 7/1/325 | 14,506 | 13,086 | ||||||
112,437,272 | ||||||||
GNMA/Guaranteed—4.3% | ||||||||
Government National Mortgage Assn.: | ||||||||
4.50%, 7/1/246 | 6,430,000 | 6,419,956 | ||||||
7%, 12/29/23-3/15/26 | 39,844 | 43,365 | ||||||
8.50%, 8/1/17-12/15/17 | 177,669 | 192,449 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 44.934%, 7/16/284 | 22,443 | 3,067 | ||||||
Series 2001-21, Cl. SB, 77.772%, 1/16/274 | 835,579 | 98,201 | ||||||
Series 2002-15, Cl. SM, 69.603%, 2/16/324 | 900,875 | 117,453 | ||||||
Series 2004-11, Cl. SM, 52.623%, 1/17/304 | 617,678 | 76,112 | ||||||
Series 2006-47, Cl. SA, 82.744%, 8/16/364 | 8,028,796 | 828,466 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 106,249 | 117,576 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 | 47,496 | 51,057 | ||||||
7,947,702 | ||||||||
Non-Agency—13.3% | ||||||||
Commercial—9.8% | ||||||||
Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.997%, 4/14/294 | 9,589,382 | 322,132 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 | 4,070,000 | 2,109,110 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, (6.526)%, 6/22/244 | 8,392,195 | 225,881 | ||||||
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 0.414%, 9/25/361 | 2,893 | 2,813 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 80,000 | 62,223 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.299%, 12/1/491 | 1,920,000 | 1,035,981 | ||||||
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 380,000 | 348,200 | ||||||
CWALT Alternative Loan Trust 2007-8CB, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 | 128,153 | 88,840 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 39,288 | 27,021 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 692,712 | 565,692 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 706,847 | 509,093 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.124%, 11/1/371 | 587,462 | 370,961 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | 33,077 | 33,005 |
F4 | OPPENHEIMER CORE BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 | $ | 605,000 | $ | 651,489 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2005-LDP4, Cl. AM, 4.999%,10/1/42 | 1,110,000 | 707,285 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 3,950,000 | 3,576,852 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 | 1,080,000 | 960,235 | ||||||
Series 2007-LD11, Cl. A2, 5.992%, 6/15/491 | 110,000 | 101,576 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-C1, Cl. A2, 5.084%, 2/11/31 | 2,320,000 | 2,250,511 | ||||||
Series 2006-C1, Cl. AM, 5.217%, 2/11/311 | 2,300,000 | 1,450,677 | ||||||
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, (1.976)%, 2/18/304 | 4,542,258 | 112,899 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24 | 218,480 | 161,450 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 1,321,081 | 1,012,250 | ||||||
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 | 241 | 241 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, (0.457)%, 5/18/324 | 60,015,566 | 252,023 | ||||||
Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 | 2,064,534 | 830,289 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48 | 370,000 | 343,660 | ||||||
18,112,389 | ||||||||
Manufactured Housing—1.2% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.071%, 3/25/361 | 3,294,728 | 2,152,207 | ||||||
Multifamily—0.9% | ||||||||
Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.981%, 12/25/341 | 711,694 | 634,561 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.581%, 9/25/341 | 599,556 | 521,708 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.092%, 3/25/361 | 766,449 | 521,129 | ||||||
1,677,398 | ||||||||
Other—0.0% | ||||||||
JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.732%, 2/25/321 | 59,218 | 46,528 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 55.858%, 10/23/174 | 2,898 | 329 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series1987-3, Cl. A, 4.164%, 10/23/175 | 4,289 | 4,211 | ||||||
51,068 | ||||||||
Residential—1.4% | ||||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 40,000 | 31,076 | ||||||
JP Morgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 5A3, 5.122%, 11/1/331 | 1,218,731 | 1,035,094 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 | 547,666 | 404,246 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 6.077%, 10/25/361 | 87,158 | 69,268 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 485,237 | 461,605 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 91,637 | 63,707 |
F5 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
RALI Series 2006-QS13 Trust: Continued | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | $ | 20,349 | $ | 18,886 | ||||
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 | 55,738 | 54,281 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 34,701 | 15,127 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 5.394%, 2/1/371 | 78,639 | 46,682 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.36%, 9/1/341 | 392,719 | 323,436 | ||||||
2,523,408 | ||||||||
Total Mortgage-Backed Obligations (Cost $151,290,719) | 144,901,444 | |||||||
U.S. Government Obligations—2.1% | ||||||||
Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 | 2,020,000 | 1,991,152 | ||||||
Federal National Mortgage Assn. Nts., 2.50%, 5/15/14 | 1,630,000 | 1,604,973 | ||||||
Resolution Funding Corp. Bonds, Residual Funding STRIPS, 4.994%, 1/15/217 | 272,000 | 157,694 | ||||||
Total U.S. Government Obligations (Cost $3,797,397) | 3,753,819 | |||||||
Corporate Bonds and Notes—27.0% | ||||||||
Consumer Discretionary—3.8% | ||||||||
Automobiles—1.0% | ||||||||
Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 | 455,000 | 463,133 | ||||||
Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 | 1,525,000 | 1,461,186 | ||||||
1,924,319 | ||||||||
Household Durables—0.5% | ||||||||
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/092 | 910,000 | 911,138 | ||||||
Media—1.7% | ||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 290,000 | 339,730 | ||||||
Comcast Cable Communications, Inc., 8.875% Unsub. Nts., 5/1/17 | 525,000 | 618,107 | ||||||
News America, Inc., 6.65% Sr. Unsec. Unsub. Nts., 11/15/37 | 425,000 | 382,979 | ||||||
Time Warner Cable, Inc., 7.30% Sr. Nts., 7/1/38 | 170,000 | 177,464 | ||||||
Time Warner Cos., Inc., 9.125% Debs., 1/15/13 | 655,000 | 721,877 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 255,000 | 285,961 | ||||||
Viacom, Inc.: | ||||||||
6.25% Sr. Unsec. Nts., 4/30/16 | 190,000 | 187,416 | ||||||
6.875% Sr. Unsec. Nts., 4/30/36 | 400,000 | 369,252 | ||||||
3,082,786 | ||||||||
Multiline Retail—0.2% | ||||||||
Target Corp., 7% Bonds, 1/15/38 | 365,000 | 389,779 | ||||||
Specialty Retail—0.4% | ||||||||
Home Depot, Inc. (The), 5.40% Sr. Nts., 3/1/16 | 320,000 | 319,931 | ||||||
Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 | 355,000 | 375,596 | ||||||
695,527 | ||||||||
Consumer Staples—2.5% | ||||||||
Beverages—0.5% | ||||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||
8% Sr. Nts., 11/15/398 | 170,000 | 185,648 | ||||||
8.20% Sr. Unsec. Unsub. Nts., 1/15/398 | 645,000 | 719,599 | ||||||
905,247 | ||||||||
Food & Staples Retailing—0.3% | ||||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 250,000 | 303,966 | ||||||
Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 | 300,000 | 317,864 | ||||||
621,830 | ||||||||
Food Products—1.2% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 506,000 | 493,049 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 380,000 | 398,016 | ||||||
ConAgra Foods, Inc., 7% Nts., 4/15/19 | 420,000 | 461,263 | ||||||
Kraft Foods, Inc., 6.875% Sr. Unsec. Unsub. Nts., 2/1/38 | 355,000 | 376,241 | ||||||
Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 | 420,000 | 444,187 | ||||||
2,172,756 |
F6 | OPPENHEIMER CORE BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Tobacco—0.5% | ||||||||
Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 | $ | 730,000 | $ | 838,232 | ||||
Energy—3.6% | ||||||||
Energy Equipment & Services—0.3% | ||||||||
Pride International, Inc., 8.50% Sr. Nts., 6/15/19 | 515,000 | 511,138 | ||||||
Oil, Gas & Consumable Fuels—3.3% | ||||||||
ConocoPhillips, 6.50% Sr. Unsec. Nts., 2/1/39 | 180,000 | 191,987 | ||||||
Enterprise Products Operating LP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 | 515,000 | 540,004 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 930,000 | 867,724 | ||||||
Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 | 400,000 | 455,718 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 450,000 | 414,174 | ||||||
Noble Energy, Inc., 8.25% Sr. Unsec. Nts., 3/1/19 | 480,000 | 547,048 | ||||||
Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 | 255,000 | 230,297 | ||||||
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/138 | 787,611 | 807,713 | ||||||
Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 | 550,000 | 557,478 | ||||||
TEPPCO Partners LP, 6.125% Nts., 2/1/13 | 900,000 | 897,521 | ||||||
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 | 95,000 | 90,757 | ||||||
Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 | 360,000 | 362,691 | ||||||
XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 | 170,000 | 182,707 | ||||||
6,145,819 | ||||||||
Financials—6.8% | ||||||||
Capital Markets—1.7% | ||||||||
Credit Suisse New York, 6% Unsec. Sub. Nts., 2/15/18 | 550,000 | 549,992 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 826,000 | 667,486 | ||||||
Goldman Sachs Group, Inc. (The), 7.50% Sr. Unsec. Nts., 2/15/19 | 295,000 | 316,423 | ||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/382,9 | 4,692,000 | 469 | ||||||
Morgan Stanley: | ||||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 215,000 | 200,448 | ||||||
7.30% Sr. Unsec. Nts., 5/13/19 | 1,180,000 | 1,225,749 | ||||||
Xstrata Finance Canada Ltd., 6.90% Nts., 11/15/376,8 | 231,000 | 184,513 | ||||||
3,145,080 | ||||||||
Commercial Banks—1.1% | ||||||||
Barclays Bank plc, 6.278% Perpetual Bonds10 | 350,000 | 189,309 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/351 | 1,120,000 | 592,676 | ||||||
PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 | 535,000 | 509,541 | ||||||
Wachovia Corp., 5.625% Sub. Nts., 10/15/16 | 240,000 | 229,610 | ||||||
Wells Fargo Capital X, 5.95% Unsec. Sub. Bonds, 12/15/36 | 755,000 | 560,286 | ||||||
2,081,422 | ||||||||
Consumer Finance—0.4% | ||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 | 410,000 | 402,835 | ||||||
American Express Co., 8.125% Sr. Unsec. Nts., 5/20/19 | 255,000 | 265,070 | ||||||
667,905 | ||||||||
Diversified Financial Services—2.6% | ||||||||
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 | 700,000 | 595,057 | ||||||
Citigroup, Inc.: | ||||||||
5.50% Unsec. Sub. Nts., 2/15/17 | 545,000 | 444,731 | ||||||
5.625% Unsec. Sub. Nts., 8/27/12 | 370,000 | 346,747 | ||||||
6.125% Sub. Nts., 8/25/36 | 475,000 | 354,306 | ||||||
8.30% Jr. Sub. Bonds, 12/21/571 | 235,000 | 183,542 | ||||||
JPMorgan Chase & Co.: | ||||||||
5.125% Unsec. Sub. Nts., 9/15/14 | 405,000 | 403,676 | ||||||
7.90% Perpetual Bonds, Series 110 | 920,000 | 807,328 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 1,730,000 | 1,609,644 | ||||||
4,745,031 | ||||||||
Insurance—1.0% | ||||||||
American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 | 740,000 | 194,250 | ||||||
Axa SA, 6.379% Sub. Perpetual Bonds8,10 | 665,000 | 426,633 | ||||||
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/361 | 415,000 | 297,503 | ||||||
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/238 | 470,000 | 450,619 | ||||||
Prudential Insurance Co. of America, 8.30% Nts., 7/1/258 | 435,000 | 395,940 | ||||||
1,764,945 |
F7 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Health Care—1.4% | ||||||||
Health Care Equipment & Supplies—0.3% | ||||||||
Covidien International Finance SA, 6.55% Sr. Unsec. Unsub. Nts., 10/15/37 | $ | 450,000 | $ | 499,547 | ||||
Hospira, Inc., 6.40% Sr. Unsec. Unsub. Nts., 5/15/15 | 90,000 | 94,901 | ||||||
594,448 | ||||||||
Health Care Providers & Services—0.3% | ||||||||
United Health Group, Inc., 6% Sr. Unsec. Nts., 2/15/18 | 215,000 | 206,681 | ||||||
WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 | 425,000 | 435,914 | ||||||
642,595 | ||||||||
Life Sciences Tools & Services—0.3% | ||||||||
Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 | 470,000 | 472,347 | ||||||
Pharmaceuticals—0.5% | ||||||||
Genentech, Inc., 5.25% Sr. Unsec. Unsub. Nts., 7/15/35 | 500,000 | 466,776 | ||||||
Schering-Plough Corp., 6% Sr. Unsec. Nts., 9/15/17 | 425,000 | 453,303 | ||||||
920,079 | ||||||||
Industrials—3.0% | ||||||||
Aerospace & Defense—0.3% | ||||||||
BAE Systems Holdings, Inc., 6.375% Nts., 6/1/198 | 450,000 | 460,917 | ||||||
Commercial Services & Supplies—0.7% | ||||||||
Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 | 375,000 | 351,891 | ||||||
R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 | 920,000 | 889,308 | ||||||
1,241,199 | ||||||||
Industrial Conglomerates—1.0% | ||||||||
General Electric Capital Corp.: | ||||||||
5.45% Sr. Unsec. Nts., Series A, 1/15/13 | 740,000 | 760,318 | ||||||
5.875% Unsec. Unsub. Nts., 1/14/38 | 340,000 | 269,558 | ||||||
Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 | 920,000 | 871,515 | ||||||
1,901,391 | ||||||||
Machinery—0.2% | ||||||||
John Deere Capital Corp., 5.75% Sr. Nts., 9/10/18 | 430,000 | 439,534 | ||||||
Road & Rail—0.8% | ||||||||
CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 | 685,000 | 745,229 | ||||||
Union Pacific Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 11/15/17 | 255,000 | 257,469 | ||||||
6.125% Sr. Unsec. Nts., 2/15/20 | 470,000 | 488,293 | ||||||
1,490,991 | ||||||||
Information Technology—0.6% | ||||||||
Communications Equipment—0.3% | ||||||||
Nokia Corp., 5.375% Sr. Unsec. Nts., 5/15/19 | 455,000 | 461,215 | ||||||
Semiconductors & Semiconductor Equipment—0.1% | ||||||||
Analog Devices, Inc., 5% Sr. Unsec. Nts., 7/1/14 | 174,000 | 174,564 | ||||||
Software—0.2% | ||||||||
Oracle Corp., 6.125% Sr. Unsec. Nts., 7/8/396 | 430,000 | 425,442 | ||||||
Materials—0.9% | ||||||||
Metals & Mining—0.9% | ||||||||
Vale Overseas Ltd.: | ||||||||
6.25% Nts., 1/23/17 | 350,000 | 354,600 | ||||||
6.875% Bonds, 11/21/36 | 545,000 | 519,713 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 475,000 | 421,333 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 347,000 | 307,769 | ||||||
1,603,415 | ||||||||
Telecommunication Services—2.5% | ||||||||
Diversified Telecommunication Services—2.4% | ||||||||
AT&T Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 970,000 | 939,329 | ||||||
CenturyTel, Inc., 8.375% Sr. Unsec. Nts., Series H, 10/15/10 | 335,000 | 351,020 | ||||||
Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/101 | 427,000 | 449,196 | ||||||
Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 | 880,000 | 889,272 | ||||||
Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 | 420,000 | 443,216 | ||||||
Telus Corp., 8% Nts., 6/1/11 | 690,000 | 740,990 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 750,000 | 735,856 | ||||||
4,548,879 | ||||||||
Wireless Telecommunication Services—0.1% | ||||||||
Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 | 86,000 | 93,863 | ||||||
Utilities—1.9% | ||||||||
Electric Utilities—1.0% | ||||||||
Duke Energy Carolinas LLC, 6.10% Sr. Unsec. Unsub. Nts., 6/1/37 | 440,000 | 461,498 | ||||||
Exelon Generation Co. LLC, 6.20% Sr. Nts., 10/1/17 | 267,000 | 266,153 | ||||||
Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 | 875,000 | 886,287 | ||||||
Oncor Electric Delivery Co., 5.95% Sec. Bonds, 9/1/13 | 290,000 | 302,124 | ||||||
1,916,062 |
F8 | OPPENHEIMER CORE BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Energy Traders—0.2% | ||||||||
Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 | $ | 330,000 | $ | 345,589 | ||||
Gas Utilities—0.1% | ||||||||
Atmos Energy Corp., 8.50% Sr. Unsec. Nts., 3/15/19 | 205,000 | 239,785 | ||||||
Multi-Utilities—0.6% | ||||||||
Pacific Gas & Electric Co., 6.25% Sr. Unsec. Unsub. Nts., 3/1/39 | 300,000 | 321,381 | ||||||
Sempra Energy: | ||||||||
6.50% Sr. Unsec. Nts., 6/1/16 | 250,000 | 261,294 | ||||||
9.80% Sr. Unsec. Nts., 2/15/19 | 390,000 | 473,110 | ||||||
1,055,785 | ||||||||
Total Corporate Bonds and Notes (Cost $54,154,245) | 49,631,054 |
Units | Value | |||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/102,11 (Cost $14,872) | 5,408 | $ | 2 | |||||
Shares | ||||||||
Investment Companies—17.4% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%12,14 | 84,682 | 84,682 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%12,13 | 31,897,417 | 31,897,417 | ||||||
Total Investment Companies (Cost $31,982,099) | 31,982,099 | |||||||
Total Investments, at Value (Cost $256,180,461) | 131.0 | % | 240,789,914 | |||||
Liabilities in Excess of Other Assets | (31.0 | ) | (56,913,773 | ) | ||||
Net Assets | 100.0 | % | $ | 183,876,141 | ||||
Footnotes to Statement of Investments
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | Illiquid security. The aggregate value of illiquid securities as of June 30, 2009 was $2,525,044, which represents 1.37% of the Fund’s net assets. See Note 6 of accompanying Notes. | |
3. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $768,169. See Note 5 of accompanying Notes. | |
4. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $11,058,218 or 6.01% of the Fund’s net assets as of June 30, 2009. | |
5. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $698,313 or 0.38% of the Fund’s net assets as of June 30, 2009. | |
6. | When-issued security or delayed delivery to be delivered and settled after June 30, 2009. See Note 1 of accompanying Notes. | |
7. | Zero coupon bond reflects effective yield on the date of purchase. | |
8. | 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 $3,631,582 or 1.98% of the Fund’s net assets as of June 30, 2009. | |
9. | Issue is in default. See Note 1 of accompanying Notes. | |
10. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
11. | Non-income producing security. | |
12. | Rate shown is the 7-day yield as of June 30, 2009. | |
13. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 810,000 | 810,000 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 13,605,218 | 121,901,580 | 103,609,381 | 31,897,417 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 1,106 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 31,897,417 | 84,465 | ||||||
$ | 31,897,417 | $ | 85,571 | |||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
14. | Interest rate less than 0.0005%. |
F9 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset).
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 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 | $ | — | $ | 10,521,496 | $ | — | $ | 10,521,496 | ||||||||
Mortgage-Backed Obligations | — | 144,901,444 | — | 144,901,444 | ||||||||||||
U.S. Government Obligations | — | 3,753,819 | — | 3,753,819 | ||||||||||||
Corporate Bonds and Notes | — | 49,631,054 | — | 49,631,054 | ||||||||||||
Rights, Warrants and Certificates | — | 2 | — | 2 | ||||||||||||
Investment Companies | 31,982,099 | — | — | 31,982,099 | ||||||||||||
Total Investments, at Value | 31,982,099 | 208,807,815 | — | 240,789,914 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps | — | 682,022 | — | 682,022 | ||||||||||||
Futures | 21,544 | — | — | 21,544 | ||||||||||||
Total Assets | $ | 32,003,643 | $ | 209,489,837 | $ | — | $ | 241,493,480 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps | $ | — | $ | (102,259 | ) | $ | — | $ | (102,259 | ) | ||||||
Futures | (44,059 | ) | — | — | (44,059 | ) | ||||||||||
Total Liabilities | $ | (44,059 | ) | $ | (102,259 | ) | $ | — | $ | (146,318 | ) | |||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
Futures Contracts as of June 30, 2009 are as follows:
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 99 | 9/21/09 | $ | 11,717,578 | $ | 304,545 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 139 | 9/30/09 | 30,054,406 | (59,339 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 49 | 9/30/09 | 5,621,219 | 59,380 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 83 | 9/21/09 | 9,650,047 | 48,704 | |||||||||||||||
$ | 353,290 | |||||||||||||||||||
F10 | OPPENHEIMER CORE BOND FUND/VA
Credit Default Swap Contracts as of June 30, 2009 are as follows:
Buy/Sell | Notional | |||||||||||||||||||||
Swap | Credit | Amount | Receive/Pay | Termination | ||||||||||||||||||
Reference Entity | Counterparty | Protection | (000’s) | Fixed Rate | Date | Value | ||||||||||||||||
Inco Ltd.: | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | $ | 1,015 | 0.63 | % | 3/20/17 | $ | 24,559 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,030 | 0.70 | 3/20/17 | 20,145 | |||||||||||||||||
Total | 2,045 | 44,704 | ||||||||||||||||||||
Merrill Lynch & Co., Inc.: | ||||||||||||||||||||||
Barclays Bank plc | Sell | 2,575 | 4.15 | 9/20/09 | 13,109 | |||||||||||||||||
Credit Suisse International | Sell | 1,285 | 4.15 | 9/20/09 | 6,542 | |||||||||||||||||
Total | 3,860 | 19,651 | ||||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,015 | 1.10 | 3/20/17 | (53,072 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,030 | 1.17 | 3/20/17 | (49,187 | ) | ||||||||||||||||
Total | 2,045 | (102,259 | ) | |||||||||||||||||||
Grand Total Buys | 44,704 | |||||||||||||||||||||
Grand Total Sells | (82,608 | ) | ||||||||||||||||||||
Total Credit Default Swaps | $ | (37,904 | ) | |||||||||||||||||||
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 | ||||||||||||
Type of Reference Asset on | Payments for Selling Credit | Amount | Reference Asset | |||||||||
which the Fund Sold Protection | Protection (Undiscounted) | Recoverable* | Rating Range** | |||||||||
Investment Grade Single Name Corporate Debt | $ | 5,905,000 | $ | — | A to BBB+ |
* | The Fund has no amounts recoverable from related purchased 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 & Poor’s 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. |
Interest Rate Swap Contracts as of June 30, 2009 are as follows:
Interest Rate/ | Notional | Paid by | Received by | Termination | ||||||||||||||
Swap Counterparty | Amount (000’s) | the Fund | the Fund | Date | Value | |||||||||||||
USD BBA LIBOR | ||||||||||||||||||
Deutsche Bank AG | $ | 3,870 | Three-Month USD BBA LIBOR | 5.445 | % | 8/8/17 | $ | 617,667 |
Abbreviation is as follows:
BBA LIBOR British Bankers’ Association London-Interbank Offered Rate
BBA LIBOR British Bankers’ Association London-Interbank Offered Rate
Swap Summary as of June 30, 2009 is as follows:
The following table aggregates, as of period , the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
Swap Type from Fund | Notional | |||||||||
Swap Counterparty | Perspective | Amount (000’s) | Value | |||||||
Barclays Bank plc | Credit Default Sell Protection | $ | 2,575 | $ | 13,109 | |||||
Credit Suisse International | Credit Default Sell Protection | 1,285 | 6,542 | |||||||
Deutsche Bank AG | Interest Rate | 3,870 | 617,667 | |||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Buy Protection | 2,045 | 44,704 | ||||||||
Credit Default Sell Protection | 2,045 | (102,259 | ) | |||||||
(57,555 | ) | |||||||||
Total Swaps | $ | 579,763 | ||||||||
See accompanying Notes to Financial Statements.
F11 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $224,283,044) | $ | 208,892,497 | ||
Affiliated companies (cost $31,897,417) | 31,897,417 | |||
240,789,914 | ||||
Swaps, at value | 682,022 | |||
Receivables and other assets: | ||||
Investments sold (including $7,041,144 sold on a when-issued or delayed delivery basis) | 7,041,645 | |||
Shares of beneficial interest sold | 1,995,843 | |||
Interest, dividends and principal paydowns | 1,594,444 | |||
Terminated investment contracts | 33,605 | |||
Futures margins | 21,544 | |||
Other | 18,012 | |||
Total assets | 252,177,029 | |||
Liabilities | ||||
Swaps, at value | 102,259 | |||
Payables and other liabilities: | ||||
Investments purchased (including $67,510,985 purchased on a when-issued or delayed delivery basis) | 68,041,738 | |||
Futures margins | 44,059 | |||
Shares of beneficial interest redeemed | 35,334 | |||
Distribution and service plan fees | 24,574 | |||
Transfer and shareholder servicing agent fees | 14,863 | |||
Shareholder communications | 10,346 | |||
Trustees’ compensation | 10,058 | |||
Other | 17,657 | |||
Total liabilities | 68,300,888 | |||
Net Assets | $ | 183,876,141 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 29,095 | ||
Additional paid-in capital | 326,336,904 | |||
Accumulated net investment income | 7,348,725 | |||
Accumulated net realized loss on investments | (135,381,089 | ) | ||
Net unrealized depreciation on investments | (14,457,494 | ) | ||
Net Assets | $ | 183,876,141 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $134,099,706 and 21,167,932 shares of beneficial interest outstanding) | $ | 6.34 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $49,776,435 and 7,927,526 shares of beneficial interest outstanding) | $ | 6.28 |
See accompanying Notes to Financial Statements.
F12 | OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Interest (net of foreign withholding taxes of $266) | $ | 7,550,091 | ||
Fee income | 810,242 | |||
Dividends: | ||||
Unaffiliated companies | 4,895 | |||
Affiliated companies | 84,465 | |||
Income from investment of securities lending cash collateral, net—affiliated companies | 1,106 | |||
Other income | 5,302 | |||
Total investment income | 8,456,101 | |||
Expenses | ||||
Management fees | 561,917 | |||
Distribution and service plan fees — Service shares | 63,782 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 25,562 | |||
Service shares | 11,157 | |||
Shareholder communications: | ||||
Non-Service shares | 45,498 | |||
Service shares | 17,190 | |||
Trustees’ compensation | 6,763 | |||
Custodian fees and expenses | 1,100 | |||
Total expenses | 732,969 | |||
Less waivers and reimbursements of expenses | (91,663 | ) | ||
Net expenses | 641,306 | |||
Net Investment Income | 7,814,795 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies | (51,006,955 | ) | ||
Closing and expiration of futures contracts | (1,666,649 | ) | ||
Swap contracts | (17,103,465 | ) | ||
Net realized loss | (69,777,069 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 54,103,830 | |||
Futures contracts | 446,760 | |||
Swap contracts | 1,242,346 | |||
Net change in unrealized depreciation | 55,792,936 | |||
Net Decrease in Net Assets Resulting from Operations | $ | (6,169,338 | ) | |
See accompanying Notes to Financial Statements.
F13 | OPPENHEIMER CORE BOND FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 7,814,795 | $ | 25,010,517 | ||||
Net realized loss | (69,777,069 | ) | (108,962,092 | ) | ||||
Net change in unrealized depreciation | 55,792,936 | (67,980,167 | ) | |||||
Net decrease in net assets resulting from operations | (6,169,338 | ) | (151,931,742 | ) | ||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | — | (12,773,902 | ) | |||||
Service shares | — | (4,423,158 | ) | |||||
— | (17,197,060 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (18,454,708 | ) | (47,839,123 | ) | ||||
Service shares | (10,931,388 | ) | 7,196,319 | |||||
(29,386,096 | ) | (40,642,804 | ) | |||||
Net Assets | ||||||||
Total decrease | (35,555,434 | ) | (209,771,606 | ) | ||||
Beginning of period | 219,431,575 | 429,203,181 | ||||||
End of period (including accumulated net investment income (loss) of $7,348,725 and $(466,070), respectively) | $ | 183,876,141 | $ | 219,431,575 | ||||
See accompanying Notes to Financial Statements.
F14 | OPPENHEIMER CORE BOND FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.45 | $ | 11.06 | $ | 11.16 | $ | 11.19 | $ | 11.50 | $ | 11.42 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .25 | .66 | .55 | .53 | .51 | .43 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.36 | ) | (4.82 | ) | (.08 | ) | .03 | (.23 | ) | .18 | ||||||||||||||
Total from investment operations | (.11 | ) | (4.16 | ) | .47 | .56 | .28 | .61 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | (.45 | ) | (.57 | ) | (.59 | ) | (.59 | ) | (.53 | ) | |||||||||||||
Net asset value, end of period | $ | 6.34 | $ | 6.45 | $ | 11.06 | $ | 11.16 | $ | 11.19 | $ | 11.50 | ||||||||||||
Total Return, at Net Asset Value2 | (1.71 | )% | (39.05 | )% | 4.39 | % | 5.28 | % | 2.59 | % | 5.49 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 134,100 | $ | 156,339 | $ | 325,661 | $ | 367,106 | $ | 430,642 | $ | 504,244 | ||||||||||||
Average net assets (in thousands) | $ | 137,287 | $ | 271,355 | $ | 345,723 | $ | 391,750 | $ | 466,033 | $ | 552,293 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 8.41 | % | 6.76 | % | 5.07 | % | 4.83 | % | 4.56 | % | 3.82 | % | ||||||||||||
Total expenses | 0.71 | %4 | 0.63 | %4 | 0.68 | %4 | 0.77 | %4 | 0.76 | % | 0.75 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.62 | % | 0.62 | % | 0.68 | % | 0.77 | % | 0.76 | % | 0.75 | % | ||||||||||||
Portfolio turnover rate5 | 91 | % | 51 | % | 89 | % | 114 | % | 111 | % | 95 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods of less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.72 | % | ||
Year Ended December 31, 2008 | 0.63 | % | ||
Year Ended December 31, 2007 | 0.68 | % | ||
Year Ended December 31, 2006 | 0.77 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2009 | $ | 504,610,617 | $ | 533,041,473 | ||||
Year Ended December 31, 2008 | $ | 1,019,711,829 | $ | 963,377,934 | ||||
Year Ended December 31, 2007 | $ | 662,784,931 | $ | 678,316,693 | ||||
Year Ended December 31, 2006 | $ | 1,168,229,255 | $ | 1,270,329,129 | ||||
Year Ended December 31, 2005 | $ | 2,420,041,493 | $ | 2,423,498,913 | ||||
Year Ended December 31, 2004 | $ | 2,841,348,053 | $ | 2,925,500,296 |
See accompanying Notes to Financial Statements.
F15 | OPPENHEIMER CORE BOND FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.41 | $ | 10.98 | $ | 11.10 | $ | 11.15 | $ | 11.47 | $ | 11.39 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .25 | .63 | .52 | .49 | .47 | .40 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.38 | ) | (4.77 | ) | (.08 | ) | .03 | (.22 | ) | .18 | ||||||||||||||
Total from investment operations | (.13 | ) | (4.14 | ) | .44 | .52 | .25 | .58 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | (.43 | ) | (.56 | ) | (.57 | ) | (.57 | ) | (.50 | ) | |||||||||||||
Net asset value, end of period | $ | 6.28 | $ | 6.41 | $ | 10.98 | $ | 11.10 | $ | 11.15 | $ | 11.47 | ||||||||||||
Total Return, at Net Asset Value2 | (2.03 | )% | (39.07 | )% | 4.09 | % | 4.93 | % | 2.33 | % | 5.22 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 49,776 | $ | 63,093 | $ | 103,542 | $ | 41,191 | $ | 11,110 | $ | 3,505 | ||||||||||||
Average net assets (in thousands) | $ | 51,364 | $ | 101,597 | $ | 70,116 | $ | 21,265 | $ | 7,213 | $ | 3,002 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 8.21 | % | 6.55 | % | 4.85 | % | 4.56 | % | 4.29 | % | 3.55 | % | ||||||||||||
Total expenses | 0.97 | %4 | 0.88 | %4 | 0.92 | %4 | 1.06 | %4 | 1.03 | % | 0.99 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.88 | % | 0.87 | % | 0.92 | % | 1.06 | % | 1.03 | % | 0.99 | % | ||||||||||||
Portfolio turnover rate5 | 91 | % | 51 | % | 89 | % | 114 | % | 111 | % | 95 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods of less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.98 | % | ||
Year Ended December 31, 2008 | 0.88 | % | ||
Year Ended December 31, 2007 | 0.92 | % | ||
Year Ended December 31, 2006 | 1.06 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2009 | $ | 504,610,617 | $ | 533,041,473 | ||||
Year Ended December 31, 2008 | $ | 1,019,711,829 | $ | 963,377,934 | ||||
Year Ended December 31, 2007 | $ | 662,784,931 | $ | 678,316,693 | ||||
Year Ended December 31, 2006 | $ | 1,168,229,255 | $ | 1,270,329,129 | ||||
Year Ended December 31, 2005 | $ | 2,420,041,493 | $ | 2,423,498,913 | ||||
Year Ended December 31, 2004 | $ | 2,841,348,053 | $ | 2,925,500,296 |
See accompanying Notes to Financial Statements.
F16 | OPPENHEIMER CORE BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Core Bond Fund/VA (the “Fund”), is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s main investment objective is to seek a high level of current income. As a secondary objective, the Fund seeks capital appreciation when consistent with its primary objective. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
F17 | OPPENHEIMER CORE BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
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 maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of June 30, 2009, 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:
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 67,510,985 | ||
Sold securities | 7,041,144 |
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
F18 | OPPENHEIMER CORE BOND FUND/VA
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. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll.
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 in default, and is not obligated to dispose of securities whose issuers subsequently default. As of June 30, 2009, securities with an aggregate market value of $469, representing less than 0.005% of the Fund’s net assets, were in default.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in OFI Liquid Assets Fund, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund’s Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC (“LAF”) is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund’s investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF’s expenses, including its management fee of 0.08%.
F19 | OPPENHEIMER CORE BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $16,717,149 and unused capital loss carryforwards as follows:
Expiring | ||||
2010 | $ | 29,885,554 | ||
2013 | 57,295 | |||
2014 | 6,081,496 | |||
2015 | 1,245,459 | |||
2016 | 12,777,851 | |||
Total | $ | 50,047,655 | ||
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $136,541,873 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 267,485,470 | ||
Federal tax cost of other investments | (14,661,290 | ) | ||
Total federal tax cost | $ | 252,824,180 | ||
Gross unrealized appreciation | $ | 7,095,591 | ||
Gross unrealized depreciation | (32,858,094 | ) | ||
Net unrealized depreciation | $ | (25,762,503 | ) | |
F20 | OPPENHEIMER CORE BOND FUND/VA
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F21 | OPPENHEIMER CORE BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 650,084 | $ | 3,945,032 | 1,056,698 | $ | 9,889,610 | ||||||||||
Dividends and/or distributions reinvested | — | — | 1,288,991 | 12,773,902 | ||||||||||||
Acquisition-Note 10 | — | — | 1,626,777 | 17,178,762 | ||||||||||||
Redeemed | (3,703,464 | ) | (22,399,740 | ) | (9,205,898 | ) | (87,681,397 | ) | ||||||||
Net decrease | (3,053,380 | ) | $ | (18,454,708 | ) | (5,233,432 | ) | $ | (47,839,123 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 965,772 | $ | 5,807,344 | 4,464,539 | $ | 42,884,220 | ||||||||||
Dividends and/or distributions reinvested | — | — | 449,051 | 4,423,158 | ||||||||||||
Redeemed | (2,886,623 | ) | (16,738,732 | ) | (4,496,387 | ) | (40,111,059 | ) | ||||||||
Net increase (decrease) | (1,920,851 | ) | $ | (10,931,388 | ) | 417,203 | $ | 7,196,319 | ||||||||
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF and LAF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 108,001,997 | $ | 130,584,081 | ||||
U.S. government and government agency obligations | 16,147,940 | 12,734,254 | ||||||
To Be Announced (TBA) mortgage-related securities | 504,610,617 | 533,041,473 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $1 billion | 0.60 | % | ||
Over $1 billion | 0.50 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $23,576 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
F22 | OPPENHEIMER CORE BOND FUND/VA
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 0.75% for Non-Service shares and 1.00% for Service shares. During the six months ended June 30, 2009, the Manager waived $87 and $30 for Non-Service and Service shares, respectively. This voluntary undertaking may be amended or withdrawn at any time.
Effective April 1, 2009 through March 31, 2010, the Manager has agreed to voluntarily waive its advisory fee by 0.18% of the Fund’s average annual net assets. During the six months ended June 30, 2009, the Manager waived $80,429. This voluntary waiver will be applied after all other waivers and may be withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $11,117 for IMMF management fees.
5. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return 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. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This 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.
Market Risk Factors. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
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.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher- yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
F23 | OPPENHEIMER CORE BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. 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.
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. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.
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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of June 30, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $682,022, which represents the gross unrealized appreciation on these derivative contracts. To reduce this risk 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 net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $637,318 as of June 30, 2009.
Credit Related Contingent Features. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
As of June 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $57,555. If a contingent feature would have been triggered as of June 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions.
Valuations of derivative instruments as of June 30, 2009 are as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not Accounted for as Hedging | Statement of Assets | Statement of Assets | ||||||||||
Instruments under Statement 133(a) | and Liabilities Location | Value | and Liabilities Location | Value | ||||||||
Credit contracts | Swaps, at value | $ | 64,355 | Swaps, at value | $ | 102,259 | ||||||
Interest rate contracts | Futures margins | 21,544 | * | Futures margins | 44,059 | * | ||||||
Interest rate contracts | Swaps, at value | 617,667 | ||||||||||
Total | $ | 703,566 | $ | 146,318 | ||||||||
* | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. |
F24 | OPPENHEIMER CORE BOND FUND/VA
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or Loss Recognized on Derivative | ||||||||||||
Derivatives Not | ||||||||||||
Accounted for as | ||||||||||||
Hedging Instruments | Closing and expiration | |||||||||||
under Statement 133(a) | of futures contracts | Swap contracts | Total | |||||||||
Interest rate contracts | $ | (1,666,649 | ) | $ | (4,588,850 | ) | $ | (6,255,499 | ) | |||
Credit contracts | — | (12,514,615 | ) | (12,514,615 | ) | |||||||
Total | $ | (1,666,649 | ) | $ | (17,103,465 | ) | $ | (18,770,114 | ) | |||
Amount of Change in Unrealized Gain or Loss Recognized on Derivative | ||||||||||||
Derivatives Not | ||||||||||||
Accounted for as | ||||||||||||
Hedging Instruments | ||||||||||||
under Statement 133(a) | Futures contracts | Swap contracts | Total | |||||||||
Interest rate contracts | $ | 446,760 | $ | 1,672,302 | $ | 2,119,062 | ||||||
Credit contracts | — | (429,956 | ) | (429,956 | ) | |||||||
Total | $ | 446,760 | $ | 1,242,346 | $ | 1,689,106 | ||||||
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a financial instrument 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 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.
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. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
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, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps.
F25 | OPPENHEIMER CORE BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. 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 at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference 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 require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received. If there is an illiquid market for the agreement, the Fund may be unable to close the contract prior to contract termination.
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, or a basket of securities (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying 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 reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes.
F26 | OPPENHEIMER CORE BOND FUND/VA
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market.
The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer. The intent of a pairs trade is to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
Risks of credit default swaps include credit, market and liquidity risk. Additional risks include but are not limited to: the cost of paying for credit protection if there are no credit events or the cost of selling protection when a credit event occurs (paying the notional amount to the protection buyer); and pricing transparency when assessing the value of a credit default swap.
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 interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
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 asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). 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 has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes.
The Fund has entered into total return swaps to 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, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of June 30, 2009, the Fund had no such total return swap agreements outstanding.
6. Illiquid Securities
As of June 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an
F27 | OPPENHEIMER CORE BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Illiquid Securities Continued
acceptable price. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments.
7. Securities Lending
The Fund lends portfolio securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower and recognizes the gain or loss in the fair value of the securities loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand.
As of June 30, 2009, the Fund had no securities on loan.
8. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
9. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
F28 | OPPENHEIMER CORE BOND FUND/VA
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
10. Acquisition of Government Securities Portfolio
On April 30, 2008, the Fund acquired all of the net assets of Government Securities Portfolio, pursuant to an Agreement and Plan of Reorganization approved by the Government Securities Portfolio shareholders on April 25, 2008. The Fund issued (at an exchange ratio of 1.0341 for Non-Service of the Fund to one share of Government Securities Portfolio) 1,626,777 shares of beneficial interest for Non-Service, valued at $17,178,762 in exchange for the net assets, resulting in combined Non-Service net assets of $321,759,067 on April 30, 2008. The net assets acquired included net unrealized appreciation $284,900 and an unused capital loss carryforward of $194,746, potential utilization subject to tax limitations. The exchange qualified as a tax-free reorganization for federal income tax purposes.
F29 | OPPENHEIMER CORE BOND FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies (“portfolio proxies”) relating to securities held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Fund’s Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
5 | OPPENHEIMER CORE BOND FUND/VA
OPPENHEIMER CORE BOND FUND/VA
A Series of Oppenheimer Variable Account Funds
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Krishna Memani, Vice President and Portfolio Manager | ||
Peter A. Strzalkowski, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent auditors. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved. |
June 30, 2009 Oppenheimer Global Securities Semiannual Fund/VA Report A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Investment Strategy Discussion Listing of Top Holdings Listing of Investments Financial Statements |
OPPENHEIMER GLOBAL SECURITIES FUND/VA
Fund Objective. The Fund seeks long-term capital appreciation by investing a substantial portion of its assets in securities of foreign issuers, “growth-type” companies, cyclical industries and special situations that are considered to have appreciation possibilities.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 12.19 | % | ||
Service Shares | 12.05 | |||
Class 3 Shares | 12.15 | |||
Class 4 Shares | 12.06 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -22.54 | % | 2.05 | % | 5.07 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (7/13/00) | ||||||||||
Service Shares | -22.70 | % | 1.80 | % | 0.22 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/03) | ||||||||||
Class 3 Shares | -22.55 | % | 2.05 | % | 8.38 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/3/04) | ||||||||||
Class 4 Shares | -22.71 | % | 1.79 | % | 1.96 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Non-Service Shares | 0.75 | % | ||
Service Shares | 1.00 | |||
Class 3 Shares | 0.75 | |||
Class 4 Shares | 1.00 |
Regional Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of investments.
Top Ten Common Stock Holdings | ||||
Telefonaktiebolaget LM Ericsson, B Shares | 4.6 | % | ||
Juniper Networks, Inc. | 2.4 | |||
Roche Holding AG | 2.3 | |||
Siemens AG | 2.3 | |||
Credit Suisse Group AG | 2.2 | |||
Microsoft Corp. | 2.0 | |||
LVMH Moet Hennessey Louis Vuitton | 1.9 | |||
Infosys Technologies Ltd. | 1.9 | |||
Intuit, Inc. | 1.9 | |||
SAP AG | 1.8 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account.
The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year.
2 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
Narrative by Rajeev Bhaman, Portfolio Manager
The Fund’s Non-Service shares returned 12.19% for the six-month period ended June 30, 2009, outperforming its benchmark, the MSCI World Index (“the Index”), which returned 6.35% over the same time-span.
Our strategy of focusing on high-quality companies, which we believed had significant opportunities for earnings growth, bore out well during the reporting period. We held a number of companies in the information technology and consumer discretionary sectors, which were the largest contributors to Fund performance during the reporting period. Our significant overweight positions to these sectors, along with our stock selection strategy within them, benefited relative Fund performance. At the end of the reporting period, approximately 47% of the Fund was invested in these two sectors.
In information technology, notable successes were Telefonaktiebolaget LM Ericsson (“Ericsson”), our largest holding at period end; Infosys Technologies Ltd.; Juniper Networks, Inc.; and Corning, Inc. Infosys Technologies and Juniper Networks were also among the top ten holdings of the Fund at period end. In consumer discretionary, leading contributors included LVMH Moet Hennessey Louis Vuitton, which was among the top ten holdings of the Fund at period end; Burberry Group plc and footwear manufacturer Tod’s SpA.1
Overall, the Fund outperformed in seven of ten sectors versus the Index for the period. The three sectors that underperformed for the Fund were materials, industrials and telecommunication services. Weaker relative stock selection versus the Index in the telecommunication services sector, and an overweight position to the industrials sector detracted from Fund performance. Not holding materials stocks detracted from Fund performance, as the sector performed relatively well for the Index.
The first two months of the reporting period were characterized by very weak global markets. Fear was on the rise as investors worried about the possibility of a new depression driven by excessive leverage, the disappearance of credit and very real risks to many of the world’s financial institutions. Add to this the decrease in world trade alongside an aggressive global inventory reduction.
As the mood improved over the second half of the reporting period, markets recovered sharply. In mid-March, confidence and risk appetite began to return to the markets, as economic news became more mixed as opposed to being universally bad. Rates of increase in unemployment and declines in housing prices have slowed in many regions of the globe. The U.S. Treasury conducted stress tests for the country’s largest banks, which have begun to recapitalize with the issuance of tens of billions of dollars of new equity. This has allowed some companies to repay their TARP funding. First quarter results in the U.S., although sharply lower than the previous year, came in ahead of consensus for the first time in seven quarters. Globally, there are signs that the worst of inventory destocking is over, a process whereby manufacturers reduce output as a result of a reduction in consumer spending, and which is indicative of why wholesale inventories fell sharply in late 2008 and early 2009. Energy and material prices have recovered sharply from their first quarter lows.
Despite these improvements, we are still in the grips of a steep recession. Growth forecasts continue to fall in the developed world. At the end of the reporting period, the latest 2009 consensus numbers for the U.S., Japan, the U.K. and other major European countries are all lower than they were in March, but forecasts for China and India have begun to move upwards. Many of the major trading nations are beginning to see month over month improvements in export demand and a consequent recovery in manufacturing output.
The Fund’s investment strategy continues to be focused on identifying long-term structural growth stocks – companies we believe have durable long-term earnings, good cash flow characteristics, strong economic returns on invested capital and healthy balance sheets. We also expect to generally continue to be contrarians in terms of acquiring stocks, buying them when they are out of fashion and neglected.
1. These companies are being listed for informational purposes only. OppenheimerFunds is not making any recommendation with respect to these companies and the Fund may or may not still hold shares.
3 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
OPPENHEIMER GLOBAL SECURITIES FUND/VA
We are seeking to situate the Fund around quality companies that we believe should perform well in most market conditions. Our focus on quality franchises remains the bedrock of the Fund.
As part of our outlook, we currently anticipate a number of major themes. First, deleveraging will continue, both at the corporate and the individual level. This suggests slower growth. Second, we believe the strong will get stronger. In our opinion, many of the companies with the strongest franchises and brands will continue to pull away from the pack. We also currently anticipate little or no inflation. We believe that the world is running at around 65% capacity utilization while the extent of credit withdrawal from the system has been roughly twice the cumulative size of stimulus packages.
As well as placing emphasis on companies we believe are strong franchises, we have built the Fund around companies with strong free cash-flow characteristics. We have added very selectively to what we believe are quality financial stocks while retaining an underweight stance to the sector overall at period end. We currently see opportunities in U.S. healthcare insurers which have free cash flows and low single-figure multiples, and also because we believe the existing structure will be the basis of any healthcare reform package. We are also currently optimistic in regards to consumer non-durables with restructuring stories. Clearly, the markets have rallied strongly from their March lows, but we believe certain valuations are still compelling.
As of the reporting period’s end, we do not plan to stray from our underweight stance in the energy and materials sectors. We view the recent firming of energy and materials prices as a recovery from an oversold position, a sign of growing appetite for risk and a reaction to the weakness of the U.S. dollar. In our opinion, the fundamentals of supply and demand do not support any sustained material upside move in prices.
We continue to be diversified across a number of geographies at period end. At the end of the reporting period, we had approximately one-third of the Fund invested in the U.S., which we continue to believe is the largest and most innovative economy in the world. The second largest allocation is to Japan. As well as having an economy consisting of large companies, with long track records of significant innovations, Japan is seeing the first signs of adopting more shareholder friendly ways of running companies. We are invested in the United Kingdom, our third largest geographical holding, for the same reasons – it is one of the world’s most open economies, with many high-quality companies. The next largest geographic weightings for the Fund at period end were France, Sweden, Germany, Switzerland, and Mexico.
As always, we urge shareholders to keep in mind the added volatility and risk—including currency fluctuation, foreign taxes, and economic and political instability—that investing in the securities of international markets entails.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc and the Fund may or may not continue to hold those securities.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
4 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
5 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
FUND EXPENSES Continued
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2009 | June 30, 2009 | June 30, 2009 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,121.90 | $3.79 | |||||||
Service Shares | 1,000.00 | 1,120.50 | 5.11 | |||||||||
Class 3 Shares | 1,000.00 | 1,121.50 | 3.79 | |||||||||
Class 4 Shares | 1,000.00 | 1,120.60 | 5.16 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.22 | 3.61 | |||||||||
Service Shares | 1,000.00 | 1,019.98 | 4.87 | |||||||||
Class 3 Shares | 1,000.00 | 1,021.22 | 3.61 | |||||||||
Class 4 Shares | 1,000.00 | 1,019.93 | 4.92 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service Shares | 0.72 | % | ||
Service Shares | 0.97 | |||
Class 3 Shares | 0.72 | |||
Class 4 Shares | 0.98 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
6 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares | Value | |||||||
Common Stocks—99.2% | ||||||||
Consumer Discretionary—16.7% | ||||||||
Automobiles—2.0% | ||||||||
Bayerische Motoren Werke (BMW) AG | 402,709 | $ | 15,203,586 | |||||
Bayerische Motoren Werke (BMW) AG, Preference | 537,990 | 12,981,255 | ||||||
Toyota Motor Corp. | 439,100 | 16,599,866 | ||||||
44,784,707 | ||||||||
Hotels, Restaurants & Leisure—3.5% | ||||||||
Aristocrat Leisure Ltd. | 486,264 | 1,477,719 | ||||||
Carnival Corp. | 1,222,426 | 31,501,918 | ||||||
International Game Technology | 437,800 | 6,961,020 | ||||||
McDonald’s Corp. | 591,500 | 34,005,335 | ||||||
Shuffle Master, Inc.1 | 610,200 | 4,033,422 | ||||||
77,979,414 | ||||||||
Household Durables—1.6% | ||||||||
Sony Corp. | 1,367,000 | 35,312,927 | ||||||
Media—3.6% | ||||||||
Dish TV India Ltd.1 | 2,654,022 | 2,118,514 | ||||||
Grupo Televisa SA, Sponsored GDR | 1,737,696 | 29,540,832 | ||||||
Sirius XM Radio, Inc.1 | 13,465,610 | 5,790,212 | ||||||
Walt Disney Co. (The) | 1,345,300 | 31,385,849 | ||||||
Wire & Wireless India Ltd.1 | 2,223,250 | 921,230 | ||||||
Zee Entertainment Enterprises Ltd. | 3,163,110 | 11,703,606 | ||||||
81,460,243 | ||||||||
Specialty Retail—2.4% | ||||||||
Industria de Diseno Textil SA | 649,300 | 31,124,645 | ||||||
Tiffany & Co. | 903,800 | 22,920,368 | ||||||
54,045,013 | ||||||||
Textiles, Apparel & Luxury Goods—3.6% | ||||||||
Bulgari SpA | 1,932,918 | 10,418,860 | ||||||
Burberry Group plc | 1,571,688 | 10,970,761 | ||||||
LVMH Moet Hennessey Louis Vuitton | 575,170 | 43,894,404 | ||||||
Tod’s SpA | 292,997 | 16,741,177 | ||||||
82,025,202 | ||||||||
Consumer Staples—10.9% | ||||||||
Beverages—3.4% | ||||||||
Companhia de Bebidas das Americas, Sponsored ADR, Preference | 376,115 | 24,383,535 | ||||||
Diageo plc | 985,365 | 14,128,056 | ||||||
Fomento Economico Mexicano SA de CV, UBD | 7,886,400 | 25,435,074 | ||||||
Grupo Modelo SA de CV, Series C1 | 3,786,000 | 13,524,458 | ||||||
77,471,123 | ||||||||
Food & Staples Retailing—3.2% | ||||||||
Seven & I Holdings Co. Ltd. | 429,553 | 10,077,808 | ||||||
Tesco plc | 4,656,185 | 27,086,965 | ||||||
Wal-Mart Stores, Inc. | 696,500 | 33,738,460 | ||||||
70,903,233 | ||||||||
Food Products—2.0% | ||||||||
Cadbury plc | 2,152,111 | 18,340,547 | ||||||
Nestle SA | 192,085 | 7,234,014 | ||||||
Unilever plc | 833,003 | 19,515,264 | ||||||
45,089,825 | ||||||||
Household Products—2.3% | ||||||||
Colgate-Palmolive Co. | 401,600 | 28,409,184 | ||||||
Reckitt Benckiser Group plc | 523,568 | 23,825,561 | ||||||
52,234,745 | ||||||||
Energy—5.0% | ||||||||
Energy Equipment & Services—2.5% | ||||||||
Technip SA | 596,400 | 29,316,243 | ||||||
Transocean Ltd.1 | 383,572 | 28,495,564 | ||||||
57,811,807 | ||||||||
Oil, Gas & Consumable Fuels—2.5% | ||||||||
Husky Energy, Inc. | 789,830 | 22,089,301 | ||||||
Total SA | 625,940 | 33,902,495 | ||||||
55,991,796 | ||||||||
Financials—13.4% | ||||||||
Capital Markets—3.5% | ||||||||
3i Group plc | 2,556,548 | 10,228,833 | ||||||
Credit Suisse Group AG | 1,107,294 | 50,546,944 | ||||||
UBS AG1 | 1,519,364 | 18,583,910 | ||||||
79,359,687 | ||||||||
Commercial Banks—3.4% | ||||||||
HDFC Bank Ltd. | 142,800 | 4,424,643 | ||||||
HSBC Holdings plc | 3,788,573 | 31,747,099 | ||||||
Societe Generale, Cl. A | 263,640 | 14,381,608 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 658,700 | 26,636,766 | ||||||
77,190,116 |
F1 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Consumer Finance—1.3% | ||||||||
SLM Corp.1 | 2,868,650 | $ | 29,461,036 | |||||
Diversified Financial Services—1.1% | ||||||||
Investor AB, B Shares | 1,580,854 | 24,384,985 | ||||||
Insurance—4.1% | ||||||||
AFLAC, Inc. | 692,200 | 21,520,498 | ||||||
Allianz SE | 305,462 | 28,152,102 | ||||||
Prudential plc | 2,873,487 | 19,548,013 | ||||||
Sony Financial Holdings, Inc. | 1,542 | 4,244,579 | ||||||
XL Capital Ltd., Cl. A | 1,516,500 | 17,379,090 | ||||||
90,844,282 | ||||||||
Health Care—6.8% | ||||||||
Biotechnology—1.3% | ||||||||
Basilea Pharmaceutica AG1 | 30,816 | 2,630,513 | ||||||
InterMune, Inc.1 | 324,300 | 4,929,360 | ||||||
NicOx SA1 | 234,290 | 2,934,081 | ||||||
Regeneron Pharmaceuticals, Inc.1 | 200,802 | 3,598,372 | ||||||
Seattle Genetics, Inc.1 | 758,728 | 7,374,836 | ||||||
Theravance, Inc.1 | 509,600 | 7,460,544 | ||||||
28,927,706 | ||||||||
Health Care Equipment & Supplies—0.1% | ||||||||
Zimmer Holdings, Inc.1 | 67,900 | 2,892,540 | ||||||
Health Care Providers & Services—2.0% | ||||||||
Aetna, Inc. | 1,011,900 | 25,348,095 | ||||||
WellPoint, Inc.1 | 401,135 | 20,413,760 | ||||||
45,761,855 | ||||||||
Pharmaceuticals—3.4% | ||||||||
Roche Holding AG | 386,564 | 52,547,515 | ||||||
Sanofi-Aventis SA | 352,105 | 20,681,840 | ||||||
Schering-Plough Corp. | 80,700 | 2,027,184 | ||||||
75,256,539 | ||||||||
Industrials—13.0% | ||||||||
Aerospace & Defense—3.7% | ||||||||
Boeing Co. (The) | 247,100 | 10,501,750 | ||||||
Empresa Brasileira de Aeronautica SA, ADR | 889,383 | 14,728,182 | ||||||
European Aeronautic Defense & Space Co. | 1,443,000 | 23,384,916 | ||||||
Lockheed Martin Corp. | 185,200 | 14,936,380 | ||||||
Raytheon Co. | 439,300 | 19,518,099 | ||||||
83,069,327 | ||||||||
Air Freight & Logistics—0.8% | ||||||||
TNT NV | 934,527 | 18,150,928 | ||||||
Building Products—1.6% | ||||||||
Assa Abloy AB, Cl. B | 2,606,085 | 36,314,562 | ||||||
Commercial Services & Supplies—0.7% | ||||||||
Secom Co. Ltd. | 398,700 | 16,172,175 | ||||||
Electrical Equipment—1.2% | ||||||||
Emerson Electric Co. | 479,900 | 15,548,760 | ||||||
Mitsubishi Electric Corp. | 1,677,000 | 10,551,934 | ||||||
26,100,694 | ||||||||
Industrial Conglomerates—4.6% | ||||||||
3M Co. | 497,400 | 29,893,740 | ||||||
Koninklijke (Royal) Philips Electronics NV | 1,159,000 | 21,431,580 | ||||||
Siemens AG | 752,233 | 52,151,915 | ||||||
103,477,235 | ||||||||
Machinery—0.4% | ||||||||
Fanuc Ltd. | 129,000 | 10,292,990 | ||||||
Information Technology—29.7% | ||||||||
Communications Equipment—7.5% | ||||||||
Juniper Networks, Inc.1 | 2,278,500 | 53,772,600 | ||||||
Tandberg ASA | 660,850 | 11,125,248 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 10,611,280 | 103,791,652 | ||||||
168,689,500 | ||||||||
Electronic Equipment & Instruments—5.0% | ||||||||
Corning, Inc. | 1,689,700 | 27,136,582 | ||||||
Hoya Corp. | 1,033,800 | 20,699,222 | ||||||
Keyence Corp. | 95,074 | 19,348,460 | ||||||
Kyocera Corp. | 160,900 | 12,069,827 | ||||||
Murata Manufacturing Co. Ltd. | 579,000 | 24,540,633 | ||||||
Nidec Corp. | 170,300 | 10,290,709 | ||||||
114,085,433 | ||||||||
Internet Software & Services—1.7% | ||||||||
eBay, Inc.1 | 2,231,200 | 38,220,456 | ||||||
IT Services—3.2% | ||||||||
Automatic Data Processing, Inc. | 859,800 | 30,471,312 | ||||||
Infosys Technologies Ltd. | 1,145,526 | 42,480,470 | ||||||
72,951,782 | ||||||||
Semiconductors & Semiconductor Equipment—4.3% | ||||||||
Altera Corp. | 1,319,100 | 21,474,948 | ||||||
Linear Technology Corp. | 378,496 | 8,837,882 | ||||||
Maxim Integrated Products, Inc. | 1,346,865 | 21,132,312 | ||||||
MediaTek, Inc. | 1,953,238 | 23,234,458 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 13,248,942 | 22,008,296 | ||||||
96,687,896 |
F2 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
Shares | Value | |||||||
Software—8.0% | ||||||||
Adobe Systems, Inc.1 | 1,222,463 | $ | 34,595,703 | |||||
Intuit, Inc.1 | 1,504,700 | 42,372,352 | ||||||
Microsoft Corp. | 1,919,900 | 45,636,023 | ||||||
Nintendo Co. Ltd. | 60,400 | 16,622,329 | ||||||
SAP AG | 1,018,098 | 40,847,892 | ||||||
180,074,299 | ||||||||
Telecommunication Services—2.8% | ||||||||
Wireless Telecommunication Services—2.8% | ||||||||
KDDI Corp. | 5,649 | 30,023,231 | ||||||
Turkcell Iletisim Hizmetleri AS, ADR | 820,800 | 11,376,288 | ||||||
Vodafone Group plc | 10,884,692 | 20,987,544 | ||||||
62,387,063 | ||||||||
Utilities—0.9% | ||||||||
Electric Utilities—0.9% | ||||||||
Fortum Oyj | 937,700 | 21,336,781 | ||||||
Total Common Stocks (Cost $2,369,665,742) | 2,237,199,902 | |||||||
Principal | ||||||||
Amount | ||||||||
Convertible Corporate Bonds and Notes—0.1% | ||||||||
Theravance, Inc., 3% | ||||||||
Cv. Sub. Nts., 1/15/15 (Cost $2,882,000) | $ | 2,882,000 | 2,125,475 | |||||
Shares | ||||||||
Investment Companies—0.9% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,4 | 178,056 | 178,056 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%2,3 | 21,284,006 | 21,284,006 | ||||||
Total Investment Companies (Cost $21,462,062) | 21,462,062 | |||||||
Total Investments, at Value (Cost $2,394,009,804) | 100.2 | % | 2,260,787,439 | |||||
Liabilities in Excess of Other Assets | (0.2 | ) | (5,285,837 | ) | ||||
Net Assets | 100.0 | % | $ | 2,255,501,602 | ||||
Footnotes to Statement of Investments
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2009. | |
3. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 342,533,185 | 342,533,185 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 24,247,807 | 171,080,160 | 174,043,961 | 21,284,006 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 935,043 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 21,284,006 | 106,131 | ||||||
$ | 21,284,006 | $ | 1,041,174 | |||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
4. | Interest rate less than 0.0005%. |
F3 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 266,764,096 | $ | 108,843,410 | $ | — | $ | 375,607,506 | ||||||||
Consumer Staples | 235,621,118 | 10,077,808 | — | 245,698,926 | ||||||||||||
Energy | 50,584,865 | 63,218,738 | — | 113,803,603 | ||||||||||||
Financials | 195,806,084 | 105,434,022 | — | 301,240,106 | ||||||||||||
Health Care | 149,904,559 | 2,934,081 | — | 152,838,640 | ||||||||||||
Industrials | 159,592,401 | 133,985,510 | — | 293,577,911 | ||||||||||||
Information Technology | 418,103,780 | 252,605,586 | — | 670,709,366 | ||||||||||||
Telecommunication Services | 62,387,063 | — | — | 62,387,063 | ||||||||||||
Utilities | 21,336,781 | — | — | 21,336,781 | ||||||||||||
Convertible Corporate Bonds and Notes | — | 2,125,475 | — | 2,125,475 | ||||||||||||
Investment Companies | 21,462,062 | — | — | 21,462,062 | ||||||||||||
Total Assets | $ | 1,581,562,809 | $ | 679,224,630 | $ | — | $ | 2,260,787,439 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
F4 | OPPENHEIMER GLOBAL SECURITIES 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 | $ | 789,903,993 | 34.9 | % | ||||
Japan | 263,483,456 | 11.7 | ||||||
United Kingdom | 196,378,643 | 8.7 | ||||||
France | 168,495,587 | 7.5 | ||||||
Sweden | 164,491,199 | 7.3 | ||||||
Germany | 149,336,750 | 6.6 | ||||||
Switzerland | 131,542,896 | 5.8 | ||||||
Mexico | 68,500,364 | 3.0 | ||||||
India | 61,648,463 | 2.7 | ||||||
Taiwan | 45,242,754 | 2.0 | ||||||
The Netherlands | 39,582,508 | 1.7 | ||||||
Brazil | 39,111,717 | 1.7 | ||||||
Spain | 31,124,645 | 1.4 | ||||||
Italy | 27,160,037 | 1.2 | ||||||
Canada | 22,089,301 | 1.0 | ||||||
Finland | 21,336,781 | 0.9 | ||||||
Cayman Islands | 17,379,090 | 0.8 | ||||||
Turkey | 11,376,288 | 0.5 | ||||||
Norway | 11,125,248 | 0.5 | ||||||
Australia | 1,477,719 | 0.1 | ||||||
Total | $ | 2,260,787,439 | 100.0 | % | ||||
See accompanying Notes to Financial Statements.
F5 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $2,372,725,798) | $ | 2,239,503,433 | ||
Affiliated companies (cost $21,284,006) | 21,284,006 | |||
2,260,787,439 | ||||
Receivables and other assets: | ||||
Interest and dividends | 3,410,630 | |||
Investments sold | 153,417 | |||
Shares of beneficial interest sold | 121,870 | |||
Other | 207,402 | |||
Total assets | 2,264,680,758 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 7,515,028 | |||
Foreign capital gains tax | 604,625 | |||
Distribution and service plan fees | 518,098 | |||
Transfer and shareholder servicing agent fees | 188,207 | |||
Shareholder communications | 97,375 | |||
Investments purchased | 85,027 | |||
Trustees’ compensation | 31,202 | |||
Other | 139,594 | |||
Total liabilities | 9,179,156 | |||
Net Assets | $ | 2,255,501,602 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 106,252 | ||
Additional paid-in capital | 2,481,311,978 | |||
Accumulated net investment income | 23,318,417 | |||
Accumulated net realized loss on investments and foreign currency transactions | (115,640,573 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (133,594,472 | ) | ||
Net Assets | $ | 2,255,501,602 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,198,754,091 and 56,350,565 shares of beneficial interest outstanding) | $ | 21.27 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $811,608,374 and 38,415,917 shares of beneficial interest outstanding) | $ | 21.13 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $179,591,897 and 8,387,341 shares of beneficial interest outstanding) | $ | 21.41 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $65,547,240 and 3,098,272 shares of beneficial interest outstanding) | $ | 21.16 |
See accompanying Notes to Financial Statements.
F6 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009 | ||||
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $2,086,042) | $ | 32,360,014 | ||
Affiliated companies | 106,131 | |||
Income from investment of securities lending cash collateral, net—affiliated companies | 935,043 | |||
Interest | 50,975 | |||
Total investment income | 33,452,163 | |||
Expenses | ||||
Management fees | 6,531,456 | |||
Distribution and service plan fees: | ||||
Service shares | 906,127 | |||
Class 4 shares | 72,605 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 204,019 | |||
Service shares | 137,221 | |||
Class 3 shares | 32,994 | |||
Class 4 shares | 14,051 | |||
Shareholder communications: | ||||
Non-Service shares | 134,492 | |||
Service shares | 89,972 | |||
Class 3 shares | 20,158 | |||
Class 4 shares | 7,238 | |||
Custodian fees and expenses | 102,410 | |||
Trustees’ compensation | 25,751 | |||
Other | 42,613 | |||
Total expenses | 8,321,107 | |||
Less waivers and reimbursements of expenses | (12,208 | ) | ||
Net expenses | 8,308,899 | |||
Net Investment Income | 25,143,264 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies (net of foreign capital gains tax of $380,371) | (68,716,533 | ) | ||
Foreign currency transactions | (1,624,867 | ) | ||
Net realized loss | (70,341,400 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments (net of foreign capital gains tax of $603,456) | 285,096,556 | |||
Translation of assets and liabilities denominated in foreign currencies | (2,117,392 | ) | ||
Net change in unrealized depreciation | 282,979,164 | |||
Net Increase in Net Assets Resulting from Operations | $ | 237,781,028 | ||
See accompanying Notes to Financial Statements.
F7 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | ||||||||
Ended | Year Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 25,143,264 | $ | 57,466,025 | ||||
Net realized gain (loss) | (70,341,400 | ) | 24,747,758 | |||||
Net change in unrealized depreciation | 282,979,164 | (1,596,274,756 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 237,781,028 | (1,514,060,973 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (27,800,589 | ) | (26,708,494 | ) | ||||
Service shares | (16,163,769 | ) | (13,401,398 | ) | ||||
Class 3 shares | (4,130,611 | ) | (4,326,225 | ) | ||||
Class 4 shares | (1,262,683 | ) | (1,190,079 | ) | ||||
(49,357,652 | ) | (45,626,196 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (26,507,538 | ) | (117,354,093 | ) | ||||
Service shares | (17,924,453 | ) | (71,861,924 | ) | ||||
Class 3 shares | (3,946,570 | ) | (19,045,871 | ) | ||||
Class 4 shares | (1,437,851 | ) | (6,614,741 | ) | ||||
(49,816,412 | ) | (214,876,629 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (25,688,263 | ) | (78,197,928 | ) | ||||
Service shares | (10,588,139 | ) | 71,375,736 | |||||
Class 3 shares | (6,748,562 | ) | (30,841,100 | ) | ||||
Class 4 shares | (1,370,115 | ) | (6,272,856 | ) | ||||
(44,395,079 | ) | (43,936,148 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | 94,211,885 | (1,818,499,946 | ) | |||||
Beginning of period | 2,161,289,717 | 3,979,789,663 | ||||||
End of period (including accumulated net investment income of $23,318,417 and $47,532,805, respectively) | $ | 2,255,501,602 | $ | 2,161,289,717 | ||||
See accompanying Notes to Financial Statements.
F8 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.21 | $ | 36.60 | $ | 36.79 | $ | 33.38 | $ | 29.51 | $ | 25.08 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .24 | .55 | .45 | .43 | .32 | .26 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.80 | (14.46 | ) | 1.69 | 5.20 | 3.85 | 4.49 | |||||||||||||||||
Total from investment operations | 2.04 | (13.91 | ) | 2.14 | 5.63 | 4.17 | 4.75 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.50 | ) | (.46 | ) | (.50 | ) | (.36 | ) | (.30 | ) | (.32 | ) | ||||||||||||
Distributions from net realized gain | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.98 | ) | (2.48 | ) | (2.33 | ) | (2.22 | ) | (.30 | ) | (.32 | ) | ||||||||||||
Net asset value, end of period | $ | 21.27 | $ | 20.21 | $ | 36.60 | $ | 36.79 | $ | 33.38 | $ | 29.51 | ||||||||||||
Total Return, at Net Asset Value2 | 12.19 | % | (40.19 | )% | 6.32 | % | 17.69 | % | 14.31 | % | 19.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,198,754 | $ | 1,150,113 | $ | 2,193,638 | $ | 2,297,315 | $ | 2,124,413 | $ | 2,518,867 | ||||||||||||
Average net assets (in thousands) | $ | 1,098,029 | $ | 1,679,720 | $ | 2,302,726 | $ | 2,189,511 | $ | 2,123,523 | $ | 2,451,188 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 2.57 | % | 1.95 | % | 1.21 | % | 1.27 | % | 1.08 | % | 1.01 | % | ||||||||||||
Total expenses | 0.72 | %4,5 | 0.65 | %4,5,6 | 0.65 | %4,5,6 | 0.66 | %4,5,6 | 0.67 | %6 | 0.66 | %6 | ||||||||||||
Portfolio turnover rate | 9 | % | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.72 | % | ||
Year Ended December 31, 2008 | 0.65 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F9 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.02 | $ | 36.27 | $ | 36.49 | $ | 33.16 | $ | 29.33 | $ | 24.96 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .22 | .47 | .33 | .33 | .24 | .20 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.80 | (14.32 | ) | 1.72 | 5.16 | 3.84 | 4.46 | |||||||||||||||||
Total from investment operations | 2.02 | (13.85 | ) | 2.05 | 5.49 | 4.08 | 4.66 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.43 | ) | (.38 | ) | (.44 | ) | (.30 | ) | (.25 | ) | (.29 | ) | ||||||||||||
Distributions from net realized gain | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.91 | ) | (2.40 | ) | (2.27 | ) | (2.16 | ) | (.25 | ) | (.29 | ) | ||||||||||||
Net asset value, end of period | $ | 21.13 | $ | 20.02 | $ | 36.27 | $ | 36.49 | $ | 33.16 | $ | 29.33 | ||||||||||||
Total Return, at Net Asset Value2 | 12.05 | % | (40.33 | )% | 6.08 | % | 17.36 | % | 14.06 | % | 18.88 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 811,609 | $ | 772,107 | $ | 1,300,989 | $ | 983,558 | $ | 557,284 | $ | 346,403 | ||||||||||||
Average net assets (in thousands) | $ | 734,340 | $ | 1,051,239 | $ | 1,180,656 | $ | 750,499 | $ | 413,849 | $ | 247,490 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 2.31 | % | 1.70 | % | 0.91 | % | 0.98 | % | 0.79 | % | 0.77 | % | ||||||||||||
Total expenses | 0.97 | %4,5 | 0.90 | %4,5,6 | 0.89 | %4,5,6 | 0.91 | %4,5,6 | 0.92 | %6 | 0.91 | %6 | ||||||||||||
Portfolio turnover rate | 9 | % | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.97 | % | ||
Year Ended December 31, 2008 | 0.90 | % | ||
Year Ended December 31, 2007 | 0.89 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F10 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Class 3 Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.34 | $ | 36.82 | $ | 36.99 | $ | 33.55 | $ | 29.65 | $ | 25.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .24 | .56 | .45 | .43 | .32 | .26 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.81 | (14.56 | ) | 1.71 | 5.23 | 3.88 | 4.52 | |||||||||||||||||
Total from investment operations | 2.05 | (14.00 | ) | 2.16 | 5.66 | 4.20 | 4.78 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.50 | ) | (.46 | ) | (.50 | ) | (.36 | ) | (.30 | ) | (.32 | ) | ||||||||||||
Distributions from net realized gain | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.98 | ) | (2.48 | ) | (2.33 | ) | (2.22 | ) | (.30 | ) | (.32 | ) | ||||||||||||
Net asset value, end of period | $ | 21.41 | $ | 20.34 | $ | 36.82 | $ | 36.99 | $ | 33.55 | $ | 29.65 | ||||||||||||
Total Return, at Net Asset Value2 | 12.15 | % | (40.19 | )% | 6.34 | % | 17.69 | % | 14.34 | % | 19.19 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 179,592 | $ | 175,971 | $ | 361,621 | $ | 395,901 | $ | 346,064 | $ | 265,044 | ||||||||||||
Average net assets (in thousands) | $ | 164,240 | $ | 269,650 | $ | 391,270 | $ | 369,406 | $ | 296,252 | $ | 199,388 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 2.55 | % | 1.95 | % | 1.22 | % | 1.26 | % | 1.06 | % | 1.00 | % | ||||||||||||
Total expenses | 0.72 | %4,5 | 0.65 | %4,5,6 | 0.65 | %4,5,6 | 0.66 | %4,5,6 | 0.67 | %6 | 0.66 | %6 | ||||||||||||
Portfolio turnover rate | 9 | % | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.72 | % | ||
Year Ended December 31, 2008 | 0.65 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F11 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Class 4 Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 20041 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.03 | $ | 36.28 | $ | 36.49 | $ | 33.15 | $ | 29.35 | $ | 25.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | .22 | .47 | .34 | .34 | .24 | .09 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.81 | (14.34 | ) | 1.70 | 5.16 | 3.84 | 4.05 | |||||||||||||||||
Total from investment operations | 2.03 | (13.87 | ) | 2.04 | 5.50 | 4.08 | 4.14 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.42 | ) | (.36 | ) | (.42 | ) | (.30 | ) | (.28 | ) | — | |||||||||||||
Distributions from net realized gain | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.90 | ) | (2.38 | ) | (2.25 | ) | (2.16 | ) | (.28 | ) | — | |||||||||||||
Net asset value, end of period | $ | 21.16 | $ | 20.03 | $ | 36.28 | $ | 36.49 | $ | 33.15 | $ | 29.35 | ||||||||||||
Total Return, at Net Asset Value3 | 12.06 | % | (40.35 | )% | 6.06 | % | 17.40 | % | 14.05 | % | 16.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 65,547 | $ | 63,099 | $ | 123,542 | $ | 114,232 | $ | 90,604 | $ | 37,384 | ||||||||||||
Average net assets (in thousands) | $ | 59,151 | $ | 93,909 | $ | 122,385 | $ | 100,973 | $ | 61,380 | $ | 19,774 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 2.29 | % | 1.69 | % | 0.93 | % | 1.00 | % | 0.79 | % | 0.53 | % | ||||||||||||
Total expenses | 0.98 | %5,6 | 0.91 | %5,6,7 | 0.90 | %5,6,7 | 0.91 | %5,6,7 | 0.93 | %7 | 0.94 | %7 | ||||||||||||
Portfolio turnover rate | 9 | % | 19 | % | 18 | % | 21 | % | 35 | % | 30 | % |
1. | For the period from May 3, 2004 (inception of offering) to December 31, 2004. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.98 | % | ||
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.90 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
6. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
7. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F12 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Global Securities Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek long-term capital appreciation by investing a substantial portion of its assets in securities of foreign issuers, “growth-type” companies, cyclical industries and special situations that are considered to have appreciation possibilities. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers Non-Service, Service, Class 3 and Class 4 shares. All classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares being designated as Service shares and Class 4 shares are subject to a distribution and service plan. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. The Fund assesses a 1% fee on the proceeds of Class 3 and Class 4 shares that are redeemed (either by selling or exchanging to another Oppenheimer fund or other investment option offered through your variable life insurance or variable annuity contract) within 60 days of their purchase. The fee, which is retained by the Fund, is accounted for as an addition to paid-in capital.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
F13 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
F14 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
Investment in OFI Liquid Assets Fund, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund’s Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC (“LAF”) is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund’s investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF’s expenses, including its management fee of 0.08%.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $23,157,860.
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $93,499,260 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 2,433,368,350 | ||
Gross unrealized appreciation | $ | 280,684,655 | ||
Gross unrealized depreciation | (453,708,314 | ) | ||
Net unrealized depreciation | $ | (173,023,659 | ) | |
Certain foreign countries impose a tax on capital gains which is accrued by the Fund based on unrealized appreciation, if any, on affected securities. The tax is paid when the gain is realized.
F15 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
F16 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 3,460,231 | $ | 65,363,301 | 9,646,046 | $ | 259,758,983 | ||||||||||
Dividends and/or distributions reinvested | 3,644,841 | 54,308,127 | 4,840,813 | 144,062,587 | ||||||||||||
Redeemed | (7,650,865 | ) | (145,359,691 | ) | (17,521,140 | ) | (482,019,498 | ) | ||||||||
Net decrease | (545,793 | ) | $ | (25,688,263 | ) | (3,034,281 | ) | $ | (78,197,928 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 1,129,690 | $ | 21,669,946 | 6,325,047 | $ | 162,252,325 | ||||||||||
Dividends and/or distributions reinvested | 2,301,703 | 34,088,222 | 2,887,346 | 85,263,322 | ||||||||||||
Redeemed | (3,586,639 | ) | (66,346,307 | ) | (6,514,971 | ) | (176,139,911 | ) | ||||||||
Net increase (decrease) | (155,246 | ) | $ | (10,588,139 | ) | 2,697,422 | $ | 71,375,736 | ||||||||
Class 3 Shares | ||||||||||||||||
Sold | 151,988 | $ | 2,966,728 | 277,654 | $ | 8,012,360 | ||||||||||
Dividends and/or distributions reinvested | 538,120 | 8,077,181 | 780,370 | 23,372,096 | ||||||||||||
Redeemed | (953,160 | ) | (17,792,471 | )1 | (2,229,618 | ) | (62,225,556 | )2 | ||||||||
Net decrease | (263,052 | ) | $ | (6,748,562 | ) | (1,171,594 | ) | $ | (30,841,100 | ) | ||||||
Class 4 Shares | ||||||||||||||||
Sold | 74,400 | $ | 1,484,900 | 101,469 | $ | 2,904,870 | ||||||||||
Dividends and/or distributions reinvested | 181,977 | 2,700,534 | 264,033 | 7,804,820 | ||||||||||||
Redeemed | (307,546 | ) | (5,555,549 | )1 | (621,183 | ) | (16,982,546 | )2 | ||||||||
Net decrease | (51,169 | ) | $ | (1,370,115 | ) | (255,681 | ) | $ | (6,272,856 | ) | ||||||
1. | Net of redemption fees of $3,149 and $3,235 for Class 3 and Class 4, respectively. | |
2. | Net of redemption fees of $7,921 and $5,109 for Class 3 and Class 4, respectively. |
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF and LAF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 172,968,473 | $ | 273,592,947 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
F17 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Fees and Other Transactions with Affiliates Continued
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $203,518 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares and Class 4 Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares and Class 4 shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares and Class 4 shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares and Class 4 shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares and Class 4 shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares and Class 4 shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 1.00% for Non-Service and Class 3 shares and 1.25% for Service and Class 4 shares. This voluntary undertaking may be amended or withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $12,208 for IMMF management fees.
5. Foreign Currency Exchange Contracts
The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
As of June 30, 2009, the Fund had no outstanding forward contracts.
F18 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
6. Securities Lending
The Fund lends portfolio securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower and recognizes the gain or loss in the fair value of the securities loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand.
As of June 30, 2009, the Fund had no securities on loan.
7. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
8. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneyss’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F19 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
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F20 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
7 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
OPPENHEIMER GLOBAL SECURITIES FUND/VA
A Series of Oppenheimer Variable Account Funds
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Rajeev Bhaman, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered Public Accounting Firm | KPMG llp | |
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firms. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved.
June 30, 2009 Oppenheimer High Income Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Investment Strategy Discussion Listing of Top Holdings Listing of Investments Financial Statements |
OPPENHEIMER HIGH INCOME FUND/VA
Fund Objective. The Fund seeks a high level of current income by investing mainly in a diversified portfolio of high-yield, lower-grade, fixed-income securities that the Fund’s investment manager, OppenheimerFunds, Inc., believes does not involve undue risk.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 6.33 | % | ||
Service Shares | 5.70 | |||
Class 3 | 6.37 | |||
Class 4 | 6.29 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -76.10 | % | -22.93 | % | -10.50 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/01) | ||||||||||
Service Shares | -76.11 | % | -23.10 | % | -13.13 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/01/07) | ||||||||||
Class 3 | -76.35 | % | N/A | -50.65 | % | |||||||
Class 4 | -76.03 | % | N/A | -50.41 | % |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year. The net expense ratios take into account a voluntary fee waiver or expense reimbursement, without which performance would have been less. This undertaking may be modified or terminated at any time.
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.90 | % | 0.49 | % | ||||
Service Shares | 1.14 | 0.74 | ||||||
Class 3 | 0.90 | 0.49 | ||||||
Class 4 | 1.12 | 0.74 |
Credit Allocation
A | 0.2 | % | ||
BBB | 7.6 | |||
BB | 38.5 | |||
B | 37.3 | |||
CCC | 13.1 | |||
CC | 0.7 | |||
C | 0.7 | |||
D | 0.1 | |||
Not Rated | 1.0 | |||
Other Securities | 0.8 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of investments. Securities rated by any rating organization are included in the equivalent Standard & Poor’s rating category. Average credit quality and allocation include rated securities and those not rated by a national rating organization but which the ratings given above have been assigned by the Manager for internal purposes as being comparable, in the Manager’s judgment, to securities rated by a rating agency in the same category.
Corporate Bonds & Notes—Top Ten Industries
Oil, Gas & Consumable Fuels | 12.7 | % | ||
Media | 7.6 | |||
Health Care Providers & Services | 7.9 | |||
Hotels, Restaurants & Leisure | 6.8 | |||
Food Products | 4.8 | |||
Wireless Telecommunication Services | 3.8 | |||
Energy Traders | 3.7 | |||
Aerospace & Defense | 3.4 | |||
Diversified Telecommunication Services | 3.3 | |||
Automobiles | 3.2 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER HIGH INCOME FUND/VA
Fund Performance Discussion
The Fund’s Non-Service shares returned 6.33% for the six-month period ended June 30, 2009, underperforming the Merrill Lynch High Yield Master Index, which returned 28.99%. In the first quarter of 2009, the market dislocations and credit crunch that dominated the second half of 2008 continued. During this time, the Fund’s performance suffered. In the second quarter of 2009, market volatility diminished and the markets stabilized. The Fund’s performance in the second quarter improved dramatically, allowing it to finish the reporting period in positive territory.
In the first quarter of 2009, Fund performance declined primarily due to the portfolio’s exposure to commercial mortgage-backed securities (CMBS) and investment-grade credit. Within a difficult market environment, these investments underperformed. The CMBS market improved somewhat late in the quarter, but still finished in negative territory. The Fund’s investments in non-agency mortgages benefited modestly from positive returns in the first quarter, but underperformed versus the high yield market.
In the second quarter of 2009, Fund performance improved, both on an absolute basis and versus the Merrill Lynch High Yield Master Index. During the second quarter, we made a number of changes to the Fund’s portfolio. We eliminated virtually all positions in CMBS, investment grade financials and credit default swaps by period end. The Fund at period end was fully invested primarily in high yield corporate debt. We significantly increased our exposure to the energy sector during the reporting period, specifically within oil, gas and consumable fuels holdings.
Effective April 1, 2009, Joseph Welsh, CFA, was named head of OppenheimerFunds’ High Yield Corporate Debt team and was named the sole Portfolio Manager of Oppenheimer High Income Fund/VA. Mr. Welsh and his team are responsible for all high yield strategies. Mr. Welsh has worked for OppenheimerFunds since 1995, when he joined the firm as a high yield bond analyst, supporting a number of portfolios. Prior to that, he served as a senior bond analyst at W.R. Huff Asset Management, a private institutional money manager.
At period end, the team has transitioned the portfolio to a positioning they feel is suitable for market conditions existing as of period end. They will continue to employ their bottom-up, fundamental analysis and continue to monitor industry weightings within the Fund to ensure that they are within target ranges set for the portfolio.
The High Yield Corporate Debt team’s process emphasizes a high commitment to consistent investment approach and will employ a bottom-up, credit-research driven approach to security selection. The team has been together for many years and possesses a proven process to analyze balance sheet dynamics. They will study each company’s strategy, assets, and competitive position and assess their business prospects, management quality, and value and seek to diversify by issuer and industry sector.
Please note that derivative instruments, securities whose values depend on the performance of an underlying security or asset, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. Fixed income investing entails credit risks and interest rate risks. When interest rates rise, bond prices generally fall, and the Fund’s share prices can fall. The Fund invests in debt securities below investment grade, which may entail greater credit risks, as described in the prospectus. Mortgage-related securities have greater potential for loss when interest rates rise.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
3 | OPPENHEIMER HIGH INCOME FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
4 | OPPENHEIMER HIGH INCOME FUND/VA
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,063.30 | $ | 3.28 | ||||||
Service shares | 1,000.00 | 1,057.00 | 4.50 | |||||||||
Class 3 | 1,000.00 | 1,063.70 | 3.07 | |||||||||
Class 4 | 1,000.00 | 1,062.90 | 4.41 | |||||||||
Hypothtical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.62 | 3.21 | |||||||||
Service shares | 1,000.00 | 1,020.43 | 4.42 | |||||||||
Class 3 | 1,000.00 | 1,021.82 | 3.01 | |||||||||
Class 4 | 1,000.00 | 1,020.53 | 4.32 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service Shares | 0.64 | % | ||
Service shares | 0.88 | |||
Class 3 | 0.60 | |||
Class 4 | 0.86 |
The expense ratios reflect reduction to custodian expenses and voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
5 | OPPENHEIMER HIGH INCOME FUND/VA
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6 | OPPENHEIMER HIGH INCOME FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations—0.4% | ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2527, Cl. SG, 47.357%, 2/15/321 | $ | 198,539 | $ | 12,409 | ||||
Series 2531, Cl. ST, 55.753%, 2/15/301 | 243,481 | 16,841 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security, Trust 364, Cl. 16, 0.008%, 9/1/351 | 116,098 | 17,839 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 2A4, 5.833%, 2/1/372 | 687,432 | 124,279 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A2, 5.581%, 12/1/362 | 1,691,156 | 311,027 | ||||||
Total Mortgage-Backed Obligations (Cost $1,773,983) | 482,395 | |||||||
Corporate Bonds and Notes—95.5% | ||||||||
Consumer Discretionary—23.3% | ||||||||
Auto Components—1.1% | ||||||||
Allison Transmission, Inc., 11% Sr. Nts., 11/1/153 | 900,000 | 715,500 | ||||||
Goodyear Tire & Rubber Co. (The): | ||||||||
7.857% Nts., 8/15/11 | 370,000 | 362,600 | ||||||
9% Sr. Unsec. Nts., 7/1/15 | 255,000 | 253,725 | ||||||
1,331,825 | ||||||||
Automobiles—3.2% | ||||||||
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 | 1,515,000 | 1,390,013 | ||||||
Ford Motor Co.: | ||||||||
6.50% Sr. Unsec. Unsub. Nts., 8/1/18 | 435,000 | 258,825 | ||||||
7.45% Bonds, 7/16/31 | 1,935,000 | 1,151,325 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
8% Unsec. Nts., 6/1/14 | 610,000 | 494,218 | ||||||
9.75% Sr. Unsec. Nts., 9/15/10 | 830,000 | 795,269 | ||||||
4,089,650 | ||||||||
Diversified Consumer Services—0.5% | ||||||||
Service Corp. International: | ||||||||
6.75% Sr. Unsec. Nts., 4/1/15 | 285,000 | 259,350 | ||||||
7% Sr. Unsec. Unsub. Nts., 6/15/17 | 340,000 | 309,400 | ||||||
568,750 | ||||||||
Hotels, Restaurants & Leisure—6.8% | ||||||||
CCM Merger, Inc., 8% Unsec. Nts., 8/1/133 | 735,000 | 510,825 | ||||||
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/133,4 | 1,155,000 | 77,963 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/183 | 1,438,000 | 834,040 | ||||||
Harrah’s Operating Escrow LLC/ Harrah’s Escrow Group, 11.25% Sr. Sec. Nts., 6/1/173 | 420,000 | 399,000 | ||||||
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 | 850,000 | 688,500 | ||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/153 | 1,770,000 | 893,850 | ||||||
MGM Mirage, Inc., 6.75% Sr. Unsec. Nts., 4/1/13 | 375,000 | 252,188 | ||||||
Mohegan Tribal Gaming Authority, 6.125% Sr. Unsec. Sub. Nts., 2/15/13 | 975,000 | 741,000 | ||||||
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 | 880,000 | 809,600 | ||||||
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 | 605,000 | 605,000 | ||||||
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/143 | 445,000 | 438,325 | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/144 | 3,280,000 | 82,000 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 650,000 | 386,750 | ||||||
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/154 | 715,000 | 92,056 | ||||||
Wendy’s/Arby’s Group, Inc., 10% Sr. Unsec. Nts., 7/15/163 | 985,000 | 946,831 | ||||||
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 | 1,010,000 | 893,850 | ||||||
8,651,778 | ||||||||
Household Durables—1.8% | ||||||||
Jarden Corp., 7.50% Sr. Unsec. Sub. Nts., 5/1/17 | 805,000 | 708,400 | ||||||
K. Hovnanian Enterprises, Inc.: | ||||||||
7.75% Sr. Unsec. Sub. Nts., 5/15/13 | 285,000 | 129,675 | ||||||
8.875% Sr. Sub. Nts., 4/1/12 | 805,000 | 503,125 | ||||||
Lennar Corp., 12.25% Sr. Unsec. Nts., 6/1/17 | 485,000 | 511,675 | ||||||
Toll Brothers Finance Corp., 8.91% Sr. Unsec. Nts., 10/15/17 | 380,000 | 389,162 | ||||||
2,242,037 | ||||||||
Leisure Equipment & Products—0.3% | ||||||||
Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 | 415,000 | 420,188 |
F1 | OPPENHEIMER HIGH INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Media—7.6% | ||||||||
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 | $ | 365,000 | $ | 283,788 | ||||
AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 | 245,000 | 210,088 | ||||||
American Media Operations, Inc.: | ||||||||
9% Sr. Unsec. Nts., 5/1/133 | 1,774 | 781 | ||||||
14% Sr. Sub. Nts., 11/1/133 | 514,077 | 185,068 | ||||||
CCH I LLC/CCH I Capital Corp., 11% Sr. Sec. Nts., 10/1/154 | 1,455,000 | 181,875 | ||||||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp., 10.25% Sr. Unsec. Nts., 9/15/104,5 | 605,000 | 641,300 | ||||||
Cinemark USA, Inc., 8.625% Sr. Nts., 6/15/193 | 625,000 | 620,313 | ||||||
EchoStar DBS Corp., 6.375% Sr. Unsec. Nts., 10/1/11 | 1,010,000 | 982,225 | ||||||
Fisher Communications, Inc., 8.625% Sr. Unsec. Nts., 9/15/14 | 185,000 | 163,263 | ||||||
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 | 915,000 | 874,969 | ||||||
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 | 1,380,000 | 1,000,500 | ||||||
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 | 940,000 | 900,050 | ||||||
MediaNews Group, Inc.: | ||||||||
6.375% Sr. Sub. Nts., 4/1/146 | 1,460,000 | 7,446 | ||||||
6.875% Sr. Unsec. Sub. Nts., 10/1/134,6 | 2,510,000 | 12,801 | ||||||
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 | 675,000 | 653,063 | ||||||
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 | 280,000 | 116,900 | ||||||
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/123 | 275,000 | 278,438 | ||||||
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 | 1,640,000 | 1,102,900 | ||||||
Virgin Media Finance plc, 8.75% Sr. Unsec. Nts., 4/15/14 | 220,000 | 215,600 | ||||||
Warner Music Group Corp., 7.375% Sr. Sub. Bonds, 4/15/14 | 1,030,000 | 876,788 | ||||||
WMG Acquisition Corp., 9.50% Sr. Sec. Nts., 6/15/163 | 305,000 | 305,000 | ||||||
9,613,156 | ||||||||
Specialty Retail—1.3% | ||||||||
Claire’s Stores, Inc., 10.50% Sr. Unsec. Sub. Nts., 6/1/17 | 1,530,000 | 543,150 | ||||||
GameStop Corp., 8% Sr. Unsec. Nts., 10/1/12 | 475,000 | 480,938 | ||||||
Leslie’s Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/136 | 575,000 | 550,563 | ||||||
1,574,651 | ||||||||
Textiles, Apparel & Luxury Goods—0.7% | ||||||||
Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 | 895,000 | 883,813 | ||||||
Consumer Staples—7.0% | ||||||||
Food & Staples Retailing—1.7% | ||||||||
Albertson’s, Inc., 8% Sr. Unsec. Debs., 5/1/31 | 1,160,000 | 1,000,500 | ||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 1,010,000 | 1,228,021 | ||||||
Real Time Data Co., 11% Nts., 5/31/094,5,6,7 | 476,601 | — | ||||||
2,228,521 | ||||||||
Food Products—4.8% | ||||||||
Chiquita Brands International, Inc.: | ||||||||
7.50% Sr. Unsec. Nts., 11/1/14 | 730,000 | 616,850 | ||||||
8.875% Sr. Unsec. Unsub. Nts., 12/1/15 | 285,000 | 247,238 | ||||||
Dean Foods Co., 7% Sr. Unsec. Unsub. Nts., 6/1/16 | 1,520,000 | 1,394,600 | ||||||
Dole Food Co., Inc.: | ||||||||
7.25% Sr. Unsec. Nts., 6/15/10 | 590,000 | 584,100 | ||||||
8.875% Sr. Unsec. Nts., 3/15/11 | 621,000 | 608,580 | ||||||
JBS USA LLC/JBS USA Finance, Inc., 11.625% Sr. Nts., 5/1/143 | 895,000 | 850,250 | ||||||
Pinnacle Foods Finance LLC/ Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 | 1,620,000 | 1,377,000 | ||||||
Smithfield Foods, Inc., 7% Sr. Nts., 8/1/11 | 360,000 | 343,800 | ||||||
6,022,418 | ||||||||
Personal Products—0.5% | ||||||||
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 | 730,000 | 635,100 | ||||||
Energy—14.5% | ||||||||
Energy Equipment & Services—1.8% | ||||||||
Helix Energy Solutions Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/163 | 1,025,000 | 940,438 | ||||||
Key Energy Services, Inc., 8.375% Sr. Unsec. Nts., 12/1/14 | 815,000 | 723,313 | ||||||
Pride International, Inc., 7.375% Sr. Unsec. Nts., 7/15/14 | 630,000 | 628,425 | ||||||
2,292,176 | ||||||||
Oil, Gas & Consumable Fuels—12.7% | ||||||||
Atlas Energy Resources LLC, 10.75% Sr. Nts., 2/1/183 | 1,010,000 | 956,975 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 | 555,000 | 399,600 | ||||||
Berry Petroleum Co.: | ||||||||
8.25% Sr. Sub. Nts., 11/1/16 | 470,000 | 405,375 | ||||||
10.25% Sr. Unsec. Nts., 6/1/14 | 460,000 | 466,900 |
F2 | OPPENHEIMER HIGH INCOME FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Bill Barrett Corp., 9.875% Sr. Nts., 7/15/168 | $ | 90,000 | $ | 88,650 | ||||
Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 | 1,360,000 | 1,207,000 | ||||||
Cimarex Energy Co., 7.125% Sr. Nts., 5/1/17 | 285,000 | 252,225 | ||||||
Denbury Resources, Inc., 7.50% Sr. Sub. Nts., 12/15/15 | 1,190,000 | 1,136,450 | ||||||
El Paso Corp.: | ||||||||
7% Sr. Unsec. Sub. Nts., 6/15/17 | 180,000 | 164,816 | ||||||
7.25% Sr. Unsec. Nts., 6/1/18 | 205,000 | 190,298 | ||||||
Enterprise Products Operating LLP, 8.375% Jr. Sub. Nts., 8/1/662 | 1,570,000 | 1,265,417 | ||||||
Forest Oil Corp.: | ||||||||
7.25% Sr. Unsec. Nts., 6/15/193 | 335,000 | 301,500 | ||||||
8.50% Sr. Nts., 2/15/143 | 910,000 | 898,625 | ||||||
Kinder Morgan Finance Co. ULC, 5.70% Sr. Unsec. Unsub. Nts., 1/5/16 | 620,000 | 534,750 | ||||||
Mariner Energy, Inc., 11.75% Sr. Unsec. Nts., 6/30/16 | 430,000 | 430,000 | ||||||
Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 | 1,265,000 | 1,163,800 | ||||||
Newfield Exploration Co., 6.625% Sr. Unsec. Unsub. Nts., 4/15/16 | 660,000 | 598,950 | ||||||
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 | 590,000 | 587,050 | ||||||
Petrohawk Energy Corp., 10.50% Sr. Nts., 8/1/143 | 520,000 | 534,300 | ||||||
Pioneer Natural Resources Co.: | ||||||||
5.875% Sr. Unsec. Nts., 7/15/16 | 150,000 | 130,071 | ||||||
6.65% Sr. Unsec. Nts., 3/15/17 | 105,000 | 92,427 | ||||||
6.875% Sr. Unsec. Unsub. Nts., 5/1/18 | 150,000 | 131,411 | ||||||
Plains Exploration & Production, 10% Sr. Unsec. Nts., 3/1/16 | 1,225,000 | 1,264,813 | ||||||
Quicksilver Resources, Inc.: | ||||||||
7.125% Sr. Sub. Nts., 4/1/16 | 555,000 | 435,675 | ||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 335,000 | 299,825 | ||||||
11.75% Sr. Nts., 1/1/16 | 615,000 | 639,600 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.625% Sr. Unsec. Unsub. Nts., 4/1/157 | 355,000 | 320,388 | ||||||
9.875% Sr. Unsec. Nts., 5/15/163 | 660,000 | 640,200 | ||||||
Southwestern Energy Co., 7.50% Sr. Nts., 2/1/183 | 510,000 | 492,150 | ||||||
16,029,241 | ||||||||
Financials—2.4% | ||||||||
Capital Markets—0.3% | ||||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/384,6 | 3,481,000 | 348 | ||||||
RailAmerica, Inc., 9.25% Sr. Sec. Nts., 7/1/173 | 335,000 | 324,950 | ||||||
325,298 | ||||||||
Consumer Finance—0.9% | ||||||||
SLM Corp., 4.50% Nts., Series A, 7/26/10 | 1,195,000 | 1,129,622 | ||||||
Diversified Financial Services—0.4% | ||||||||
GMAC LLC, 8% Sr. Unsec. Unsub. Nts., 11/1/313 | 745,000 | 528,950 | ||||||
Insurance—0.3% | ||||||||
Multiplan, Inc., 10.375% Sr. Sub. Nts., 4/15/166 | 400,000 | 387,000 | ||||||
Prudential Insurance Co. of America, 8.30% Nts., 7/1/253 | 35,000 | 31,857 | ||||||
418,857 | ||||||||
Real Estate Investment Trusts—0.5% | ||||||||
HCP, Inc.: | ||||||||
6% Sr. Unsec. Nts., 1/30/17 | 245,000 | 207,993 | ||||||
6.70% Sr. Unsec. Nts., 1/30/18 | 475,000 | 413,272 | ||||||
621,265 | ||||||||
Health Care—10.5% | ||||||||
Health Care Equipment & Supplies—2.1% | ||||||||
Biomet, Inc., 10.375% Sr. Unsec. Nts., 10/15/177 | 1,210,000 | 1,176,725 | ||||||
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/152 | 1,320,000 | 1,009,800 | ||||||
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/157 | 500,000 | 473,750 | ||||||
2,660,275 | ||||||||
Health Care Providers & Services—7.9% | ||||||||
Apria Healthcare Group, Inc., 11.25% Sr. Sec. Nts., 11/1/143 | 915,000 | 887,550 | ||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/157 | 1,080,000 | 568,350 | ||||||
Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 | 1,455,000 | 1,433,175 | ||||||
DaVita, Inc., 6.625% Sr. Unsec. Nts., 3/15/13 | 300,000 | 284,250 | ||||||
HCA, Inc.: | ||||||||
6.375% Nts., 1/15/15 | 1,590,000 | 1,299,825 | ||||||
8.50% Sr. Sec. Nts., 4/15/193 | 340,000 | 334,900 | ||||||
HEALTHSOUTH Corp., 10.75% Sr. Unsec. Nts., 6/15/16 | 1,360,000 | 1,373,600 | ||||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 | 1,520,000 | 1,242,600 | ||||||
Tenet Healthcare Corp., 7.375% Nts., 2/1/13 | 620,000 | 561,100 | ||||||
US Oncology Holdings, Inc., 6.904% Sr. Unsec. Nts., 3/15/122,7 | 579,000 | 490,703 | ||||||
US Oncology, Inc., 9.125% Sr. Sec. Nts., 8/15/173 | 615,000 | 613,463 |
F3 | OPPENHEIMER HIGH INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Health Care Providers & Services Continued | ||||||||
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Nts., 10/1/159 | $ | 960,000 | $ | 940,800 | ||||
10,030,316 | ||||||||
Pharmaceuticals—0.5% | ||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 715,000 | 629,200 | ||||||
Industrials—11.5% | ||||||||
Aerospace & Defense—3.4% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 1,005,000 | 927,113 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 1,080,000 | 1,020,600 | ||||||
Bombardier, Inc.: | ||||||||
6.30% Sr. Unsec. Unsub. Nts., 5/1/143 | 645,000 | 567,600 | ||||||
8% Sr. Nts., 11/15/143 | 440,000 | 416,350 | ||||||
L-3 Communications Corp., 5.875% Sr. Sub. Nts., 1/15/15 | 1,570,000 | 1,401,225 | ||||||
4,332,888 | ||||||||
Airlines—0.8% | ||||||||
American Airlines Pass Through Trust 2009-1A, 10.375%, Pass-Through Certificates, Series 2009-1A, 7/2/198 | 225,000 | 226,125 | ||||||
American Airlines, Pass Through Trust 2001-2, 7.858% Pass-Through Certificates, Series 2001-2, Cl. A-2, 10/1/116 | 830,000 | 778,125 | ||||||
1,004,250 | ||||||||
Building Products—0.1% | ||||||||
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 | 355,000 | 102,950 | ||||||
Commercial Services & Supplies—3.2% | ||||||||
Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 | 820,000 | 837,234 | ||||||
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/054,5,6 | 200,000 | — | ||||||
Aramark Services, Inc., 8.50% Sr. Unsec. Nts., 2/1/15 | 320,000 | 312,000 | ||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 535,000 | 529,650 | ||||||
Iron Mountain, Inc.: | ||||||||
7.75% Sr. Sub. Nts., 1/15/15 | 405,000 | 390,825 | ||||||
8.625% Sr. Unsec. Sub. Nts., 4/1/13 | 795,000 | 796,988 | ||||||
West Corp., 9.50% Sr. Unsec. Nts., 10/15/14 | 1,360,000 | 1,196,800 | ||||||
4,063,497 | ||||||||
Electrical Equipment—0.1% | ||||||||
Baldor Electric Co., 8.625% Sr. Nts., 2/15/17 | 110,000 | 102,300 | ||||||
Machinery—1.0% | ||||||||
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 | 575,000 | 427,656 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 1,025,000 | 793,094 | ||||||
1,220,750 | ||||||||
Professional Services—0.5% | ||||||||
US Investigations Services, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/153 | 755,000 | 619,100 | ||||||
Road & Rail—1.4% | ||||||||
Avis Budget Car Rental LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 | 1,285,000 | 918,775 | ||||||
Hertz Corp., 10.50% Sr. Unsec. Sub. Nts., 1/1/16 | 910,000 | 814,450 | ||||||
1,733,225 | ||||||||
Trading Companies & Distributors—1.0% | ||||||||
RSC Equipment Rental, Inc., 10% Sr. Sec. Nts., 7/15/176,8 | 185,000 | 176,342 | ||||||
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 | 1,380,000 | 1,135,050 | ||||||
1,311,392 | ||||||||
Information Technology—4.9% | ||||||||
Communications Equipment—0.0% | ||||||||
Orion Network Systems, Inc., 12.50% Sr. Unsub. Nts., 1/15/074,5,6 | 1,150,000 | 12 | ||||||
Computers & Peripherals—1.0% | ||||||||
Seagate Technology International, 10% Sr. Sec. Nts., 5/1/143 | 1,205,000 | 1,248,681 | ||||||
Electronic Equipment & Instruments—1.2% | ||||||||
Celestica, Inc., 7.625% Sr. Unsec. Sub. Nts., 7/1/13 | 600,000 | 588,000 | ||||||
Flextronics International Ltd., 6.50% Sr. Unsec. Sub. Nts., 5/15/13 | 640,000 | 619,200 | ||||||
RBS Global & Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 | 420,000 | 311,850 | ||||||
1,519,050 | ||||||||
Internet Software & Services—0.0% | ||||||||
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/094,5,6 | 844,866 | EUR | — | |||||
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/104,5,6 | 240,208 | — | ||||||
— | ||||||||
IT Services—2.2% | ||||||||
Affiliated Computer Services, Inc., 5.20% Sr. Unsec. Nts., 6/1/15 | 630,000 | 538,650 |
F4 | OPPENHEIMER HIGH INCOME FUND/VA
Principal | ||||||||
Amount | Value | |||||||
IT Services Continued | ||||||||
First Data Corp., 9.875% Sr. Unsec. Nts., 9/24/15 | $ | 1,245,000 | $ | 890,175 | ||||
Sabre Holdings Corp., 7.35% Sr. Unsec. Unsub. Nts., 8/1/11 | 160,000 | 136,800 | ||||||
SunGard Data Systems, Inc., 9.125% Sr. Unsec. Nts., 8/15/13 | 1,260,000 | 1,197,000 | ||||||
2,762,625 | ||||||||
Semiconductors & Semiconductor Equipment—0.5% | ||||||||
Amkor Technology, Inc.: | ||||||||
7.75% Sr. Nts., 5/15/13 | 415,000 | 382,319 | ||||||
9.25% Sr. Unsec. Nts., 6/1/16 | 250,000 | 232,813 | ||||||
615,132 | ||||||||
Materials—8.7% | ||||||||
Chemicals—1.8% | ||||||||
Huntsman International LLC, 7.875% Sr. Unsec. Sub. Nts., 11/15/14 | 95,000 | 75,763 | ||||||
Huntsman LLC: | ||||||||
11.50% Sr. Unsec. Nts., 7/15/12 | 190,000 | 193,325 | ||||||
11.625% Sr. Unsec. Nts., 10/15/10 | 460,000 | 472,650 | ||||||
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 | 2,645,000 | 753,825 | ||||||
Nalco Co., 8.875% Unsec. Sub. Nts., 11/15/13 | 725,000 | 743,125 | ||||||
2,238,688 | ||||||||
Construction Materials—0.0% | ||||||||
NTK Holdings, Inc., 0%/10.75% Sr. Unsec. Nts., 3/1/149 | 455,000 | 38,675 | ||||||
Containers & Packaging—3.1% | ||||||||
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 | 1,085,000 | 919,538 | ||||||
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 | 810,000 | 795,825 | ||||||
Graham Packaging Co., Inc.: | ||||||||
8.50% Sr. Unsec. Nts., 10/15/12 | 360,000 | 349,200 | ||||||
9.875% Sr. Unsec. Sub. Nts., 10/15/14 | 950,000 | 888,250 | ||||||
Graphic Packaging International, Inc.: | ||||||||
8.50% Sr. Nts., 8/15/11 | 388,000 | 386,060 | ||||||
9.50% Sr. Unsec. Nts., 6/15/173 | 550,000 | 544,500 | ||||||
3,883,373 | ||||||||
Metals & Mining—2.5% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 1,640,000 | 1,654,626 | ||||||
Steel Dynamics, Inc., 7.375% Sr. Unsec. Unsub. Nts., 11/1/12 | 610,000 | 581,025 | ||||||
Teck Resourches Ltd., 10.25% Sr. Sec. Nts., 5/15/163 | 915,000 | 959,640 | ||||||
3,195,291 | ||||||||
Paper & Forest Products—1.3% | ||||||||
Georgia-Pacific LLC, 8.25% Sr. Unsec. Nts., 5/1/163 | 1,155,000 | 1,126,125 | ||||||
NewPage Corp., 10% Sr. Sec. Nts., 5/1/12 | 1,170,000 | 567,450 | ||||||
1,693,575 | ||||||||
Telecommunication Services—7.1% | ||||||||
Diversified Telecommunication Services—3.3% | ||||||||
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 | 1,365,000 | 1,262,625 | ||||||
Intelsat Subsidiary Holdings Co. Ltd., 8.50% Sr. Unsec. Nts., 1/15/133 | 605,000 | 583,825 | ||||||
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 | 1,225,000 | 1,240,313 | ||||||
Windstream Corp.: | ||||||||
8.125% Sr. Unsec. Unsub. Nts., 8/1/13 | 670,000 | 651,575 | ||||||
8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 435,000 | 418,688 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/104,5,6 | 1,000,000 | — | ||||||
4,157,026 | ||||||||
Wireless Telecommunication Services—3.8% | ||||||||
American Tower Corp., 7.25% Sr. Unsec. Nts., 5/15/193 | 660,000 | 641,850 | ||||||
Cricket Communications, Inc., 7.75% Sr. Sec. Nts., 5/15/163 | 735,000 | 711,113 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 1,545,000 | 1,239,863 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 2,725,000 | 2,207,250 | ||||||
Teligent, Inc., 11.50% Sr. Nts., 12/1/084,5,6 | 400,000 | — | ||||||
4,800,076 | ||||||||
Utilities—5.6% | ||||||||
Electric Utilities—1.9% | ||||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 1,480,000 | 1,143,300 | ||||||
Energy Future Holdings Corp., 10.875% Sr. Unsec. Nts., 11/1/17 | 1,295,000 | 951,825 | ||||||
Texas Competitive Electric Holdings Co. LLC, 10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 510,000 | 320,025 | ||||||
2,415,150 | ||||||||
Energy Traders—3.7% | ||||||||
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/133 | 265,000 | 270,300 | ||||||
Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 | 1,115,000 | 950,538 |
F5 | OPPENHEIMER HIGH INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Energy Traders Continued | ||||||||
Mirant North America LLC, 7.375% Sr. Unsec. Nts., 12/31/13 | $ | 1,275,000 | $ | 1,230,375 | ||||
NRG Energy, Inc.: | ||||||||
7.375% Sr. Nts., 1/15/17 | 440,000 | 415,800 | ||||||
7.375% Sr. Nts., 2/1/16 | 800,000 | 759,000 | ||||||
Reliant Energy, Inc., 7.625% Sr. Unsec. Unsub. Nts., 6/15/14 | 1,170,000 | 1,076,400 | ||||||
4,702,413 | ||||||||
Total Corporate Bonds and Notes (Cost $138,848,247) | 120,687,206 | |||||||
Shares | ||||||||
Preferred Stocks—0.0% | ||||||||
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.5,6,7 | 13,764 | — | ||||||
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.5,6 | 8,000 | — | ||||||
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.5,6,7 | 342 | — | ||||||
Total Preferred Stocks (Cost $1,097,476) | — | |||||||
Shares | Value | |||||||
Common Stocks—0.5% | ||||||||
American Media, Inc.5,6 | 9,424 | $ | 94 | |||||
Charter Communications, Inc.5 | 33,081 | 652,538 | ||||||
Global Aero Logistics, Inc.5,6 | 4,647 | 4,647 | ||||||
Total Common Stocks (Cost $880,300) | 657,279 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/115,6 (Cost $4,339) | 570 | 6 | ||||||
Shares | ||||||||
Investment Companies—0.8% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%10,12 | 84,942 | 84,942 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%10,11 | 935,865 | 935,865 | ||||||
Total Investment Companies (Cost $1,020,807) | 1,020,807 | |||||||
Total Investments, at Value (Cost $143,625,152) | 97.2 | % | 122,847,693 | |||||
Other Assets Net of Liabilities | 2.8 | 3,534,754 | ||||||
Net Assets | 100.0 | % | $ | 126,382,447 | ||||
Footnotes to Statement of Investments
Principal amount is reported in U.S. Dollars, except for those denoted in the following currency:
EUR Euro
1. | 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 $47,089 or 0.04% of the Fund’s net assets as of June 30, 2009. | |
2. | Represents the current interest rate for a variable or increasing rate security. | |
3. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $22,231,126 or 17.59% of the Fund’s net assets as of June 30, 2009. | |
4. | Issue is in default. See Note 1 of accompanying Notes. | |
5. | Non-income producing security. | |
6. | Illiquid security. The aggregate value of illiquid securities as of June 30, 2009 was $1,917,384, which represents 1.52% of the Fund’s net assets. See Note 6 of accompanying Notes. | |
7. | Interest or dividend is paid-in-kind, when applicable. | |
8. | When-issued security or delayed delivery to be delivered and settled after June 30, 2009. See Note 1 of accompanying Notes. | |
9. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
10. | Rate shown is the 7-day yield as of June 30, 2009. | |
11. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 76,839,590 | 101,987,171 | 177,890,896 | 935,865 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 935,865 | $ | 232,030 |
12. | Interest rate less than 0.0005%. |
F6 | OPPENHEIMER HIGH INCOME FUND/VA
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 1— | Level 2— | Level 3— | ||||||||||||||
Unadjusted | Other Significant | Significant | ||||||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at value: | ||||||||||||||||
Mortgage-Backed Obligations | $ | — | $ | 482,395 | $ | — | $ | 482,395 | ||||||||
Corporate Bonds and Notes | — | 120,687,194 | 12 | 120,687,206 | ||||||||||||
Preferred Stocks | — | — | — | — | ||||||||||||
Common Stocks | — | 652,632 | 4,647 | 657,279 | ||||||||||||
Rights, Warrants and Certificates | — | — | 6 | 6 | ||||||||||||
Investment Companies | 1,020,807 | — | — | 1,020,807 | ||||||||||||
Total Assets | $ | 1,020,807 | $ | 121,822,221 | $ | 4,665 | $ | 122,847,693 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
See accompanying Notes to Financial Statements.
F7 | OPPENHEIMER HIGH INCOME FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $142,689,287) | $ | 121,911,828 | ||
Affiliated companies (cost $935,865) | 935,865 | |||
122,847,693 | ||||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 2,861,273 | |||
Investments sold (including $60,300 sold on a when-issued or delayed delivery basis) | 2,666,283 | |||
Shares of beneficial interest sold | 9,353 | |||
Other | 12,014 | |||
Total assets | 128,396,616 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased (including $549,454 purchased on a when-issued or delayed delivery basis) | 1,417,232 | |||
Shares of beneficial interest redeemed | 498,626 | |||
Shareholder communications | 31,582 | |||
Distribution and service plan fees | 30,291 | |||
Transfer and shareholder servicing agent fees | 10,499 | |||
Trustees’ compensation | 7,618 | |||
Other | 18,321 | |||
Total liabilities | 2,014,169 | |||
Net Assets | $ | 126,382,447 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 75,380 | ||
Additional paid-in capital | 450,871,263 | |||
Accumulated net investment income | 42,020,925 | |||
Accumulated net realized loss on investments | (345,807,662 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (20,777,459 | ) | ||
Net Assets | $ | 126,382,447 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $63,056,753 and 37,531,044 shares of beneficial interest outstanding) | $ | 1.68 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $53,825,708 and 32,193,258 shares of beneficial interest outstanding) | $ | 1.67 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $3,813,406 and 2,287,725 shares of beneficial interest outstanding) | $ | 1.67 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $5,686,580 and 3,368,185 shares of beneficial interest outstanding) | $ | 1.69 |
See accompanying Notes to Financial Statements.
F8 | OPPENHEIMER HIGH INCOME FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Interest | $ | 7,036,344 | ||
Dividends: | ||||
Unaffiliated companies | 3,400 | |||
Affiliated companies | 232,030 | |||
Fee income | 2,922 | |||
Total investment income | 7,274,696 | |||
Expenses | ||||
Management fees | 500,637 | |||
Distribution and service plan fees: | ||||
Service shares | 59,518 | |||
Class 4 shares | 7,415 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 13,966 | |||
Service shares | 12,084 | |||
Class 3 shares | 704 | |||
Shareholder communications: | ||||
Non-Service shares | 22,543 | |||
Service shares | 12,931 | |||
Class 3 shares | 654 | |||
Class 4 shares | 1,747 | |||
Trustees’ compensation | 5,563 | |||
Custodian fees and expenses | 716 | |||
Other | 29,087 | |||
Total expenses | 667,565 | |||
Less reduction to custodian expenses | (241 | ) | ||
Less waivers and reimbursements of expenses | (179,314 | ) | ||
Net expenses | 488,010 | |||
Net Investment Income | 6,786,686 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies | (65,916,098 | ) | ||
Closing and expiration of futures contracts | (46,063 | ) | ||
Swap contracts | (50,318,230 | ) | ||
Net realized loss | (116,280,391 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 75,163,534 | |||
Translation of assets and liabilities denominated in foreign currencies | 4,895 | |||
Swap contracts | 37,794,637 | |||
Net change in unrealized depreciation | 112,963,066 | |||
Net Increase in Net Assets Resulting from Operations | $ | 3,469,361 | ||
See accompanying Notes to Financial Statements.
F9 | OPPENHEIMER HIGH INCOME FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 6,786,686 | $ | 31,706,472 | ||||
Net realized loss | (116,280,391 | ) | (241,823,086 | ) | ||||
Net change in unrealized depreciation | 112,963,066 | (101,899,131 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 3,469,361 | (312,015,745 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | — | (16,471,157 | ) | |||||
Service shares | — | (8,570,925 | ) | |||||
Class 3 shares | — | (292,606 | ) | |||||
Class 4 shares | — | (611,268 | ) | |||||
— | (25,945,956 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (48,096,872 | ) | 19,699,234 | |||||
Service shares | 7,347,718 | 5,209,593 | ||||||
Class 3 shares | 2,015,032 | 1,808,854 | ||||||
Class 4 shares | 1,482,885 | 4,859,490 | ||||||
(37,251,237 | ) | 31,577,171 | ||||||
Net Assets | ||||||||
Total decrease | (33,781,876 | ) | (306,384,530 | ) | ||||
Beginning of period | 160,164,323 | 466,548,853 | ||||||
End of period (including accumulated net investment income of $42,020,925 and $35,234,239, respectively) | $ | 126,382,447 | $ | 160,164,323 | ||||
See accompanying Notes to Financial Statements.
F10 | OPPENHEIMER HIGH INCOME FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.58 | $ | 7.95 | $ | 8.55 | $ | 8.44 | $ | 8.80 | $ | 8.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .08 | .54 | .57 | .58 | .57 | .58 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .02 | (6.44 | ) | (.56 | ) | .17 | (.37 | ) | .15 | |||||||||||||||
Total from investment operations | .10 | (5.90 | ) | .01 | .75 | .20 | .73 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | (.47 | ) | (.61 | ) | (.64 | ) | (.56 | ) | (.54 | ) | |||||||||||||
Net asset value, end of period | $ | 1.68 | $ | 1.58 | $ | 7.95 | $ | 8.55 | $ | 8.44 | $ | 8.80 | ||||||||||||
Total Return, at Net Asset Value2 | 6.33 | % | (78.67 | )% | (0.10 | )% | 9.42 | % | 2.31 | % | 8.97 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 63,057 | $ | 111,040 | $ | 294,819 | $ | 361,445 | $ | 384,726 | $ | 479,405 | ||||||||||||
Average net assets (in thousands) | $ | 77,607 | $ | 211,186 | $ | 335,702 | $ | 365,154 | $ | 444,477 | $ | 460,877 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 10.21 | % | 9.30 | % | 6.96 | % | 7.05 | % | 6.79 | % | 6.91 | % | ||||||||||||
Total expenses | 0.90 | %4 | 0.80 | %4 | 0.75 | %4 | 0.74 | %4 | 0.75 | % | 0.75 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.64 | % | 0.78 | % | 0.74 | % | 0.74 | % | 0.75 | % | 0.75 | % | ||||||||||||
Portfolio turnover rate | 77 | % | 53 | %5 | 67 | %5 | 57 | % | 64 | % | 51 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.93 | % | ||
Year Ended December 31, 2008 | 0.80 | % | ||
Year Ended December 31, 2007 | 0.76 | % | ||
Year Ended December 31, 2006 | 0.74 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Year Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
See accompanying Notes to Financial Statements.
F11 | OPPENHEIMER HIGH INCOME FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.58 | $ | 7.89 | $ | 8.50 | $ | 8.39 | $ | 8.76 | $ | 8.58 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .08 | .54 | .55 | .56 | .55 | .56 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .01 | (6.40 | ) | (.57 | ) | .17 | (.38 | ) | .15 | |||||||||||||||
Total from investment operations | .09 | (5.86 | ) | (.02 | ) | .73 | .17 | .71 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | (.45 | ) | (.59 | ) | (.62 | ) | (.54 | ) | (.53 | ) | |||||||||||||
Net asset value, end of period | $ | 1.67 | $ | 1.58 | $ | 7.89 | $ | 8.50 | $ | 8.39 | $ | 8.76 | ||||||||||||
Total Return, at Net Asset Value2 | 5.70 | % | (78.57 | )% | (0.47 | )% | 9.23 | % | 2.01 | % | 8.73 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 53,826 | $ | 43,375 | $ | 157,333 | $ | 173,299 | $ | 155,617 | $ | 134,013 | ||||||||||||
Average net assets (in thousands) | $ | 48,068 | $ | 116,236 | $ | 169,569 | $ | 160,703 | $ | 141,287 | $ | 101,464 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 10.13 | % | 9.13 | % | 6.71 | % | 6.80 | % | 6.54 | % | 6.63 | % | ||||||||||||
Total expenses | 1.16 | %4 | 1.05 | %4 | 1.01 | %4 | 1.00 | %4 | 1.00 | % | 1.01 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.88 | % | 1.03 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate | 77 | % | 53 | %5 | 67 | %5 | 57 | % | 64 | % | 51 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 1.19 | % | ||
Year Ended December 31, 2008 | 1.05 | % | ||
Year Ended December 31, 2007 | 1.02 | % | ||
Year Ended December 31, 2006 | 1.00 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Year Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
See accompanying Notes to Financial Statements.
F12 | OPPENHEIMER HIGH INCOME FUND/VA
Six Months | ||||||||||||
Ended | Year Ended | |||||||||||
June 30, 2009 | December 31, | |||||||||||
Class 3 Shares | (Unaudited) | 2008 | 20071 | |||||||||
Per Share Operating Data | ||||||||||||
Net asset value, beginning of period | $ | 1.57 | $ | 7.98 | $ | 8.26 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | .08 | .56 | .37 | |||||||||
Net realized and unrealized gain (loss) | .02 | (6.50 | ) | (.65 | ) | |||||||
Total from investment operations | .10 | (5.94 | ) | (.28 | ) | |||||||
Dividends and/or distributions to shareholders: | ||||||||||||
Dividends from net investment income | — | (.47 | ) | — | ||||||||
Net asset value, end of period | $ | 1.67 | $ | 1.57 | $ | 7.98 | ||||||
Total Return, at Net Asset Value3 | 6.37 | % | (78.89 | )% | (3.39 | )% | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 3,813 | $ | 1,582 | $ | 4,921 | ||||||
Average net assets (in thousands) | $ | 2,763 | $ | 5,292 | $ | 3,750 | ||||||
Ratios to average net assets:4 | ||||||||||||
Net investment income | 10.48 | % | 9.29 | % | 6.90 | % | ||||||
Total expenses5 | 0.91 | % | 0.80 | % | 0.76 | % | ||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.60 | % | 0.78 | % | 0.75 | % | ||||||
Portfolio turnover rate | 77 | % | 53 | %6 | 67 | %6 |
1. | For the period from May 1, 2007 (inception of offering) to December 31, 2007. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.94 | % | ||
Year Ended December 31, 2008 | 0.80 | % | ||
Period Ended December 31, 2007 | 0.77 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Period Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
See accompanying Notes to Financial Statements.
F13 | OPPENHEIMER HIGH INCOME FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||
Ended | Year Ended | |||||||||||
June 30, 2009 | December 31, | |||||||||||
Class 4 Shares | (Unaudited) | 2008 | 20071 | |||||||||
Per Share Operating Data | ||||||||||||
Net asset value, beginning of period | $ | 1.59 | $ | 7.97 | $ | 8.26 | ||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income2 | .08 | .54 | .36 | |||||||||
Net realized and unrealized gain (loss) | .02 | (6.46 | ) | (.65 | ) | |||||||
Total from investment operations | .10 | (5.92 | ) | (.29 | ) | |||||||
Dividends and/or distributions to shareholders: | ||||||||||||
Dividends from net investment income | — | (.46 | ) | — | ||||||||
Net asset value, end of period | $ | 1.69 | $ | 1.59 | $ | 7.97 | ||||||
Total Return, at Net Asset Value3 | 6.29 | % | (78.63 | )% | (3.51 | )% | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (in thousands) | $ | 5,686 | $ | 4,167 | $ | 9,476 | ||||||
Average net assets (in thousands) | $ | 5,990 | $ | 10,658 | $ | 7,201 | ||||||
Ratios to average net assets:4 | ||||||||||||
Net investment income | 10.14 | % | 9.00 | % | 6.61 | % | ||||||
Total expenses5 | 1.11 | % | 1.07 | % | 1.05 | % | ||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.86 | % | 1.05 | % | 1.04 | % | ||||||
Portfolio turnover rate | 77 | % | 53 | %6 | 67 | %6 |
1. | For the period from May 1, 2007 (inception of offering) to December 31, 2007. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 1.14 | % | ||
Year Ended December 31, 2008 | 1.07 | % | ||
Period Ended December 31, 2007 | 1.06 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended December 31, 2008 | $ | 40,240,084 | $ | 41,196,921 | ||||
Period Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
See accompanying Notes to Financial Statements.
F14 | OPPENHEIMER HIGH INCOME FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer High Income Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek a high level of current income by investing mainly in a diversified portfolio of high-yield, lower-grade, fixed-income securities that the Fund’s investment manager, OppenheimerFunds, Inc. (the “Manager”), believes does not involve undue risk.
The Fund offers Non-Service, Service, Class 3 and Class 4 shares. All classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares being designated as Service shares and Class 4 shares are subject to a distribution and service plan. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. The Fund assesses a 1% fee on the proceeds of Class 3 and Class 4 shares that are redeemed (either by selling or exchanging to another Oppenheimer fund or other investment option offered through your variable life insurance or variable annuity contract) within 60 days of their purchase. The fee, which is retained by the Fund, is accounted for as an addition to paid-in capital.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
F15 | OPPENHEIMER HIGH INCOME FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
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 maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of June 30, 2009, 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:
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $549,454 | |||
Sold securities | 60,300 |
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.
F16 | OPPENHEIMER HIGH INCOME FUND/VA
The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll.
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 in default, and is not obligated to dispose of securities whose issuers subsequently default. As of June 30, 2009, securities with an aggregate market value of $1,088,355, representing 0.86% of the Fund’s net assets, were in default.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
F17 | OPPENHEIMER HIGH INCOME FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $93,885,653 and unused capital loss carryforwards as follows:
Expiring | ||||
2009 | $ | 22,696,701 | ||
2010 | 56,061,391 | |||
2011 | 8,529,303 | |||
2012 | 128,504 | |||
2016 | 48,571,742 | |||
Total | $ | 135,987,641 | ||
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $346,153,685 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 158,116,083 | ||
Gross unrealized appreciation | $ | 3,441,788 | ||
Gross unrealized depreciation | (38,710,178 | ) | ||
Net unrealized depreciation | $ | (35,268,390 | ) | |
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
F18 | OPPENHEIMER HIGH INCOME FUND/VA
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 16,025,180 | $ | 24,250,128 | 46,686,845 | $ | 99,443,229 | ||||||||||
Dividends and/or distributions reinvested | — | — | 2,553,668 | 16,471,157 | ||||||||||||
Redeemed | (48,697,377 | ) | (72,347,000 | ) | (16,133,552 | ) | (96,215,152 | ) | ||||||||
Net increase (decrease) | (32,672,197 | ) | $ | (48,096,872 | ) | 33,106,961 | $ | 19,699,234 | ||||||||
F19 | OPPENHEIMER HIGH INCOME FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Shares of Beneficial Interest Continued
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Service Shares | ||||||||||||||||
Sold | 7,880,715 | $ | 12,229,965 | 11,108,688 | $ | 27,272,759 | ||||||||||
Dividends and/or distributions reinvested | — | — | 1,335,035 | 8,570,925 | ||||||||||||
Redeemed | (3,180,646 | ) | (4,882,247 | ) | (4,887,160 | ) | (30,634,091 | ) | ||||||||
Net increase | 4,700,069 | $ | 7,347,718 | 7,556,563 | $ | 5,209,593 | ||||||||||
Class 3 Shares | ||||||||||||||||
Sold | 2,224,988 | $ | 3,480,963 | 1,353,807 | $ | 7,210,645 | ||||||||||
Dividends and/or distributions reinvested | — | — | 45,225 | 292,606 | ||||||||||||
Redeemed | (946,193 | ) | (1,465,931 | )1 | (1,006,838 | ) | (5,694,397 | )2 | ||||||||
Net increase | 1,278,795 | $ | 2,015,032 | 392,194 | $ | 1,808,854 | ||||||||||
Class 4 Shares | ||||||||||||||||
Sold | 3,067,947 | $ | 4,877,791 | 2,743,234 | $ | 12,307,065 | ||||||||||
Dividends and/or distributions reinvested | — | — | 94,331 | 611,268 | ||||||||||||
Redeemed | (2,316,575 | ) | (3,394,906 | )1 | (1,409,411 | ) | (8,058,843 | )2 | ||||||||
Net increase | 751,372 | $ | 1,482,885 | 1,428,154 | $ | 4,859,490 | ||||||||||
1. | Net of redemption fees of $3,083 and $2,653 for Class 3 and Class 4 shares, respectively. | |
2. | Net of redemption fees of $3,056 and $11,199 for Class 3 and Class 4 shares, respectively. |
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 64,951,187 | $ | 77,063,118 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $200 million | 0.60 | |||
Over $1 billion | 0.50 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $18,981 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares and Class 4 Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares and Class 4 shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal
F20 | OPPENHEIMER HIGH INCOME FUND/VA
service and account maintenance for the Fund’s Service shares and Class 4 shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares and Class 4 shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares and Class 4 shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares and Class 4 shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 0.75% for Non-Service and Class 3 shares and 1.00% for Service and Class 4 shares. During the six months ended June 30, 2009, the Fund waived $6,034, $4,930, $355 and $258 for Non-Service, Service, Class 3 shares and Class 4 shares, respectively. This voluntary undertaking may be amended or withdrawn at any time.
Effective September 1, 2008 through August 31, 2009 (the “waiver period”), the Manager has voluntarily agreed to reduce its advisory fee rate by 0.10% of the Fund’s average daily net assets if the Fund’s trailing one-year total return performance is in the fifth quintile of the Fund’s Lipper peer group and by 0.05% of the Fund’s average daily net assets if the Fund’s trailing one-year total return performance is in the fourth quintile of the Fund’s Lipper peer group as of August 31, 2008. However, if the Fund’s trailing one-year total return performance, as measured at the end of any calendar quarter during the waiver period, improves from the fifth quintile to the fourth quintile, the advisory fee waiver for subsequent quarters during the waiver period will be reduced only by an annualized rate of 0.05% of the Fund’s average daily net assets, and if the Fund’s trailing one-year total return performance at the end of any calendar quarter during the waiver period improves to the third or higher quintile of the Fund’s Lipper peer group, the advisory fee reduction will be terminated effective the following business day. During the six months ended June 30, 2009, OFI waived $66,751 The advisory fee reduction is a voluntary undertaking and may be terminated by the Manager at any time.
Effective April 1, 2009 through March 31, 2010, the Manager has agreed to voluntarily waive its advisory fee by 0.26% of the Fund’s average annual net assets. During the six months ended June 30, 2009, the Manager waived $79,426. This voluntary waiver will be applied after all other waivers and/or reimbursements and may be withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $21,560 for IMMF management fees.
Capital Stock Activity. On December 17, 2008, the Manager purchased Non-Service Shares of the Fund for $50,000,000. As of that date, the Manager owned approximately 51% of the Non-Service Shares representing approximately 37% of the Fund’s net assets. The Manager redeemed this investment on February 25, 2009. The proceeds of the redemption were $48,344,371.
5. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return 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. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its
F21 | OPPENHEIMER HIGH INCOME FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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.
Market Risk Factors. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
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.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. 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.
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. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.
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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. To reduce this risk 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 net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
Credit Related Contingent Features. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives
F22 | OPPENHEIMER HIGH INCOME FUND/VA
counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or Loss Recognized on Derivative
Derivatives Not Accounted for as | ||||||||||||
Hedging Instruments under | Closing and expiration | |||||||||||
Statement 133(a) | of futures contracts | Swap contracts | Total | |||||||||
Interest rate contracts | $ | (46,063 | ) | $ | (2,540,928 | ) | $ | (2,586,991 | ) | |||
Credit contracts | — | (47,777,302 | ) | (47,777,302 | ) | |||||||
Total | $ | (46,063 | ) | $ | (50,318,230 | ) | $ | (50,364,293 | ) | |||
Amount of Change in Unrealized Gain or Loss Recognized on Derivative
Derivatives Not Accounted | ||||
for as Hedging Instruments | ||||
under Statement 133(a) | Swap contracts | |||
Interest rate contracts | $ | 2,415,563 | ||
Credit contracts | 35,379,074 | |||
Total | $ | 37,794,637 | ||
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a financial instrument 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 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.
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. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
As of June 30, 2009, the Fund had no outstanding futures contracts.
F23 | OPPENHEIMER HIGH INCOME FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps.
Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. 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 at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference 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 require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received. If there is an illiquid market for the agreement, the Fund may be unable to close the contract prior to contract termination.
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, or a basket of securities (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying 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 reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes.
F24 | OPPENHEIMER HIGH INCOME FUND/VA
The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer. The intent of a pairs trade is to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of June 30, 2009, the Fund had no such credit default swaps outstanding.
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 interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of June 30, 2009, the Fund had no such interest rate swap agreements outstanding.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). 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 has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes.
The Fund has entered into total return swaps to 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, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes.
Risks of total return swaps include credit, market and liquidity risk.
As of June 30, 2009, the Fund had no such total return swap agreements outstanding.
6. Illiquid Securities
As of June 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments.
F25 | OPPENHEIMER HIGH INCOME FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
7. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
8. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F26 | OPPENHEIMER HIGH INCOME FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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9 | OPPENHEIMER HIGH INCOME FUND/VA
OPPENHEIMER HIGH INCOME FUND/VA
A Series of Oppenheimer Variable Account Funds
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Joseph Welsh, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved.
OPPENHEIMER MAIN STREET FUND®/VA
Fund Objective. Oppenheimer Main Street® Fund/VA seeks high total return from equity and debt securities.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 7.12 | % | ||
Service Shares | 6.99 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -27.12 | % | -2.19 | % | -1.94 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (7/13/00) | ||||||||||
Service Shares | -27.29 | % | -2.43 | % | -3.36 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Non-Service Shares | 0.76 | % | ||
Service Shares | 1.01 |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year.
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings
Exxon Mobil Corp. | 4.5 | % | ||
Microsoft Corp. | 2.8 | |||
Philip Morris International, Inc. | 2.4 | |||
Cisco Systems, Inc. | 2.3 | |||
Chevron Corp. | 2.2 | |||
JPMorgan Chase & Co. | 1.8 | |||
International Business Machines Corp. | 1.7 | |||
Wal-Mart Stores, Inc. | 1.7 | |||
Merck & Co., Inc. | 1.5 | |||
Bank of America Corp. | 1.5 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER MAIN STREET FUND/VA
Fund Performance Discussion
Oppenheimer Main Street Fund/VA’s Non-Service shares returned 7.12% for the six-month period ended June 30, 2009. In comparison, the S&P 500 Index (the “Index”) returned 3.19%. 2008 was a historically volatile and unprecedented period in the financial markets and the volatility continued during the first quarter of 2009. Given this backdrop, Fund performance was negative in the 1st quarter of 2009. The Index’s performance during the first quarter of 2009 also was negative, falling further than the Fund’s returns. However, in the second quarter of 2009, all ten sectors within the Index were in positive territory and seven of them had double-digit returns. The Fund’s performance was particularly strong in the last half of the reporting period, as market conditions improved.
Overall for the reporting period, the Fund’s stock selection strategy within the consumer discretionary sector and overweight allocation strategy to the information technology sector benefited performance the most versus the Index. Stock selection within the energy and materials sectors also outperformed versus the Index as did the Fund’s overweight strategy in materials. During the reporting period, the Fund outperformed the Index in eight of the ten sectors.
Relative performance was flat against the Index in financials and slightly negative in health care. Within financials, an underweight position helped relative performance as financials was the third worst performing sector in the Index. However, stock selection within the sector hurt Fund performance resulting in flat relative performance versus the Index. In terms of health care, an underweight to the sector helped relative performance as this was another Index sector which did not perform well. In this sector as well, stock selection strategy hurt relative Fund performance, causing the Fund to slightly underperform in health care.
At the end of the reporting period, the Fund maintained its relative overweights to energy, health care, industrials, information technology and materials. The Fund at period end was underweight utilities, consumer staples, financials and telecommunication services.
Effective May 19, 2009, Manind (“Mani”) Govil was named Team Leader of the Main Street Team. He was joined by several colleagues consisting of portfolio managers, analysts and a trader from his previous employer, RS Investment Management Co. LLC. The new 12-person Main Street Team will apply their time-tested approach, which combines fundamental security analysis with robust quantitative tools, to the three Oppenheimer Main Street funds as well as their related accounts.
Oppenheimer Main Street Fund/VA is managed by Mani Govil and Benjamin Ram. Messrs. Govil and Ram will combine quantitative and fundamental disciplines in managing the Fund. Prior to joining OppenheimerFunds, Mr. Govil was a portfolio manager with RS Investment Management Co. LLC from October 2006 to March 2009. He served as the head of equity investments at The Guardian Life Insurance Company of America from August 2005 to October 2006. Earlier in his career, he served as lead manager for large-cap equities, co-head of equities and head of equity research at Mercantile Capital Advisers, Inc., where he managed the Mercantile Growth & Income Fund from April 1996 through July 2005.
Before joining OppenheimerFunds, Mr. Ram was a sector manager for financial investments and a co-portfolio manager for mid-cap portfolios with the RS Core Equity Team of RS Investment Management Co. LLC from October 2006 to May 2009. He served as a portfolio manager for mid-cap strategies and a sector manager for financials at The Guardian Life Insurance Company of America from January 2006 to October 2006. He was a financials sector analyst from 2003 to 2005 and co-portfolio manager from 2005 to 2006 at Mercantile Capital Advisers, Inc. Mr. Ram was a bank analyst at Legg Mason Securities from 2000 to 2003 and was a senior financial analyst at the CitiFinancial division of Citigroup, Inc. from 1997 to 2000.
3 | OPPENHEIMER MAIN STREET FUND/VA
OPPENHEIMER MAIN STREET FUND®/VA
The portfolio managers will seek to invest in competitively advantaged companies that are mispriced by the market. They believe that fundamental research combined with quantitative inputs can identify companies which may lead to long-term alpha generation. The approach will seek to combine the strengths from both quantitative and fundamental disciplines, resulting in a portfolio that will be comprised of stocks the portfolio managers believe are attractively priced relative to a company’s underlying prospects.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
4 | OPPENHEIMER MAIN STREET FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,071.20 | $ | 3.81 | ||||||
Service Shares | 1,000.00 | 1,069.90 | 5.09 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.12 | 3.72 | |||||||||
Service Shares | 1,000.00 | 1,019.89 | 4.97 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service Shares | 0.74 | % | ||
Service Shares | 0.99 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
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6 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares | Value | |||||||
Common Stocks—95.7% | ||||||||
Consumer Discretionary—8.6% | ||||||||
Auto Components—0.5% | ||||||||
Autoliv, Inc. | 40,700 | $ | 1,170,939 | |||||
BorgWarner, Inc. | 40,300 | 1,376,245 | ||||||
Gentex Corp. | 32,448 | 376,397 | ||||||
Goodyear Tire & Rubber Co. (The)1 | 34,373 | 387,040 | ||||||
Johnson Controls, Inc. | 114,500 | 2,486,940 | ||||||
TRW Automotive Holdings Corp.1 | 68,400 | 772,920 | ||||||
WABCO Holdings, Inc. | 44,800 | 792,960 | ||||||
7,363,441 | ||||||||
Automobiles—0.0% | ||||||||
Thor Industries, Inc. | 26,600 | 488,642 | ||||||
Diversified Consumer Services—0.1% | ||||||||
Apollo Group, Inc., Cl. A1 | 2,500 | 177,800 | ||||||
Brink’s Home Security Holdings, Inc.1 | 2,441 | 69,105 | ||||||
Career Education Corp.1 | 17,331 | 431,369 | ||||||
Corinthian Colleges, Inc.1 | 7,330 | 124,097 | ||||||
H&R Block, Inc. | 13,400 | 230,882 | ||||||
Regis Corp. | 8,200 | 142,762 | ||||||
Service Corp. International | 31,081 | 170,324 | ||||||
1,346,339 | ||||||||
Hotels, Restaurants & Leisure—1.1% | ||||||||
Ameristar Casinos, Inc. | 1,000 | 19,030 | ||||||
Bob Evans Farms, Inc. | 17,800 | 511,572 | ||||||
Boyd Gaming Corp.1 | 1,400 | 11,900 | ||||||
Brinker International, Inc. | 35,200 | 599,456 | ||||||
Carnival Corp. | 103,467 | 2,666,345 | ||||||
CEC Entertainment, Inc.1 | 14,375 | 423,775 | ||||||
Chipotle Mexican Grill, Inc., Cl. B1 | 619 | 43,200 | ||||||
International Game Technology | 3,800 | 60,420 | ||||||
International Speedway Corp., Cl. A | 795 | 20,360 | ||||||
Jack in the Box, Inc.1 | 2,700 | 60,615 | ||||||
McDonald’s Corp. | 145,016 | 8,336,970 | ||||||
Royal Caribbean Cruises Ltd. | 35,367 | 478,869 | ||||||
Speedway Motorsports, Inc. | 7,300 | 100,448 | ||||||
WMS Industries, Inc.1 | 13,700 | 431,687 | ||||||
Wyndham Worldwide Corp. | 75,800 | 918,696 | ||||||
14,683,343 | ||||||||
Household Durables—0.2% | ||||||||
American Greetings Corp., Cl. A | 5,277 | 61,635 | ||||||
Centex Corp. | 10,700 | 90,522 | ||||||
Harman International Industries, Inc. | 28,200 | 530,160 | ||||||
Lennar Corp., Cl. A | 21,195 | 205,380 | ||||||
Meritage Homes Corp.1 | 2,900 | 54,694 | ||||||
Ryland Group, Inc. (The) | 17,700 | 296,652 | ||||||
Snap-On, Inc. | 14,883 | 427,737 | ||||||
Stanley Works (The) | 22,664 | 766,950 | ||||||
Whirlpool Corp. | 2,800 | 119,168 | ||||||
2,552,898 | ||||||||
Internet & Catalog Retail—0.4% | ||||||||
Expedia, Inc.1 | 99,377 | 1,501,586 | ||||||
Liberty Media Corp.-Interactive, Series A1 | 185,927 | 931,494 | ||||||
NetFlix.com, Inc.1 | 26,700 | 1,103,778 | ||||||
Priceline.com, Inc.1 | 15,815 | 1,764,163 | ||||||
5,301,021 | ||||||||
Leisure Equipment & Products—0.0% | ||||||||
Brunswick Corp. | 40,196 | 173,647 | ||||||
Callaway Golf Co. | 5,500 | 27,885 | ||||||
Polaris Industries, Inc. | 4,200 | 134,904 | ||||||
336,436 | ||||||||
Media—3.7% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 53,980 | 1,047,752 | ||||||
CBS Corp., Cl. B | 261,574 | 1,810,092 | ||||||
Clear Channel Outdoor Holdings, Inc., Cl. A1 | 22,100 | 117,130 | ||||||
Comcast Corp., Cl. A | 225,000 | 3,260,250 | ||||||
DirecTV Group, Inc. (The)1 | 144,191 | 3,562,960 | ||||||
Dish Network Corp., Cl. A1 | 93,961 | 1,523,108 | ||||||
DreamWorks Animation SKG, Inc., Cl. A1 | 20,588 | 568,023 | ||||||
Gannett Co., Inc. | 2,593 | 9,257 | ||||||
Grupo Televisa SA, Sponsored GDR | 92,100 | 1,565,700 | ||||||
Liberty Media Corp.-Entertainment, Series A1 | 77,170 | 2,064,298 | ||||||
Liberty Media Holding Corp.-Capital, Series A1 | 9,400 | 127,464 | ||||||
McGraw-Hill Cos., Inc. (The) | 107,812 | 3,246,219 | ||||||
Meredith Corp. | 35,000 | 894,250 | ||||||
News Corp., Inc., Cl. A | 607,769 | 5,536,776 | ||||||
Scholastic Corp. | 20,317 | 402,073 | ||||||
Time Warner Cable, Inc. | 202,914 | 6,426,286 | ||||||
Time Warner, Inc. | 385,600 | 9,713,264 | ||||||
Viacom, Inc., Cl. B1 | 78,690 | 1,786,263 | ||||||
Walt Disney Co. (The) | 316,021 | 7,372,770 | ||||||
Warner Music Group Corp.1 | 3,200 | 18,720 |
F1 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Media Continued | ||||||||
Washington Post Co. (The), Cl. B | 1,200 | $ | 422,616 | |||||
51,475,271 | ||||||||
Multiline Retail—0.2% | ||||||||
Kohl’s Corp.1 | 57,089 | 2,440,555 | ||||||
Nordstrom, Inc. | 45,651 | 907,998 | ||||||
3,348,553 | ||||||||
Specialty Retail—1.9% | ||||||||
Aaron Rents, Inc. | 5,421 | 161,654 | ||||||
Abercrombie & Fitch Co., Cl. A | 40,892 | 1,038,248 | ||||||
Advance Auto Parts, Inc. | 25,438 | 1,055,423 | ||||||
Aeropostale, Inc.1 | 35,900 | 1,230,293 | ||||||
American Eagle Outfitters, Inc. | 82,452 | 1,168,345 | ||||||
AnnTaylor Stores Corp.1 | 47,600 | 379,848 | ||||||
AutoNation, Inc.1 | 47,600 | 825,860 | ||||||
AutoZone, Inc.1 | 3,800 | 574,218 | ||||||
Barnes & Noble, Inc. | 13,300 | 274,379 | ||||||
bebe stores, inc. | 7,200 | 49,536 | ||||||
Best Buy Co., Inc. | 74,671 | 2,500,732 | ||||||
Buckle, Inc. (The) | 10,800 | 343,116 | ||||||
Children’s Place Retail Stores, Inc.1 | 24,700 | 652,821 | ||||||
Dress Barn, Inc. (The)1 | 31,464 | 449,935 | ||||||
Foot Locker, Inc. | 19,917 | 208,531 | ||||||
Gap, Inc. (The) | 309,330 | 5,073,012 | ||||||
Guess?, Inc. | 27,730 | 714,879 | ||||||
Gymboree Corp.1 | 1,100 | 39,028 | ||||||
Home Depot, Inc. (The) | 56,047 | 1,324,391 | ||||||
Limited Brands, Inc. | 105,211 | 1,259,376 | ||||||
Lowe’s Cos., Inc. | 304,436 | 5,909,103 | ||||||
Men’s Wearhouse, Inc. (The) | 400 | 7,672 | ||||||
Office Depot, Inc.1 | 44,726 | 203,951 | ||||||
Penske Automotive Group, Inc. | 19,300 | 321,152 | ||||||
Rent-A-Center, Inc.1 | 20,500 | 365,515 | ||||||
Ross Stores, Inc. | 10,724 | 413,946 | ||||||
Sally Beauty Holdings, Inc.1 | 21,138 | 134,438 | ||||||
Talbots, Inc. (The) | 19,200 | 103,680 | ||||||
Tractor Supply Co.1 | 1,500 | 61,980 | ||||||
Urban Outfitters, Inc.1 | 13,839 | 288,820 | ||||||
Williams-Sonoma, Inc. | 500 | 5,935 | ||||||
27,139,817 | ||||||||
Textiles, Apparel & Luxury Goods—0.5% | ||||||||
Carter’s, Inc.1 | 813 | 20,008 | ||||||
Coach, Inc. | 56,535 | 1,519,661 | ||||||
Fossil, Inc.1 | 17,000 | 409,360 | ||||||
Jones Apparel Group Inc. | 42,300 | 453,879 | ||||||
Liz Claiborne, Inc. | 89,500 | 257,760 | ||||||
Nike, Inc., Cl. B | 29,900 | 1,548,222 | ||||||
Polo Ralph Lauren Corp., Cl. A | 15,815 | 846,735 | ||||||
Quicksilver, Inc.1 | 700 | 1,295 | ||||||
Timberland Co., Cl. A1 | 29,500 | 391,465 | ||||||
UniFirst Corp. | 800 | 29,736 | ||||||
Warnaco Group, Inc. (The)1 | 38,900 | 1,260,360 | ||||||
Wolverine World Wide, Inc. | 3,099 | 68,364 | ||||||
6,806,845 | ||||||||
Consumer Staples—9.7% | ||||||||
Beverages—0.8% | ||||||||
Coca-Cola Co. (The) | 104,010 | 4,991,440 | ||||||
PepsiCo, Inc. | 117,973 | 6,483,796 | ||||||
11,475,236 | ||||||||
Food & Staples Retailing—2.8% | ||||||||
Casey’s General Stores, Inc. | 13,286 | 341,317 | ||||||
CVS Caremark Corp. | 98,053 | 3,124,949 | ||||||
Kroger Co. (The) | 146,200 | 3,223,710 | ||||||
Safeway, Inc. | 314,921 | 6,414,941 | ||||||
SUPERVALU, Inc. | 22,300 | 288,785 | ||||||
Sysco Corp. | 140,600 | 3,160,688 | ||||||
Wal-Mart Stores, Inc. | 478,615 | 23,184,111 | ||||||
39,738,501 | ||||||||
Food Products—1.1% | ||||||||
Bunge Ltd. | 4,000 | 241,000 | ||||||
General Mills, Inc. | 185,425 | 10,387,509 | ||||||
Kraft Foods, Inc., Cl. A | 52,800 | 1,337,952 | ||||||
Unilever NV CVA | 154,300 | 3,715,556 | ||||||
15,682,017 | ||||||||
Household Products—2.3% | ||||||||
Colgate-Palmolive Co. | 220,300 | 15,584,022 | ||||||
Kimberly-Clark Corp. | 8,600 | 450,898 | ||||||
Procter & Gamble Co. (The) | 323,899 | 16,551,239 | ||||||
32,586,159 | ||||||||
Personal Products—0.1% | ||||||||
Herbalife Ltd. | 24,600 | 775,884 | ||||||
Mead Johnson Nutrition Co., Cl. A1 | 14,400 | 457,488 | ||||||
1,233,372 | ||||||||
Tobacco—2.6% | ||||||||
Altria Group, Inc. | 127,231 | 2,085,316 | ||||||
Philip Morris International, Inc. | 768,499 | 33,521,926 | ||||||
35,607,242 |
F2 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Energy—13.0% | ||||||||
Energy Equipment & Services—2.0% | ||||||||
Baker Hughes, Inc. | 120,360 | $ | 4,385,918 | |||||
Complete Production Services, Inc.1 | 39,314 | 250,037 | ||||||
Diamond Offshore Drilling, Inc. | 4,253 | 353,212 | ||||||
Dresser-Rand Group, Inc.1 | 38,960 | 1,016,856 | ||||||
Exterran Holdings, Inc.1 | 3,825 | 61,353 | ||||||
Halliburton Co. | 475,389 | 9,840,552 | ||||||
Helix Energy Solutions Group, Inc.1 | 4,317 | 46,926 | ||||||
Key Energy Services, Inc.1 | 31,594 | 181,981 | ||||||
National Oilwell Varco, Inc.1 | 65,701 | 2,145,795 | ||||||
Noble Corp. | 10,600 | 320,650 | ||||||
Oceaneering International, Inc.1 | 14,959 | 676,147 | ||||||
Oil States International, Inc.1 | 18,145 | 439,290 | ||||||
Parker Drilling Co.1 | 8,300 | 36,022 | ||||||
Pride International, Inc.1 | 31,462 | 788,438 | ||||||
Schlumberger Ltd. | 77,253 | 4,180,160 | ||||||
Seacor Holdings, Inc.1 | 6,600 | 496,584 | ||||||
Superior Energy Services, Inc.1 | 7,200 | 124,344 | ||||||
Tidewater, Inc. | 18,315 | 785,164 | ||||||
Transocean Ltd.1 | 14,182 | 1,053,581 | ||||||
Unit Corp.1 | 15,688 | 432,518 | ||||||
27,615,528 | ||||||||
Oil, Gas & Consumable Fuels—11.0% | ||||||||
Anadarko Petroleum Corp. | 159,000 | 7,217,010 | ||||||
Apache Corp. | 84,718 | 6,112,404 | ||||||
Bill Barrett Corp.1 | 6,906 | 189,639 | ||||||
Chevron Corp. | 455,629 | 30,185,421 | ||||||
Cimarex Energy Co. | 18,700 | 529,958 | ||||||
ConocoPhillips | 43,302 | 1,821,282 | ||||||
Denbury Resources, Inc.1 | 32,510 | 478,872 | ||||||
Devon Energy Corp. | 20,617 | 1,123,627 | ||||||
Enterprise Products Partners LP | 86,100 | 2,147,334 | ||||||
Exxon Mobil Corp. | 896,985 | 62,708,221 | ||||||
Hess Corp. | 67,378 | 3,621,568 | ||||||
Kinder Morgan Energy Partners LP | 32,400 | 1,656,288 | ||||||
Marathon Oil Corp. | 87,294 | 2,630,168 | ||||||
Mariner Energy, Inc.1 | 6,000 | 70,500 | ||||||
Murphy Oil Corp. | 136,700 | 7,425,544 | ||||||
Noble Energy, Inc. | 67,300 | 3,968,681 | ||||||
Occidental Petroleum Corp. | 282,100 | 18,565,001 | ||||||
Overseas Shipholding Group, Inc. | 2,991 | 101,814 | ||||||
Plains All American Pipeline LP | 8,200 | 348,910 | ||||||
Plains Exploration & Production Co.1 | 22,900 | 626,544 | ||||||
Stone Energy Corp.1 | 6,828 | 50,664 | ||||||
Valero Energy Corp. | 87,793 | 1,482,824 | ||||||
XTO Energy, Inc. | 24,082 | 918,487 | ||||||
153,980,761 | ||||||||
Financials—12.4% | ||||||||
Capital Markets—2.8% | ||||||||
Affiliated Managers Group, Inc.1 | 5,200 | 302,588 | ||||||
Ameriprise Financial, Inc. | 36,026 | 874,351 | ||||||
Bank of New York Mellon Corp. | 13,384 | 392,285 | ||||||
BlackRock, Inc. | 23,215 | 4,072,375 | ||||||
Eaton Vance Corp. | 5,600 | 149,800 | ||||||
Franklin Resources, Inc. | 84,705 | 6,099,607 | ||||||
GAMCO Investors, Inc., Cl. A | 1,800 | 87,300 | ||||||
Goldman Sachs Group, Inc. (The) | 42,097 | 6,206,782 | ||||||
Greenhill & Co., Inc. | 1,800 | 129,978 | ||||||
Investment Technology Group, Inc.1 | 3,150 | 64,229 | ||||||
Janus Capital Group, Inc. | 79,700 | 908,580 | ||||||
Jefferies Group, Inc.1 | 2,224 | 47,438 | ||||||
Morgan Stanley | 68,800 | 1,961,488 | ||||||
Northern Trust Corp. | 23,500 | 1,261,480 | ||||||
SEI Investments Co. | 26,216 | 472,937 | ||||||
State Street Corp. | 224,680 | 10,604,896 | ||||||
T. Rowe Price Group, Inc. | 57,142 | 2,381,107 | ||||||
TD Ameritrade Holding Corp.1 | 164,300 | 2,881,822 | ||||||
Teton Advisors, Inc.1,2 | 49 | 154 | ||||||
Virtus Investment Partners, Inc.1 | 1,330 | 19,538 | ||||||
Waddell & Reed Financial, Inc., Cl. A | 2,335 | 61,574 | ||||||
38,980,309 | ||||||||
Commercial Banks—0.9% | ||||||||
Pacific Capital Bancorp | 4,900 | 10,486 | ||||||
PacWest Bancorp | 1,311 | 17,253 | ||||||
Popular, Inc. | 94,300 | 207,460 | ||||||
Regions Financial Corp. | 885,478 | 3,577,331 | ||||||
U.S. Bancorp | 465,786 | 8,346,885 | ||||||
Wells Fargo & Co. | 23,782 | 576,951 | ||||||
12,736,366 | ||||||||
Consumer Finance—1.1% | ||||||||
American Express Co. | 357,800 | 8,315,272 | ||||||
AmeriCredit Corp.1 | 39,100 | 529,805 | ||||||
Capital One Financial Corp. | 8,600 | 188,168 | ||||||
Cash America International, Inc. | 8,984 | 210,136 | ||||||
Discover Financial Services | 529,323 | 5,436,147 | ||||||
Student Loan Corp. (The) | 1,800 | 66,960 | ||||||
14,746,488 |
F3 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Diversified Financial Services—3.4% | ||||||||
Bank of America Corp. | 1,536,196 | $ | 20,277,787 | |||||
CIT Group, Inc. | 64,600 | 138,890 | ||||||
Interactive Brokers Group, Inc., Cl. A1 | 35,973 | 558,661 | ||||||
JPMorgan Chase & Co. | 722,390 | 24,640,723 | ||||||
Leucadia National Corp.1 | 21,029 | 443,502 | ||||||
NASDAQ OMX Group, Inc. (The)1 | 15,500 | 330,305 | ||||||
NYSE Euronext | 23,155 | 630,974 | ||||||
PHH Corp.1 | 14,200 | 258,156 | ||||||
47,278,998 | ||||||||
Insurance—3.9% | ||||||||
Allied World Assurance Holdings Ltd. | 12,500 | 510,375 | ||||||
Allstate Corp. | 142,261 | 3,471,168 | ||||||
American Financial Group, Inc. | 46,637 | 1,006,426 | ||||||
Aon Corp. | 75,627 | 2,863,994 | ||||||
Aspen Insurance Holdings Ltd. | 38,600 | 862,324 | ||||||
Assurant, Inc. | 10,400 | 250,536 | ||||||
Axis Capital Holdings Ltd. | 18,400 | 481,712 | ||||||
Berkley (W.R.) Corp. | 46,567 | 999,793 | ||||||
Berkshire Hathaway, Inc., Cl. B1 | 965 | 2,794,379 | ||||||
Brown & Brown, Inc. | 55,200 | 1,100,136 | ||||||
Chubb Corp. | 159,008 | 6,341,239 | ||||||
Cincinnati Financial Corp. | 21,995 | 491,588 | ||||||
CNA Financial Corp. | 48,210 | 745,809 | ||||||
Delphi Financial Group, Inc., Cl. A | 19,800 | 384,714 | ||||||
First American Corp. | 3,300 | 85,503 | ||||||
Genworth Financial, Inc., Cl. A | 74,800 | 522,852 | ||||||
Harleysville Group, Inc. | 3,000 | 84,660 | ||||||
Hartford Financial Services Group, Inc. (The) | 27,737 | 329,238 | ||||||
HCC Insurance Holdings, Inc. | 17,217 | 413,380 | ||||||
IPC Holdings Ltd. | 20,971 | 573,347 | ||||||
Lincoln National Corp. | 159,702 | 2,748,471 | ||||||
Loews Corp. | 230,233 | 6,308,384 | ||||||
MetLife, Inc. | 72,434 | 2,173,744 | ||||||
Navigators Group, Inc. (The)1 | 2,000 | 88,860 | ||||||
Old Republic International Corp. | 28,841 | 284,084 | ||||||
OneBeacon Insurance Group Ltd. | 7,800 | 91,182 | ||||||
Phoenix Cos., Inc. (The)1 | 6,668 | 11,136 | ||||||
Platinum Underwriters Holdings Ltd. | 10,200 | 291,618 | ||||||
Protective Life Corp. | 36,100 | 412,984 | ||||||
Prudential Financial, Inc. | 152,310 | 5,668,978 | ||||||
Reinsurance Group of America, Inc. | 3,600 | 125,676 | ||||||
RLI Corp. | 5,900 | 264,320 | ||||||
Selective Insurance Group, Inc. | 6,400 | 81,728 | ||||||
StanCorp Financial Group, Inc. | 1,012 | 29,024 | ||||||
State Auto Financial Corp. | 1,300 | 22,750 | ||||||
Torchmark Corp. | 3,000 | 111,120 | ||||||
Transatlantic Holdings, Inc. | 4,200 | 181,986 | ||||||
Travelers Cos., Inc. (The) | 259,718 | 10,658,827 | ||||||
United Fire & Casualty Co. | 500 | 8,575 | ||||||
Unitrin, Inc. | 18,100 | 217,562 | ||||||
XL Capital Ltd., Cl. A | 63,310 | 725,533 | ||||||
54,819,715 | ||||||||
Real Estate Management & Development—0.0% | ||||||||
Forest City Enterprises, Inc., Cl. A | 9,200 | 60,720 | ||||||
Jones Lang LaSalle, Inc. | 600 | 19,638 | ||||||
80,358 | ||||||||
Thrifts & Mortgage Finance—0.3% | ||||||||
Hudson City Bancorp, Inc. | 6,685 | 88,844 | ||||||
People’s United Financial, Inc. | 267,100 | 4,017,184 | ||||||
Provident Financial Services, Inc. | 11,759 | 107,007 | ||||||
Tree.com, Inc.1 | 1,106 | 10,618 | ||||||
4,223,653 | ||||||||
Health Care—14.3% | ||||||||
Biotechnology—1.7% | ||||||||
Amgen, Inc.1 | 268,357 | 14,206,820 | ||||||
Biogen Idec, Inc.1 | 41,700 | 1,882,755 | ||||||
Celgene Corp.1 | 99,054 | 4,738,743 | ||||||
Facet Biotech Corp.1 | 6,240 | 57,970 | ||||||
Gilead Sciences, Inc.1 | 60,100 | 2,815,084 | ||||||
23,701,372 | ||||||||
Health Care Equipment & Supplies—1.5% | ||||||||
Bard (C.R.), Inc. | 29,343 | 2,184,586 | ||||||
Baxter International, Inc. | 25,986 | 1,376,219 | ||||||
Becton, Dickinson & Co. | 61,100 | 4,357,041 | ||||||
Inverness Medical Innovations, Inc.1 | 10,000 | 355,800 | ||||||
Medtronic, Inc. | 59,142 | 2,063,464 | ||||||
Sirona Dental Systems, Inc.1 | 395 | 7,896 | ||||||
Steris Corp. | 9,400 | 245,152 | ||||||
Stryker Corp. | 129,400 | 5,142,356 | ||||||
Zimmer Holdings, Inc.1 | 110,800 | 4,720,080 | ||||||
20,452,594 | ||||||||
Health Care Providers & Services—3.7% | ||||||||
Aetna, Inc. | 369,500 | 9,255,975 | ||||||
AMERIGROUP Corp.1 | 40,900 | 1,098,165 | ||||||
Cardinal Health, Inc. | 10,718 | 327,435 |
F4 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Health Care Providers & Services Continued | ||||||||
Centene Corp.1 | 6,073 | $ | 121,339 | |||||
CIGNA Corp. | 70,496 | 1,698,249 | ||||||
Coventry Health Care, Inc.1 | 42,117 | 788,009 | ||||||
Kindred Healthcare, Inc.1 | 2,400 | 29,688 | ||||||
Laboratory Corp. of America Holdings1 | 157,100 | 10,649,809 | ||||||
Lincare Holdings, Inc.1 | 31 | 729 | ||||||
McKesson Corp. | 104,486 | 4,597,384 | ||||||
Medco Health Solutions, Inc.1 | 133,758 | 6,100,702 | ||||||
MEDNAX, Inc.1 | 1,900 | 80,047 | ||||||
Omnicare, Inc. | 21,617 | 556,854 | ||||||
Quest Diagnostics, Inc. | 24,100 | 1,359,963 | ||||||
UnitedHealth Group, Inc. | 33,700 | 841,826 | ||||||
Universal Health Services, Inc., Cl. B | 19,500 | 952,575 | ||||||
WellCare Health Plans, Inc.1 | 5,300 | 97,997 | ||||||
WellPoint, Inc.1 | 272,500 | 13,867,525 | ||||||
52,424,271 | ||||||||
Health Care Technology—0.0% | ||||||||
IMS Health, Inc. | 10,206 | 129,616 | ||||||
Life Sciences Tools & Services—0.4% | ||||||||
Thermo Fisher Scientific, Inc.1 | 130,455 | 5,318,650 | ||||||
Pharmaceuticals—7.0% | ||||||||
Abbott Laboratories | 406,980 | 19,144,339 | ||||||
Allergan, Inc. | 91,000 | 4,329,780 | ||||||
Bristol-Myers Squibb Co. | 222,000 | 4,508,820 | ||||||
Eli Lilly & Co. | 168,000 | 5,819,520 | ||||||
Endo Pharmaceuticals Holdings, Inc.1 | 38,046 | 681,784 | ||||||
Forest Laboratories, Inc.1 | 68,690 | 1,724,806 | ||||||
Johnson & Johnson | 338,472 | 19,225,210 | ||||||
King Pharmaceuticals, Inc.1 | 124,531 | 1,199,234 | ||||||
Merck & Co., Inc. | 728,500 | 20,368,860 | ||||||
Pfizer, Inc. | 1,009,300 | 15,139,500 | ||||||
Schering-Plough Corp. | 91,400 | 2,295,968 | ||||||
Warner Chilcott Ltd., Cl. A1 | 2,206 | 29,009 | ||||||
Watson Pharmaceuticals, Inc.1 | 27,317 | 920,310 | ||||||
Wyeth | 43,371 | 1,968,610 | ||||||
97,355,750 | ||||||||
Industrials—11.2% | ||||||||
Aerospace & Defense—4.9% | ||||||||
BE Aerospace, Inc.1 | 7,400 | 106,264 | ||||||
Boeing Co. (The) | 355,314 | 15,100,845 | ||||||
Ceradyne, Inc.1 | 26,300 | 464,458 | ||||||
General Dynamics Corp. | 133,751 | 7,408,468 | ||||||
Goodrich Corp. | 29,724 | 1,485,308 | ||||||
Honeywell International, Inc. | 196,812 | 6,179,897 | ||||||
L-3 Communications Holdings, Inc. | 35,600 | 2,469,928 | ||||||
Lockheed Martin Corp. | 16,326 | 1,316,692 | ||||||
Northrop Grumman Corp. | 179,600 | 8,204,128 | ||||||
Precision Castparts Corp. | 20,046 | 1,463,959 | ||||||
Raytheon Co. | 137,100 | 6,091,353 | ||||||
Spirit Aerosystems Holdings, Inc., Cl. A1 | 8,714 | 119,730 | ||||||
Triumph Group, Inc. | 13,602 | 544,080 | ||||||
United Technologies Corp. | 336,938 | 17,507,298 | ||||||
68,462,408 | ||||||||
Air Freight & Logistics—0.3% | ||||||||
FedEx Corp. | 37,000 | 2,057,940 | ||||||
Pacer International, Inc. | 3,479 | 7,758 | ||||||
United Parcel Service, Inc., Cl. B | 46,300 | 2,314,537 | ||||||
4,380,235 | ||||||||
Airlines—0.0% | ||||||||
SkyWest, Inc. | 30,323 | 309,295 | ||||||
Building Products—0.1% | ||||||||
Armstrong World Industries, Inc.1 | 16,391 | 270,288 | ||||||
Lennox International, Inc. | 19,412 | 623,319 | ||||||
Owens Corning, Inc.1 | 16,600 | 212,148 | ||||||
1,105,755 | ||||||||
Commercial Services & Supplies—0.7% | ||||||||
Copart, Inc.1 | 17,018 | 590,014 | ||||||
CoStar Group, Inc.1 | 7,700 | 306,999 | ||||||
Deluxe Corp. | 600 | 7,686 | ||||||
Equifax, Inc. | 34,826 | 908,959 | ||||||
First Advantage Corp., Cl. A1 | 2,894 | 44,018 | ||||||
HNI Corp. | 29,471 | 532,246 | ||||||
Interface, Inc., Cl. A | 25,796 | 159,935 | ||||||
Korn-Ferry International1 | 14,361 | 152,801 | ||||||
Manpower, Inc. | 29,549 | 1,251,105 | ||||||
Miller (Herman), Inc. | 15,607 | 239,411 | ||||||
Monster Worldwide, Inc.1 | 4,400 | 51,964 | ||||||
Pitney Bowes, Inc. | 43,800 | 960,534 | ||||||
R.R. Donnelley & Sons Co. | 73,700 | 856,394 | ||||||
Republic Services, Inc. | 65,200 | 1,591,532 | ||||||
Resources Connection, Inc.1 | 564 | 9,684 | ||||||
Robert Half International, Inc. | 21,199 | 500,720 | ||||||
TrueBlue, Inc.1 | 11,600 | 97,440 | ||||||
Viad Corp. | 500 | 8,610 | ||||||
Waste Management, Inc. | 69,675 | 1,962,048 | ||||||
10,232,100 |
F5 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Construction & Engineering—0.3% | ||||||||
Chicago Bridge & Iron Co. NV | 33,300 | $ | 412,920 | |||||
EMCOR Group, Inc.1 | 13,345 | 268,501 | ||||||
Fluor Corp. | 47,169 | 2,419,298 | ||||||
Granite Construction, Inc. | 2,800 | 93,184 | ||||||
KBR, Inc. | 43,187 | 796,368 | ||||||
Shaw Group, Inc. (The)1 | 16,700 | 457,747 | ||||||
Tutor Perini Corp.1 | 566 | 9,826 | ||||||
4,457,844 | ||||||||
Electrical Equipment—0.8% | ||||||||
Acuity Brands, Inc. | 29,400 | 824,670 | ||||||
Baldor Electric Co. | 39,158 | 931,569 | ||||||
Belden, Inc. | 42,038 | 702,035 | ||||||
Cooper Industries Ltd., Cl. A | 20,130 | 625,037 | ||||||
Emerson Electric Co. | 162,000 | 5,248,800 | ||||||
GrafTech International Ltd.1 | 84,812 | 959,224 | ||||||
Hubbell, Inc., Cl. B | 16,400 | 525,784 | ||||||
Rockwell Automation, Inc. | 24,521 | 787,615 | ||||||
Smith (A.O.) Corp. | 4,737 | 154,284 | ||||||
Thomas & Betts Corp.1 | 15,900 | 458,874 | ||||||
Woodward Governor Co. | 12,115 | 239,877 | ||||||
11,457,769 | ||||||||
Industrial Conglomerates—0.7% | ||||||||
3M Co. | 8,617 | 517,882 | ||||||
General Electric Co. | 619,393 | 7,259,286 | ||||||
Tyco International Ltd. | 48,138 | 1,250,625 | ||||||
9,027,793 | ||||||||
Machinery—2.5% | ||||||||
AGCO Corp.1 | 18,306 | 532,155 | ||||||
Barnes Group, Inc. | 6,000 | 71,340 | ||||||
Briggs & Stratton Corp. | 15,400 | 205,436 | ||||||
Caterpillar, Inc. | 180,576 | 5,966,231 | ||||||
Chart Industries, Inc..1 | 700 | 12,726 | ||||||
CIRCOR International, Inc. | 9,369 | 221,202 | ||||||
Crane Co. | 10,681 | 238,293 | ||||||
Cummins, Inc. | 65,075 | 2,291,291 | ||||||
Danaher Corp. | 37,500 | 2,315,250 | ||||||
Deere & Co. | 54,171 | 2,164,131 | ||||||
Dover Corp. | 46,936 | 1,553,112 | ||||||
EnPro Industries, Inc.1 | 431 | 7,762 | ||||||
Flowserve Corp. | 4,006 | 279,659 | ||||||
Gardner Denver, Inc.1 | 485 | 12,207 | ||||||
Harsco Corp. | 36,118 | 1,022,139 | ||||||
IDEX Corp. | 25,064 | 615,822 | ||||||
Illinois Tool Works, Inc. | 149,800 | 5,593,532 | ||||||
Ingersoll-Rand Co. Ltd., Cl. A | 74,268 | 1,552,201 | ||||||
Joy Global, Inc. | 28,486 | 1,017,520 | ||||||
Lincoln Electric Holdings, Inc. | 8,700 | 313,548 | ||||||
Manitowoc Co., Inc. (The) | 8,368 | 44,016 | ||||||
Mueller Water Products, Inc., Cl. A | 26,200 | 97,988 | ||||||
Navistar International Corp.1 | 20,849 | 909,016 | ||||||
Nordson Corp. | 16,200 | 626,292 | ||||||
Paccar, Inc. | 48,700 | 1,583,237 | ||||||
Parker-Hannifin Corp. | 45,700 | 1,963,272 | ||||||
Sauer-Danfoss, Inc. | 1,100 | 6,743 | ||||||
Terex Corp.1 | 600 | 7,242 | ||||||
Timken Co. | 51,200 | 874,496 | ||||||
Titan International, Inc. | 24,600 | 183,762 | ||||||
Toro Co. (The) | 25,999 | 777,370 | ||||||
Trinity Industries, Inc. | 36,700 | 499,854 | ||||||
Watts Water Technologies, Inc., Cl. A | 23,800 | 512,652 | ||||||
34,071,497 | ||||||||
Marine—0.0% | ||||||||
Alexander & Baldwin, Inc. | 9,110 | 213,538 | ||||||
Genco Shipping & Trading Ltd. | 6,400 | 139,008 | ||||||
Kirby Corp.1 | 2,900 | 92,191 | ||||||
444,737 | ||||||||
Road & Rail—0.8% | ||||||||
Amerco1 | 600 | 22,290 | ||||||
Arkansas Best Corp. | 12,900 | 339,915 | ||||||
CSX Corp. | 34,014 | 1,177,905 | ||||||
Hertz Global Holdings, Inc.1 | 126,898 | 1,013,915 | ||||||
Norfolk Southern Corp. | 105,700 | 3,981,719 | ||||||
Union Pacific Corp. | 91,500 | 4,763,490 | ||||||
11,299,234 | ||||||||
Trading Companies & Distributors—0.1% | ||||||||
Watsco, Inc. | 1,812 | 88,661 | ||||||
WESCO International, Inc.1 | 40,500 | 1,014,120 | ||||||
1,102,781 | ||||||||
Information Technology—19.0% | ||||||||
Communications Equipment—3.6% | ||||||||
3Com Corp.1 | 106,400 | 501,144 | ||||||
ADTRAN, Inc. | 26,773 | 574,816 | ||||||
Avocent Corp.1 | 38,600 | 538,856 | ||||||
Ciena Corp.1 | 33,600 | 347,760 |
F6 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Communications Equipment Continued | ||||||||
Cisco Systems, Inc.1 | 1,701,600 | $ | 31,717,824 | |||||
CommScope, Inc.1 | 13,685 | 359,368 | ||||||
Emulex Corp.1 | 78,000 | 762,840 | ||||||
F5 Networks, Inc.1 | 23,474 | 811,966 | ||||||
Harris Corp. | 15,100 | 428,236 | ||||||
InterDigital, Inc.1 | 18,820 | 459,961 | ||||||
JDS Uniphase Corp.1 | 193,000 | 1,103,960 | ||||||
QUALCOMM, Inc. | 269,831 | 12,196,361 | ||||||
Tellabs, Inc.1 | 190,200 | 1,089,846 | ||||||
50,892,938 | ||||||||
Computers & Peripherals—3.6% | ||||||||
Apple, Inc.1 | 131,668 | 18,753,473 | ||||||
Avid Technology, Inc.1 | 5,458 | 73,192 | ||||||
Dell, Inc.1 | 54,412 | 747,077 | ||||||
EMC Corp.1 | 144,894 | 1,898,111 | ||||||
International Business Machines Corp. | 223,111 | 23,297,251 | ||||||
QLogic Corp.1 | 52,100 | 660,628 | ||||||
SanDisk Corp.1 | 76,700 | 1,126,723 | ||||||
Sun Microsystems, Inc.1 | 104,231 | 961,010 | ||||||
Synaptics, Inc.1 | 38,700 | 1,495,755 | ||||||
Teradata Corp.1 | 15,600 | 365,508 | ||||||
Western Digital Corp.1 | 51,034 | 1,352,401 | ||||||
50,731,129 | ||||||||
Electronic Equipment & Instruments—1.1% | ||||||||
Agilent Technologies, Inc.1 | 24,611 | 499,849 | ||||||
Amphenol Corp., Cl. A | 18,100 | 572,684 | ||||||
Anixter International, Inc.1 | 16,992 | 638,729 | ||||||
Arrow Electronics, Inc.1 | 52,300 | 1,110,852 | ||||||
Avnet, Inc.1 | 44,199 | 929,505 | ||||||
AVX Corp. | 21,600 | 214,488 | ||||||
Coherent, Inc.1 | 9,567 | 197,846 | ||||||
Corning, Inc. | 277,132 | 4,450,740 | ||||||
Dolby Laboratories, Inc., Cl. A1 | 20,900 | 779,152 | ||||||
Ingram Micro, Inc., Cl. A1 | 83,766 | 1,465,905 | ||||||
Itron, Inc.1 | 7,910 | 435,604 | ||||||
Jabil Circuit, Inc. | 66,696 | 494,884 | ||||||
L-1 Identity Solutions, Inc.1 | 600 | 4,644 | ||||||
Molex, Inc. | 61,927 | 962,965 | ||||||
National Instruments Corp. | 13,900 | 313,584 | ||||||
Plexus Corp.1 | 4,500 | 92,070 | ||||||
Rofin-Sinar Technologies, Inc.1 | 5,356 | 107,174 | ||||||
SYNNEX Corp.1 | 200 | 4,998 | ||||||
Tech Data Corp.1 | 5,774 | 188,868 | ||||||
Trimble Navigation Ltd.1 | 46,470 | 912,206 | ||||||
Vishay Intertechnology, Inc.1 | 122,000 | 828,380 | ||||||
15,205,127 | ||||||||
Internet Software & Services—1.5% | ||||||||
Akamai Technologies, Inc.1 | 68,214 | 1,308,345 | ||||||
Digital River, Inc.1 | 5,300 | 192,496 | ||||||
eBay, Inc.1 | 403,205 | 6,906,902 | ||||||
Google, Inc., Cl. A1 | 23,870 | 10,063,353 | ||||||
IAC/InterActiveCorp1 | 1,225 | 19,661 | ||||||
Open Text Corp.1 | 12,200 | 444,324 | ||||||
Sohu.com, Inc.1 | 14,978 | 941,068 | ||||||
ValueClick, Inc.1 | 70,400 | 740,608 | ||||||
VeriSign, Inc.1 | 3,488 | 64,458 | ||||||
20,681,215 | ||||||||
IT Services—2.1% | ||||||||
Accenture Ltd., Cl. A | 148,600 | 4,972,156 | ||||||
Affiliated Computer Services, Inc., Cl. A1 | 4,710 | 209,218 | ||||||
Amdocs Ltd.1 | 65,600 | 1,407,120 | ||||||
Broadridge Financial Solutions, Inc. | 53,600 | 888,688 | ||||||
Computer Sciences Corp.1 | 30,930 | 1,370,199 | ||||||
Fidelity National Information Services, Inc. | 9,634 | 192,295 | ||||||
Fiserv, Inc.1 | 17,000 | 776,900 | ||||||
Gartner, Inc.1 | 1,800 | 27,468 | ||||||
Hewitt Associates, Inc.1 | 59,612 | 1,775,245 | ||||||
MasterCard, Inc., Cl. A | 44,600 | 7,462,026 | ||||||
Paychex, Inc. | 177,192 | 4,465,238 | ||||||
Perot Systems Corp., Cl. A1 | 54,700 | 783,851 | ||||||
Sapient Corp.1 | 18,700 | 117,623 | ||||||
Total System Services, Inc. | 16,870 | 225,889 | ||||||
Unisys Corp.1 | 7,700 | 11,627 | ||||||
Western Union Co. | 255,189 | 4,185,100 | ||||||
28,870,643 | ||||||||
Office Electronics—0.2% | ||||||||
Xerox Corp. | 330,700 | 2,142,936 | ||||||
Zebra Technologies Corp., Cl. A1 | 2,800 | 66,248 | ||||||
2,209,184 | ||||||||
Semiconductors & Semiconductor Equipment—2.4% | ||||||||
Amkor Technology, Inc.1 | 70,772 | 334,752 | ||||||
Analog Devices, Inc. | 56,239 | 1,393,602 |
F7 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment Continued | ||||||||
Applied Materials, Inc. | 599,500 | $ | 6,576,515 | |||||
Atmel Corp.1 | 78,200 | 291,686 | ||||||
Broadcom Corp., Cl. A1 | 118,682 | 2,942,127 | ||||||
Cabot Microelectronics Corp.1 | 2,900 | 82,041 | ||||||
Cymer, Inc.1 | 676 | 20,097 | ||||||
Entegris, Inc.1 | 22,800 | 62,016 | ||||||
Fairchild Semiconductor International, Inc., Cl. A1 | 24,498 | 171,241 | ||||||
Integrated Device Technology, Inc.1 | 64,500 | 389,580 | ||||||
International Rectifier Corp.1 | 12,200 | 180,682 | ||||||
LSI Corp.1 | 245,800 | 1,120,848 | ||||||
Marvell Technology Group Ltd.1 | 128,120 | 1,491,317 | ||||||
MEMC Electronic Materials, Inc.1 | 62,896 | 1,120,178 | ||||||
Microsemi Corp.1 | 9,629 | 132,880 | ||||||
National Semiconductor Corp. | 54,514 | 684,151 | ||||||
NVIDIA Corp.1 | 99,254 | 1,120,578 | ||||||
ON Semiconductor Corp.1 | 523 | 3,588 | ||||||
Semtech Corp.1 | 300 | 4,773 | ||||||
Silicon Laboratories, Inc.1 | 5,500 | 208,670 | ||||||
Skyworks Solutions, Inc.1 | 58,886 | 575,905 | ||||||
Teradyne, Inc.1 | 35,400 | 242,844 | ||||||
Texas Instruments, Inc. | 570,600 | 12,153,780 | ||||||
Xilinx, Inc. | 120,291 | 2,461,154 | ||||||
33,765,005 | ||||||||
Software—4.5% | ||||||||
Adobe Systems, Inc.1 | 100,634 | 2,847,942 | ||||||
Advent Software, Inc.1 | 600 | 19,674 | ||||||
Ansys, Inc.1 | 22,841 | 711,726 | ||||||
Autodesk, Inc.1 | 62,236 | 1,181,239 | ||||||
CA, Inc. | 147,800 | 2,576,154 | ||||||
Cadence Design Systems, Inc.1 | 18,255 | 107,705 | ||||||
Check Point Software Technologies Ltd.1 | 43,779 | 1,027,493 | ||||||
FactSet Research Systems, Inc. | 15,517 | 773,833 | ||||||
Lawson Software, Inc.1 | 22,400 | 124,992 | ||||||
MICROS Systems, Inc.1 | 38,400 | 972,288 | ||||||
Microsoft Corp. | 1,659,600 | 39,448,692 | ||||||
Net 1 UEPS Technologies, Inc.1 | 24,300 | 330,237 | ||||||
Nuance Communications, Inc.1 | 28,905 | 349,461 | ||||||
Oracle Corp. | 158,767 | 3,400,789 | ||||||
Parametric Technology Corp.1 | 55,896 | 653,424 | ||||||
Progress Software Corp.1 | 6,881 | 145,671 | ||||||
Quest Software, Inc.1 | 11,700 | 163,098 | ||||||
Solera Holdings, Inc.1 | 3,512 | 89,205 | ||||||
Sybase, Inc.1 | 26,400 | 827,376 | ||||||
Symantec Corp.1 | 416,200 | 6,476,072 | ||||||
Synopsys, Inc.1 | 48,923 | 954,488 | ||||||
Take-Two Interactive Software, Inc. | 20,400 | 193,188 | ||||||
THQ, Inc.1 | 800 | 5,728 | ||||||
63,380,475 | ||||||||
Materials—3.8% | ||||||||
Chemicals—1.6% | ||||||||
Air Products & Chemicals, Inc. | 15,615 | 1,008,573 | ||||||
Ashland, Inc. | 26,858 | 753,367 | ||||||
CF Industries Holdings, Inc. | 16,224 | 1,202,847 | ||||||
Cytec Industries, Inc. | 200 | 3,724 | ||||||
Dow Chemical Co. (The) | 35,931 | 579,926 | ||||||
E.I. du Pont de Nemours & Co. | 14,736 | 377,536 | ||||||
Eastman Chemical Co. | 20,001 | 758,038 | ||||||
Ferro Corp. | 18,300 | 50,325 | ||||||
Fuller (H.B.) Co. | 8,800 | 165,176 | ||||||
Monsanto Co. | 96,399 | 7,166,302 | ||||||
Mosaic Co. (The) | 108,712 | 4,815,942 | ||||||
Nalco Holding Co. | 16,352 | 275,368 | ||||||
NewMarket Corp. | 5,000 | 336,650 | ||||||
Praxair, Inc. | 37,700 | 2,679,339 | ||||||
Rockwood Holdings, Inc.1 | 13,000 | 190,320 | ||||||
RPM International, Inc. | 36,000 | 505,440 | ||||||
Terra Industries, Inc. | 43,400 | 1,051,148 | ||||||
Valhi, Inc. | 1,300 | 9,659 | ||||||
Valspar Corp. (The) | 35,300 | 795,309 | ||||||
Westlake Chemical Corp. | 12,800 | 260,992 | ||||||
22,985,981 | ||||||||
Containers & Packaging—0.3% | ||||||||
Owens-Illinois, Inc.1 | 49,170 | 1,377,252 | ||||||
Sealed Air Corp. | 71,470 | 1,318,622 | ||||||
Sonoco Products Co. | 32,400 | 775,980 | ||||||
Temple-Inland, Inc. | 8,300 | 108,896 | ||||||
3,580,750 | ||||||||
Metals & Mining—1.8% | ||||||||
AK Steel Holding Corp. | 3,400 | 65,246 | ||||||
Alcoa, Inc. | 152,362 | 1,573,899 | ||||||
Allegheny Technologies, Inc. | 18,621 | 650,432 | ||||||
Carpenter Technology Corp. | 42,800 | 890,668 | ||||||
Cliffs Natural Resources, Inc. | 3,806 | 93,133 | ||||||
Commercial Metals Co. | 47,645 | 763,749 | ||||||
Freeport-McMoRan Copper & Gold, Inc., Cl. B | 68,540 | 3,434,539 | ||||||
Kaiser Aluminum Corp. | 2,400 | 86,184 |
F8 | OPPENHEIMER MAIN STREET FUND/VA
Shares | Value | |||||||
Metals & Mining Continued | ||||||||
Nucor Corp. | 144,000 | $ | 6,397,920 | |||||
Reliance Steel & Aluminum Co. | 39,200 | 1,504,888 | ||||||
Schnitzer Steel Industries, Inc. | 19,864 | 1,050,011 | ||||||
Southern Copper Corp. | 372,200 | 7,607,768 | ||||||
United States Steel Corp. | 33,037 | 1,180,742 | ||||||
Worthington Industries, Inc. | 28,790 | 368,224 | ||||||
25,667,403 | ||||||||
Paper & Forest Products—0.1% | ||||||||
Domtar Corp.1 | 25,266 | 418,910 | ||||||
MeadWestvaco Corp. | 22,000 | 361,020 | ||||||
779,930 | ||||||||
Telecommunication Services—2.5% | ||||||||
Diversified Telecommunication Services—2.0% | ||||||||
AT&T, Inc. | 327,928 | 8,145,732 | ||||||
Embarq Corp. | 37,600 | 1,581,456 | ||||||
NTELOS Holdings Corp. | 5,500 | 101,310 | ||||||
Premiere Global Services, Inc.1 | 13,672 | 148,204 | ||||||
Qwest Communications International, Inc. | 337,715 | 1,401,517 | ||||||
tw telecom, Inc.1 | 54,500 | 559,715 | ||||||
Verizon Communications, Inc. | 469,089 | 14,415,105 | ||||||
Windstream Corp. | 111,200 | 929,632 | ||||||
27,282,671 | ||||||||
Wireless Telecommunication Services—0.5% | ||||||||
America Movil SAB de CV, ADR, Series L | 28,600 | 1,107,392 | ||||||
Centennial Communications Corp.1 | 25,700 | 214,852 | ||||||
NII Holdings, Inc.1 | 39,334 | 750,099 | ||||||
Sprint Nextel Corp.1 | 941,894 | 4,530,510 | ||||||
Syniverse Holdings, Inc.1 | 32,300 | 517,769 | ||||||
7,120,622 | ||||||||
Utilities—1.2% | ||||||||
Electric Utilities—0.5% | ||||||||
American Electric Power Co., Inc. | 82,400 | 2,380,536 | ||||||
Duke Energy Corp. | 303,800 | 4,432,442 | ||||||
Exelon Corp. | 4,500 | 230,445 | ||||||
7,043,423 | ||||||||
Energy Traders—0.3% | ||||||||
AES Corp. (The)1 | 310,000 | 3,599,100 | ||||||
RRI Energy, Inc.1 | 36,824 | 184,488 | ||||||
3,783,588 | ||||||||
Multi-Utilities—0.4% | ||||||||
Integrys Energy Group, Inc. | 7,315 | 219,377 | ||||||
PG&E Corp. | 32,700 | 1,256,988 | ||||||
Public Service Enterprise Group, Inc. | 78,500 | 2,561,455 | ||||||
Sempra Energy | 12,300 | 610,449 | ||||||
Wisconsin Energy Corp. | 33,000 | 1,343,427 | ||||||
5,991,696 | ||||||||
Total Common Stocks (Cost $1,320,049,452) | 1,337,332,790 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Dime Bancorp, Inc. Wts., Strike Price $1, Exp. 1/2/101 (Cost $0) | 31,300 | 313 | ||||||
Principal | ||||||||
Amount | ||||||||
Asset-Backed Securities—0.0% | ||||||||
GSAA Home Equity Trust 2005-15, Asset-Backed Certificates, Series 2005-15, Cl. 2A1, 0.404%, 1/25/363 (Cost $391,169) | $ | 391,169 | 327,550 |
Shares | ||||||||
Investment Companies—2.7% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%4,6 | 238,783 | 238,783 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%4,5 | 27,079,138 | 27,079,138 | ||||||
Standard & Poor’s Depositary Receipts Trust, Series 1 | 106,300 | 9,771,096 | ||||||
Total Investment Companies (Cost $37,166,138) | 37,089,017 | |||||||
Total Investments, at Value (Cost $1,357,606,759) | 98.4 | % | 1,374,749,670 | |||||
Other Assets Net of Liabilities | 1.6 | 22,875,847 | ||||||
Net Assets | 100.0 | % | $ | 1,397,625,517 | ||||
F9 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments
1. | Non-income producing security. | |
2. | Illiquid security. The aggregate value of illiquid securities as of June 30, 2009 was $154, which represents less than 0.005% of the Fund’s net assets. See Note 6 of accompanying Notes. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
4. | Rate shown is the 7-day yield as of June 30, 2009. | |
5. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
OFI Liquid Assets Fund, LLC | 93,229,008 | 463,250,677 | 556,479,685 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 7,043,996 | 153,315,835 | 133,280,693 | 27,079,138 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 615,179 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 27,079,138 | 42,885 | ||||||
$ | 27,079,138 | $ | 658,064 | |||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
6. | Interest rate less than 0.0005%. |
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 1– | Level 2– | Level 3– | ||||||||||||||
Unadjusted | Other Significant | Significant | ||||||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 120,842,606 | $ | — | $ | — | $ | 120,842,606 | ||||||||
Consumer Staples | 136,322,527 | — | — | 136,322,527 | ||||||||||||
Energy | 181,596,289 | — | — | 181,596,289 | ||||||||||||
Financials | 172,865,733 | 154 | — | 172,865,887 | ||||||||||||
Health Care | 199,382,253 | — | — | 199,382,253 | ||||||||||||
Industrials | 156,351,448 | — | — | 156,351,448 | ||||||||||||
Information Technology | 265,735,716 | — | — | 265,735,716 | ||||||||||||
Materials | 53,014,064 | — | — | 53,014,064 | ||||||||||||
Telecommunication Services | 34,403,293 | — | — | 34,403,293 | ||||||||||||
Utilities | 16,818,707 | — | — | 16,818,707 | ||||||||||||
Rights, Warrants and Certificates | — | 313 | — | 313 | ||||||||||||
Asset-Backed Securities | — | 327,550 | — | 327,550 | ||||||||||||
Investment Companies | 37,089,017 | — | — | 37,089,017 | ||||||||||||
Total Assets | $ | 1,374,421,653 | $ | 328,017 | $ | — | $ | 1,374,749,670 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | $ | — | $ | (5,434 | ) | $ | — | $ | (5,434 | ) | ||||||
Total Liabilities | $ | — | $ | (5,434 | ) | $ | — | $ | (5,434 | ) | ||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
F10 | OPPENHEIMER MAIN STREET FUND/VA
Foreign Currency Exchange Contracts as of June 30, 2009 are as follows:
Contract Amount | Expiration | Unrealized | ||||||||||||||||||
Counterparty/Contract Description | Buy | (000’s) | Date | Value | Depreciation | |||||||||||||||
Brown Brothers Harriman | ||||||||||||||||||||
Euro (EUR) | Buy | 1,377 EUR | 7/1/09 | $ | 1,931,506 | $ | 5,434 |
See accompanying Notes to Financial Statements.
F11 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,330,527,621) | $ | 1,347,670,532 | ||
Affiliated companies (cost $27,079,138) | 27,079,138 | |||
1,374,749,670 | ||||
Receivables and other assets: | ||||
Investments sold | 285,285,075 | |||
Interest and dividends | 1,483,042 | |||
Shares of beneficial interest sold | 245,780 | |||
Other | 50,325 | |||
Total assets | 1,661,813,892 | |||
Liabilities | ||||
Unrealized depreciation on foreign currency exchange contracts | 5,434 | |||
Payables and other liabilities: | ||||
Investments purchased | 261,613,786 | |||
Shares of beneficial interest redeemed | 1,761,411 | |||
Distribution and service plan fees | 613,459 | |||
Transfer and shareholder servicing agent fees | 119,054 | |||
Shareholder communications | 32,104 | |||
Trustees’ compensation | 17,319 | |||
Other | 25,808 | |||
Total liabilities | 264,188,375 | |||
Net Assets | $ | 1,397,625,517 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 92,496 | ||
Additional paid-in capital | 1,959,180,728 | |||
Accumulated net investment income | 9,374,748 | |||
Accumulated net realized loss on investments and foreign currency transactions | (588,165,557 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 17,143,102 | |||
Net Assets | $ | 1,397,625,517 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $422,741,848 and 27,846,902 shares of beneficial interest outstanding) | $ | 15.18 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $974,883,669 and 64,648,721 shares of beneficial interest outstanding) | $ | 15.08 |
See accompanying Notes to Financial Statements.
F12 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $123) | $ | 14,818,382 | ||
Affiliated companies | 42,885 | |||
Income from investment of securities lending cash collateral, net: | ||||
Unaffiliated companies | 17,130 | |||
Affiliated companies | 615,179 | |||
Interest | 4,989 | |||
Total investment income | 15,498,565 | |||
Expenses | ||||
Management fees | 4,408,011 | |||
Distribution and service plan fees—Service shares | 1,162,425 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 74,566 | |||
Service shares | 172,309 | |||
Shareholder communications: | ||||
Non-Service shares | 66,937 | |||
Service shares | 156,463 | |||
Trustees’ compensation | 23,868 | |||
Custodian fees and expenses | 3,748 | |||
Other | 37,010 | |||
Total expenses | 6,105,337 | |||
Less waivers and reimbursements of expenses | (5,253 | ) | ||
Net expenses | 6,100,084 | |||
Net Investment Income | 9,398,481 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies | (306,214,485 | ) | ||
Foreign currency transactions | (5,704 | ) | ||
Net realized loss | (306,220,189 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 393,819,957 | |||
Translation of assets and liabilities denominated in foreign currencies | (3,380 | ) | ||
Net change in unrealized appreciation | 393,816,577 | |||
Net Increase in Net Assets Resulting from Operations | $ | 96,994,869 | ||
See accompanying Notes to Financial Statements.
F13 | OPPENHEIMER MAIN STREET FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 9,398,481 | $ | 24,773,186 | ||||
Net realized loss | (306,220,189 | ) | (267,651,680 | ) | ||||
Net change in unrealized appreciation (depreciation) | 393,816,577 | (632,729,270 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 96,994,869 | (875,607,764 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (8,430,011 | ) | (10,725,797 | ) | ||||
Service shares | (16,363,358 | ) | (15,635,174 | ) | ||||
(24,793,369 | ) | (26,360,971 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | — | (46,604,473 | ) | |||||
Service shares | — | (82,181,746 | ) | |||||
— | (128,786,219 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (26,933,447 | ) | (112,358,225 | ) | ||||
Service shares | (100,105,575 | ) | 223,159,438 | |||||
(127,039,022 | ) | 110,801,213 | ||||||
Net Assets | ||||||||
Total decrease | (54,837,522 | ) | (919,953,741 | ) | ||||
Beginning of period | 1,452,463,039 | 2,372,416,780 | ||||||
End of period (including accumulated net investment income of $9,374,748 and $24,769,636, respectively) | $ | 1,397,625,517 | $ | 1,452,463,039 | ||||
See accompanying Notes to Financial Statements.
F14 | OPPENHEIMER MAIN STREET FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.56 | $ | 25.61 | $ | 24.78 | $ | 21.79 | $ | 20.84 | $ | 19.20 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .11 | .29 | .33 | .27 | .26 | .27 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .81 | (9.64 | ) | .75 | 2.98 | .97 | 1.53 | |||||||||||||||||
Total from investment operations | .92 | (9.35 | ) | 1.08 | 3.25 | 1.23 | 1.80 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.30 | ) | (.32 | ) | (.25 | ) | (.26 | ) | (.28 | ) | (.16 | ) | ||||||||||||
Distributions from net realized gain | — | (1.38 | ) | — | — | — | — | |||||||||||||||||
Total dividends and/or distributions to shareholders | (.30 | ) | (1.70 | ) | (.25 | ) | (.26 | ) | (.28 | ) | (.16 | ) | ||||||||||||
Net asset value, end of period | $ | 15.18 | $ | 14.56 | $ | 25.61 | $ | 24.78 | $ | 21.79 | $ | 20.84 | ||||||||||||
Total Return, at Net Asset Value2 | 7.12 | % | (38.47 | )% | 4.43 | % | 15.03 | % | 5.98 | % | 9.46 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 422,742 | $ | 432,360 | $ | 907,727 | $ | 1,046,146 | $ | 1,121,476 | $ | 1,238,948 | ||||||||||||
Average net assets (in thousands) | $ | 400,591 | $ | 670,994 | $ | 1,006,655 | $ | 1,054,522 | $ | 1,156,299 | $ | 1,216,081 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.59 | % | 1.42 | % | 1.28 | % | 1.19 | % | 1.26 | % | 1.39 | % | ||||||||||||
Total expenses | 0.74 | %4,5 | 0.66 | %4,5,6 | 0.65 | %4,5,6 | 0.66 | %4,5 | 0.67 | %6 | 0.67 | %6 | ||||||||||||
Portfolio turnover rate | 43 | % | 132 | % | 111 | % | 100 | % | 88 | % | 82 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.74 | % | ||
Year Ended December 31, 2008 | 0.66 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F15 | OPPENHEIMER MAIN STREET FUND/ VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.42 | $ | 25.38 | $ | 24.58 | $ | 21.63 | $ | 20.70 | $ | 19.10 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .09 | .24 | .26 | .22 | .21 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .82 | (9.56 | ) | .75 | 2.95 | .96 | 1.49 | |||||||||||||||||
Total from investment operations | .91 | (9.32 | ) | 1.01 | 3.17 | 1.17 | 1.74 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.25 | ) | (.26 | ) | (.21 | ) | (.22 | ) | (.24 | ) | (.14 | ) | ||||||||||||
Distributions from net realized gain | — | (1.38 | ) | — | — | — | — | |||||||||||||||||
Total dividends and/or distributions to shareholders | (.25 | ) | (1.64 | ) | (.21 | ) | (.22 | ) | (.24 | ) | (.14 | ) | ||||||||||||
Net asset value, end of period | $ | 15.08 | $ | 14.42 | $ | 25.38 | $ | 24.58 | $ | 21.63 | $ | 20.70 | ||||||||||||
Total Return, at Net Asset Value2 | 6.99 | % | (38.63 | )% | 4.15 | % | 14.76 | % | 5.74 | % | 9.15 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 974,884 | $ | 1,020,103 | $ | 1,464,690 | $ | 1,099,293 | $ | 598,348 | $ | 372,845 | ||||||||||||
Average net assets (in thousands) | $ | 940,624 | $ | 1,268,430 | $ | 1,315,488 | $ | 810,181 | $ | 462,272 | $ | 262,660 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.34 | % | 1.20 | % | 1.03 | % | 0.95 | % | 1.02 | % | 1.30 | % | ||||||||||||
Total expenses | 0.99 | %4,5 | 0.91 | %4,5,6 | 0.90 | %4,5,6 | 0.91 | %4,5 | 0.91 | %6 | 0.92 | %6 | ||||||||||||
Portfolio turnover rate | 43 | % | 132 | % | 111 | % | 100 | % | 88 | % | 82 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.99 | % | ||
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.90 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
5. | Waiver or reimbursement of indirect management fees less than 0.005%. | |
6. | Reduction to custodian expenses less than 0.005%. |
See accompanying Notes to Financial Statements.
F16 | OPPENHEIMER MAIN STREET FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Main Street Fund/VA (the “Fund”), is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek high total return from equity and debt securities. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
F17 | OPPENHEIMER MAIN STREET FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in OFI Liquid Assets Fund, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund’s Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC (“LAF”) is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund’s investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF’s expenses, including its management fee of 0.08%.
F18 | OPPENHEIMER MAIN STREET FUND/VA
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $30,270,322 and unused capital loss carryforward as follows:
Expiring | ||||
2016 | $ | 217,993,206 |
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $554,483,717 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 1,408,046,324 | ||
Gross unrealized appreciation | $ | 81,869,674 | ||
Gross unrealized depreciation | (115,166,328 | ) | ||
Net unrealized depreciation | $ | (33,296,654 | ) | |
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times
F19 | OPPENHEIMER MAIN STREET FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,964,969 | $ | 27,491,082 | 4,118,231 | $ | 80,935,200 | ||||||||||
Dividends and/or distributions reinvested | 776,960 | 8,430,011 | 2,774,941 | 57,330,270 | ||||||||||||
Redeemed | (4,581,121 | ) | (62,854,540 | ) | (12,645,946 | ) | (250,623,695 | ) | ||||||||
Net decrease | (1,839,192 | ) | $ | (26,933,447 | ) | (5,752,774 | ) | $ | (112,358,225 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 3,820,572 | $ | 44,882,765 | 17,273,881 | $ | 299,271,029 | ||||||||||
Dividends and/or distributions reinvested | 1,515,498 | 16,352,225 | 4,768,240 | 97,748,917 | ||||||||||||
Redeemed | (11,406,152 | ) | (161,340,565 | ) | (9,024,762 | ) | (173,860,508 | ) | ||||||||
Net increase (decrease) | (6,070,082 | ) | $ | (100,105,575 | ) | 13,017,359 | $ | 223,159,438 | ||||||||
F20 | OPPENHEIMER MAIN STREET FUND/VA
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF and LAF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 562,999,071 | $ | 743,499,700 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $129,541 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 0.80% for Non-Service shares and 1.05% for Service shares. This voluntary undertaking may be amended or withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $5,253 for IMMF management fees.
5. Foreign Currency Exchange Contracts
The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
F21 | OPPENHEIMER MAIN STREET FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Foreign Currency Exchange Contracts Continued
The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
6. Illiquid Securities
As of June 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments.
7. Securities Lending
The Fund lends portfolio securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower and recognizes the gain or loss in the fair value of the securities loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand.
As of June 30, 2009, the Fund had no securities on loan.
8. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
9. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
F22 | OPPENHEIMER MAIN STREET FUND/VA
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F23 | OPPENHEIMER MAIN STREET FUND/VA
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F24 | OPPENHEIMER MAIN STREET FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form
N-PX filing on the SEC’s website at www.sec.gov.
N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
7 | OPPENHEIMER MAIN STREET FUND/VA
OPPENHEIMER MAIN STREET FUND ®/VA
A Series of Oppenheimer Variable Account Funds | ||
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Manind Govil, Vice President and Portfolio Manager | ||
Benjamin Ram, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved. |
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June 30, 2009 Oppenheimer Main Street Small Cap Semiannual Fund®/VA Report A Series of Oppenheimer Variable Account Funds S E M I A N N U A L R E P O RT Investment Strategy Discussion Listing of Top Holdings Listing of Investments Financial Statements 1234 |
OPPENHEIMER MAIN STREET SMALL CAP FUND®/VA
Fund Objective. The Fund seeks capital appreciation.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 13.19 | % | ||
Service Shares | 13.11 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -22.63% | -0.09% | 4.61% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (7/16/01) | ||||||||||
Service Shares | -22.79% | -0.32% | 3.45% |
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.84% | 0.80% | ||||||
Service Shares | 1.09 | 1.05 |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Performance would have been lower if such charges were taken into account.
The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year. The net expense ratios take into account a voluntary fee waiver or expense reimbursement, without which performance would have been less. This undertaking may be modified or terminated at any time.
Sector Allocation
Information Technology 22.5% Industrials 18.5 Consumer Discretionary 16.6 Financials 14.7 Health Care 10.9 Energy 5.9 Materials 5.8 Consumer Staples 2.8 Telecommunication Services 1.5 Utilities 0.8 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings
TIBCO Software, Inc. | 0.5 | % | ||
MSCI, Inc., Cl. A | 0.5 | |||
Savient Pharmaceuticals, Inc. | 0.4 | |||
NuVasive, Inc. | 0.4 | |||
Gardner Denver, Inc. | 0.4 | |||
Phillips/Van Heusen Corp. | 0.4 | |||
Skyworks Solutions, Inc. | 0.3 | |||
CommScope, Inc. | 0.3 | |||
AK Steel Holding Corp. | 0.3 | |||
3Com Corp. | 0.3 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Fund Performance Discussion
Oppenheimer Main Street Small Cap Fund/VA’s Non-Service shares returned 13.19% for the six-month period ended June 30, 2009. By comparison, the Russell 2000 Index (the “Index”) returned 2.64%. During the first half of the period, as the significant market dislocations and historic market volatility in the 4th quarter of 2008 continued, Fund performance suffered. The Fund’s performance was particularly strong in the last half of the reporting period, where it handily outperformed the Index as market conditions improved.
2008 was a historically volatile and unprecedented period in the financial markets and the volatility continued during the first quarter of 2009. Given this backdrop, Fund performance was negative in the 1st quarter of 2009. The Index’s performance during the first quarter of 2009 also was negative, falling somewhat further than the Fund. However, in the second quarter of 2009, all sectors within the Index came roaring back and had double-digit returns for the Fund.
Overall for the reporting period, the Fund’s stock selection within the consumer discretionary and information technology sectors and relative overweights benefited relative performance versus the Index. Stock selection within the financials sector outperformed versus the Index as did the Fund’s allocation strategy within the sector. The Fund was underweight financials versus the Index, which helped relative performance as financials was by far the worst performing sector for the period. These three sectors primarily accounted for the Fund’s outperformance versus the Index during the reporting period. Successful stock selection in the energy and materials sectors also helped Fund performance.
During the reporting period, the Fund did not underperform in any of the ten sectors of the Index. The Fund outperformed in eight of the ten sectors while relative performance was flat against the Index in two sectors, telecommunication services and consumer staples. The Fund outperformed overall in the industrials sector due to better relative stock selection than the Index. However, an overweight to industrials hurt Fund performance as industrials was the second worst performing sector.
At the end of the reporting period, the Fund maintained its relative overweights to consumer discretionary, energy, industrials, information technology and materials. The Fund at period end remained underweight consumer staples, with more significant relative underweights in the health care, financials and utilities sectors.
Effective May 19, 2009, Manind (“Mani”) Govil was named Team Leader of the Main Street Team. He was joined by several colleagues consisting of portfolio managers, analysts and a trader from his previous employer, RS Investment Management Co. LLC. The new 12-person Main Street Team will apply their time-tested approach, which combines fundamental security analysis with robust quantitative tools, to the three Oppenheimer Main Street funds as well as their related accounts.
Oppenheimer Main Street Small Cap Fund/VA is co-managed by Matthew P. Ziehl, who is the lead portfolio manager, and Raman Vardharaj, who is primarily responsible for quantitative strategy. Prior to joining OppenheimerFunds, Mr. Ziehl was a portfolio manager with RS Investment Management Co. LLC from October 2006 to May 2009 and served as a managing director at The Guardian Life Insurance Company of America from December 2001 to October 2006. He was a team leader and co-portfolio manager with Salomon Brothers Asset Management, Inc. for small growth portfolios from January 2001 to December 2001.
Prior to joining OppenheimerFunds, Mr. Vardharaj was a sector manager and a senior quantitative analyst creating stock selection models, monitoring portfolio risks and analyzing portfolio performance across the RS Core Equity Team of RS Investment Management Co. LLC from October 2006 to May 2009. He served as a quantitative analyst at The Guardian Life Insurance Company of America from 1998 to October 2006.
3 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
OPPENHEIMER MAIN STREET SMALL CAP FUND ®/VA
The Fund’s investment process will be driven by in-depth fundamental research, supported by quantitative screening and implemented by an experienced team of portfolio managers and sector managers. The resulting portfolio will be comprised of stocks that they believe are attractively priced relative to a company’s underlying prospects.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
4 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,131.90 | $ | 4.50 | ||||||
Service shares | 1,000.00 | 1,131.10 | 5.77 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,020.58 | 4.27 | |||||||||
Service shares | 1,000.00 | 1,019.39 | 5.47 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.85 | % | ||
Service shares | 1.09 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
5 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
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6 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares | Value | |||||||
Common Stocks—95.7% | ||||||||
Consumer Discretionary—15.9% | ||||||||
Auto Components—0.9% | ||||||||
ArvinMeritor, Inc. | 22,871 | $ | 100,404 | |||||
Autoliv, Inc. | 14,200 | 408,534 | ||||||
Cooper Tire & Rubber Co. | 130,275 | 1,292,328 | ||||||
Drew Industries, Inc.1 | 10,063 | 122,467 | ||||||
Exide Technologies1 | 78,600 | 293,178 | ||||||
Federal-Mogul Corp.1 | 1,691 | 15,980 | ||||||
Fuel Systems Solutions, Inc.1 | 8,379 | 169,172 | ||||||
Gentex Corp. | 3,300 | 38,280 | ||||||
Modine Manufacturing Co. | 14,274 | 68,515 | ||||||
Stoneridge, Inc.1 | 40,887 | 196,258 | ||||||
Superior Industries International, Inc. | 12,600 | 177,660 | ||||||
Tenneco, Inc.1 | 49,679 | 526,597 | ||||||
TRW Automotive Holdings Corp.1 | 157,100 | 1,775,230 | ||||||
WABCO Holdings, Inc. | 100,235 | 1,774,160 | ||||||
6,958,763 | ||||||||
Automobiles—0.2% | ||||||||
Thor Industries, Inc. | 66,000 | 1,212,420 | ||||||
Winnebago Industries, Inc. | 19,600 | 145,628 | ||||||
1,358,048 | ||||||||
Distributors—0.0% | ||||||||
Core-Mark Holding Co., Inc.1 | 7,124 | 185,651 | ||||||
Diversified Consumer Services—0.6% | ||||||||
Capella Education Co.1 | 6,200 | 371,690 | ||||||
Career Education Corp.1 | 10,236 | 254,774 | ||||||
Corinthian Colleges, Inc.1 | 31,000 | 524,830 | ||||||
Hillenbrand, Inc. | 9,900 | 164,736 | ||||||
Lincoln Educational Services1 | 5,300 | 110,929 | ||||||
Noah Education Holdings Ltd., ADR | 15,900 | 61,692 | ||||||
Regis Corp. | 95,860 | 1,668,923 | ||||||
Service Corp. International | 24,600 | 134,808 | ||||||
Steiner Leisure Ltd.1 | 26,550 | 810,572 | ||||||
Stewart Enterprises, Inc. | 98,068 | 472,688 | ||||||
4,575,642 | ||||||||
Hotels, Restaurants & Leisure—2.6% | ||||||||
AFC Enterprises, Inc.1 | 2,600 | 17,550 | ||||||
Ameristar Casinos, Inc. | 19,900 | 378,697 | ||||||
Bally Technologies, Inc.1 | 55,700 | 1,666,544 | ||||||
BJ’s Restaurants, Inc.1 | 18,155 | 306,275 | ||||||
Bob Evans Farms, Inc. | 75,214 | 2,161,650 | ||||||
Boyd Gaming Corp.1 | 159,535 | 1,356,048 | ||||||
Brinker International, Inc. | 75,420 | 1,284,403 | ||||||
Buffalo Wild Wings, Inc.1 | 9,300 | 302,436 | ||||||
Burger King Holdings, Inc. | 6,200 | 107,074 | ||||||
California Pizza Kitchen, Inc.1 | 33,800 | 449,202 | ||||||
CEC Entertainment, Inc.1 | 40,269 | 1,187,130 | ||||||
Churchill Downs, Inc. | 2,800 | 94,248 | ||||||
CKE Restaurants, Inc. | 53,400 | 452,832 | ||||||
Cracker Barrel Old Country Store, Inc. | 37,450 | 1,044,855 | ||||||
Denny’s Corp.1 | 170,600 | 366,790 | ||||||
DineEquity, Inc. | 7,300 | 227,687 | ||||||
Dover Downs Gaming & Entertainment, Inc. | 1,200 | 5,580 | ||||||
Gaylord Entertainment Co., Cl. A1 | 3,900 | 49,569 | ||||||
International Speedway Corp., Cl. A | 14,800 | 379,028 | ||||||
Interval Leisure Group, Inc.1 | 16,825 | 156,809 | ||||||
Isle of Capri Casinos, Inc.1 | 15,100 | 201,132 | ||||||
Jack in the Box, Inc.1 | 17,819 | 400,037 | ||||||
Krispy Kreme Doughnuts, Inc.1 | 36,200 | 108,600 | ||||||
Life Time Fitness, Inc.1 | 13,321 | 266,553 | ||||||
Marcus Corp. (The) | 12,600 | 132,552 | ||||||
O’Charley’s, Inc. | 4,400 | 40,700 | ||||||
Orient-Express Hotel Ltd., Cl. A | 43,100 | 365,919 | ||||||
Panera Bread Co., Cl. A1 | 2,700 | 134,622 | ||||||
Papa John’s International, Inc.1 | 26,938 | 667,793 | ||||||
Pinnacle Entertainment, Inc.1 | 45,375 | 421,534 | ||||||
Red Robin Gourmet Burgers, Inc.1 | 36,862 | 691,163 | ||||||
Ruby Tuesday, Inc.1 | 67,600 | 450,216 | ||||||
Shuffle Master, Inc.1 | 17,396 | 114,988 | ||||||
Sonic Corp.1 | 4,000 | 40,120 | ||||||
Speedway Motorsports, Inc. | 38,679 | 532,223 | ||||||
Steak n Shake Co. (The)1 | 29,400 | 256,956 | ||||||
Texas Roadhouse, Inc., Cl. A1 | 32,700 | 356,757 | ||||||
Town Sports International Holdings, Inc.1 | 5,900 | 22,125 | ||||||
Vail Resorts, Inc.1 | 35,689 | 957,179 | ||||||
WMS Industries, Inc.1 | 44,414 | 1,399,485 | ||||||
Wyndham Worldwide Corp. | 84,073 | 1,018,965 | ||||||
20,574,026 | ||||||||
Household Durables—1.4% | ||||||||
American Greetings Corp., Cl. A | 145,155 | 1,695,410 | ||||||
Blyth, Inc. | 27,157 | 890,478 | ||||||
Brookfield Homes Corp.1 | 200 | 800 | ||||||
Centex Corp. | 7,746 | 65,531 |
F1 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Household Durables Continued | ||||||||
CSS Industries, Inc. | 11,650 | $ | 237,427 | |||||
Ethan Allen Interiors, Inc. | 13,400 | 138,824 | ||||||
Furniture Brands International, Inc. | 53,100 | 160,893 | ||||||
Harman International Industries, Inc. | 58,000 | 1,090,400 | ||||||
Helen of Troy Ltd.1 | 37,099 | 622,892 | ||||||
Hooker Furniture Corp. | 8,210 | 94,251 | ||||||
Jarden Corp.1 | 76,300 | 1,430,625 | ||||||
La-Z-Boy, Inc. | 79,449 | 374,999 | ||||||
Lennar Corp., Cl. A | 39,560 | 383,336 | ||||||
M/I Homes, Inc.1 | 7,936 | 77,693 | ||||||
Meritage Homes Corp.1 | 38,493 | 725,978 | ||||||
National Presto Industries, Inc. | 6,591 | 501,575 | ||||||
Palm Harbor Homes, Inc.1 | 4,600 | 9,890 | ||||||
Ryland Group, Inc. (The) | 32,000 | 536,320 | ||||||
Sealy Corp.1 | 41,020 | 80,399 | ||||||
Tempur-Pedic International, Inc. | 46,013 | 601,390 | ||||||
Tupperware Brands Corp. | 43,300 | 1,126,666 | ||||||
10,845,777 | ||||||||
Internet & Catalog Retail—0.7% | ||||||||
1-800-FLOWERS.com, Inc.1 | 17,672 | 33,930 | ||||||
Bidz.com, Inc.1 | 3,400 | 9,588 | ||||||
Blue Nile, Inc.1 | 21,700 | 932,883 | ||||||
Gaiam, Inc.1 | 6,400 | 35,008 | ||||||
HSN, Inc.1 | 36,726 | 388,194 | ||||||
Liberty Media Corp.-Interactive, Series A1 | 4,900 | 24,549 | ||||||
NetFlix.com, Inc.1 | 37,200 | 1,537,848 | ||||||
NutriSystem, Inc. | 51,488 | 746,576 | ||||||
Orbitz Worldwide, Inc.1 | 7,500 | 14,250 | ||||||
Overstock.com, Inc.1 | 27,489 | 328,768 | ||||||
PetMed Express, Inc.1 | 20,600 | 309,618 | ||||||
Shutterfly, Inc.1 | 25,600 | 357,120 | ||||||
Stamps.com, Inc.1 | 37,083 | 314,464 | ||||||
Ticketmaster Entertainment, Inc.1 | 60,220 | 386,612 | ||||||
5,419,408 | ||||||||
Leisure Equipment & Products—0.5% | ||||||||
Brunswick Corp. | 183,200 | 791,424 | ||||||
Callaway Golf Co. | 119,200 | 604,344 | ||||||
Hasbro, Inc. | 4,000 | 96,960 | ||||||
JAKKS Pacific, Inc.1 | 56,000 | 718,480 | ||||||
Leapfrog Enterprises, Inc.1 | 66,300 | 151,827 | ||||||
Polaris Industries, Inc. | 39,500 | 1,268,740 | ||||||
RC2 Corp.1 | 14,600 | 193,158 | ||||||
Smith & Wesson Holding Corp.1 | 42,400 | 240,832 | ||||||
4,065,765 | ||||||||
Media—0.9% | ||||||||
Arbitron, Inc. | 9,800 | 155,722 | ||||||
Belo Corp., Cl. A | 113,800 | 203,702 | ||||||
Central European Media Enterprises Ltd., Cl. A1 | 2,997 | 59,011 | ||||||
CKX, Inc.1 | 1,500 | 10,635 | ||||||
Clear Channel Outdoor Holdings, Inc., Cl. A1 | 4,700 | 24,910 | ||||||
CTC Media, Inc.1 | 5,000 | 59,100 | ||||||
Entercom Communications Corp. | 4,900 | 7,497 | ||||||
Entravision Communications Corp.1 | 125,215 | 60,103 | ||||||
EW Scripps Co. (The), Cl. A | 60,700 | 126,863 | ||||||
Gannett Co., Inc. | 16,800 | 59,976 | ||||||
Global Sources Ltd.1 | 55,779 | 402,167 | ||||||
Harte-Hanks, Inc. | 50,775 | 469,669 | ||||||
Journal Communications, Inc. | 11,900 | 12,495 | ||||||
Knology, Inc.1 | 5,100 | 44,013 | ||||||
Liberty Media Holding Corp.-Capital, Series A1 | 26,272 | 356,248 | ||||||
Live Nation, Inc.1 | 36,700 | 178,362 | ||||||
McClatchy Co., Cl. A | 56,100 | 28,050 | ||||||
Mediacom Communications Corp.1 | 41,900 | 214,109 | ||||||
Meredith Corp. | 83,900 | 2,143,645 | ||||||
National CineMedia, Inc. | 23,010 | 316,618 | ||||||
Scholastic Corp. | 80,200 | 1,587,158 | ||||||
Sinclair Broadcast Group, Inc., Cl. A | 104,499 | 202,728 | ||||||
Warner Music Group Corp.1 | 68,000 | 397,800 | ||||||
7,120,581 | ||||||||
Multiline Retail—0.6% | ||||||||
99 Cents Only Stores1 | 5,000 | 67,900 | ||||||
Big Lots, Inc.1 | 60,100 | 1,263,903 | ||||||
Dillard’s, Inc., Cl. A | 191,786 | 1,764,431 | ||||||
Fred’s, Inc. | 96,298 | 1,213,355 | ||||||
4,309,589 | ||||||||
Specialty Retail—5.4% | ||||||||
Aaron Rents, Inc. | 800 | 23,856 | ||||||
Advance Auto Parts, Inc. | 2,700 | 112,023 | ||||||
Aeropostale, Inc.1 | 61,400 | 2,104,178 | ||||||
America’s Car-Mart, Inc.1 | 13,230 | 271,215 | ||||||
AnnTaylor Stores Corp.1 | 168,100 | 1,341,438 | ||||||
Asbury Automotive Group, Inc. | 86,412 | 884,859 | ||||||
AutoNation, Inc.1 | 200 | 3,470 | ||||||
Barnes & Noble, Inc. | 52,400 | 1,081,012 | ||||||
bebe stores, inc. | 28,489 | 196,004 | ||||||
Big 5 Sporting Goods Corp. | 3,225 | 35,669 | ||||||
Blockbuster, Inc., Cl. A1 | 24,300 | 16,281 |
F2 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Specialty Retail Continued | ||||||||
Books-A-Million, Inc. | 780 | $ | 5,546 | |||||
Borders Group, Inc.1 | 31,092 | 114,419 | ||||||
Brown Shoe Co., Inc. | 136,575 | 988,803 | ||||||
Buckle, Inc. (The) | 64,200 | 2,039,634 | ||||||
Cabela’s, Inc.1 | 56,093 | 689,944 | ||||||
Cato Corp., Cl. A | 20,649 | 360,119 | ||||||
Charlotte Russe Holding, Inc.1 | 37,000 | 476,560 | ||||||
Charming Shoppes, Inc.1 | 117,627 | 437,572 | ||||||
Children’s Place Retail Stores, Inc.1 | 77,000 | 2,035,110 | ||||||
Christopher & Banks Corp. | 43,046 | 288,839 | ||||||
Citi Trends, Inc.1 | 46,027 | 1,191,179 | ||||||
Collective Brands, Inc.1 | 75,300 | 1,097,121 | ||||||
Conn’s, Inc.1 | 26,571 | 332,138 | ||||||
Dress Barn, Inc. (The)1 | 138,604 | 1,982,037 | ||||||
Finish Line, Inc. (The), Cl. A | 94,500 | 701,190 | ||||||
Foot Locker, Inc. | 81,600 | 854,352 | ||||||
Genesco, Inc.1 | 53,039 | 995,542 | ||||||
Group 1 Automotive, Inc. | 58,289 | 1,516,680 | ||||||
Guess?, Inc. | 9,600 | 247,488 | ||||||
Gymboree Corp.1 | 33,579 | 1,191,383 | ||||||
Haverty Furniture Cos., Inc. | 6,000 | 54,900 | ||||||
hhgregg, Inc.1 | 18,200 | 275,912 | ||||||
Hot Topic, Inc.1 | 41,020 | 299,856 | ||||||
Jo-Ann Stores, Inc.1 | 37,220 | 769,337 | ||||||
Jos. A. Banks Clothiers, Inc.1 | 5,100 | 175,746 | ||||||
Men’s Wearhouse, Inc. (The) | 129,536 | 2,484,500 | ||||||
Office Depot, Inc.1 | 324,600 | 1,480,176 | ||||||
OfficeMax, Inc. | 4,600 | 28,888 | ||||||
Pacific Sunwear of California, Inc.1 | 65,900 | 222,083 | ||||||
Penske Automotive Group, Inc. | 69,800 | 1,161,472 | ||||||
Pep Boys-Manny, Moe & Jack | 71,888 | 728,944 | ||||||
RadioShack Corp. | 14,100 | 196,836 | ||||||
Rent-A-Center, Inc.1 | 91,800 | 1,636,794 | ||||||
Sally Beauty Holdings, Inc.1 | 152,637 | 970,771 | ||||||
Signet Jewelers Ltd. | 10,050 | 209,241 | ||||||
Sonic Automotive, Inc. | 31,600 | 321,056 | ||||||
Stage Stores, Inc. | 117,288 | 1,301,897 | ||||||
Systemax, Inc.1 | 54,727 | 651,799 | ||||||
Talbots, Inc. (The) | 89,940 | 485,676 | ||||||
Tractor Supply Co.1 | 40,530 | 1,674,700 | ||||||
Wet Seal, Inc., Cl. A1 | 232,309 | 713,189 | ||||||
Williams-Sonoma, Inc. | 199,636 | 2,369,679 | ||||||
Zale Corp.1 | 800 | 2,752 | ||||||
Zumiez, Inc.1 | 23,100 | 185,031 | ||||||
42,016,896 | ||||||||
Textiles, Apparel & Luxury Goods—2.1% | ||||||||
American Apparel, Inc.1 | 20,200 | 73,528 | ||||||
Carter’s, Inc.1 | 59,770 | 1,470,940 | ||||||
Fossil, Inc.1 | 49,867 | 1,200,797 | ||||||
Iconix Brand Group, Inc.1 | 12,560 | 193,173 | ||||||
Jones Apparel Group, Inc. | 131,739 | 1,413,559 | ||||||
K-Swiss, Inc., Cl. A | 10,700 | 90,950 | ||||||
Liz Claiborne, Inc. | 329,803 | 949,833 | ||||||
Maidenform Brands, Inc.1 | 25,800 | 295,926 | ||||||
Movado Group, Inc. | 14,088 | 148,488 | ||||||
Oxford Industries, Inc. | 34,048 | 396,659 | ||||||
Perry Ellis International, Inc.1 | 29,300 | 213,304 | ||||||
Phillips/Van Heusen Corp. | 95,600 | 2,742,764 | ||||||
Quicksilver, Inc.1 | 340,391 | 629,723 | ||||||
Steven Madden Ltd.1 | 19,178 | 488,080 | ||||||
Timberland Co., Cl. A1 | 105,335 | 1,397,795 | ||||||
Unifi, Inc.1 | 57,800 | 82,076 | ||||||
UniFirst Corp. | 13,554 | 503,802 | ||||||
Volcom, Inc.1 | 16,100 | 201,250 | ||||||
Warnaco Group, Inc. (The)1 | 74,104 | 2,400,970 | ||||||
Wolverine World Wide, Inc. | 63,750 | 1,406,325 | ||||||
16,299,942 | ||||||||
Consumer Staples—2.7% | ||||||||
Beverages—0.1% | ||||||||
Boston Beer Co., Inc., Cl. A1 | 7,200 | 213,048 | ||||||
Central European Distribution Corp.1 | 17,951 | 476,958 | ||||||
690,006 | ||||||||
Food & Staples Retailing—0.5% | ||||||||
Andersons, Inc. (The) | 11,871 | 355,418 | ||||||
Arden Group, Inc., Cl. A | 1,405 | 175,766 | ||||||
Casey’s General Stores, Inc. | 38,200 | 981,358 | ||||||
Ingles Markets, Inc., Cl. A | 7,500 | 114,300 | ||||||
Nash Finch Co. | 11,500 | 311,190 | ||||||
Pantry, Inc. (The)1 | 64,260 | 1,066,716 | ||||||
PriceSmart, Inc. | 5,600 | 93,800 | ||||||
Ruddick Corp. | 4,800 | 112,464 | ||||||
Spartan Stores, Inc. | 6,100 | 75,701 | ||||||
SUPERVALU, Inc. | 300 | 3,885 | ||||||
United Natural Foods, Inc.1 | 1,200 | 31,500 | ||||||
Weis Markets, Inc. | 7,762 | 260,182 | ||||||
Whole Foods Market, Inc. | 2,400 | 45,552 | ||||||
Winn-Dixie Stores, Inc.1 | 22,600 | 283,404 | ||||||
3,911,236 |
F3 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Food Products—0.9% | ||||||||
Bunge Ltd. | 2,200 | $ | 132,550 | |||||
Calavo Growers, Inc. | 400 | 7,932 | ||||||
Chiquita Brands International, Inc.1 | 95,153 | 976,270 | ||||||
ConAgra Foods, Inc. | 500 | 9,530 | ||||||
Darling International, Inc.1 | 210,500 | 1,389,300 | ||||||
Del Monte Foods Co. | 38,500 | 361,130 | ||||||
Diamond Foods, Inc. | 9,900 | 276,210 | ||||||
Fresh Del Monte Produce, Inc.1 | 39,200 | 637,392 | ||||||
J&J Snack Foods Corp. | 7,500 | 269,250 | ||||||
J.M. Smucker Co. (The) | 1,600 | 77,856 | ||||||
Lancaster Colony Corp. | 8,300 | 365,781 | ||||||
Omega Protein Corp.1 | 36,622 | 148,685 | ||||||
Ralcorp Holdings, Inc.1 | 17,900 | 1,090,468 | ||||||
Sanderson Farms, Inc. | 2,100 | 94,500 | ||||||
Smart Balance, Inc.1 | 4,100 | 27,921 | ||||||
Smithfield Foods, Inc.1 | 25,600 | 357,632 | ||||||
TreeHouse Foods, Inc.1 | 27,800 | 799,806 | ||||||
7,022,213 | ||||||||
Household Products—0.2% | ||||||||
Central Garden & Pet Co., Cl. A1 | 113,154 | 1,114,567 | ||||||
WD-40 Co. | 11,686 | 338,894 | ||||||
1,453,461 | ||||||||
Personal Products—0.8% | ||||||||
American Oriental Bioengineering, Inc.1 | 138,700 | 733,723 | ||||||
Bare Escentuals, Inc.1 | 34,078 | 302,272 | ||||||
Chattem, Inc.1 | 2,300 | 156,630 | ||||||
Elizabeth Arden, Inc.1 | 27,835 | 243,000 | ||||||
Herbalife Ltd. | 74,500 | 2,349,730 | ||||||
Inter Parfums, Inc. | 33,750 | 247,725 | ||||||
NBTY, Inc.1 | 53,300 | 1,498,796 | ||||||
Nu Skin Asia Pacific, Inc., Cl. A | 30,492 | 466,528 | ||||||
Prestige Brands Holdings, Inc.1 | 57,100 | 351,165 | ||||||
6,349,569 | ||||||||
Tobacco—0.2% | ||||||||
Alliance One International, Inc.1 | 7,000 | 26,600 | ||||||
Universal Corp. | 44,445 | 1,471,574 | ||||||
1,498,174 | ||||||||
Energy—5.7% | ||||||||
Energy Equipment & Services—3.8% | ||||||||
Allis-Chalmers Energy, Inc.1 | 44,100 | 101,871 | ||||||
Basic Energy Services, Inc.1 | 57,100 | 389,993 | ||||||
Bristow Group, Inc.1 | 12,300 | 364,449 | ||||||
Bronco Drilling Co., Inc.1 | 22,134 | 94,734 | ||||||
Cal Dive International, Inc.1 | 18,700 | 161,381 | ||||||
Complete Production Services, Inc.1 | 132,500 | 842,700 | ||||||
Dawson Geophysical Co.1 | 13,722 | 409,602 | ||||||
Dresser-Rand Group, Inc.1 | 21,000 | 548,100 | ||||||
Dril-Quip, Inc.1 | 50,800 | 1,935,480 | ||||||
ENGlobal Corp.1 | 37,100 | 182,532 | ||||||
Exterran Holdings, Inc.1 | 98,500 | 1,579,940 | ||||||
Forbes Energy Services Ltd., Legend Shares1,2 | 101,800 | 100,649 | ||||||
Global Industries Ltd.1 | 174,400 | 987,104 | ||||||
Gulf Island Fabrication, Inc. | 40,774 | 645,452 | ||||||
Gulfmark Offshore, Inc.1 | 48,701 | 1,344,148 | ||||||
Helix Energy Solutions Group, Inc.1 | 178,600 | 1,941,382 | ||||||
Helmerich & Payne, Inc. | 3,700 | 114,219 | ||||||
Hercules Offshore, Inc.1 | 11,358 | 45,091 | ||||||
Hornbeck Offshore Services, Inc.1 | 11,100 | 237,429 | ||||||
Key Energy Services, Inc.1 | 263,677 | 1,518,780 | ||||||
Lufkin Industries, Inc. | 1,800 | 75,690 | ||||||
Matrix Service Co.1 | 54,343 | 623,858 | ||||||
NATCO Group, Inc., Cl. A1 | 22,728 | 748,206 | ||||||
Natural Gas Services Group1 | 17,200 | 228,760 | ||||||
Newpark Resources, Inc.1 | 134,897 | 384,456 | ||||||
North American Energy Partners, Inc.1 | 18,900 | 115,101 | ||||||
Oceaneering International, Inc.1 | 1,770 | 80,004 | ||||||
Oil States International, Inc.1 | 89,300 | 2,161,953 | ||||||
Parker Drilling Co.1 | 245,872 | 1,067,084 | ||||||
Patterson-UTI Energy, Inc. | 36,600 | 470,676 | ||||||
Pioneer Drilling Co.1 | 55,300 | 264,887 | ||||||
Precision Drilling Trust | 231,567 | 1,130,047 | ||||||
RPC, Inc. | 14,200 | 118,570 | ||||||
Seacor Holdings, Inc.1 | 29,900 | 2,249,676 | ||||||
Superior Energy Services, Inc.1 | 89,200 | 1,540,484 | ||||||
T-3 Energy Services, Inc.1 | 29,730 | 354,084 | ||||||
Tetra Technologies, Inc.1 | 181,050 | 1,441,158 | ||||||
Tidewater, Inc. | 10,772 | 461,796 | ||||||
Union Drilling, Inc.1 | 30,948 | 204,876 | ||||||
Unit Corp.1 | 23,300 | 642,381 | ||||||
Willbros Group, Inc.1 | 96,124 | 1,202,511 | ||||||
29,111,294 | ||||||||
Oil, Gas & Consumable Fuels—1.9% | ||||||||
Abraxas Petroleum Corp.1 | 10,100 | 9,595 | ||||||
Arena Resources, Inc.1 | 600 | 19,110 | ||||||
Atlas America, Inc. | 3,300 | 58,971 |
F4 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
ATP Oil & Gas Corp.1 | 68,000 | $ | 473,280 | |||||
Berry Petroleum Co., Cl. A | 58,600 | 1,089,374 | ||||||
Bill Barrett Corp.1 | 4,400 | 120,824 | ||||||
Brigham Exploration Co.1 | 50,400 | 175,896 | ||||||
Callon Petroleum Co.1 | 6,804 | 13,472 | ||||||
Cimarex Energy Co. | 17,200 | 487,448 | ||||||
Clean Energy Fuels Corp.1 | 17,800 | 153,258 | ||||||
Comstock Resources, Inc.1 | 12,300 | 406,515 | ||||||
Contango Oil & Gas Co.1 | 9,900 | 420,651 | ||||||
Crosstex Energy, Inc. | 38,700 | 160,992 | ||||||
CVR Energy, Inc.1 | 119,314 | 874,572 | ||||||
Delek US Holdings, Inc. | 64,180 | 544,246 | ||||||
Denbury Resources, Inc.1 | 31,400 | 462,522 | ||||||
Encore Acquisition Co.1 | 15,255 | 470,617 | ||||||
EXCO Resources, Inc.1 | 300 | 3,876 | ||||||
Frontier Oil Corp. | 49,953 | 654,884 | ||||||
Gasco Energy, Inc.1 | 86,000 | 24,080 | ||||||
General Maritime Corp. | 24,886 | 246,123 | ||||||
GeoResources, Inc.1 | 8,400 | 85,680 | ||||||
Holly Corp. | 19,391 | 348,650 | ||||||
International Coal Group, Inc.1 | 47,500 | 135,850 | ||||||
James River Coal Co.1 | 9,600 | 145,248 | ||||||
Knightsbridge Tankers Ltd. | 22,240 | 303,354 | ||||||
Mariner Energy, Inc.1 | 100,500 | 1,180,875 | ||||||
MarkWest Energy Partners LP | 8,100 | 147,420 | ||||||
McMoRan Exploration Co.1 | 4,700 | 28,012 | ||||||
Meridian Resource Corp. (The)1 | 9,300 | 3,255 | ||||||
Nordic American Tanker Shipping Ltd. | 2,500 | 79,550 | ||||||
Oilsands Quest, Inc.1 | 17,700 | 16,992 | ||||||
Penn Virginia Corp. | 20,800 | 340,496 | ||||||
PetroQuest Energy, Inc.1 | 2,000 | 7,380 | ||||||
Rentech, Inc.1 | 300 | 171 | ||||||
Rosetta Resources, Inc.1 | 109,500 | 958,125 | ||||||
Southern Union Co. | 600 | 11,034 | ||||||
St. Mary Land & Exploration Co. | 4,685 | 97,776 | ||||||
Stone Energy Corp.1 | 27,184 | 201,705 | ||||||
Swift Energy Co.1 | 22,100 | 367,965 | ||||||
Teekay Corp. | 12,500 | 262,875 | ||||||
Teekay Tankers Ltd., Cl. A | 13,100 | 121,699 | ||||||
Tesoro Corp. | 29,396 | 374,211 | ||||||
USEC, Inc.1 | 139,800 | 743,736 | ||||||
VAALCO Energy, Inc.1 | 133,000 | 562,590 | ||||||
W&T Offshore, Inc. | 41,900 | 408,106 | ||||||
Western Refining, Inc.1 | 121,314 | 856,477 | ||||||
Westmoreland Coal Co.1 | 2,600 | 21,060 | ||||||
Whiting Petroleum Corp.1 | 6,100 | 214,476 | ||||||
World Fuel Services Corp. | 3,900 | 160,797 | ||||||
15,055,871 | ||||||||
Financials—14.0% | ||||||||
Capital Markets—1.3% | ||||||||
Ameriprise Financial, Inc. | 300 | 7,281 | ||||||
BGC Partners, Inc., Cl. A | 2,100 | 7,959 | ||||||
Cohen & Steers, Inc. | 25,718 | 384,484 | ||||||
Eaton Vance Corp. | 700 | 18,725 | ||||||
Evercore Partners, Inc., Cl. A | 10,000 | 196,400 | ||||||
GAMCO Investors, Inc., Cl. A | 8,540 | 414,190 | ||||||
GFI Group, Inc. | 68,429 | 461,211 | ||||||
Greenhill & Co., Inc. | 4,600 | 332,166 | ||||||
Investment Technology Group, Inc.1 | 22,200 | 452,658 | ||||||
Janus Capital Group, Inc. | 68,000 | 775,200 | ||||||
KBW, Inc.1 | 9,400 | 270,344 | ||||||
Knight Capital Group, Inc., Cl. A1 | 85,626 | 1,459,923 | ||||||
LaBranche & Co., Inc.1 | 180,003 | 774,013 | ||||||
MF Global Ltd.1 | 118,313 | 701,596 | ||||||
Penson Worldwide, Inc.1 | 43,602 | 390,238 | ||||||
Piper Jaffray Cos., Inc.1 | 6,200 | 270,754 | ||||||
Sanders Morris Harris Group, Inc. | 5,600 | 30,800 | ||||||
SEI Investments Co. | 400 | 7,216 | ||||||
Stifel Financial Corp.1 | 12,750 | 613,148 | ||||||
SWS Group, Inc. | 58,756 | 820,821 | ||||||
Teton Advisors, Inc.1,3 | 131 | 413 | ||||||
Thomas Weisel Partners Group, Inc.1 | 4,600 | 27,692 | ||||||
Tradestation Group, Inc.1 | 13,850 | 117,171 | ||||||
U.S. Global Investors, Inc., Cl. A | 900 | 8,334 | ||||||
Virtus Investment Partners, Inc.1 | 4,349 | 63,887 | ||||||
W.P. Carey & Co. LLC | 600 | 14,988 | ||||||
Waddell & Reed Financial, Inc., Cl. A | 45,600 | 1,202,472 | ||||||
9,824,084 | ||||||||
Commercial Banks—1.8% | ||||||||
1st Source Corp. | 564 | 9,740 | ||||||
Amcore Financial, Inc. | 1,634 | 1,340 | ||||||
BancFirst Corp. | 2,800 | 96,824 | ||||||
Banco Macro SA, ADR1 | 4,100 | 66,379 | ||||||
Boston Private Financial Holdings, Inc. | 32,478 | 145,501 | ||||||
CapitalSource, Inc. | 193,680 | 945,158 | ||||||
Capitol Bancorp Ltd. | 1,160 | 3,074 | ||||||
Cathay Bancorp, Inc. | 32,200 | 306,222 |
F5 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Commercial Banks Continued | ||||||||
Central Pacific Financial Corp. | 58,900 | $ | 220,875 | |||||
Chemical Financial Corp. | 9,500 | 189,145 | ||||||
City Holding Co. | 24,800 | 752,928 | ||||||
CoBiz Financial, Inc. | 9,500 | 60,895 | ||||||
Columbia Banking System, Inc. | 11,900 | 121,737 | ||||||
Community Bank System, Inc. | 30,600 | 445,536 | ||||||
Community Trust Bancorp, Inc. | 13,500 | 361,125 | ||||||
East West Bancorp, Inc. | 63,718 | 413,530 | ||||||
Encore Bancshares, Inc.1 | 8,400 | 60,900 | ||||||
F.N.B. Corp. | 8,500 | 52,615 | ||||||
First BanCorp | 10,400 | 41,080 | ||||||
First Citizens BancShares, Inc., Cl. A | 1,650 | 220,523 | ||||||
First Community Bancshares, Inc. | 6,500 | 83,460 | ||||||
First Financial Bancorp | 9,800 | 73,696 | ||||||
First Financial Corp. | 400 | 12,632 | ||||||
First Merchants Corp. | 20,200 | 162,206 | ||||||
First Midwest Bancorp, Inc. | 29,900 | 218,569 | ||||||
FirstMerit Corp. | 25,587 | 434,467 | ||||||
Frontier Financial Corp.4 | 30,570 | 36,990 | ||||||
Glacier Bancorp, Inc. | 11,100 | 163,947 | ||||||
Greene Bankshares, Inc. | 7,450 | 33,376 | ||||||
Guaranty Bancorp1 | 11,100 | 21,201 | ||||||
Hancock Holding Co. | 1,900 | 61,731 | ||||||
Hanmi Financial Corp. | 6,000 | 10,500 | ||||||
IBERIABANK Corp. | 900 | 35,469 | ||||||
Independent Bank Corp. | 3,856 | 75,963 | ||||||
International Bancshares Corp. | 22,516 | 232,140 | ||||||
MainSource Financial Group, Inc. | 10,700 | 79,394 | ||||||
MB Financial, Inc. | 12,100 | 123,299 | ||||||
National Penn Bancshares, Inc. | 71,200 | 328,232 | ||||||
NBT Bancorp, Inc. | 6,500 | 141,115 | ||||||
Old National Bancorp | 39,090 | 383,864 | ||||||
Old Second Bancorp, Inc. | 300 | 1,770 | ||||||
Oriental Financial Group, Inc. | 24,661 | 239,212 | ||||||
Pacific Capital Bancorp | 103,800 | 222,132 | ||||||
PacWest Bancorp | 41,100 | 540,876 | ||||||
Park National Corp. | 800 | 45,184 | ||||||
Popular, Inc. | 191,700 | 421,740 | ||||||
Prosperity Bancshares, Inc. | 8,700 | 259,521 | ||||||
Renasant Corp. | 5,000 | 75,100 | ||||||
Republic Bancorp, Inc., Cl. A | 8,500 | 192,015 | ||||||
Sandy Spring Bancorp, Inc. | 9,100 | 133,770 | ||||||
Santander BanCorp1 | 6,200 | 43,152 | ||||||
Signature Bank1 | 4,300 | 116,616 | ||||||
Simmons First National Corp. | 8,800 | 235,136 | ||||||
South Financial Group, Inc. (The) | 21,100 | 25,109 | ||||||
Southside Bancshares, Inc. | 8,185 | 187,191 | ||||||
Sterling Bancorp | 33,300 | 278,055 | ||||||
Sterling Bancshares, Inc. | 12,300 | 77,859 | ||||||
Susquehanna Bancshares, Inc. | 59,100 | 288,999 | ||||||
TCF Financial Corp. | 5,800 | 77,546 | ||||||
Tompkins Financial Corp. | 7,230 | 346,679 | ||||||
TowneBank | 6,500 | 91,000 | ||||||
Trustmark Corp. | 11,900 | 229,908 | ||||||
UMB Financial Corp. | 8,700 | 330,687 | ||||||
Umpqua Holdings Corp. | 37,212 | 288,765 | ||||||
United Bankshares, Inc. | 9,000 | 175,860 | ||||||
United Community Banks, Inc.1 | 37,105 | 222,259 | ||||||
Webster Financial Corp. | 3,700 | 29,785 | ||||||
WesBanco, Inc. | 13,800 | 200,652 | ||||||
West Coast Bancorp | 3,408 | 6,952 | ||||||
Westamerica Bancorp | 8,700 | 431,607 | ||||||
Western Alliance Bancorp1 | 19,308 | 132,067 | ||||||
Whitney Holding Corp. | 26,600 | 243,656 | ||||||
Wintrust Financial Corp. | 19,100 | 307,128 | ||||||
Zions Bancorp | 8,800 | 101,728 | ||||||
13,827,094 | ||||||||
Consumer Finance—0.9% | ||||||||
Advance America Cash Advance Centers, Inc. | 7,100 | 31,453 | ||||||
Advanta Corp., Cl. B | 31,650 | 13,293 | ||||||
AmeriCredit Corp.1 | 161,400 | 2,186,970 | ||||||
Cash America International, Inc. | 77,707 | 1,817,567 | ||||||
Discover Financial Services | 38,700 | 397,449 | ||||||
Dollar Financial Corp.1 | 20,285 | 279,730 | ||||||
EZCORP, Inc., Cl. A1 | 12,890 | 138,954 | ||||||
First Cash Financial Services, Inc.1 | 24,448 | 428,329 | ||||||
First Marblehead Corp. (The)1 | 24,100 | 48,682 | ||||||
Nelnet, Inc., Cl. A1 | 28,656 | 389,435 | ||||||
Student Loan Corp. (The) | 5,544 | 206,237 | ||||||
World Acceptance Corp.1 | 59,981 | 1,194,222 | ||||||
7,132,321 | ||||||||
Diversified Financial Services—1.0% | ||||||||
CIT Group, Inc. | 258,987 | 556,822 | ||||||
Encore Capital Group, Inc.1 | 14,813 | 196,272 | ||||||
Financial Federal Corp. | 24,386 | 501,132 | ||||||
Life Partners Holdings, Inc. | 17,077 | 242,152 | ||||||
MarketAxess Holdings, Inc.1 | 14,700 | 140,091 | ||||||
MSCI, Inc., Cl. A1 | 144,700 | 3,536,468 | ||||||
NewStar Financial, Inc.1 | 2,800 | 5,348 |
F6 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Diversified Financial Services Continued | ||||||||
PHH Corp.1 | 105,836 | $ | 1,924,098 | |||||
Pico Holdings, Inc.1 | 6,000 | 172,200 | ||||||
Portfolio Recovery Associates, Inc.1 | 4,500 | 174,285 | ||||||
7,448,868 | ||||||||
Insurance—4.8% | ||||||||
Alleghany Corp.1 | 804 | 217,884 | ||||||
Allied World Assurance Holdings Ltd. | 27,921 | 1,140,014 | ||||||
American Equity Investment Life Holding Co. | 115,918 | 646,822 | ||||||
American Financial Group, Inc. | 10,000 | 215,800 | ||||||
American National Insurance Co. | 2,192 | 165,671 | ||||||
American Physicians Capital, Inc. | 17,909 | �� | 701,316 | |||||
Amerisafe, Inc.1 | 61,704 | 960,114 | ||||||
AmTrust Financial Services, Inc. | 76,328 | 870,139 | ||||||
Argo Group International Holdings Ltd.1 | 5,900 | 166,498 | ||||||
Aspen Insurance Holdings Ltd. | 82,300 | 1,838,582 | ||||||
Assurant, Inc. | 18,500 | 445,665 | ||||||
Assured Guaranty Ltd. | 96,839 | 1,198,867 | ||||||
CNA Financial Corp. | 13,900 | 215,033 | ||||||
CNA Surety Corp.1 | 51,796 | 698,728 | ||||||
Conseco, Inc.1 | 268,400 | 636,108 | ||||||
Crawford & Co.1 | 3,000 | 14,400 | ||||||
Delphi Financial Group, Inc., Cl. A | 89,537 | 1,739,704 | ||||||
eHealth, Inc.1 | 3,400 | 60,044 | ||||||
EMC Insurance Group, Inc. | 992 | 20,644 | ||||||
Employers Holdings, Inc. | 42,600 | 577,230 | ||||||
Endurance Specialty Holdings Ltd. | 40,461 | 1,185,507 | ||||||
Enstar Group Ltd.1 | 800 | 47,080 | ||||||
FBL Financial Group, Inc., Cl. A | 28,110 | 232,189 | ||||||
Fidelity National Financial, Inc., Cl. A | 400 | 5,412 | ||||||
First American Corp. | 3,000 | 77,730 | ||||||
First Mercury Financial Corp. | 12,203 | 168,035 | ||||||
FPIC Insurance Group, Inc.1 | 18,680 | 571,982 | ||||||
Gallagher (Arthur J.) & Co. | 168 | 3,585 | ||||||
Genworth Financial, Inc., Cl. A | 2,020 | 14,120 | ||||||
Greenlight Capital Re Ltd., Cl. A1 | 3,800 | 65,778 | ||||||
Hallmark Financial Services, Inc.1 | 7,400 | 52,910 | ||||||
Hanover Insurance Group, Inc. | 27,100 | 1,032,781 | ||||||
Harleysville Group, Inc. | 12,400 | 349,928 | ||||||
Hilltop Holdings, Inc.1 | 7,800 | 92,586 | ||||||
Horace Mann Educators Corp. | 72,809 | 725,906 | ||||||
Infinity Property & Casualty Corp. | 29,851 | 1,088,367 | ||||||
IPC Holdings Ltd. | 58,000 | 1,585,720 | ||||||
Lincoln National Corp. | 11,900 | 204,799 | ||||||
Maiden Holdings Ltd. | 3,880 | 25,453 | ||||||
Max Capital Group Ltd. | 124,700 | 2,301,962 | ||||||
Meadowbrook Insurance Group, Inc. | 33,005 | 215,523 | ||||||
Mercury General Corp. | 4,200 | 140,406 | ||||||
Montpelier Re Holdings Ltd. | 24,200 | 321,618 | ||||||
National Financial Partners Corp. | 23,100 | 169,092 | ||||||
National Interstate Corp. | 10,000 | 151,800 | ||||||
National Western Life Insurance Co., Cl. A | 400 | 46,700 | ||||||
Navigators Group, Inc. (The)1 | 13,500 | 599,805 | ||||||
NYMAGIC, Inc. | 200 | 2,776 | ||||||
Odyssey Re Holdings Corp. | 16,122 | 644,558 | ||||||
Old Republic International Corp. | 14,966 | 147,415 | ||||||
OneBeacon Insurance Group Ltd. | 42,080 | 491,915 | ||||||
Phoenix Cos., Inc. (The)1 | 66,094 | 110,377 | ||||||
Platinum Underwriters Holdings Ltd. | 50,000 | 1,429,500 | ||||||
PMA Capital Corp., Cl. A1 | 14,900 | 67,795 | ||||||
Presidential Life Corp. | 13,259 | 100,371 | ||||||
ProAssurance Corp.1 | 29,972 | 1,385,006 | ||||||
Protective Life Corp. | 157,800 | 1,805,232 | ||||||
RLI Corp. | 5,800 | 259,840 | ||||||
Safety Insurance Group, Inc. | 26,909 | 822,339 | ||||||
Seabright Insurance Holdings, Inc.1 | 30,891 | 312,926 | ||||||
Selective Insurance Group, Inc. | 50,572 | 645,804 | ||||||
StanCorp Financial Group, Inc. | 56,602 | 1,623,345 | ||||||
State Auto Financial Corp. | 5,900 | 103,250 | ||||||
Stewart Information Services Corp. | 19,974 | 284,630 | ||||||
Tower Group, Inc. | 3,600 | 89,208 | ||||||
Transatlantic Holdings, Inc. | 1,010 | 43,763 | ||||||
United America Indemnity Ltd., Cl. A1 | 67,444 | 323,057 | ||||||
United Fire & Casualty Co. | 7,100 | 121,765 | ||||||
Unitrin, Inc. | 80,400 | 966,408 | ||||||
UnumProvident Corp. | 21,400 | 339,404 | ||||||
Validus Holdings Ltd. | 48,353 | 1,062,799 | ||||||
White Mountains Insurance Group Ltd. | 700 | 160,237 | ||||||
37,349,757 | ||||||||
Real Estate Investment Trusts—3.3% | ||||||||
Acadia Realty Trust | 10,192 | 133,006 | ||||||
Agree Realty Corp. | 9,600 | 175,968 | ||||||
Alexander’s, Inc. | 300 | 80,880 | ||||||
Alexandria Real Estate Equities, Inc. | 13,300 | 476,007 | ||||||
American Campus Communities, Inc. | 10,000 | 221,800 |
F7 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Real Estate Investment Trusts Continued | ||||||||
American Capital Agency Corp. | 19,800 | $ | 454,806 | |||||
Arbor Realty Trust, Inc. | 1,600 | 2,800 | ||||||
Ashford Hospitality Trust | 51,800 | 145,558 | ||||||
Associated Estates Realty Corp. | 6,500 | 38,740 | ||||||
BioMed Realty Trust, Inc. | 52,530 | 537,382 | ||||||
Capital Lease Funding, Inc. | 15,200 | 41,952 | ||||||
Capstead Mortgage Corp. | 24,100 | 306,311 | ||||||
CBL & Associates Properties, Inc. | 1,191 | 6,419 | ||||||
Cedar Shopping Centers, Inc. | 11,900 | 53,788 | ||||||
Colonial Properties Trust | 11,100 | 82,140 | ||||||
Corporate Office Properties Trust | 34,020 | 997,807 | ||||||
DCT Industrial Trust, Inc. | 43,600 | 177,888 | ||||||
DiamondRock Hospitality Co. | 73,900 | 462,614 | ||||||
Digital Realty Trust, Inc. | 21,100 | 756,435 | ||||||
EastGroup Properties, Inc. | 19,700 | 650,494 | ||||||
Entertainment Properties Trust | 36,140 | 744,484 | ||||||
Equity Lifestyle Properties, Inc. | 16,600 | 617,188 | ||||||
Equity One, Inc. | 4,200 | 55,692 | ||||||
Essex Property Trust, Inc. | 9,213 | 573,325 | ||||||
Extra Space Storage, Inc. | 87,100 | 727,285 | ||||||
FelCor Lodging Trust, Inc. | 78,300 | 192,618 | ||||||
First Industrial Realty Trust, Inc. | 33,500 | 145,725 | ||||||
First Potomac Realty Trust | 5,500 | 53,625 | ||||||
Getty Realty Corp. | 3,600 | 67,932 | ||||||
Glimcher Realty Trust | 4,800 | 13,920 | ||||||
Hatteras Financial Corp. | 24,500 | 700,455 | ||||||
Healthcare Realty Trust, Inc. | 45,300 | 762,399 | ||||||
Hersha Hospitality Trust | 11,800 | 29,264 | ||||||
Highwoods Properties, Inc. | 31,000 | 693,470 | ||||||
Home Properties of New York, Inc. | 37,756 | 1,287,480 | ||||||
Inland Real Estate Corp. | 52,000 | 364,000 | ||||||
Investors Real Estate Trust | 5,100 | 45,339 | ||||||
Kite Realty Group Trust | 22,400 | 65,408 | ||||||
LaSalle Hotel Properties | 26,200 | 323,308 | ||||||
Lexington Realty Trust | 45,519 | 154,765 | ||||||
Liberty Property Trust | 20,052 | 461,998 | ||||||
LTC Properties, Inc. | 20,800 | 425,360 | ||||||
Medical Properties Trust, Inc. | 67,900 | 412,153 | ||||||
Mid-America Apartment Communities, Inc. | 45,700 | 1,677,647 | ||||||
National Health Investors, Inc. | 13,851 | 369,960 | ||||||
National Retail Properties, Inc. | 65,179 | 1,130,856 | ||||||
Nationwide Health Properties, Inc. | 5,700 | 146,718 | ||||||
Omega Healthcare Investors, Inc. | 47,590 | 738,597 | ||||||
Parkway Properties, Inc. | 23,200 | 301,600 | ||||||
Pennsylvania Real Estate Investment Trust | 23,000 | 115,000 | ||||||
Post Properties, Inc. | 5,600 | 75,264 | ||||||
Potlatch Corp. | 16,010 | 388,883 | ||||||
PS Business Parks, Inc. | 11,900 | 576,436 | ||||||
Ramco-Gershenson Properties Trust | 7,400 | 74,074 | ||||||
Realty Income Corp. | 31,558 | 691,751 | ||||||
Redwood Trust, Inc. | 14,200 | 209,592 | ||||||
Saul Centers, Inc. | 3,500 | 103,495 | ||||||
Senior Housing Properties Trust | 72,400 | 1,181,568 | ||||||
SL Green Realty Corp. | 39,900 | 915,306 | ||||||
Sovran Self Storage, Inc. | 19,200 | 472,320 | ||||||
Strategic Hotels & Resorts, Inc. | 39,700 | 44,067 | ||||||
Sunstone Hotel Investors, Inc. | 35,225 | 188,454 | ||||||
Tanger Factory Outlet Centers, Inc. | 18,390 | 596,388 | ||||||
Taubman Centers, Inc. | 23,500 | 631,210 | ||||||
Universal Health Realty Income Trust | 2,296 | 72,370 | ||||||
Urstadt Biddle Properties, Inc., Cl. A | 10,296 | 144,968 | ||||||
Walter Investment Management Corp.1 | 3,725 | 49,468 | ||||||
Washington Real Estate Investment Trust | 22,400 | 501,088 | ||||||
26,117,068 | ||||||||
Real Estate Management & Development—0.1% | ||||||||
Avatar Holdings, Inc.1 | 2,746 | 49,895 | ||||||
Consolidated-Tomoka Land Co. | 500 | 17,540 | ||||||
Forest City Enterprises, Inc., Cl. A | 43,014 | 283,892 | ||||||
Forestar Group, Inc.1 | 37,862 | 449,801 | ||||||
Jones Lang LaSalle, Inc. | 6,000 | 196,380 | ||||||
Tejon Ranch Co.1 | 1,400 | 37,086 | ||||||
1,034,594 | ||||||||
Thrifts & Mortgage Finance—0.8% | ||||||||
Anchor BanCorp Wisconsin, Inc. | 1,600 | 2,080 | ||||||
Bank Mutual Corp. | 28,200 | 245,904 | ||||||
Dime Community Bancshares, Inc. | 53,500 | 487,385 | ||||||
First Niagara Financial Group, Inc. | 44,400 | 507,048 | ||||||
First Place Financial Corp. | 4,648 | 14,455 | ||||||
Flushing Financial Corp. | 27,300 | 255,255 | ||||||
Hudson City Bancorp, Inc. | 700 | 9,303 | ||||||
MGIC Investment Corp. | 54,999 | 241,996 | ||||||
NewAlliance Bancshares, Inc. | 116,000 | 1,334,000 | ||||||
OceanFirst Financial Corp. | 4,800 | 57,456 | ||||||
Ocwen Financial Corp.1 | 118,497 | 1,536,906 | ||||||
PMI Group, Inc. (The) | 74,700 | 147,906 | ||||||
Provident Financial Services, Inc. | 71,500 | 650,650 |
F8 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Thrifts & Mortgage Finance Continued | ||||||||
Provident New York Bancorp | 31,300 | $ | 254,156 | |||||
Radian Group, Inc. | 90,500 | 246,160 | ||||||
TierOne Corp.1 | 8,100 | 16,686 | ||||||
Tree.com, Inc.1 | 886 | 8,506 | ||||||
Trustco Bank Corp. NY | 12,900 | 76,239 | ||||||
United Financial Bancorp., Inc. | 23,300 | 322,006 | ||||||
WSFS Financial Corp. | 4,500 | 122,895 | ||||||
6,536,992 | ||||||||
Health Care—10.4% | ||||||||
Biotechnology—2.1% | ||||||||
Abraxis BioScience, Inc.1 | 500 | 18,430 | ||||||
Acorda Therapeutics, Inc.1 | 17,000 | 479,230 | ||||||
Alexion Pharmaceuticals, Inc.1 | 28,600 | 1,176,032 | ||||||
Allos Therapeutics, Inc.1 | 41,670 | 345,444 | ||||||
Alnylam Pharmaceuticals, Inc.1 | 10,100 | 224,927 | ||||||
Anadys Pharmaceuticals, Inc.1 | 14,400 | 26,784 | ||||||
ArQule, Inc.1 | 17,203 | 105,626 | ||||||
Array BioPharma, Inc.1 | 18,400 | 57,776 | ||||||
Celldex Therapeutics, Inc.1 | 10,475 | 81,915 | ||||||
Cepheid, Inc.1 | 7,600 | 71,592 | ||||||
Cougar Biotechnology, Inc.1 | 1,400 | 60,144 | ||||||
Cubist Pharmaceuticals, Inc.1 | 57,500 | 1,053,975 | ||||||
Dendreon Corp.1 | 400 | 9,940 | ||||||
Emergent Biosolutions, Inc.1 | 39,210 | 561,879 | ||||||
Enzon Pharmaceuticals, Inc.1 | 70,700 | 556,409 | ||||||
Facet Biotech Corp.1 | 26,620 | 247,300 | ||||||
Genomic Health, Inc.1 | 1,500 | 25,995 | ||||||
Geron Corp.1 | 62,600 | 480,142 | ||||||
GTx, Inc.1 | 9,600 | 88,608 | ||||||
Human Genome Sciences, Inc.1 | 43,700 | 124,982 | ||||||
ImmunoGen, Inc.1 | 200 | 1,722 | ||||||
Incyte Corp.1 | 53,900 | 177,331 | ||||||
Indevus Pharmaceuticals, Inc.1,3 | 2,500 | 25 | ||||||
InterMune, Inc.1 | 9,700 | 147,440 | ||||||
Isis Pharmaceuticals, Inc.1 | 23,600 | 389,400 | ||||||
Ligand Pharmaceuticals, Inc., Cl. B1 | 40,600 | 116,116 | ||||||
MannKind Corp.1 | 12,492 | 103,809 | ||||||
Martek Biosciences Corp. | 66,147 | 1,399,009 | ||||||
Medivation, Inc.1 | 27,900 | 625,239 | ||||||
Momenta Pharmaceuticals, Inc.1 | 53,200 | 639,996 | ||||||
Myriad Pharmaceuticals, Inc.1 | 10,350 | 48,128 | ||||||
Nabi Biopharmaceuticals, Inc.1 | 12,600 | 30,492 | ||||||
NPS Pharmaceuticals, Inc.1 | 2,000 | 9,320 | ||||||
Onyx Pharmaceuticals, Inc.1 | 7,900 | 223,254 | ||||||
OSI Pharmaceuticals, Inc.1 | 25,800 | 728,334 | ||||||
Osiris Therapeutics, Inc.1 | 10,900 | 146,387 | ||||||
PDL BioPharma, Inc. | 123,200 | 973,280 | ||||||
Progenics Pharmaceuticals, Inc.1 | 23,189 | 119,423 | ||||||
Protalix BioTherapeutics, Inc.1 | 700 | 3,164 | ||||||
Rigel Pharmaceuticals, Inc.1 | 27,800 | 336,936 | ||||||
RXi Pharmaceuticals Corp.1 | 3,885 | 17,638 | ||||||
Sangamo BioSciences, Inc.1 | 9,700 | 47,918 | ||||||
Savient Pharmaceuticals, Inc.1 | 233,085 | 3,230,558 | ||||||
Theravance, Inc.1 | 23,000 | 336,720 | ||||||
United Therapeutics Corp.1 | 5,700 | 474,981 | ||||||
ZymoGenetics, Inc.1 | 30,500 | 140,300 | ||||||
16,264,050 | ||||||||
Health Care Equipment & Supplies—2.5% | ||||||||
Abaxis, Inc.1 | 12,490 | 256,545 | ||||||
Align Technology, Inc.1 | 13,100 | 138,860 | ||||||
American Medical Systems Holdings, Inc.1 | 36,100 | 570,380 | ||||||
Analogic Corp. | 37,800 | 1,396,710 | ||||||
AngioDynamics, Inc.1 | 13,800 | 183,126 | ||||||
Atrion Corp. | 303 | 40,629 | ||||||
Cantel Medical Corp.1 | 4,800 | 77,904 | ||||||
Cardiac Science Corp.1 | 1,398 | 5,620 | ||||||
ConMed Corp.1 | 21,200 | 329,024 | ||||||
Cooper Cos., Inc. (The) | 30,300 | 749,319 | ||||||
CryoLife, Inc.1 | 64,200 | 355,668 | ||||||
Cyberonics, Inc.1 | 33,803 | 562,144 | ||||||
ev3, Inc.1 | 14,800 | 158,656 | ||||||
Exactech, Inc.1 | 12,900 | 187,050 | ||||||
Greatbatch, Inc.1 | 2,800 | 63,308 | ||||||
Haemonetics Corp.1 | 7,600 | 433,200 | ||||||
Hill-Rom Holdings, Inc. | 91,297 | 1,480,837 | ||||||
ICU Medical, Inc.1 | 200 | 8,230 | ||||||
Invacare Corp. | 13,361 | 235,822 | ||||||
IRIS International, Inc.1 | 5,800 | 68,440 | ||||||
Kensey Nash Corp.1 | 32,481 | 851,327 | ||||||
Kinetic Concepts, Inc.1 | 32,654 | 889,822 | ||||||
Masimo Corp.1 | 15,200 | 366,472 | ||||||
Merit Medical Systems, Inc.1 | 32,100 | 523,230 | ||||||
Natus Medical, Inc.1 | 40,200 | 463,908 | ||||||
NuVasive, Inc.1 | 68,200 | 3,041,720 | ||||||
Orthofix International NV1 | 16,900 | 422,669 | ||||||
Palomar Medical Technologies, Inc.1 | 7,400 | 108,484 | ||||||
Quidel Corp.1 | 20,200 | 294,112 | ||||||
RTI Biologics, Inc.1 | 7,500 | 32,175 | ||||||
Sirona Dental Systems, Inc.1 | 10,300 | 205,897 |
F9 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Health Care Equipment & Supplies Continued | ||||||||
Somanetics Corp.1 | 21,800 | $ | 359,918 | |||||
SonoSite, Inc.1 | 17,817 | 357,409 | ||||||
Steris Corp. | 70,000 | 1,825,600 | ||||||
SurModics, Inc.1 | 6,100 | 138,043 | ||||||
Symmetry Medical, Inc.1 | 12,800 | 119,296 | ||||||
Synovis Life Technologies, Inc.1 | 16,300 | 338,551 | ||||||
Thoratec Corp.1 | 19,800 | 530,244 | ||||||
Volcano Corp.1 | 22,400 | 313,152 | ||||||
West Pharmaceutical Services, Inc. | 3,200 | 111,520 | ||||||
Wright Medical Group, Inc.1 | 19,900 | 323,574 | ||||||
Zoll Medical Corp.1 | 38,900 | 752,326 | ||||||
19,670,921 | ||||||||
Health Care Providers & Services—4.1% | ||||||||
Alliance HealthCare Services, Inc.1 | 28,700 | 210,371 | ||||||
Amedisys, Inc.1 | 9,700 | 320,294 | ||||||
AMERIGROUP Corp.1 | 56,200 | 1,508,970 | ||||||
AMN Healthcare Services, Inc.1 | 58,346 | 372,247 | ||||||
AmSurg Corp.1 | 12,800 | 274,432 | ||||||
Brookdale Senior Living, Inc. | 42,700 | 415,898 | ||||||
Catalyst Health Solutions, Inc.1 | 11,248 | 280,525 | ||||||
Centene Corp.1 | 93,592 | 1,869,968 | ||||||
Chemed Corp. | 33,152 | 1,308,841 | ||||||
Chindex International, Inc.1 | 4,750 | 58,758 | ||||||
CIGNA Corp. | 500 | 12,045 | ||||||
Community Health Systems, Inc.1 | 21,382 | 539,896 | ||||||
CorVel Corp.1 | 6,100 | 138,897 | ||||||
Coventry Health Care, Inc.1 | 1,030 | 19,271 | ||||||
Cross Country Healthcare, Inc.1 | 15,700 | 107,859 | ||||||
Emergency Medical Services LP, Cl. A1 | 3,900 | 143,598 | ||||||
Enstar Group, Inc. (The) | 1,100 | 15,653 | ||||||
Gentiva Health Services, Inc.1 | 37,196 | 612,246 | ||||||
Hanger Orthopedic Group, Inc.1 | 37,300 | 506,907 | ||||||
Health Management Associates, Inc., Cl. A1 | 222,000 | 1,096,680 | ||||||
Health Net, Inc.1 | 126,000 | 1,959,300 | ||||||
HEALTHSOUTH Corp.1 | 17,800 | 257,032 | ||||||
Healthspring, Inc.1 | 103,273 | 1,121,545 | ||||||
Healthways, Inc.1 | 70,001 | 941,513 | ||||||
HMS Holdings Corp.1 | 11,800 | 480,496 | ||||||
InVentiv Health, Inc.1 | 67,356 | 911,327 | ||||||
Kindred Healthcare, Inc.1 | 91,200 | 1,128,144 | ||||||
Laboratory Corp. of America Holdings1 | 1,800 | 122,022 | ||||||
Landauer, Inc. | 14,900 | 913,966 | ||||||
LHC Group, Inc.1 | 23,700 | 526,377 | ||||||
LifePoint Hospitals, Inc.1 | 58,884 | 1,545,705 | ||||||
Lincare Holdings, Inc.1 | 62,244 | 1,463,979 | ||||||
Magellan Health Services, Inc.1 | 11,900 | 390,558 | ||||||
MedCath Corp.1 | 17,500 | 205,800 | ||||||
MEDNAX, Inc.1 | 29,822 | 1,256,401 | ||||||
Molina Healthcare, Inc.1 | 44,266 | 1,058,843 | ||||||
MWI Veterinary Supply, Inc.1 | 6,800 | 237,048 | ||||||
Odyssey Healthcare, Inc.1 | 30,400 | 312,512 | ||||||
Owens & Minor, Inc. | 12,900 | 565,278 | ||||||
PharMerica Corp.1 | 67,963 | 1,334,114 | ||||||
Providence Service Corp.1 | 3,300 | 36,135 | ||||||
PSS World Medical, Inc.1 | 1,800 | 33,318 | ||||||
RehabCare Group, Inc.1 | 52,485 | 1,255,966 | ||||||
Res-Care, Inc.1 | 24,492 | 350,236 | ||||||
Skilled Healthcare Group, Inc., Cl. A1 | 8,200 | 61,500 | ||||||
Sun Healthcare Group, Inc.1 | 46,792 | 394,924 | ||||||
Triple-S Management Corp., Cl. B1 | 9,100 | 141,869 | ||||||
U.S. Physical Therapy, Inc.1 | 1,400 | 20,650 | ||||||
Universal American Corp.1 | 54,486 | 475,118 | ||||||
Universal Health Services, Inc., Cl. B | 13,516 | 660,257 | ||||||
VCA Antech, Inc.1 | 12,446 | 332,308 | ||||||
WellCare Health Plans, Inc.1 | 78,209 | 1,446,084 | ||||||
31,753,681 | ||||||||
Health Care Technology—0.1% | ||||||||
Computer Programs & Systems, Inc. | 3,400 | 130,254 | ||||||
Omnicell, Inc.1 | 18,887 | 203,035 | ||||||
Quality Systems, Inc. | 6,800 | 387,328 | ||||||
720,617 | ||||||||
Life Sciences Tools & Services—0.7% | ||||||||
Affymetrix, Inc.1 | 9,900 | 58,707 | ||||||
Albany Molecular Research, Inc.1 | 47,500 | 398,525 | ||||||
AMAG Pharmaceuticals, Inc.1 | 1,500 | 82,005 | ||||||
Bruker Corp.1 | 11,200 | 103,712 | ||||||
Dionex Corp.1 | 16,830 | 1,027,135 | ||||||
eResearch Technology, Inc.1 | 57,280 | 355,709 | ||||||
Exelixis, Inc.1 | 11,500 | 56,005 | ||||||
Kendle International, Inc.1 | 9,900 | 121,176 | ||||||
Life Sciences Research, Inc.1 | 6,600 | 47,322 | ||||||
Luminex Corp.1 | 30,100 | 558,054 | ||||||
Nektar Therapeutics1 | 17,400 | 112,752 | ||||||
Parexel International Corp.1 | 69,000 | 992,220 | ||||||
Varian, Inc.1 | 37,927 | 1,495,462 | ||||||
5,408,784 |
F10 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Pharmaceuticals—0.9% | ||||||||
Adolor Corp.1 | 47,440 | $ | 83,494 | |||||
Akorn, Inc.1 | 500 | 600 | ||||||
Auxilium Pharmaceuticals, Inc.1 | 21,000 | 658,980 | ||||||
BioMimetic Therapeutics, Inc.1 | 2,000 | 18,480 | ||||||
Cadence Pharmaceuticals, Inc.1 | 2,900 | 28,971 | ||||||
CPEX Pharmaceuticals, Inc.1 | 350 | 3,497 | ||||||
Cypress Bioscience, Inc.1 | 19,600 | 184,632 | ||||||
Endo Pharmaceuticals Holdings, Inc.1 | 36,302 | 650,532 | ||||||
Forest Laboratories, Inc.1 | 370 | 9,291 | ||||||
K-V Pharmaceutical Co., Cl. A1 | 12,813 | 41,130 | ||||||
King Pharmaceuticals, Inc.1 | 70,118 | 675,236 | ||||||
Medicis Pharmaceutical Corp., Cl. A | 31,436 | 513,036 | ||||||
MiddleBrook Pharmaceuticals, Inc.1 | 8,500 | 11,475 | ||||||
Noven Pharmaceuticals, Inc.1 | 59,169 | 846,117 | ||||||
Obagi Medical Products, Inc.1 | 1,200 | 8,748 | ||||||
Optimer Pharmaceuticals, Inc.1 | 19,400 | 290,418 | ||||||
Pain Therapeutics, Inc.1 | 27,001 | 144,995 | ||||||
Perrigo Co. | 11,100 | 308,358 | ||||||
Pozen, Inc.1 | 15,500 | 119,040 | ||||||
Questcor Pharmaceuticals, Inc.1 | 70,984 | 354,920 | ||||||
Salix Pharmaceuticals Ltd.1 | 27,600 | 272,412 | ||||||
Sepracor, Inc.1 | 34,387 | 595,583 | ||||||
Valeant Pharmaceuticals International, Inc.1 | 39,500 | 1,015,940 | ||||||
ViroPharma, Inc.1 | 14,100 | 83,613 | ||||||
Vivus, Inc.1 | 61,000 | 370,880 | ||||||
7,290,378 | ||||||||
Industrials—17.7% | ||||||||
Aerospace & Defense—1.2% | ||||||||
AAR Corp.1 | 35,700 | 572,985 | ||||||
Aerovironment, Inc.1 | 1,668 | 51,474 | ||||||
American Science & Engineering, Inc. | 1,600 | 110,592 | ||||||
Applied Signal Technology, Inc. | 1,100 | 28,061 | ||||||
Argon ST, Inc.1 | 20,000 | 411,400 | ||||||
Astronics Corp.1 | 812 | 8,437 | ||||||
Axsys Technologies, Inc.1 | 713 | 38,245 | ||||||
BE Aerospace, Inc.1 | 72,199 | 1,036,778 | ||||||
Ceradyne, Inc.1 | 70,440 | 1,243,970 | ||||||
Cubic Corp. | 21,630 | 774,138 | ||||||
Curtiss-Wright Corp. | 5,700 | 169,461 | ||||||
Ducommun, Inc. | 38,200 | 717,778 | ||||||
DynCorp International, Inc., Cl. A1 | 44,873 | 753,418 | ||||||
Esterline Technologies Corp.1 | 63,800 | 1,727,066 | ||||||
Gencorp, Inc.1 | 33,900 | 64,749 | ||||||
Herley Industries, Inc.1 | 678 | 7,438 | ||||||
Ladish Co., Inc.1 | 6,600 | 85,602 | ||||||
Spirit Aerosystems Holdings, Inc., Cl. A1 | 2,100 | 28,854 | ||||||
Taser International, Inc.1 | 34,244 | 156,153 | ||||||
TransDigm Group, Inc.1 | 3,000 | 108,600 | ||||||
Triumph Group, Inc. | 35,700 | 1,428,000 | ||||||
9,523,199 | ||||||||
Air Freight & Logistics—0.2% | ||||||||
Air Transport Services Group, Inc.1 | 11,100 | 25,752 | ||||||
Atlas Air Worldwide Holdings, Inc.1 | 40,300 | 934,557 | ||||||
Pacer International, Inc. | 97,000 | 216,310 | ||||||
UTi Worldwide, Inc.1 | 9,326 | 106,316 | ||||||
1,282,935 | ||||||||
Airlines—0.4% | ||||||||
Allegiant Travel Co.1 | 13,300 | 527,212 | ||||||
Continental Airlines, Inc., Cl. B1 | 27,010 | 239,309 | ||||||
Hawaiian Holdings, Inc.1 | 104,078 | 626,550 | ||||||
Republic Airways Holdings, Inc.1 | 76,500 | 499,545 | ||||||
SkyWest, Inc. | 89,100 | 908,820 | ||||||
2,801,436 | ||||||||
Building Products—1.2% | ||||||||
Aaon, Inc. | 29,470 | 587,042 | ||||||
American Woodmark Corp. | 10,135 | 242,733 | ||||||
Ameron International Corp. | 23,114 | 1,549,563 | ||||||
Apogee Enterprises, Inc. | 88,354 | 1,086,754 | ||||||
Armstrong World Industries, Inc.1 | 70,400 | 1,160,896 | ||||||
Gibraltar Industries, Inc. | 94,800 | 651,276 | ||||||
Griffon Corp.1 | 36,219 | 301,342 | ||||||
Insteel Industries, Inc. | 60,300 | 496,872 | ||||||
Lennox International, Inc. | 7,800 | 250,458 | ||||||
NCI Building Systems, Inc.1 | 3,400 | 8,976 | ||||||
Quanex Building Products Corp. | 94,430 | 1,059,505 | ||||||
Trex Co., Inc.1 | 28,960 | 387,195 | ||||||
Universal Forest Products, Inc. | 38,420 | 1,271,318 | ||||||
USG Corp.1 | 18,299 | 184,271 | ||||||
9,238,201 | ||||||||
Commercial Services & Supplies—4.3% | ||||||||
ABM Industries, Inc. | 6,000 | 108,420 | ||||||
Acco Brands Corp.1 | 39,913 | 112,555 | ||||||
Administaff, Inc. | 13,200 | 307,164 | ||||||
Advisory Board Co. (The)1 | 6,400 | 164,480 | ||||||
American Ecology Corp. | 43,100 | 772,352 | ||||||
American Reprographics Co.1 | 74,826 | 622,552 | ||||||
AMREP Corp.1 | 1,676 | 18,486 |
F11 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Commercial Services & Supplies Continued | ||||||||
ATC Technology Corp.1 | 32,140 | $ | 466,030 | |||||
Bowne & Co., Inc. | 39,356 | 256,208 | ||||||
Brink’s Co. (The) | 7,100 | 206,113 | ||||||
Casella Waste Systems, Inc., Cl. A1 | 9,975 | 19,850 | ||||||
CBIZ, Inc.1 | 74,900 | 533,288 | ||||||
Cenveo, Inc.1 | 42,700 | 180,621 | ||||||
Comfort Systems USA, Inc. | 107,472 | 1,101,588 | ||||||
COMSYS IT Partners, Inc.1 | 9,500 | 55,575 | ||||||
Consolidated Graphics, Inc.1 | 47,200 | 822,224 | ||||||
Copart, Inc.1 | 600 | 20,802 | ||||||
Cornell Corrections, Inc.1 | 20,200 | 327,442 | ||||||
Corporate Executive Board Co. (The) | 10,400 | 215,904 | ||||||
CoStar Group, Inc.1 | 19,800 | 789,426 | ||||||
Courier Corp. | 3,824 | 58,354 | ||||||
CRA International, Inc.1 | 23,900 | 663,464 | ||||||
Deluxe Corp. | 154,916 | 1,984,474 | ||||||
EnergySolutions, Inc. | 35,600 | 327,520 | ||||||
EnerNOC, Inc.1 | 3,900 | 84,513 | ||||||
Ennis, Inc. | 27,000 | 336,420 | ||||||
Equifax, Inc. | 3,300 | 86,130 | ||||||
First Advantage Corp., Cl. A1 | 18,900 | 287,469 | ||||||
G&K Services, Inc., Cl. A | 22,600 | 477,990 | ||||||
GeoEye, Inc.1 | 3,300 | 77,748 | ||||||
Heidrick & Struggles International, Inc. | 23,300 | 425,225 | ||||||
Hill International, Inc.1 | 45,100 | 193,930 | ||||||
HNI Corp. | 90,300 | 1,630,818 | ||||||
Hudson Highland Group, Inc.1 | 29,000 | 56,840 | ||||||
ICF International, Inc.1 | 14,000 | 386,260 | ||||||
Interface, Inc., Cl. A | 168,100 | 1,042,220 | ||||||
Kelly Services, Inc., Cl. A | 53,585 | 586,756 | ||||||
Kforce, Inc.1 | 32,742 | 270,776 | ||||||
Kimball International, Inc., Cl. B | 25,300 | 157,872 | ||||||
Knoll, Inc. | 70,339 | 533,170 | ||||||
Korn-Ferry International1 | 98,600 | 1,049,104 | ||||||
M&F Worldwide Corp.1 | 7,712 | 154,240 | ||||||
Manpower, Inc. | 8,500 | 359,890 | ||||||
McGrath Rentcorp | 7,941 | 151,355 | ||||||
Metalico, Inc.1 | 37,700 | 175,682 | ||||||
Miller (Herman), Inc. | 126,700 | 1,943,578 | ||||||
Mine Safety Appliances Co. | 3,700 | 89,170 | ||||||
Monster Worldwide, Inc.1 | 96,040 | 1,134,232 | ||||||
MPS Group, Inc.1 | 255,300 | 1,950,492 | ||||||
On Assignment, Inc.1 | 36,900 | 144,279 | ||||||
PRG-Schultz International, Inc.1 | 500 | 1,350 | ||||||
R.R. Donnelley & Sons Co. | 1,100 | 12,782 | ||||||
Resources Connection, Inc.1 | 118,088 | 2,027,571 | ||||||
Rollins, Inc. | 6,900 | 119,439 | ||||||
Schawk, Inc. | 25,800 | 193,758 | ||||||
School Specialty, Inc.1 | 28,900 | 584,069 | ||||||
Spherion Corp.1 | 53,400 | 220,008 | ||||||
Standard Parking Corp.1 | 3,700 | 60,273 | ||||||
Standard Register Co. (The) | 51,010 | 166,293 | ||||||
Steelcase, Inc., Cl. A | 243,900 | 1,419,498 | ||||||
Sykes Enterprises, Inc.1 | 23,733 | 429,330 | ||||||
Team, Inc.1 | 17,675 | 276,967 | ||||||
Tetra Tech, Inc.1 | 11,000 | 315,150 | ||||||
TrueBlue, Inc.1 | 123,500 | 1,037,400 | ||||||
United Stationers, Inc.1 | 15,488 | 540,221 | ||||||
Viad Corp. | 54,300 | 935,046 | ||||||
Volt Information Sciences, Inc.1 | 12,100 | 75,867 | ||||||
Waste Connections, Inc.1 | 10,300 | 266,873 | ||||||
Waste Services, Inc.1 | 9,400 | 48,692 | ||||||
Watson Wyatt & Co. Holdings | 16,652 | 624,950 | ||||||
33,276,588 | ||||||||
Construction & Engineering—1.5% | ||||||||
Aecom Technology Corp.1 | 4,200 | 134,400 | ||||||
Baker (Michael) Corp.1 | 26,873 | 1,138,340 | ||||||
Chicago Bridge & Iron Co. NV | 35,580 | 441,192 | ||||||
Dycom Industries, Inc.1 | 126,600 | 1,401,462 | ||||||
EMCOR Group, Inc.1 | 107,800 | 2,168,936 | ||||||
Furmanite Corp.1 | 8,800 | 39,248 | ||||||
Granite Construction, Inc. | 27,149 | 903,519 | ||||||
Insituform Technologies, Inc., Cl. A1 | 38,400 | 651,648 | ||||||
Integrated Electrical Services, Inc.1 | 16,186 | 126,413 | ||||||
Layne Christensen Co.1 | 18,970 | 387,937 | ||||||
MasTec, Inc.1 | 43,000 | 503,960 | ||||||
Northwest Pipe Co.1 | 20,700 | 719,532 | ||||||
Orion Marine Group, Inc.1 | 13,000 | 247,000 | ||||||
Pike Electric Corp.1 | 39,806 | 479,662 | ||||||
Shaw Group, Inc. (The)1 | 720 | 19,735 | ||||||
Tutor Perini Corp.1 | 134,873 | 2,341,395 | ||||||
11,704,379 | ||||||||
Electrical Equipment—1.9% | ||||||||
Acuity Brands, Inc. | 62,100 | 1,741,905 | ||||||
Advanced Battery Technologies, Inc.1,4 | 2,500 | 10,050 | ||||||
AZZ, Inc.1 | 18,200 | 626,262 | ||||||
Baldor Electric Co. | 86,490 | 2,057,597 | ||||||
Belden, Inc. | 104,800 | 1,750,160 |
F12 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Electrical Equipment Continued | ||||||||
Brady Corp., Cl. A | 26,695 | $ | 670,578 | |||||
C&D Technologies, Inc.1 | 19,000 | 38,000 | ||||||
Day4 Energy, Inc., Legend Shares1 | 82,300 | 54,482 | ||||||
Encore Wire Corp. | 45,485 | 971,105 | ||||||
EnerSys, Inc.1 | 64,428 | 1,171,945 | ||||||
Franklin Electric Co., Inc. | 1,500 | 38,880 | ||||||
GrafTech International Ltd.1 | 209,900 | 2,373,969 | ||||||
Hubbell, Inc., Cl. B | 4,900 | 157,094 | ||||||
II-VI, Inc.1 | 2,000 | 44,340 | ||||||
LSI Industries, Inc. | 14,900 | 81,205 | ||||||
Polypore International, Inc.1 | 10,954 | 121,808 | ||||||
Powell Industries, Inc.1 | 25,790 | 956,035 | ||||||
Regal-Beloit Corp. | 2,200 | 87,384 | ||||||
Smith (A.O.) Corp. | 29,200 | 951,044 | ||||||
Thomas & Betts Corp.1 | 37,239 | 1,074,718 | ||||||
Valence Technology, Inc.1 | 21,800 | 39,022 | ||||||
Vicor Corp. | 17,370 | 125,411 | ||||||
Woodward Governor Co. | 4,600 | 91,080 | ||||||
15,234,074 | ||||||||
Industrial Conglomerates—0.2% | ||||||||
Carlisle Cos., Inc. | 7,200 | 173,088 | ||||||
Raven Industries, Inc. | 15,100 | 386,560 | ||||||
Standex International Corp. | 12,200 | 141,520 | ||||||
Tredegar Corp. | 71,311 | 949,863 | ||||||
1,651,031 | ||||||||
Machinery—4.9% | ||||||||
3D Systems Corp.1 | 400 | 2,884 | ||||||
Actuant Corp., Cl. A | 48,539 | 592,176 | ||||||
Altra Holdings, Inc.1 | 35,337 | 264,674 | ||||||
American Railcar Industries, Inc. | 4,700 | 38,822 | ||||||
Ampco-Pittsburgh Corp. | 28,700 | 673,015 | ||||||
Badger Meter, Inc. | 34,020 | 1,394,820 | ||||||
Barnes Group, Inc. | 79,600 | 946,444 | ||||||
Blount International, Inc.1 | 64,500 | 555,345 | ||||||
Briggs & Stratton Corp. | 75,500 | 1,007,170 | ||||||
Bucyrus International, Inc., Cl. A | 3,500 | 99,960 | ||||||
Cascade Corp. | 10,546 | 165,889 | ||||||
Chart Industries, Inc.1 | 96,071 | 1,746,571 | ||||||
CIRCOR International, Inc. | 46,299 | 1,093,119 | ||||||
Clarcor, Inc. | 900 | 26,271 | ||||||
Colfax Corp.1 | 25,100 | 193,772 | ||||||
Columbus McKinnon Corp.1 | 62,170 | 786,451 | ||||||
Crane Co. | 43,314 | 966,335 | ||||||
Cummins, Inc. | 1,200 | 42,252 | ||||||
Dover Corp. | 600 | 19,854 | ||||||
EnPro Industries, Inc.1 | 78,463 | 1,413,119 | ||||||
Federal Signal Corp. | 108,400 | 829,260 | ||||||
Force Protection, Inc.1 | 47,311 | 418,229 | ||||||
Freightcar America, Inc. | 13,802 | 232,012 | ||||||
Gardner Denver, Inc.1 | 115,716 | 2,912,572 | ||||||
Gorman-Rupp Co. (The) | 22,743 | 458,726 | ||||||
Graco, Inc. | 22,400 | 493,248 | ||||||
Graham Corp. | 14,332 | 190,616 | ||||||
Harsco Corp. | 17,100 | 483,930 | ||||||
Hurco Cos., Inc.1 | 5,076 | 79,338 | ||||||
IDEX Corp. | 4,600 | 113,022 | ||||||
John Bean Technologies Corp. | 15,313 | 191,719 | ||||||
K-Tron International, Inc.1 | 1,634 | 130,197 | ||||||
Kadant, Inc.1 | 38,700 | 436,923 | ||||||
Kennametal, Inc. | 65,000 | 1,246,700 | ||||||
L.B. Foster Co., Cl. A1 | 17,400 | 523,218 | ||||||
Lincoln Electric Holdings, Inc. | 19,331 | 696,689 | ||||||
Lindsay Manufacturing Co. | 14,600 | 483,260 | ||||||
Lydall, Inc.1 | 16,100 | 54,740 | ||||||
Manitowoc Co., Inc. (The) | 120,178 | 632,136 | ||||||
McCoy Corp., Legend Shares2 | 46,600 | 50,080 | ||||||
Mueller Industries, Inc. | 64,400 | 1,339,520 | ||||||
Mueller Water Products, Inc., Cl. A | 128,300 | 479,842 | ||||||
NACCO Industries, Inc., Cl. A | 5,600 | 160,832 | ||||||
NN, Inc. | 11,000 | 18,480 | ||||||
Nordson Corp. | 20,000 | 773,200 | ||||||
Oshkosh Corp. | 156,000 | 2,268,240 | ||||||
RBC Bearings, Inc.1 | 3,000 | 61,350 | ||||||
Robbins & Myers, Inc. | 69,849 | 1,344,593 | ||||||
Sauer-Danfoss, Inc. | 21,437 | 131,409 | ||||||
Sun Hydraulics Corp. | 46,450 | 751,097 | ||||||
Tecumseh Products Co., Cl. A1 | 45,600 | 442,776 | ||||||
Tennant Co. | 17,600 | 323,664 | ||||||
Terex Corp.1 | 58,540 | 706,578 | ||||||
Thermadyne Holdings Corp.1 | 5,500 | 19,305 | ||||||
Timken Co. | 111,745 | 1,908,605 | ||||||
Titan International, Inc. | 124,149 | 927,393 | ||||||
Toro Co. (The) | 60,500 | 1,808,950 | ||||||
Trinity Industries, Inc. | 90,800 | 1,236,696 | ||||||
Twin Disc, Inc. | 4,400 | 29,964 | ||||||
Wabash National Corp. | 4,600 | 3,220 | ||||||
Wabtec Corp. | 11,300 | 363,521 | ||||||
Watts Water Technologies, Inc., Cl. A | 10,113 | 217,834 | ||||||
Xerium Technologies, Inc.1 | 34,952 | 38,447 | ||||||
38,041,074 |
F13 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Marine—0.5% | ||||||||
Alexander & Baldwin, Inc. | 1,700 | $ | 39,848 | |||||
American Commercial Lines, Inc.1 | 28,841 | 446,459 | ||||||
Eagle Bulk Shipping, Inc. | 53,700 | 251,853 | ||||||
Excel Maritime Carriers Ltd. | 5,157 | 34,707 | ||||||
Genco Shipping & Trading Ltd. | 61,600 | 1,337,952 | ||||||
Horizon Lines, Inc., Cl. A | 6,700 | 25,862 | ||||||
Kirby Corp.1 | 30,900 | 982,311 | ||||||
Safe Bulkers, Inc. | 60,700 | 398,192 | ||||||
Star Bulk Carriers Corp. | 54,693 | 200,723 | ||||||
TBS International Ltd., Cl. A1 | 80,500 | 628,705 | ||||||
4,346,612 | ||||||||
Road & Rail—0.5% | ||||||||
Amerco1 | 6,000 | 222,900 | ||||||
Arkansas Best Corp. | 58,000 | 1,528,300 | ||||||
Avis Budget Group, Inc.1 | 118,800 | 671,220 | ||||||
Celadon Group, Inc.1 | 15,800 | 132,562 | ||||||
Marten Transport Ltd.1 | 37,500 | 778,500 | ||||||
Ryder Systems, Inc. | 9,994 | 279,032 | ||||||
3,612,514 | ||||||||
Trading Companies & Distributors—0.9% | ||||||||
Applied Industrial Technologies, Inc. | 33,275 | 655,518 | ||||||
Beacon Roofing Supply, Inc.1 | 71,896 | 1,039,616 | ||||||
BlueLinx Holdings, Inc.1 | 3,300 | 9,900 | ||||||
DXP Enterprises, Inc.1 | 7,837 | 89,890 | ||||||
GATX Corp. | 3,228 | 83,024 | ||||||
H&E Equipment Services, Inc.1 | 32,567 | 304,501 | ||||||
Houston Wire & Cable Co. | 48,798 | 581,184 | ||||||
Interline Brands, Inc.1 | 7,300 | 99,864 | ||||||
Kaman Corp. | 1,900 | 31,730 | ||||||
MSC Industrial Direct Co., Inc., Cl. A | 6,900 | 244,812 | ||||||
Rush Enterprises, Inc., Cl. A1 | 69,400 | 808,510 | ||||||
Textainer Group Holdings Ltd. | 8,668 | 99,595 | ||||||
Titan Machinery, Inc.1 | 3,600 | 45,684 | ||||||
United Rentals, Inc.1 | 63,743 | 413,692 | ||||||
Watsco, Inc. | 12,600 | 616,518 | ||||||
WESCO International, Inc.1 | 90,200 | 2,258,608 | ||||||
7,382,646 | ||||||||
Transportation Infrastructure—0.0% | ||||||||
CAI International, Inc.1 | 19,097 | 97,395 | ||||||
Information Technology—21.5% | ||||||||
Communications Equipment—3.4% | ||||||||
3Com Corp.1 | 546,430 | 2,573,685 | ||||||
Acme Packet, Inc.1 | 31,100 | 314,732 | ||||||
ADC Telecommunications, Inc.1 | 49,100 | 390,836 | ||||||
ADTRAN, Inc. | 65,900 | 1,414,873 | ||||||
Arris Group, Inc.1 | 24,000 | 291,840 | ||||||
Avocent Corp.1 | 114,100 | 1,592,836 | ||||||
Bel Fuse, Inc., Cl. A | 2,080 | 29,203 | ||||||
BigBand Networks, Inc.1 | 32,400 | 167,508 | ||||||
Black Box Corp. | 16,920 | 566,312 | ||||||
Blue Coat Systems, Inc.1 | 34,200 | 565,668 | ||||||
Brocade Communications Systems, Inc.1 | 5,210 | 40,742 | ||||||
Ciena Corp.1 | 120,200 | 1,244,070 | ||||||
Cogo Group, Inc.1 | 18,300 | 109,251 | ||||||
CommScope, Inc.1 | 102,488 | 2,691,335 | ||||||
Comtech Telecommunications Corp.1 | 6,800 | 216,784 | ||||||
Digi International, Inc.1 | 23,300 | 227,175 | ||||||
EchoStar Holding Corp.1 | 8,100 | 129,114 | ||||||
EMS Technologies, Inc.1 | 29,100 | 608,190 | ||||||
Emulex Corp.1 | 175,238 | 1,713,828 | ||||||
Extreme Networks, Inc.1 | 19,120 | 38,240 | ||||||
Finisar Corp.1 | 137,500 | 78,375 | ||||||
Harris Stratex Networks, Inc., Cl. A1 | 18,185 | 117,839 | ||||||
InterDigital, Inc.1 | 55,419 | 1,354,440 | ||||||
Ixia1 | 59,500 | 401,030 | ||||||
JDS Uniphase Corp.1 | 379,714 | 2,171,964 | ||||||
Netgear, Inc.1 | 15,492 | 223,240 | ||||||
Oplink Communications, Inc.1 | 7,164 | 81,670 | ||||||
ParkerVision, Inc.1 | 12,900 | 39,474 | ||||||
Performance Technologies, Inc.1 | 3,200 | 9,440 | ||||||
Plantronics, Inc. | 106,264 | 2,009,452 | ||||||
Polycom, Inc.1 | 28,600 | 579,722 | ||||||
Powerwave Technologies, Inc.1 | 148,100 | 238,441 | ||||||
SeaChange International, Inc.1 | 29,155 | 234,115 | ||||||
ShoreTel, Inc.1 | 10,500 | 84,000 | ||||||
Sonus Networks, Inc.1 | 110,900 | 178,549 | ||||||
Starent Networks Corp.1 | 69,790 | 1,703,574 | ||||||
Tekelec, Inc.1 | 57,676 | 970,687 | ||||||
Tellabs, Inc.1 | 44,566 | 255,363 | ||||||
UTStarcom, Inc.1 | 96,492 | 157,282 | ||||||
ViaSat, Inc.1 | 15,100 | 387,164 | ||||||
26,202,043 | ||||||||
Computers & Peripherals—1.4% | ||||||||
3PAR, Inc.1 | 3,260 | 40,424 | ||||||
Adaptec, Inc.1 | 101,800 | 269,770 | ||||||
Avid Technology, Inc.1 | 49,000 | 657,090 |
F14 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Computers & Peripherals Continued | ||||||||
Diebold, Inc. | 3,600 | $ | 94,896 | |||||
Electronics for Imaging, Inc.1 | 69,000 | 735,540 | ||||||
Hypercom Corp.1 | 300 | 450 | ||||||
Imation Corp. | 44,500 | 338,645 | ||||||
Lexmark International, Inc., Cl. A1 | 18,481 | 292,924 | ||||||
NCR Corp.1 | 23,700 | 280,371 | ||||||
Netezza Corp.1 | 37,000 | 307,840 | ||||||
Novatel Wireless, Inc.1 | 4,853 | 43,774 | ||||||
QLogic Corp.1 | 154,150 | 1,954,622 | ||||||
Seagate Technology | 800 | 8,368 | ||||||
STEC, Inc.1 | 102,500 | 2,376,975 | ||||||
Sun Microsystems, Inc.1 | 2,100 | 19,362 | ||||||
Synaptics, Inc.1 | 61,450 | 2,375,043 | ||||||
Teradata Corp.1 | 15,300 | 358,479 | ||||||
Western Digital Corp.1 | 28,300 | 749,950 | ||||||
Xyratex Ltd.1 | 9,000 | 44,910 | ||||||
10,949,433 | ||||||||
Electronic Equipment & Instruments—3.4% | ||||||||
Acacia Research Corp.1 | 10,600 | 83,422 | ||||||
Agilent Technologies, Inc.1 | 900 | 18,279 | ||||||
Agilysys, Inc. | 4,634 | 21,687 | ||||||
Amphenol Corp., Cl. A | 1,200 | 37,968 | ||||||
Anixter International, Inc.1 | 45,520 | 1,711,097 | ||||||
Arrow Electronics, Inc.1 | 27,208 | 577,898 | ||||||
AVX Corp. | 15,400 | 152,922 | ||||||
Benchmark Electronics, Inc.1 | 170,009 | 2,448,130 | ||||||
Brightpoint, Inc.1 | 88,400 | 554,268 | ||||||
Checkpoint Systems, Inc.1 | 10,800 | 169,452 | ||||||
China Security & Surveillance Technology, Inc.1 | 31,300 | 236,002 | ||||||
Cognex Corp. | 13,100 | 185,103 | ||||||
Coherent, Inc.1 | 38,600 | 798,248 | ||||||
CPI International, Inc.1 | 100 | 869 | ||||||
CTS Corp. | 75,300 | 493,215 | ||||||
Daktronics, Inc. | 39,200 | 301,840 | ||||||
Dolby Laboratories, Inc., Cl. A1 | 3,500 | 130,480 | ||||||
DTS, Inc.1 | 18,800 | 508,916 | ||||||
Echelon Corp.1 | 5,800 | 49,184 | ||||||
Electro Scientific Industries, Inc.1 | 22,100 | 247,078 | ||||||
FARO Technologies, Inc.1 | 4,500 | 69,885 | ||||||
Gerber Scientific, Inc.1 | 9,300 | 23,250 | ||||||
Ingram Micro, Inc., Cl. A1 | 2,100 | 36,750 | ||||||
Insight Enterprises, Inc.1 | 74,657 | 721,187 | ||||||
Jabil Circuit, Inc. | 180,850 | 1,341,907 | ||||||
L-1 Identity Solutions, Inc.1 | 16,112 | 124,707 | ||||||
Littlefuse, Inc.1 | 38,963 | 777,701 | ||||||
Maxwell Technologies, Inc.1 | 8,900 | 123,087 | ||||||
Methode Electronics, Inc. | 85,290 | 598,736 | ||||||
Molex, Inc. | 11,200 | 174,160 | ||||||
MTS Systems Corp. | 16,000 | 330,400 | ||||||
Multi-Fineline Electronix, Inc.1 | 61,052 | 1,306,513 | ||||||
NAM TAI Electronics, Inc. | 9,300 | 39,618 | ||||||
National Instruments Corp. | 5,900 | 133,104 | ||||||
OSI Systems, Inc.1 | 31,096 | 648,352 | ||||||
Park Electrochemical Corp. | 20,700 | 445,671 | ||||||
PC Connection, Inc.1 | 7,100 | 37,275 | ||||||
Plexus Corp.1 | 34,290 | 701,573 | ||||||
RadiSys Corp.1 | 7,009 | 63,151 | ||||||
Rofin-Sinar Technologies, Inc.1 | 69,900 | 1,398,699 | ||||||
Rogers Corp.1 | 2,900 | 58,667 | ||||||
Sanmina-SCI Corp.1 | 454,500 | 199,980 | ||||||
ScanSource, Inc.1 | 41,028 | 1,006,007 | ||||||
SYNNEX Corp.1 | 77,523 | 1,937,300 | ||||||
Tech Data Corp.1 | 77,668 | 2,540,520 | ||||||
Technitrol, Inc. | 58,900 | 381,083 | ||||||
Trimble Navigation Ltd.1 | 300 | 5,889 | ||||||
TTM Technologies, Inc.1 | 52,300 | 416,308 | ||||||
Vishay Intertechnology, Inc.1 | 317,640 | 2,156,776 | ||||||
26,524,314 | ||||||||
Internet Software & Services—2.0% | ||||||||
Akamai Technologies, Inc.1 | 400 | 7,672 | ||||||
Art Technology Group, Inc.1 | 102,500 | 389,500 | ||||||
AsiaInfo Holdings, Inc.1 | 30,300 | 521,463 | ||||||
comScore, Inc.1 | 6,300 | 83,916 | ||||||
DealerTrack Holdings, Inc.1 | 15,970 | 271,490 | ||||||
Digital River, Inc.1 | 32,100 | 1,165,872 | ||||||
EarthLink, Inc.1 | 156,917 | 1,162,755 | ||||||
InfoSpace, Inc.1 | 2,000 | 13,260 | ||||||
j2 Global Communications, Inc.1 | 62,200 | 1,403,232 | ||||||
Knot, Inc. (The)1 | 5,900 | 46,492 | ||||||
Liquidity Services, Inc.1 | 4,700 | 46,342 | ||||||
LoopNet, Inc.1 | 32,500 | 251,875 | ||||||
Mercadolibre, Inc.1 | 26,800 | 720,384 | ||||||
ModusLink Global Solutions, Inc.1 | 27,710 | 190,091 | ||||||
Move, Inc.1 | 20,300 | 43,848 | ||||||
National Information Consortium, Inc. | 30,200 | 204,454 | ||||||
NaviSite, Inc.1 | 10,400 | 14,248 | ||||||
Open Text Corp.1 | 30,600 | 1,114,452 | ||||||
Perficient, Inc.1 | 10,000 | 69,900 |
F15 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Internet Software & Services Continued | ||||||||
S1 Corp.1 | 128,300 | $ | 885,270 | |||||
Savvis, Inc.1 | 2,300 | 26,358 | ||||||
Sohu.com, Inc.1 | 12,500 | 785,375 | ||||||
SonicWALL, Inc.1 | 82,660 | 452,977 | ||||||
TheStreet.com, Inc. | 10,450 | 21,841 | ||||||
United Online, Inc. | 89,342 | 581,616 | ||||||
ValueClick, Inc.1 | 177,400 | 1,866,248 | ||||||
Vignette Corp.1 | 35,040 | 460,776 | ||||||
VistaPrint Ltd.1 | 51,583 | 2,200,015 | ||||||
Vocus, Inc.1 | 20,900 | 412,984 | ||||||
Zix Corp.1 | 6,900 | 10,350 | ||||||
15,425,056 | ||||||||
IT Services—2.6% | ||||||||
Acxiom Corp. | 191,800 | 1,693,594 | ||||||
Amdocs Ltd.1 | 5,400 | 115,830 | ||||||
Broadridge Financial Solutions, Inc. | 42,988 | 712,741 | ||||||
CACI International, Inc., Cl. A1 | 11,600 | 495,436 | ||||||
CIBER, Inc.1 | 190,473 | 590,466 | ||||||
Convergys Corp.1 | 266,567 | 2,473,742 | ||||||
CSG Systems International, Inc.1 | 57,361 | 759,460 | ||||||
DST Systems, Inc.1 | 5,122 | 189,258 | ||||||
Euronet Worldwide, Inc.1 | 11,089 | 215,016 | ||||||
Exlservice Holdings, Inc.1 | 15,800 | 177,118 | ||||||
Fiserv, Inc.1 | 6,200 | 283,340 | ||||||
Forrester Research, Inc.1 | 10,974 | 269,412 | ||||||
Gartner, Inc.1 | 91,230 | 1,392,170 | ||||||
Global Cash Access, Inc.1 | 79,595 | 633,576 | ||||||
Hackett Group, Inc. (The)1 | 2,500 | 5,825 | ||||||
Heartland Payment Systems, Inc. | 53,568 | 512,646 | ||||||
iGate Corp. | 35,556 | 235,381 | ||||||
infoGROUP, Inc.1 | 16,300 | 93,073 | ||||||
Integral Systems, Inc.1 | 41,954 | 349,057 | ||||||
Lender Processing Services, Inc. | 4,300 | 119,411 | ||||||
ManTech International Corp.1 | 8,900 | 383,056 | ||||||
Mastech Holdings, Inc.1 | 540 | 1,874 | ||||||
Maximus, Inc. | 900 | 37,125 | ||||||
Metavante Technologies, Inc.1 | 240 | 6,206 | ||||||
NCI, Inc., Cl. A1 | 2,680 | 81,526 | ||||||
Ness Technologies, Inc.1 | 20,500 | 80,155 | ||||||
NeuStar, Inc., Cl. A1 | 92,048 | 2,039,784 | ||||||
Online Resources & Communications Corp.1 | 300 | 1,872 | ||||||
Perot Systems Corp., Cl. A1 | 96,600 | 1,384,278 | ||||||
RightNow Technologies, Inc.1 | 64,970 | 766,646 | ||||||
Sapient Corp.1 | 216,900 | 1,364,301 | ||||||
Syntel, Inc. | 17,868 | 561,770 | ||||||
TeleTech Holdings, Inc.1 | 132,166 | 2,002,315 | ||||||
Total System Services, Inc. | 3,700 | 49,543 | ||||||
Unisys Corp.1 | 167,100 | 252,321 | ||||||
20,329,324 | ||||||||
Office Electronics—0.0% | ||||||||
Xerox Corp. | 4,300 | 27,864 | ||||||
Zebra Technologies Corp., Cl. A1 | 15,000 | 354,900 | ||||||
382,764 | ||||||||
Semiconductors & Semiconductor Equipment—5.1% | ||||||||
Actel Corp.1 | 47,740 | 512,250 | ||||||
Advanced Analogic Technologies, Inc.1 | 15,300 | 70,227 | ||||||
Advanced Energy Industries, Inc.1 | 95,400 | 857,646 | ||||||
Advanced Micro Devices, Inc.1 | 28,200 | 109,134 | ||||||
Amkor Technology, Inc.1 | 342,400 | 1,619,552 | ||||||
Applied Micro Circuits Corp.1 | 119,900 | 974,787 | ||||||
Atmel Corp.1 | 266,700 | 994,791 | ||||||
ATMI, Inc.1 | 70,300 | 1,091,759 | ||||||
Brooks Automation, Inc.1 | 116,291 | 520,984 | ||||||
Cabot Microelectronics Corp.1 | 48,600 | 1,374,894 | ||||||
Cavium Networks, Inc.1 | 39,700 | 667,357 | ||||||
Cirrus Logic, Inc.1 | 124,455 | 560,048 | ||||||
Cohu, Inc. | 16,400 | 147,272 | ||||||
Cypress Semiconductor Corp.1 | 11,300 | 103,960 | ||||||
Diodes, Inc.1 | 27,600 | 431,664 | ||||||
DSP Group, Inc.1 | 17,301 | 116,955 | ||||||
Entegris, Inc.1 | 317,600 | 863,872 | ||||||
Exar Corp.1 | 42,300 | 304,137 | ||||||
Fairchild Semiconductor International, Inc., Cl. A1 | 272,100 | 1,901,979 | ||||||
FEI Co.1 | 2,200 | 50,380 | ||||||
Hittite Microwave Corp.1 | 13,800 | 479,550 | ||||||
Integrated Device Technology, Inc.1 | 314,800 | 1,901,392 | ||||||
Intellon Corp.1 | 17,600 | 74,800 | ||||||
International Rectifier Corp.1 | 80,300 | 1,189,243 | ||||||
Intersil Corp., Cl. A | 37,000 | 465,090 | ||||||
IXYS Corp. | 27,200 | 275,264 | ||||||
Kulicke & Soffa Industries, Inc.1 | 20,100 | 68,943 | ||||||
Lattice Semiconductor Corp.1 | 235,889 | 443,471 | ||||||
LSI Corp.1 | 6,100 | 27,816 | ||||||
MEMC Electronic Materials, Inc.1 | 460 | 8,193 | ||||||
Micrel, Inc. | 121,057 | 886,137 | ||||||
Microsemi Corp.1 | 40,200 | 554,760 | ||||||
Microtune, Inc.1 | 15,500 | 36,270 |
F16 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment Continued | ||||||||
MKS Instruments, Inc.1 | 116,100 | $ | 1,531,359 | |||||
Monolithic Power Systems, Inc.1 | 46,600 | 1,044,306 | ||||||
Novellus Systems, Inc.1 | 15,500 | 258,850 | ||||||
OmniVision Technologies, Inc.1 | 106,500 | 1,106,535 | ||||||
ON Semiconductor Corp.1 | 3,500 | 24,010 | ||||||
Pericom Semiconductor Corp.1 | 24,425 | 205,659 | ||||||
PMC-Sierra, Inc.1 | 37,800 | 300,888 | ||||||
Power Integrations, Inc. | 3,200 | 76,128 | ||||||
RF Micro Devices, Inc.1 | 336,400 | 1,264,864 | ||||||
Semtech Corp.1 | 106,539 | 1,695,035 | ||||||
Sigma Designs, Inc.1 | 25,700 | 412,228 | ||||||
Silicon Image, Inc.1 | 182,000 | 418,600 | ||||||
Silicon Laboratories, Inc.1 | 7,300 | 276,962 | ||||||
Silicon Storage Technology, Inc.1 | 60,800 | 113,696 | ||||||
Skyworks Solutions, Inc.1 | 277,000 | 2,709,060 | ||||||
Standard Microsystems Corp.1 | 19,700 | 402,865 | ||||||
Supertex, Inc.1 | 18,466 | 463,681 | ||||||
Techwell, Inc.1 | 6,200 | 52,700 | ||||||
Teradyne, Inc.1 | 192,796 | 1,322,581 | ||||||
Tessera Technologies, Inc.1 | 44,611 | 1,128,212 | ||||||
TriQuint Semiconductor, Inc.1 | 123,400 | 655,254 | ||||||
Ultra Clean Holdings, Inc.1 | 2,900 | 6,960 | ||||||
Ultratech, Inc.1 | 63,575 | 782,608 | ||||||
Varian Semiconductor Equipment Associates, Inc.1 | 62,759 | 1,505,588 | ||||||
Veeco Instruments, Inc.1 | 95,600 | 1,108,004 | ||||||
Verigy Ltd.1 | 15,000 | 182,550 | ||||||
Volterra Semiconductor Corp.1 | 58,900 | 773,946 | ||||||
Xilinx, Inc. | 5,600 | 114,576 | ||||||
Zoran Corp.1 | 24,236 | 264,172 | ||||||
39,886,454 | ||||||||
Software—3.6% | ||||||||
ACI Worldwide, Inc.1 | 14,300 | 199,628 | ||||||
Actuate Corp.1 | 2,400 | 11,472 | ||||||
Advent Software, Inc.1 | 10,400 | 341,016 | ||||||
Aspen Technology, Inc.1 | 28,200 | 240,546 | ||||||
Blackbaud, Inc. | 9,545 | 148,425 | ||||||
Blackboard, Inc.1 | 36,400 | 1,050,504 | ||||||
Bottomline Technologies, Inc.1 | 9,300 | 83,793 | ||||||
Cadence Design Systems, Inc.1 | 89,074 | 525,537 | ||||||
Commvault Systems, Inc.1 | 7,210 | 119,542 | ||||||
Compuware Corp.1 | 131,558 | 902,488 | ||||||
Double-Take Software, Inc.1 | 12,620 | 109,163 | ||||||
Epicor Software Corp.1 | 10,200 | 54,060 | ||||||
EPIQ Systems, Inc.1 | 13,676 | 209,927 | ||||||
FactSet Research Systems, Inc. | 5,200 | 259,324 | ||||||
Fair Isaac Corp. | 120,531 | 1,863,409 | ||||||
FalconStor Software, Inc.1 | 12,500 | 59,375 | ||||||
Henry (Jack) & Associates, Inc. | 20,904 | 433,758 | ||||||
i2 Technologies, Inc.1 | 5,200 | 65,260 | ||||||
Informatica Corp.1 | 8,600 | 147,834 | ||||||
Interactive Intelligence, Inc.1 | 12,400 | 152,024 | ||||||
JDA Software Group, Inc.1 | 45,700 | 683,672 | ||||||
Kenexa Corp.1 | 25,300 | 292,721 | ||||||
Manhattan Associates, Inc.1 | 48,575 | 885,037 | ||||||
Mentor Graphics Corp.1 | 124,800 | 682,656 | ||||||
MICROS Systems, Inc.1 | 48,700 | 1,233,084 | ||||||
MicroStrategy, Inc., Cl. A1 | 14,046 | 705,390 | ||||||
MSC.Software Corp.1 | 10,600 | 70,596 | ||||||
Net 1 UEPS Technologies, Inc.1 | 99,100 | 1,346,769 | ||||||
NetScout Systems, Inc.1 | 15,800 | 148,204 | ||||||
Novell, Inc.1 | 30,400 | 137,712 | ||||||
Parametric Technology Corp.1 | 139,900 | 1,635,431 | ||||||
Phoenix Technologies Ltd.1 | 1,800 | 4,878 | ||||||
Progress Software Corp.1 | 36,100 | 764,237 | ||||||
PROS Holdings, Inc.1 | 1,650 | 13,398 | ||||||
Quest Software, Inc.1 | 65,500 | 913,070 | ||||||
Radiant Systems, Inc.1 | 43,900 | 364,370 | ||||||
Rosetta Stone, Inc.1 | 6,400 | 175,616 | ||||||
Smith Micro Software, Inc.1 | 4,200 | 41,244 | ||||||
Solera Holdings, Inc.1 | 14,500 | 368,300 | ||||||
SPSS, Inc.1 | 12,800 | 427,136 | ||||||
Sybase, Inc.1 | 30,500 | 955,870 | ||||||
Symyx Technologies, Inc.1 | 10,100 | 59,085 | ||||||
Synchronoss Technologies, Inc.1 | 45,000 | 552,150 | ||||||
Synopsys, Inc.1 | 480 | 9,365 | ||||||
Take-Two Interactive Software, Inc. | 136,000 | 1,287,920 | ||||||
Taleo Corp., Cl. A1 | 44,790 | 818,313 | ||||||
TIBCO Software, Inc.1 | 580,600 | 4,162,902 | ||||||
Tyler Technologies, Inc.1 | 46,100 | 720,082 | ||||||
Ultimate Software Group, Inc. (The)1 | 12,245 | 296,819 | ||||||
Wind River Systems, Inc.1 | 107,900 | 1,236,534 | ||||||
27,969,646 | ||||||||
Materials—5.5% | ||||||||
Chemicals—2.3% | ||||||||
Arch Chemicals, Inc. | 2,400 | 59,016 | ||||||
Ashland, Inc. | 80,059 | 2,245,655 | ||||||
Balchem Corp. | 4,730 | 115,980 | ||||||
Cabot Corp. | 26,889 | 338,264 |
F17 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Chemicals Continued | ||||||||
Celanese Corp., Series A | 5,000 | $ | 118,750 | |||||
CF Industries Holdings, Inc. | 5,800 | 430,012 | ||||||
Cytec Industries, Inc. | 72,781 | 1,355,182 | ||||||
Ferro Corp. | 54,438 | 149,705 | ||||||
Fuller (H.B.) Co. | 40,900 | 767,693 | ||||||
GenTek, Inc.1 | 1,400 | 31,262 | ||||||
ICO, Inc.1 | 32,600 | 88,672 | ||||||
Innophos Holdings, Inc. | 40,970 | 691,983 | ||||||
Innospec, Inc. | 37,888 | 407,296 | ||||||
Koppers Holdings, Inc. | 9,900 | 261,063 | ||||||
Landec Corp.1 | 21,400 | 145,306 | ||||||
LSB Industries, Inc.1 | 36,181 | 585,047 | ||||||
Minerals Technologies, Inc. | 25,274 | 910,369 | ||||||
NewMarket Corp. | 19,400 | 1,306,202 | ||||||
NOVA Chemicals Corp. | 122,400 | 725,832 | ||||||
Olin Corp. | 65,980 | 784,502 | ||||||
OM Group, Inc.1 | 62,440 | 1,812,009 | ||||||
PolyOne Corp.1 | 163,000 | 441,730 | ||||||
Quaker Chemical Corp. | 15,300 | 203,337 | ||||||
Rockwood Holdings, Inc.1 | 62,852 | 920,153 | ||||||
Schulman (A.), Inc. | 39,567 | 597,857 | ||||||
Sensient Technologies Corp. | 10,000 | 225,700 | ||||||
Solutia, Inc.1 | 15,900 | 91,584 | ||||||
Spartech Corp. | 50,131 | 460,704 | ||||||
Stepan Co. | 9,500 | 419,520 | ||||||
Terra Industries, Inc. | 16,403 | 397,281 | ||||||
Valhi, Inc. | 1,200 | 8,916 | ||||||
W.R. Grace & Co.1 | 9,500 | 117,515 | ||||||
Westlake Chemical Corp. | 3,400 | 69,326 | ||||||
Zep, Inc. | 41,600 | 501,280 | ||||||
Zoltek Cos., Inc.1 | 44,200 | 429,624 | ||||||
18,214,327 | ||||||||
Construction Materials—0.1% | ||||||||
Eagle Materials, Inc. | 1,400 | 35,336 | ||||||
Headwaters, Inc.1 | 95,100 | 319,536 | ||||||
Texas Industries, Inc. | 14,900 | 467,264 | ||||||
822,136 | ||||||||
Containers & Packaging—0.6% | ||||||||
Bway Holding Co.1 | 4,600 | 80,638 | ||||||
Myers Industries, Inc. | 51,700 | 430,144 | ||||||
Packaging Corp. of America | 52,800 | 855,360 | ||||||
Rock-Tenn Co., Cl. A | 17,699 | 675,394 | ||||||
Sonoco Products Co. | 7,900 | 189,205 | ||||||
Temple-Inland, Inc. | 177,443 | 2,328,052 | ||||||
4,558,793 | ||||||||
Metals & Mining—2.2% | ||||||||
A. M. Castle & Co. | 47,027 | 568,086 | ||||||
AK Steel Holding Corp. | 137,100 | 2,630,949 | ||||||
Allied Nevada Gold Corp.1 | 4,400 | 35,464 | ||||||
AMCOL International Corp. | 2,300 | 49,634 | ||||||
Brush Engineered Materials, Inc.1 | 47,100 | 788,925 | ||||||
Carpenter Technology Corp. | 89,000 | 1,852,090 | ||||||
Commercial Metals Co. | 62,700 | 1,005,081 | ||||||
Compass Minerals International, Inc. | 15,200 | 834,632 | ||||||
General Steel Holdings, Inc.1 | 8,800 | 34,936 | ||||||
Haynes International, Inc.1 | 29,300 | 694,410 | ||||||
Hecla Mining Co.1 | 75,300 | 201,804 | ||||||
Horsehead Holding Corp.1 | 19,555 | 145,685 | ||||||
Kaiser Aluminum Corp. | 15,443 | 554,558 | ||||||
Olympic Steel, Inc. | 38,490 | 941,850 | ||||||
Reliance Steel & Aluminum Co. | 1,800 | 69,102 | ||||||
Royal Gold, Inc. | 12,800 | 533,760 | ||||||
RTI International Metals, Inc.1 | 63,800 | 1,127,346 | ||||||
Schnitzer Steel Industries, Inc. | 38,955 | 2,059,161 | ||||||
Stillwater Mining Co.1 | 94,442 | 539,264 | ||||||
Titanium Metals Corp. | 112,700 | 1,035,713 | ||||||
Universal Stainless & Alloy Products, Inc.1 | 4,700 | 76,469 | ||||||
Walter Industries, Inc. | 4,100 | 148,584 | ||||||
Worthington Industries, Inc. | 64,498 | 824,929 | ||||||
16,752,432 | ||||||||
Paper & Forest Products—0.3% | ||||||||
Buckeye Technologies, Inc.1 | 47,027 | 211,151 | ||||||
Clearwater Paper Corp.1 | 4,060 | 102,677 | ||||||
Deltic Timber Corp. | 2,300 | 81,581 | ||||||
Domtar Corp.1 | 21,350 | 353,983 | ||||||
Glatfelter | 51,945 | 462,311 | ||||||
Louisiana-Pacific Corp.1 | 104,370 | 356,945 | ||||||
MeadWestvaco Corp. | 1,600 | 26,256 | ||||||
Mercer International, Inc.1 | 10,200 | 5,814 | ||||||
Neenah Paper, Inc. | 4,800 | 42,288 | ||||||
Schweitzer-Mauduit International, Inc. | 12,341 | 335,799 | ||||||
Wausau Paper Corp. | 78,600 | 528,192 | ||||||
2,506,997 | ||||||||
Telecommunication Services—1.5% | ||||||||
Diversified Telecommunication Services—1.0% | ||||||||
Alaska Communications Systems Group, Inc. | 1,100 | 8,052 | ||||||
Atlantic Tele-Network, Inc. | 16,697 | 656,025 | ||||||
Cbeyond, Inc.1 | 20,400 | 292,740 |
F18 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
Shares | Value | |||||||
Diversified Telecommunication Services Continued | ||||||||
Cincinnati Bell, Inc.1 | 393,000 | $ | 1,116,120 | |||||
Cogent Communications Group, Inc.1 | 66,771 | 544,184 | ||||||
Embarq Corp. | 1,700 | 71,502 | ||||||
Frontier Communications Corp. | 300 | 2,142 | ||||||
General Communication, Inc., Cl. A1 | 4,200 | 29,106 | ||||||
Global Crossing Ltd.1 | 9,344 | 85,778 | ||||||
Iowa Telecommunications Services, Inc. | 25,837 | 323,221 | ||||||
Neutral Tandem, Inc.1 | 12,100 | 357,192 | ||||||
NTELOS Holdings Corp. | 39,000 | 718,380 | ||||||
PAETEC Holding Corp.1 | 1,700 | 4,590 | ||||||
Premiere Global Services, Inc.1 | 174,600 | 1,892,664 | ||||||
tw telecom, Inc.1 | 168,200 | 1,727,414 | ||||||
7,829,110 | ||||||||
Wireless Telecommunication Services—0.5% | ||||||||
Centennial Communications Corp.1 | 212,000 | 1,772,320 | ||||||
iPCS, Inc.1 | 14,634 | 218,925 | ||||||
NII Holdings, Inc.1 | 300 | 5,721 | ||||||
Syniverse Holdings, Inc.1 | 86,600 | 1,388,198 | ||||||
USA Mobility, Inc. | 20,302 | 259,054 | ||||||
3,644,218 | ||||||||
Utilities—0.8% | ||||||||
Electric Utilities—0.2% | ||||||||
Cleco Corp. | 36,700 | 822,814 | ||||||
Empire District Electric Co. | 1,900 | 31,388 | ||||||
Hawaiian Electric Industries, Inc. | 5,800 | 110,548 | ||||||
IDACORP, Inc. | 8,800 | 230,032 | ||||||
Portland General Electric Co. | 18,800 | 366,224 | ||||||
UniSource Energy Corp. | 2,700 | 71,658 | ||||||
Westar Energy, Inc. | 12,400 | 232,748 | ||||||
1,865,412 | ||||||||
Energy Traders—0.0% | ||||||||
Calpine Corp.1 | 9,100 | 101,465 | ||||||
RRI Energy, Inc.1 | 47,400 | 237,474 | ||||||
338,939 | ||||||||
Gas Utilities—0.2% | ||||||||
Laclede Group, Inc. (The) | 3,300 | 109,329 | ||||||
New Jersey Resources Corp. | 10,600 | 392,624 | ||||||
Nicor, Inc. | 7,200 | 249,264 | ||||||
Northwest Natural Gas Co. | 2,380 | 105,482 | ||||||
Piedmont Natural Gas Co., Inc. | 5,500 | 132,605 | ||||||
South Jersey Industries, Inc. | 3,600 | 125,604 | ||||||
Southwest Gas Corp. | 3,300 | 73,293 | ||||||
WGL Holdings, Inc. | 6,900 | 220,938 | ||||||
1,409,139 | ||||||||
Multi-Utilities—0.3% | ||||||||
Avista Corp. | 47,170 | 840,098 | ||||||
Black Hills Corp. | 12,200 | 280,478 | ||||||
CH Energy Group, Inc. | 15,483 | 723,056 | ||||||
DTE Energy Co. | 2,500 | 80,000 | ||||||
NorthWestern Corp. | 1,600 | 36,416 | ||||||
PNM Resources, Inc. | 22,271 | 238,522 | ||||||
2,198,570 | ||||||||
Water Utilities—0.1% | ||||||||
California Water Service Group | 1,500 | 55,260 | ||||||
Cascal NV | 39,200 | 147,000 | ||||||
SJW Corp. | 12,900 | 292,810 | ||||||
495,070 | ||||||||
Total Common Stocks (Cost $779,615,867) | 745,697,382 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | �� | |||||||
Redcorp Ventures Ltd. Wts., Strike Price 0.65CAD, Exp. 7/5/091,3 (Cost $0) | 333,200 | — | ||||||
Principal | ||||||||
Amount | ||||||||
Asset-Backed Securities—0.0% | ||||||||
GSAA Home Equity Trust 2005-15, Asset-Backed Certificates, Series 2005-15, Cl. 2A1, 0.404%, 1/25/365 (Cost $391,169) | $ | 391,169 | 327,550 | |||||
Shares | ||||||||
Investment Companies—4.7% | ||||||||
Allied Capital Corp. | 86,300 | 300,324 | ||||||
Apollo Investment Corp. | 141,900 | 851,400 | ||||||
Ares Capital Corp. | 10,200 | 82,212 | ||||||
Gladstone Capital Corp. | 2,800 | 21,084 | ||||||
Hercules Technology Growth Capital, Inc. | 27,400 | 229,064 | ||||||
iShares Russell 2000 Index Fund | 283,100 | 14,426,776 | ||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%6,9 | 143,643 | 143,643 | ||||||
MCG Capital Corp. | 15,600 | 37,908 | ||||||
NGP Capital Resources Co. | 5,200 | 30,524 |
F19 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Investment Companies Continued | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%6,7 | 20,113,968 | $ | 20,113,968 | |||||
PennantPark Investment Corp. | 1,800 | 12,780 | ||||||
Prospect Capital Corp. | 26,300 | 241,960 | ||||||
Total Investment Companies (Cost $35,296,921) | 36,491,643 | |||||||
Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $815,303,957) | 782,516,575 | |||||||
Investments Purchased with Cash Collateral from Securities Loaned—0.0%8 | ||||||||
OFI Liquid Assets Fund, LLC, 1.02%6,7 (Cost $42,326) | 42,326 | 42,326 | ||||||
Total Investments, at Value (Cost $815,346,283) | 100.4 | % | 782,558,901 | |||||
Liabilities in Excess of Other Assets | (0.4 | ) | (3,358,324 | ) | ||||
Net Assets | 100.0 | % | $ | 779,200,577 | ||||
Footnotes to Statement of Investments
Strike Price is reported in U.S. Dollars, except for those denoted in the following currency:
CAD Canadian Dollar
CAD Canadian Dollar
1. Non-income producing security.
2. 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 $150,729 or 0.02% of the Fund’s net assets as of June 30, 2009.
3. Illiquid security. The aggregate value of illiquid securities as of June 30, 2009 was $438, which represents less than 0.005% of the Fund’s net assets. See Note 6 of accompanying Notes.
4. Partial or fully-loaned security. See Note 7 of accompanying Notes.
5. Represents the current interest rate for a variable or increasing rate security.
6. Rate shown is the 7-day yield as of June 30, 2009.
7. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows:
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
OFI Liquid Assets Fund, LLC | 65,710,173 | 292,363,967 | 358,031,814 | 42,326 | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 6,344,806 | 94,014,956 | 80,245,794 | 20,113,968 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | 42,326 | $ | 799,113 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 20,113,968 | 34,986 | ||||||
$ | 20,156,294 | $ | 834,099 | |||||
a. Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties.
8. The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 7 of accompanying Notes.
9. Interest rate less than 0.0005%.
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset).
F20 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 1 — | Level 2 — | Level 3 — | ||||||||||||||
Unadjusted | Other Significant | Significant | ||||||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 123,730,088 | $ | — | $ | — | $ | 123,730,088 | ||||||||
Consumer Staples | 20,924,659 | — | — | 20,924,659 | ||||||||||||
Energy | 44,167,165 | — | — | 44,167,165 | ||||||||||||
Financials | 109,270,365 | 413 | — | 109,270,778 | ||||||||||||
Health Care | 81,108,406 | — | 25 | 81,108,431 | ||||||||||||
Industrials | 138,192,084 | — | — | 138,192,084 | ||||||||||||
Information Technology | 167,667,160 | 1,874 | — | 167,669,034 | ||||||||||||
Materials | 42,854,685 | — | — | 42,854,685 | ||||||||||||
Telecommunication Services | 11,473,328 | — | — | 11,473,328 | ||||||||||||
Utilities | 6,307,130 | — | — | 6,307,130 | ||||||||||||
Rights, Warrants and Certificates | — | — | — | — | ||||||||||||
Asset-Backed Securities | — | 327,550 | — | 327,550 | ||||||||||||
Investment Companies | 36,491,643 | — | — | 36,491,643 | ||||||||||||
Investments Purchased with Cash Collateral from Securities Loaned | 42,326 | — | — | 42,326 | ||||||||||||
Total Investments, at Value | 782,229,039 | 329,837 | 25 | 782,558,901 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | — | 260 | — | 260 | ||||||||||||
Total Assets | $ | 782,229,039 | $ | 330,097 | $ | 25 | $ | 782,559,161 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
Foreign Currency Exchange Contracts as of June 30, 2009 are as follows:
Contract Amount | Expiration | Unrealized | ||||||||||||||||||
Counterparty/Contract Description | Sell | (000s) | Date | Value | Appreciation | |||||||||||||||
JPMorgan | ||||||||||||||||||||
Canadian Dollar (CAD) | Sell | 29 CAD | 7/2/09 | $ | 24,744 | $ | 260 |
See accompanying Notes to Financial Statements.
F21 | OPPENHEIMER MAIN STREET SMALL CAP FUND/ VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $795,189,989) | $ | 762,402,607 | ||
Affiliated companies (cost $20,156,294) | 20,156,294 | |||
782,558,901 | ||||
Cash | 1,174 | |||
Unrealized appreciation on foreign currency exchange contracts | 260 | |||
Receivables and other assets: | ||||
Investments sold | 55,257,324 | |||
Interest and dividends | 492,300 | |||
Other | 65,258 | |||
Total assets | 838,375,217 | |||
Liabilities | ||||
Return of collateral for securities loaned | 43,500 | |||
Payables and other liabilities: | ||||
Investments purchased | 56,145,653 | |||
Shares of beneficial interest redeemed | 2,446,528 | |||
Distribution and service plan fees | 413,858 | |||
Transfer and shareholder servicing agent fees | 65,220 | |||
Shareholder communications | 21,132 | |||
Trustees’ compensation | 6,167 | |||
Other | 32,582 | |||
Total liabilities | 59,174,640 | |||
Net Assets | $ | 779,200,577 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 66,007 | ||
Additional paid-in capital | 1,057,542,293 | |||
Accumulated net investment income | 1,650,959 | |||
Accumulated net realized loss on investments and foreign currency transactions | (247,271,365 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (32,787,317 | ) | ||
Net Assets | $ | 779,200,577 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $73,941,162 and 6,223,496 shares of beneficial interest outstanding) | $ | 11.88 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $705,259,415 and 59,783,482 shares of beneficial interest outstanding) | $ | 11.80 |
See accompanying Notes to Financial Statements.
F22 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $3,049) | $ | 4,192,364 | ||
Affiliated companies | 34,986 | |||
Income from investment of securities lending cash collateral, net: | ||||
Unaffiliated companies | 93,103 | |||
Affiliated companies | 799,113 | |||
Interest | 2,354 | |||
Total investment income | 5,121,920 | |||
Expenses | ||||
Management fees | 2,326,796 | |||
Distribution and service plan fees—Service shares | 734,342 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 15,582 | |||
Service shares | 120,162 | |||
Shareholder communications: | ||||
Non-Service shares | 23,336 | |||
Service shares | 229,998 | |||
Trustees’ compensation | 12,246 | |||
Custodian fees and expenses | 1,871 | |||
Other | 37,699 | |||
Total expenses | 3,502,032 | |||
Less waivers and reimbursements of expenses | (32,392 | ) | ||
Net expenses | 3,469,640 | |||
Net Investment Income | 1,652,280 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized loss on: | ||||
Investments from unaffiliated companies | (112,660,249 | ) | ||
Foreign currency transactions | (20,752 | ) | ||
Net realized loss | (112,681,001 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 204,501,180 | |||
Translation of assets and liabilities denominated in foreign currencies | 183,458 | |||
Net change in unrealized depreciation | 204,684,638 | |||
Net Increase in Net Assets Resulting from Operations | $ | 93,655,917 | ||
See accompanying Notes to Financial Statements.
F23 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 1,652,280 | $ | 4,647,051 | ||||
Net realized loss | (112,681,001 | ) | (131,260,264 | ) | ||||
Net change in unrealized depreciation | 204,684,638 | (252,725,263 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 93,655,917 | (379,338,476 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (605,525 | ) | (406,564 | ) | ||||
Service shares | (4,276,612 | ) | (2,093,583 | ) | ||||
(4,882,137 | ) | (2,500,147 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | — | (4,514,393 | ) | |||||
Service shares | — | (43,539,151 | ) | |||||
— | (48,053,544 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 7,375,675 | 5,447,779 | ||||||
Service shares | 72,928,641 | 118,985,953 | ||||||
80,304,316 | 124,433,732 | |||||||
Net Assets | ||||||||
Total increase (decrease) | 169,078,096 | (305,458,435 | ) | |||||
Beginning of period | 610,122,481 | 915,580,916 | ||||||
End of period (including accumulated net investment income of $1,650,959 and $4,880,816, respectively) | $ | 779,200,577 | $ | 610,122,481 | ||||
See accompanying Notes to Financial Statements.
F24 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.65 | $ | 18.20 | $ | 19.15 | $ | 17.18 | $ | 16.05 | $ | 13.44 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .04 | .12 | .09 | .08 | .04 | .01 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.30 | (6.73 | ) | (.30 | ) | 2.46 | 1.51 | 2.60 | ||||||||||||||||
Total from investment operations | 1.34 | (6.61 | ) | (.21 | ) | 2.54 | 1.55 | 2.61 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.08 | ) | (.06 | ) | (.03 | ) | — | — | ||||||||||||||
Distributions from net realized gain | — | (.86 | ) | (.68 | ) | (.54 | ) | (.42 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.11 | ) | (.94 | ) | (.74 | ) | (.57 | ) | (.42 | ) | — | |||||||||||||
Net asset value, end of period | $ | 11.88 | $ | 10.65 | $ | 18.20 | $ | 19.15 | $ | 17.18 | $ | 16.05 | ||||||||||||
Total Return, at Net Asset Value2 | 13.19 | % | (37.83 | )% | (1.21 | )% | 15.00 | % | 9.92 | % | 19.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 73,941 | $ | 58,478 | $ | 93,939 | $ | 81,405 | $ | 44,820 | $ | 38,636 | ||||||||||||
Average net assets (in thousands) | $ | 61,591 | $ | 80,406 | $ | 94,815 | $ | 62,659 | $ | 39,708 | $ | 30,871 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.72 | % | 0.80 | % | 0.48 | % | 0.46 | % | 0.23 | % | 0.06 | % | ||||||||||||
Total expenses | 0.86 | %4 | 0.75 | %4 | 0.73 | %4 | 0.77 | %4 | 0.81 | % | 0.83 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.85 | % | 0.75 | % | 0.73 | % | 0.77 | % | 0.81 | % | 0.83 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 130 | % | 115 | % | 110 | % | 110 | % | 147 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total Expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 0.86 | % | ||
Year Ended December 31, 2008 | 0.75 | % | ||
Year Ended December 31, 2007 | 0.73 | % | ||
Year Ended December 31, 2006 | 0.77 | % |
See accompanying Notes to Financial Statements.
F25 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.54 | $ | 18.03 | $ | 18.98 | $ | 17.06 | $ | 15.97 | $ | 13.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | .02 | .08 | .05 | .04 | —2 | (.02 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.31 | (6.67 | ) | (.29 | ) | 2.42 | 1.51 | 2.59 | ||||||||||||||||
Total from investment operations | 1.33 | (6.59 | ) | (.24 | ) | 2.46 | 1.51 | 2.57 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.07 | ) | (.04 | ) | (.03 | ) | —2 | — | — | |||||||||||||||
Distributions from net realized gain | — | (.86 | ) | (.68 | ) | (.54 | ) | (.42 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.07 | ) | (.90 | ) | (.71 | ) | (.54 | ) | (.42 | ) | — | |||||||||||||
Net asset value, end of period | $ | 11.80 | $ | 10.54 | $ | 18.03 | $ | 18.98 | $ | 17.06 | $ | 15.97 | ||||||||||||
Total Return, at Net Asset Value3 | 13.11 | % | (38.00 | )% | (1.39 | )% | 14.66 | % | 9.71 | % | 19.18 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 705,260 | $ | 551,644 | $ | 821,642 | $ | 636,430 | $ | 314,868 | $ | 173,612 | ||||||||||||
Average net assets (in thousands) | $ | 596,625 | $ | 769,150 | $ | 766,102 | $ | 479,456 | $ | 221,324 | $ | 112,279 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income (loss) | 0.48 | % | 0.52 | % | 0.23 | % | 0.23 | % | 0.02 | % | (0.14 | )% | ||||||||||||
Total expenses | 1.10 | %5 | 0.99 | %5 | 0.97 | %5 | 1.00 | %5 | 1.04 | % | 1.06 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.09 | % | 0.99 | % | 0.97 | % | 1.00 | % | 1.04 | % | 1.06 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 130 | % | 115 | % | 110 | % | 110 | % | 147 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 1.10 | % | ||
Year Ended December 31, 2008 | 0.99 | % | ||
Year Ended December 31, 2007 | 0.97 | % | ||
Year Ended December 31, 2006 | 1.00 | % |
See accompanying Notes to Financial Statements.
F26 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Main Street Small Cap Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
F27 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in OFI Liquid Assets Fund, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund’s Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC (“LAF”) is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF
F28 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund’s investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF’s expenses, including its management fee of 0.08%.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $22,025,415, post-October foreign currency losses of $57, post-October passive foreign investment company losses of $1,382 and unused capital loss carryforward as follows:
Expiring | ||||
2016 | $ | 91,820,783 |
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $226,528,638 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 850,311,734 | ||
Gross unrealized appreciation | $ | 89,641,324 | ||
Gross unrealized depreciation | (157,394,157 | ) | ||
Net unrealized depreciation | $ | (67,752,833 | ) | |
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as
F29 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
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2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 2,215,198 | $ | 23,910,044 | 1,628,830 | $ | 24,176,255 | ||||||||||
Dividends and/or distributions reinvested | 83,752 | 605,525 | 326,974 | 4,920,957 | ||||||||||||
Redeemed | (1,567,074 | ) | (17,139,894 | ) | (1,624,446 | ) | (23,649,433 | ) | ||||||||
Net increase | 731,876 | $ | 7,375,675 | 331,358 | $ | 5,447,779 | ||||||||||
Service Shares | ||||||||||||||||
Sold | 11,347,662 | $ | 113,709,369 | 14,415,062 | $ | 222,143,048 | ||||||||||
Dividends and/or distributions reinvested | 592,905 | 4,262,989 | 3,047,035 | 45,492,232 | ||||||||||||
Redeemed | (4,492,933 | ) | (45,043,717 | ) | (10,696,966 | ) | (148,649,327 | ) | ||||||||
Net increase | 7,447,634 | $ | 72,928,641 | 6,765,131 | $ | 118,985,953 | ||||||||||
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF and LAF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 367,668,940 | $ | 296,196,590 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $72,244 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
F31 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Fees and Other Transactions with Affiliates Continued
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 0.80% for Non-Service shares and 1.05% for Service shares. During the six months ended June 30, 2009, the Manager waived $3,059 and $24,884 for Non-Service and Service shares, respectively. This voluntary undertaking may be amended or withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $4,449 for IMMF management fees.
5. Foreign Currency Exchange Contracts
The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
6. Illiquid Securities
As of June 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments.
7. Securities Lending
The Fund lends portfolio securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower and recognizes the gain or loss in the fair value of the securities
F32 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. As of June 30, 2009, the Fund had on loan securities valued at $41,101. Collateral of $43,500 was received for the loans, all of which was received in cash and subsequently invested in approved instruments or held as cash.
8. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
9. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff ”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
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F34 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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9 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
OPPENHEIMER MAINSTREET SMALL CAP FUND®/VA
A Series of Oppenheimer Variable Account Funds
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Matthew P. Ziehl, Vice President and Portfolio Manager | ||
Raman Vardharaj, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered Public Accounting Firm | KPMG llp | |
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved.
June 30, 2009 Oppenheimer Money Fund/VASemiannual Rport A Series of OppS E M I A N N UA L R E P O RT Investment Strategy Discussion Listing of Investments Financial Statements |
OPPENHEIMER MONEY FUND/VA
Fund Objective: Oppenheimer Money Fund/VA seeks maximum current income from investments in “money market” securities consistent with low capital risk and the maintenance of liquidity.
Current Yield
For the 7-Day Period Ended 6/30/09
With and Without Compounding | 0.25 | % | ||
For the 6-Month Period Ended 6/30/09 | ||||
With and Without Compounding | 0.60 | % |
The performance data quoted represents past performance, which does not guarantee future results. Yields include dividends in a hypothetical investment for the periods shown. Current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s performance should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s performance does not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. Without a voluntary expense limit that can be terminated at any time, Fund performance may have been less.
Narrative by Carol Wolf, Portfolio Manager
During the six-month reporting period ended June 30, 2009, the Fund produced a 0.60% annualized yield with and without compounding. As of June 30, 2009 the Fund’s 7-day yield was 0.25% with and without compounding. The Fund was successful in preserving capital and maintaining liquidity despite a highly challenging investment environment that saw yields of money market funds remain below one percent. The Federal Reserve Board’s (the “Fed’s”) historically low target for short-term interest rates was designed to stimulate an economic recovery in the midst of the longest recession since the 1930s and a financial crisis that nearly led to the collapse of the global banking system.
Economic and Market Environment
The global recession which defined 2008, continued in the first half of 2009, as unemployment rates climbed, housing prices slumped and consumer confidence remained depressed. The economic downturn had been intensified by a global banking crisis that led to the failures of major financial institutions and nearly frozen conditions in some credit markets. In response, the Fed reduced short-term interest rates aggressively, including a cut in mid-December 2008 that drove its target for the overnight federal funds rate to an unprecedented low of 0% to 0.25%. As interest rates declined, so did yields of money market instruments.
Pronounced signs of economic weakness persisted through much of the first quarter of 2009. January’s economic news included a sharp decline in housing prices compared to one year earlier. In February and March, the U.S. economy lost more than 600,000 jobs in each month. Meanwhile, in February 2009, the Conference Board’s consumer confidence index fell to its lowest reading since recordkeeping began in 1967. In early March, the U.S. stock market hit a multi-year low. Yet, investor sentiment soon began to improve as evidence appeared that global credit markets were thawing in response to massive remedial efforts by the U.S. government and monetary authorities.
The Fed engaged in massive purchases of U.S. Treasury securities and U.S. government agency securities to bolster slumping fixed-income markets, and they continued to implement the Term Asset-Backed Securities Loan Facility (TALF) that it had implemented in late 2008 to support the issuance of fixed-income securities backed by student loans, auto loans, credit card loans, and loans guaranteed by the Small Business Administration. The U.S. government enacted the $787 billion American Recovery and Reinvestment Act of 2009, which was designed to retain and create jobs, provide budget relief to states and localities, maintain social programs and offer tax relief to businesses and individuals. The government also continued to implement a temporary facility that stood ready to purchase certain financial instruments from eligible money market funds should the need arise, and the commercial paper market subsequently stabilized.
As it became clearer that these measures had helped to avert a collapse of the U.S. banking system, investor sentiment began to improve. Fixed-income investors began to look forward to better credit-market conditions, and they became
2 | OPPENHEIMER MONEY FUND/VA
more tolerant of the risks they previously had shunned. Investors capitalized on historically low valuations among stocks and higher yielding bonds, sparking impressive springtime rallies over the second quarter of the year. Conversely, U.S. Treasury securities gave back some of their previous gains. However, in the absence of inflationary pressures or data showing actual economic improvement, the Fed consistently maintained its low target for short-term interest rates through the reporting period’s end. Consequently, money market yields generally remained well below one percent.
Portfolio Strategy
We maintained a highly conservative investment posture throughout the reporting period. We redoubled our credit surveillance efforts, paring the list of banks on our approved list to those in which we had the highest levels of confidence. Our credit committee continually reevaluated market conditions and established rigorous credit criteria for prospective holdings. We refrained from investing in money market instruments with maturities longer than approximately six months until April 2009, when we began to take advantage of attractive yields among longer-dated instruments from financially sound issuers. We also balanced these longer-dated holdings with very short-term instruments, such as taxable municipal securities with one- to seven-day demand features.
Although credit markets generally appear to have stabilized as of the reporting period’s end, we have remained cautious with regard to current market dynamics. In addition, we believe the Fed is likely to keep short-term interest rates at low levels for some time. Therefore, we intend to maintain an emphasis on liquidity and preservation of capital until we see more convincing evidence that the recession and banking crisis are behind us.
Special Announcement
The Fund’s Board of Trustees has elected for the Fund to participate in the Temporary Guarantee Program for Money Market Funds (the “Program”) established by the U.S. Treasury Department. The Treasury Department has accepted the Fund’s application to participate in the Program and entered into a Guarantee Agreement with the Fund dated as of September 19, 2008. The Fund has also notified the Treasury Department of its intent to continue its participation in the Program through September 18, 2009.
Under the Program, shareholders of the Fund as of the close of business on September 19, 2008, may be guaranteed against loss in the event that the Fund’s net asset value falls below $0.995. The Program applies only to shareholders of record as of the close of business on September 19, 2008. The number of shares covered by the Program will be the lesser of (a) the number of shares of the Fund owned by the shareholder on September 19, 2008 or (b) the number of shares owned by the shareholder on the date the Fund’s net asset value falls below $0.995. If the number of shares of the Fund you hold after September 19, 2008, fluctuates during the Program period due to purchases or redemptions of shares, any shares in excess of the amount held as of the close of business on September 19, 2008, will not be covered.
To be entitled to payments under the Program, an investor must have held shares of the Fund both on September 19, 2008, and if the Fund’s net asset value per share were to fall below $0.995 per share during the time period covered by the Program, on that date as well. In addition, the Fund’s Board of Trustees must take prompt action to liquidate the Fund and the Fund must comply with other requirements of the Program. Upon liquidation of the Fund, a covered shareholder would receive the liquidation value per share of the Fund and thereafter would receive a payment for each covered share equal to the shortfall between the liquidation proceeds and $1.00 per share. Guarantee payments to all participants in the Program will not exceed the amount available in the U.S. Government’s Exchange Stabilization Fund at the time of such payments. As of September 19, 2008, the Exchange Stabilization Fund was valued at approximately $50 billion, and there is no commitment by the government to increase that amount if it is depleted by claims.
The Program’s initial period was for a three month term from September 19, 2008, through December 18, 2008. The Treasury Secretary elected to extend the Program from December 19, 2008 through April 30, 2009, and again from May 1, 2009, to September 18, 2009. The Fund has elected to participate in the Program through September 18, 2009.
3 | OPPENHEIMER MONEY FUND/VA
OPPENHEIMER MONEY FUND/VA
The Program cannot be extended beyond September 18, 2009. The Fund paid a fee to participate in the Program’s initial term in the amount equal to 0.01% of the Fund’s net assets as of the close of business on September 19, 2008. The Fund paid an additional fee to continue its participation in the Program through April 30, 2009, in the amount of 0.015% of the Fund’s net assets as of the close of business on September 19, 2008. The Fund paid an additional fee to continue its participation in the Program through September 18, 2009, in the amount of 0.015% of the Fund’s net assets as of the close of business on September 19, 2008.
Further information about the Program can be obtained on the web site of the Treasury Department at www.ustreas.gov.
An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
4 | OPPENHEIMER MONEY FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur ongoing costs, including management fees; service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio, and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
$ | 1,000.00 | $ | 1,003.00 | $ | 2.54 | |||||||
Hypothetical (5% return before expenses) | ||||||||||||
1,000.00 | 1,022.27 | 2.56 |
Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The annualized expense ratio based on the 6-month period ended June 30, 2009 is as follows:
Expense Ratio | ||
0.51% |
The expense ratio reflects voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” table in the Fund’s financial statements, included in this report, also shows the gross expense ratio, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
5 | OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Certificates of Deposit—26.1% | ||||||||
Yankee Certificates of Deposit—26.1% | ||||||||
Bank of Nova Scotia, Houston, TX: | ||||||||
0.896%, 9/4/091 | $ | 3,000,000 | $ | 3,000,000 | ||||
0.937%, 9/8/091 | 3,000,000 | 3,000,000 | ||||||
BNP Paribas, New York: | ||||||||
0.34%, 9/11/09 | 5,000,000 | 5,000,000 | ||||||
0.34%, 9/23/09 | 2,000,000 | 2,000,000 | ||||||
0.36%, 8/19/09 | 1,000,000 | 1,000,000 | ||||||
National Australia Bank, New York, 0.57%, 7/9/09 | 6,000,000 | 6,000,000 | ||||||
Rabobank Nederland NV, New York: | ||||||||
0.65%, 2/18/10 | 2,000,000 | 2,000,000 | ||||||
0.80%, 7/7/09 | 2,000,000 | 2,000,000 | ||||||
0.95%, 6/23/10 | 1,000,000 | 1,000,000 | ||||||
Royal Bank of Canada, New York: | ||||||||
0.75%, 7/27/09 | 3,500,000 | 3,500,000 | ||||||
1.186%, 8/7/091 | 5,000,000 | 5,000,000 | ||||||
Societe Generale, 0.66%, 7/13/09 | 4,000,000 | 4,000,000 | ||||||
Societe Generale, New York: | ||||||||
0.605%, 8/3/09 | 2,400,000 | 2,400,011 | ||||||
0.66%, 7/22/09 | 4,000,000 | 4,000,000 | ||||||
0.705%, 7/14/09 | 1,000,000 | 1,000,000 | ||||||
Toronto Dominion Bank, New York: | ||||||||
0.90%, 9/30/09 | 2,000,000 | 2,000,000 | ||||||
1.47%, 11/12/09 | 5,000,000 | 5,000,000 | ||||||
1.50%, 11/3/09 | 1,500,000 | 1,500,000 | ||||||
Westpac Banking Corp., New York, 0.32%, 9/29/092 | 3,000,000 | 3,000,000 | ||||||
Total Certificates of Deposit (Cost $56,400,011) | 56,400,011 | |||||||
Direct Bank Obligations—18.6% | ||||||||
Bank of America NA, 1.40%, 7/6/091 | 2,000,000 | 1,999,818 | ||||||
Bank of Nova Scotia, Houston, TX, 0.42%, 7/30/09 | 2,000,000 | 1,999,323 | ||||||
CBA (Delaware) Finance: | ||||||||
0.35%, 8/21/09 | 3,000,000 | 2,998,513 | ||||||
0.45%, 8/4/09 | 4,700,000 | 4,697,958 | ||||||
0.51%, 7/24/09 | 3,000,000 | 2,999,023 | ||||||
HSBC USA, Inc., 1.31%, 8/14/091 | 8,000,000 | 7,994,943 | ||||||
Intesa Funding LLC, 0.30%, 7/23/09 | 2,400,000 | 2,399,560 | ||||||
National Australia Funding (Delaware), Inc.: | ||||||||
0.54%, 7/1/093 | 3,000,000 | 3,000,000 | ||||||
0.55%, 7/6/093 | 2,000,000 | 1,999,847 | ||||||
Royal Bank of Canada, Series D, 1.33%, 7/15/091 | 3,000,000 | 3,000,000 | ||||||
Toronto Dominion Bank, New York, 0.90%, 9/14/09 | 3,100,000 | 3,100,000 | ||||||
U.S. Bank NA, 0.90%, 8/21/09 | 4,000,000 | 4,000,000 | ||||||
Total Direct Bank Obligations (Cost $40,188,985) | 40,188,985 | |||||||
Short-Term Notes—54.4% | ||||||||
Diversified Financial Services—3.7% | ||||||||
General Electric Capital Services: | ||||||||
0.55%, 7/27/09 | 5,000,000 | 4,998,014 | ||||||
0.55%, 7/28/09 | 3,000,000 | 2,998,763 | ||||||
7,996,777 | ||||||||
Food Products—2.4% | ||||||||
Nestle Capital Corp.: | ||||||||
0.50%, 3/15/103 | 2,000,000 | 1,991,433 | ||||||
0.51%, 3/16/103 | 3,300,000 | 3,287,939 | ||||||
5,279,372 | ||||||||
Insurance—2.1% | ||||||||
Jackson National Life Global Funding, Series 2004-6, 0.429%, 8/15/091,4 | 2,500,000 | 2,500,000 | ||||||
United of Omaha Life Insurance Co., 0.82%, 12/28/091 | 2,000,000 | 2,000,000 | ||||||
4,500,000 | ||||||||
Leasing & Factoring—2.3% | ||||||||
American Honda Finance Corp.: | ||||||||
0.763%, 9/18/091,5 | 1,000,000 | 1,000,000 | ||||||
0.811%, 8/26/091,5 | 2,000,000 | 2,000,905 | ||||||
Toyota Motor Credit Corp., 0.28%, 7/31/09 | 2,000,000 | 1,999,533 | ||||||
5,000,438 | ||||||||
Municipal—6.2% | ||||||||
Health Care Revenue Bonds, SFO Associates Project, Series 1994, 0.70%, 7/1/091 | 2,460,000 | 2,460,000 | ||||||
Laurel Grocery Project Nts., Series 1999, 2.75%, 7/1/091 | 1,445,000 | 1,445,000 | ||||||
Manassas, VA Industrial Development Authority Bonds, Aurora Flight Science, Series 2005, 0.70%, 7/1/091 | 985,000 | 985,000 | ||||||
Putnam Cnty., WV Solid Waste Disposal Revenue Bonds, FMC Corp., Series 1991, 0.62%, 8/1/091 | 1,730,000 | 1,730,000 | ||||||
San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, Series 2008, 1%, 7/1/091 | 3,800,000 | 3,800,000 | ||||||
Wake Cnty, NC Industrial Facilities & Pollution Control Finance Authority Bonds, Bob Barker Co., Series A, 1%, 7/1/091 | 1,700,000 | 1,700,000 | ||||||
Wright Brothers, Inc. Nts., Series 2005, 2.75%, 7/1/091 | 1,285,000 | 1,285,000 | ||||||
13,405,000 |
F1 | OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels—0.9% | ||||||||
Total Capital Canada, 0.50%, 7/16/09 | $ | 2,000,000 | $ | 1,999,583 | ||||
Personal Products—6.5% | ||||||||
Procter & Gamble International Funding SCA: | ||||||||
0.996%, 5/7/101,3 | 1,500,000 | 1,500,000 | ||||||
1.224%, 2/8/101,3 | 3,000,000 | 3,000,000 | ||||||
Reckitt Benckiser Treasury Services plc: | ||||||||
0.40%, 8/3/093 | 4,000,000 | 3,998,533 | ||||||
0.55%, 9/3/093 | 2,500,000 | 2,497,556 | ||||||
0.95%, 7/30/093 | 3,000,000 | 2,997,704 | ||||||
13,993,793 | ||||||||
Pharmaceuticals—2.3% | ||||||||
Roche Holdings, Inc., 1.66%, 2/25/101 | 5,000,000 | 5,000,000 | ||||||
Receivables Finance—24.0% | ||||||||
Barton Capital Corp.: | ||||||||
0.30%, 7/2/093 | 2,500,000 | 2,499,979 | ||||||
0.30%, 8/3/093 | 3,000,000 | 2,999,120 | ||||||
Fairway Finance Corp.: | ||||||||
0.37%, 9/14/093 | 2,400,000 | 2,398,150 | ||||||
0.50%, 7/6/093 | 1,000,000 | 999,929 | ||||||
0.50%, 7/8/093 | 1,209,000 | 1,208,882 | ||||||
Falcon Asset Securitization Co., LLC, 0.35%, 8/10/093 | 1,900,000 | 1,899,219 | ||||||
Gemini Securitization Corp.: | ||||||||
0.35%, 9/28/093 | 2,000,000 | 1,998,269 | ||||||
0.38%, 9/10/093 | 3,000,000 | 2,997,752 | ||||||
0.57%, 7/17/093 | 1,000,000 | 999,747 | ||||||
0.60%, 7/2/093 | 2,000,000 | 1,999,967 | ||||||
Legacy Capital LLC, 0.55%, 7/10/09 | 3,000,000 | 2,999,588 | ||||||
Lexington Parker Capital Co. LLC: | ||||||||
0.60%, 7/17/093 | 5,000,000 | 4,998,667 | ||||||
0.85%, 7/10/093 | 2,000,000 | 1,999,575 | ||||||
Old Line Funding Corp.: | ||||||||
0.35%, 9/1/093 | 1,522,000 | 1,521,083 | ||||||
0.35%, 9/10/093 | 4,400,000 | 4,396,963 | ||||||
0.36%, 8/11/093 | 5,000,000 | 4,997,950 | ||||||
Thunder Bay Funding LLC: | ||||||||
0.32%, 9/1/095 | 3,400,000 | 3,398,126 | ||||||
0.50%, 7/1/095 | 2,500,000 | 2,500,000 | ||||||
Yorktown Capital LLC: | ||||||||
0.35%, 9/2/093 | 2,400,000 | 2,398,572 | ||||||
0.36%, 8/17/093 | 1,000,000 | 999,530 | ||||||
0.40%, 9/8/093 | 1,600,000 | 1,598,927 | ||||||
51,809,995 | ||||||||
Special Purpose Financial—4.0% | ||||||||
Ticonderoga Funding LLC: | ||||||||
0.34%, 9/2/09 | 5,000,000 | 4,997,025 | ||||||
0.38%, 9/3/09 | 1,700,000 | 1,698,852 | ||||||
0.47%, 8/5/09 | 2,000,000 | 1,999,083 | ||||||
8,694,960 | ||||||||
Total Short-Term Notes (Cost $117,679,918) | 117,679,918 | |||||||
U.S. Government Agencies—1.9% | ||||||||
Federal Home Loan Bank, 0.90%, 3/12/101 (Cost $4,000,000) | 4,000,000 | 4,000,000 | ||||||
Total Investments, at Value (Cost $218,268,914) | 101.0 | % | 218,268,914 | |||||
Liabilities in Excess of Other Assets | (1.0 | ) | (2,135,708 | ) | ||||
Net Assets | 100.0 | % | $ | 216,133,206 | ||||
F2 | OPPENHEIMER MONEY FUND/VA
Footnotes to Statement of Investments
Short-term notes and direct bank obligations are generally traded on a discount basis; the interest rate shown is the discount rate received by the Fund at the time of purchase. Other securities normally bear interest at the rates shown.
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | When-issued security or delayed delivery to be delivered and settled after June 30, 2009. See Note 1 of accompanying Notes. | |
3. | Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $67,185,293, or 31.09% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. | |
4. | Illiquid security. The aggregate value of illiquid securities as of June 30, 2009 was $2,500,000, which represents 1.16% of the Fund’s net assets. See Note 4 of accompanying Notes. | |
5. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $8,899,031 or 4.12% of the Fund’s net assets as of June 30, 2009. |
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 2 — Other | Level 3 — | |||||||||||||||
Level 1 — | Significant | Significant | ||||||||||||||
Unadjusted | Observable | Unobservable | ||||||||||||||
Quoted Prices | Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Certificates of Deposit | $ | — | $ | 56,400,011 | $ | — | $ | 56,400,011 | ||||||||
Direct Bank Obligations | — | 40,188,985 | — | 40,188,985 | ||||||||||||
Short-Term Notes | — | 117,679,918 | — | 117,679,918 | ||||||||||||
U.S. Government Agencies | — | 4,000,000 | — | 4,000,000 | ||||||||||||
Total Assets | $ | — | $ | 218,268,914 | $ | — | $ | 218,268,914 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
See accompanying Notes to Financial Statements.
F3 | OPPENHEIMER MONEY FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009 | ||||
Assets | ||||
Investments, at value (cost $218,268,914)—see accompanying statement of investments | $ | 218,268,914 | ||
Cash | 360,885 | |||
Receivables and other assets: | ||||
Shares of beneficial interest sold | 562,304 | |||
Interest | 187,596 | |||
Other | 22,593 | |||
Total assets | 219,402,292 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased on a when-issued or delayed delivery basis | 3,000,000 | |||
Shares of beneficial interest redeemed | 214,264 | |||
Transfer and shareholder servicing agent fees | 18,164 | |||
Dividends | 13,495 | |||
Shareholder communications | 6,324 | |||
Trustees’ compensation | 3,152 | |||
Other | 13,687 | |||
Total liabilities | 3,269,086 | |||
Net Assets | $ | 216,133,206 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 216,098 | ||
Additional paid-in capital | 215,908,169 | |||
Accumulated net investment loss | (1,384 | ) | ||
Accumulated net realized gain on investments | 10,323 | |||
Net Assets—applicable to 216,098,179 shares of beneficial interest outstanding | $ | 216,133,206 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share | $ | 1.00 |
See accompanying Notes to Financial Statements.
F4 | OPPENHEIMER MONEY FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009 | ||||
Investment Income | ||||
Interest | $ | 1,313,002 | ||
Expenses | ||||
Management fees | 531,357 | |||
Insurance expenses | 42,302 | |||
Transfer and shareholder servicing agent fees | 41,182 | |||
Trustees’ compensation | 3,913 | |||
Shareholder communications | 3,752 | |||
Custodian fees and expenses | 767 | |||
Other | 13,542 | |||
Total expenses | 636,815 | |||
Less waivers and reimbursements of expenses | (39,179 | ) | ||
Net expenses | 597,636 | |||
Net Investment Income | 715,366 | |||
Net Realized Gain on Investments | 10,004 | |||
Net Increase in Net Assets Resulting from Operations | $ | 725,370 | ||
See accompanying Notes to Financial Statements.
F5 | OPPENHEIMER MONEY FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 715,366 | $ | 5,787,151 | ||||
Net realized gain | 10,004 | 321 | ||||||
Net increase in net assets resulting from operations | 725,370 | 5,787,472 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income | (715,683 | ) | (5,787,153 | ) | ||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions | (27,232,865 | ) | 53,607,490 | |||||
Net Assets | ||||||||
Total increase (decrease) | (27,223,178 | ) | 53,607,809 | |||||
Beginning of period | 243,356,384 | 189,748,575 | ||||||
End of period (including accumulated net investment loss of $1,384 and $1,067, respectively) | $ | 216,133,206 | $ | 243,356,384 | ||||
See accompanying Notes to Financial Statements.
F6 | OPPENHEIMER MONEY FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Income from investment operations-net investment income and net realized gain1 | — | 2 | .03 | .05 | .05 | .03 | .01 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | 2 | (.03 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | 2 | — | 2 | — | — | ||||||||||||||||
Total dividends and/or distributions to shareholders | — | 2 | (.03 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total Return3 | 0.30 | % | 2.78 | % | 4.98 | % | 4.71 | % | 2.86 | % | 0.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 216,133 | $ | 243,356 | $ | 189,749 | $ | 171,521 | $ | 173,162 | $ | 196,503 | ||||||||||||
Average net assets (in thousands) | $ | 237,960 | $ | 212,564 | $ | 181,271 | $ | 171,118 | $ | 186,453 | $ | 218,243 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 0.61 | % | 2.72 | % | 4.86 | % | 4.61 | % | 2.80 | % | 0.97 | % | ||||||||||||
Total expenses | 0.54 | % | 0.50 | % | 0.50 | % | 0.49 | % | 0.48 | % | 0.48 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.51 | % | 0.50 | % | 0.50 | % | 0.49 | % | 0.48 | % | 0.48 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. |
See accompanying Notes to Financial Statements.
F7 | OPPENHEIMER MONEY FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Money Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek maximum current income from investments in “money market” securities consistent with low capital risk and the maintenance of liquidity. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. Securities are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. If amortized cost is determined not to approximate market value, the fair value of the portfolio securities will be determined under procedures approved by the Fund’s Board of Trustees.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
“Money market-type” instruments are typically designated as Level 2.
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
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 maintains internally designated assets with a market value equal to
F8 | OPPENHEIMER MONEY FUND/VA
or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of June 30, 2009, 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:
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 3,000,000 |
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year end December 31, 2008, the Fund utilized $2 of capital loss carryforward to offset capital gains realized in that fiscal year.
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually but may be paid at other times to maintain the net asset value per share at $1.00. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the
F9 | OPPENHEIMER MONEY FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold | 43,413,155 | $ | 43,413,155 | 163,835,502 | $ | 163,835,502 | ||||||||||
Dividends and/or distributions reinvested | 715,683 | 715,683 | 5,787,153 | 5,787,153 | ||||||||||||
Redeemed | (71,361,703 | ) | (71,361,703 | ) | (116,015,165 | ) | (116,015,165 | ) | ||||||||
Net increase (decrease) | (27,232,865 | ) | $ | (27,232,865 | ) | 53,607,490 | $ | 53,607,490 | ||||||||
3. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $500 million | 0.450 | % | ||
Next $500 million | 0.425 | |||
Next $500 million | 0.400 | |||
Over $1.5 billion | 0.375 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $23,878 to OFS for services to the Fund.
Waivers and Reimbursements of Expenses. The Manager has voluntarily undertaken to waive fees and/or reimburse expenses to the extent necessary to assist the Fund in attempting to maintain a positive yield. There is no guarantee that the Fund will maintain a positive yield. That undertaking may be amended or withdrawn at any time.
Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as a percentage of daily net assets will not exceed the annual rate of 0.50%. This voluntary undertaking may be amended or withdrawn at any time. During the six months ended June 30, 2009, the Manager waived $39,179.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees to 0.35% of average annual net assets of the Fund.
4. Illiquid Securities
As of June 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments.
F10 | OPPENHEIMER MONEY FUND/VA
5. Temporary Guarantee Program for Money Market Funds
The Fund’s Board of Trustees has elected for the Fund to participate in the Temporary Guarantee Program for Money Market Funds (the “Program”) established by the U.S. Treasury Department. The Treasury Department has accepted the Fund’s application to participate in the Program and entered into a Guarantee Agreement with the Fund dated as of September 19, 2008. The Fund has also notified the Treasury Department of its intent to continue its participation in the Program through September 18, 2009. The Program cannot be extended beyond September 18, 2009.
Under the Program, shareholders of the Fund as of the close of business on September 19, 2008 may be guaranteed against loss in the event that the Fund’s net asset value falls below $0.995. The Program applies only to shareholders of record as of the close of business on September 19, 2008. The number of shares covered by the Program will be the lesser of (a) the number of shares of the Fund owned by the shareholder on September 19, 2008 or (b) the number of shares owned by the shareholder on the date the Fund’s net asset value falls below $0.995. If the number of shares of the Fund a shareholder holds after September 19, 2008 fluctuates during the Program period due to purchases or redemptions of shares, any shares in excess of the amount held as of the close of business on September 19, 2008 will not be covered.
The Fund paid a fee to participate in the Program’s initial term in the amount equal to 0.01% of the Fund’s net assets as of the close of business on September 19, 2008. The Fund paid a fee to continue its participation in the Program through April 30, 2009 in the amount of 0.015% of the Fund’s net assets as of the close of business on September 19, 2008. The Fund has paid an additional fee to continue its participation in the Program through September 18, 2009 in the amount of 0.015% of the Fund’s net assets as of the close of business on September 19, 2008. Fees paid by the Fund to participate in the Program are shown as “Insurance expense” on the Statement of Operations.
6. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
7. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’
F11 | OPPENHEIMER MONEY FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
7. Pending Litigation Continued
fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F12 | OPPENHEIMER MONEY FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
7 | OPPENHEIMER MONEY FUND/VA
OPPENHEIMER MONEY FUND/ VA
A Series of Oppenheimer Variable Account Funds | ||
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Carol E. Wolf, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved. |
OPPENHEIMER STRATEGIC BOND FUND/VA
Fund Objective. The Fund seeks a high level of current income principally derived from interest on debt securities.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 6.05 | % | ||
Service Shares | 5.86 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | –11.00 | % | 3.63 | % | 5.31 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (3/19/01) | ||||||||||
Service Shares | –11.10 | % | 3.39 | % | 5.11 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.70 | % | 0.68 | % | ||||
Service Shares | 0.95 | 0.93 |
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year. The net expense ratios take into account a voluntary fee waiver or expense reimbursement, without which performance would have been less. This undertaking may be modified or terminated at any time.
Portfolio Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of investments.
Corporate Bonds & Notes—Top Ten Industries | ||||
Oil, Gas & Consumable Fuels | 3.1 | % | ||
Diversified Financial Services | 1.6 | |||
Commercial Banks | 1.5 | |||
Media | 1.2 | |||
Diversified Telecommunication Services | 1.1 | |||
Health Care Providers & Services | 1.0 | |||
Metals & Mining | 1.0 | |||
Capital Markets | 0.9 | |||
Electric Utilities | 0.9 | |||
Hotels, Restaurants & Leisure | 0.8 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
2 | OPPENHEIMER STRATEGIC BOND FUND/VA
Narrative by Arthur P. Steinmetz, Portfolio Manager
For the six-month period ended June 30, 2009, Oppenheimer Strategic Bond Fund/VA’s Non-Service shares provided a total return of 6.05%. In comparison, the Fund’s benchmarks, the Barclays Capital Aggregate Bond Index and the Citigroup World Government Bond Index, returned 1.90% and –1.50%, respectively, during the period.
Despite what we considered to be a generally defensive investment posture, the Fund’s returns were undermined by its holdings of commercial mortgage-backed securities (CMBS) during the first quarter of 2009. The Fund’s investments in international bonds produced better results, primarily due to a springtime rally that was particularly robust in the emerging markets. The Fund’s investments in high yield and investment-grade corporate bonds also benefited from the rebounding market. Conversely, U.S. government securities gave back some of their previous gains as investors generally turned to riskier investments.
Economic and Market Overview
In the months before the start of the reporting period, the escalation of an ongoing credit crunch into a global banking crisis sent shockwaves throughout global fixed-income markets. Massive investment losses among major financial institutions nearly led to the collapse of the global banking system. With the flow of credit nearly frozen, consumers and businesses reined in spending and investment, exacerbating already weak U.S. and global economic environments. Unemployment rates surged higher, mortgage foreclosures soared and commodity prices plummeted. Consequently, 2009 began in the grip of the most severe economic downturn since the 1930s.
Governments and central banks responded with injections of liquidity into their banking systems, sharply lower short-term interest rates and rescue packages for major corporations. In the United States, the Federal Reserve Board had reduced its target for the overnight federal funds rate in December 2008 to an all-time low of 0% to 0.25% and engaged in massive purchases of U.S. government securities, mortgage-backed securities and asset-backed securities. The U.S. government enacted the $787 billion American Recovery and Reinvestment Act of 2009 in an attempt to stimulate the economy.
By early March, evidence had appeared that these aggressive remedial measures had succeeded in stabilizing the credit markets to a degree. Investors were cheered by this news, and they began to grow more tolerant of risks as they looked forward to a resumption of economic growth. As a result, some of the bond market sectors that had been severely affected during the downturn began to rally in a sustained rebound that persisted through the reporting period’s end. Conversely, traditional safe havens, most notably U.S. Treasury securities, gave back some of their previous gains.
Portfolio Strategy
Although we maintained a relatively defensive investment posture as credit markets deteriorated, the Fund’s performance during the first quarter of 2009 was damaged by its holdings of CMBS, which we had regarded as attractively valued in the wake of steep declines over the second half of 2008. Unfortunately, despite investment-grade credit ratings and seniority in their issuers’ capital structures, the value of these securities continued to plunge early in 2009 amid recession-related concerns regarding business trends in the commercial real estate market. The unprecedented widening of CMBS credit spreads also had a negative impact on the Fund’s positions in total return swaps in the CMBS sector. We opportunistically reduced the Fund’s exposure to these troubled securities during the reporting period.
In an attempt to manage risks in the recession, the Fund began 2009 with underweight exposure to high yield corporate bonds, which we regarded as vulnerable to economic weakness, and U.S. government securities, which we believed were too richly valued. Instead, we established positions in investment-grade corporate bonds that, in our judgment, had been oversold during the bear market. While this strategy caused the Fund to miss participating fully in the rally among high yield bonds, it helped shelter the Fund from declines among U.S. government securities as investors rekindled their appetites for risk.
The Fund’s overweight exposure to international bonds contributed positively to performance over the first half of 2009. In our view, the growing U.S. budget deficit and historically low interest rates are likely to trigger deterioration in the value of the U.S. dollar relative to other currencies, making bonds denominated in foreign currencies more valuable for
3 | OPPENHEIMER STRATEGIC BOND FUND/VA
OPPENHEIMER STRATEGIC BOND FUND/VA
U.S. residents. The Fund’s holdings of sovereign bonds in Brazil, Turkey, Indonesia and other emerging markets fared well, as the emerging markets led international fixed-income markets higher during the springtime rally. In the developed markets, we have responded tactically to signals from our quantitative model to capture the benefits of short-term changes in exchange rates. We also have established long positions in European markets where we believe interest rates still have room to fall.
Looking forward, although the financial crisis and global recession have eased inflation concerns for now, we believe that the massively stimulative monetary and fiscal policies adopted by many governments may lead to renewed inflationary pressures in the future. An acceleration of inflation could put additional downward pressure on the U.S. dollar, potentially benefiting foreign currency-denominated investments in international markets. Meanwhile, credit spreads remain wide compared to historical norms, suggesting that corporate bonds still may be attractively valued. We have maintained the Fund’s positions in investment-grade corporate bonds, which we continue to believe is a more prudent strategy than focusing on high yield bonds. Most sectors of the U.S. government securities marketplace appear overvalued to us, and we have retained the Fund’s underweight exposure to the sector. These measures are designed to help position the Fund to achieve the level of performance we and our shareholders expect over the long term.
Please note that derivative instruments, securities whose values depend on the performance of an underlying security or asset, entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. Fixed income investing entails credit risks and interest rate risks. When interest rates rise, bond prices generally fall, and the Fund’s share prices can fall. The Fund invests in debt securities below investment grade, which may entail greater credit risks, as described in the prospectus. Mortgage-related securities have greater potential for loss when interest rates rise. We urge shareholders to keep in mind the added volatility and risks—including currency fluctuations, foreign taxes and political and economic uncertainties—that investing in the securities of international markets in general and emerging markets in particular entail.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
4 | OPPENHEIMER STRATEGIC BOND FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2009 | June 30, 2009 | June 30, 2009 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,060.50 | $ | 3.07 | ||||||
Service Shares | 1,000.00 | 1,058.60 | 4.35 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.82 | 3.01 | |||||||||
Service Shares | 1,000.00 | 1,020.58 | 4.27 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||||||
Non-Service Shares | 0.60 | % | ||||||
Service Shares | 0.85 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
5 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—0.6% | ||||||||
AmeriCredit Prime Automobile Receivables Trust 2007-1, Automobile Receivables Nts., Series 2007-1, Cl. D, 5.62%, 9/8/14 | $ | 1,319,000 | $ | 786,784 | ||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.794%, 5/25/341 | 924,857 | 533,024 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.414%, 9/25/361 | 530,000 | 362,183 | ||||||
Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 0.414%, 5/26/361 | 203,873 | 187,791 | ||||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 | 1,805,000 | 1,867,776 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset- Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 | 262,000 | 232,960 | ||||||
Capital One Auto Finance Trust, Automobile Receivables, Series 2006-C, Cl. A4, 0.349%, 5/15/131 | 1,312,000 | 1,201,727 | ||||||
Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.414%, 5/16/361 | 228,753 | 220,617 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.409%, 10/25/361 | 411,158 | 385,897 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/361 | 1,487,439 | 1,147,361 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/361 | 211,679 | 154,407 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.434%, 6/25/471,2,3 | 1,050,000 | 503,719 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | ||||||||
Series 2005-G, Cl. 2A, 0.549%, 12/15/351 | 250,257 | 96,851 | ||||||
Series 2006-H, Cl. 2A1A, 0.469%, 11/15/361 | 85,411 | 16,717 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/254,5,6 | 1,820,063 | — | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.404%, 7/25/361 | 944,581 | 860,464 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.424%, 7/7/361 | 397,369 | 271,831 | ||||||
First Franklin Mortgage Loan Trust 2006-FFA, Mtg. Pass-Through Certificates, Series 2006-FFA, Cl. A3, 0.434%, 9/25/361 | 960,476 | 97,947 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 1,380,000 | 1,381,148 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.363%, 6/1/35 | 1,046,000 | 289,595 | ||||||
Home Equity Mortgage Trust 2006-5, Mtg. Pass-Through Certificates, Series 2006-5, Cl. A1, 5.50%, 1/25/37 | 428,407 | 55,454 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.575%, 1/20/351 | 223,655 | 148,858 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.425%, 3/20/361 | 440,000 | 382,249 | ||||||
Ice Em CLO, Collateralized Loan Obligations: | ||||||||
Series 2007-1A, Cl. B, 3.424%, 8/15/221,5 | 7,870,000 | 2,754,500 | ||||||
Series 2007-1A, Cl. C, 4.724%, 8/15/221,5 | 5,270,000 | 843,200 | ||||||
Series 2007-1A, Cl. D, 6.724%, 8/15/221,5 | 5,270,000 | 685,100 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/351 | 8,452 | 8,398 | ||||||
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 | 68,909 | 64,963 |
F1 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.414%, 8/25/361 | $ | 1,310,000 | $ | 417,839 | ||||
NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.199%, 1/25/291,5 | 66,744 | 11,346 | ||||||
Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.414%, 7/1/361 | 2,455,871 | 1,606,504 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/361 | 332,617 | 283,516 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.414%, 9/25/361 | 779,335 | 676,744 | ||||||
Securitized Asset-Backed Receivables LLC Trust 2007-BR2, Asset-Backed Securities, Series 2007-BR2, Cl. A2, 0.544%, 2/25/371 | 710,022 | 281,930 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 1.72%, 6/15/391 | 2,487,000 | 783,322 | ||||||
Specialty Underwriting & Residential Finance Trust, Home Equity Asset-Backed Obligations, Series 2006-BC1, Cl. A2B, 0.464%, 12/25/361 | 324,875 | 317,839 | ||||||
Start CLO Ltd., Asset-Backed Credit Linked Securities, Series 2006-3A, Cl. F, 17.629%, 6/7/111,5 | 1,630,000 | 1,067,650 | ||||||
Taganka Car Loan Finance plc, Automobile Asset-Backed Certificates, Series 2006-1A, Cl. C, 3.621%, 11/14/131,5 | 121,707 | 97,366 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 4.50%, 5/1/37 | 204,271 | 30,392 | ||||||
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.414%, 7/25/361 | 454,651 | 444,375 | ||||||
Total Asset-Backed Securities (Cost $42,656,016) | 21,560,344 | |||||||
Mortgage-Backed Obligations—16.4% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 | 3,900,000 | 1,658,746 | ||||||
Series 2007-4, Cl. AM, 6.002%, 8/1/171 | 6,560,000 | 3,297,044 | ||||||
Series 2008-1, Cl. A4, 6.354%, 12/1/171 | 3,670,000 | 2,858,242 | ||||||
Series 2008-1, Cl. AM, 6.397%, 1/1/181 | 2,920,000 | 1,411,242 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 4.057%, 5/1/341,5 | 4,709,348 | 3,437,824 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 4.948%, 11/1/341 | 2,384,213 | 2,081,916 | ||||||
Chase Mortgage Finance Trust 2006-S3, Multiclass Mtg. Pass-Through Certificates, Series 2006-S3, Cl. 1A2, 6%, 11/1/36 | 4,210,000 | 2,046,795 | ||||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 4.565%, 2/1/371 | 3,404,372 | 2,918,800 | ||||||
ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 0.414%, 9/25/361 | 52,652 | 51,197 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 3,740,000 | 2,908,936 | ||||||
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 | 3,376,497 | 3,151,837 | ||||||
CHL Mortgage Pass-Through Trust 2005-27, Mtg. Pass-Through Certificates, Series 2005-27, Cl. 2A1, 5.50%, 12/1/35 | 3,095,575 | 2,177,844 | ||||||
CHL Mortgage Pass-Through Trust 2005-31, Mtg. Pass-Through Certificates, Series 2005-31, Cl. 2A4, 5.473%, 1/1/361 | 1,356,052 | 340,439 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.519%, 12/20/351 | 204,886 | 126,569 |
F2 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | $ | 2,110,000 | $ | 1,639,241 | ||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 5.617%, 6/1/471,5 | 3,028,849 | 1,438,703 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY4, Cl. 1A1, 6.069%, 9/1/471 | 16,842,343 | 9,915,611 | ||||||
Series 2007-HY4, Cl. 1A2, 6.078%, 9/1/471,5 | 3,632,982 | 508,618 | ||||||
Series 2007-HY4, Cl. 2A2, 6.239%, 11/1/371,5 | 790,289 | 110,640 | ||||||
Series 2007-HY4, Cl. 3A2, 6.395%, 11/1/371,5 | 829,124 | 99,495 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates: Series 2007-HY5, Cl. 1A2, 5.917%, 9/1/371,5 | 3,979,084 | 795,817 | ||||||
Series 2007-HY5, Cl. 2A2, 5.998%, 9/1/371,5 | 1,049,671 | 209,934 | ||||||
Series 2007-HY5, Cl. 3A2, 6.188%, 9/1/371,5 | 2,596,745 | 519,349 | ||||||
Citigroup Commercial Mortgage Trust 2006-C4, Commercial Mtg. Pass-Through Certificates, Series 2006-C4, Cl. A3, 5.726%, 3/1/491 | 2,940,000 | 2,488,528 | ||||||
Citigroup Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A2, 5.888%, 8/1/121 | 1,110,000 | 1,031,810 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.953%, 5/1/351 | 3,766,955 | 2,334,041 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.179%, 8/1/351 | 7,689,376 | 4,318,218 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR1, Asset-Backed Pass-Through Certificates, Series 2006-AR1, Cl. 3A2, 5.50%, 3/1/361 | 4,097,574 | 968,290 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Asset-Backed Pass-Through Certificates, Series 2006-AR2, Cl. 1AB, 5.591%, 3/1/36 | 3,674,967 | 955,567 | ||||||
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/497 | 9,170,000 | 8,402,625 | ||||||
Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | 5,680,000 | 2,662,965 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 | 2,740,196 | 2,049,239 | ||||||
Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl.A4, 5.736%, 8/1/17 | 7,325,000 | 5,909,344 | ||||||
Credit Suisse Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.723%, 6/1/391 | 1,560,000 | 1,066,416 | ||||||
CWALT Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/37 | 13,881,101 | 8,178,334 | ||||||
CWALT Alternative Loan Trust 2007-8CB, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 | 4,563,673 | 3,163,682 | ||||||
Deutsche Alt-A Securities Inc. Mortgage, Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.808%, 1/27/371,5 | 1,587,155 | 431,012 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AB1, Cl. A2A, 5.50%, 2/25/36 | 491,925 | 452,751 | ||||||
Series 2006-AB2, Cl. A1, 5.888%, 6/25/36 | 1,033,682 | 949,712 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 1,400,351 | 963,108 |
F3 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 8/15/33-9/15/33 | $ | 3,705,300 | $ | 3,789,682 | ||||
6%, 5/15/18-3/15/33 | 2,333,596 | 2,464,280 | ||||||
6.50%, 3/15/18-6/15/35 | 4,599,819 | 4,936,082 | ||||||
7%, 10/1/31-10/1/37 | 1,228,253 | 1,323,624 | ||||||
7.50%, 4/25/36 | 1,173,578 | 1,280,185 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 3045, Cl. DI, 41.553%, 10/15/358 | 4,424,319 | 370,883 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Participation Certificates, Series 1897, Cl. K, 7%, 9/15/26 | 2,634,351 | 2,859,547 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | 1,407,767 | 1,515,823 | ||||||
Series 151, Cl. F, 9%, 5/15/21 | 35,806 | 38,756 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 1,072,745 | 1,154,777 | ||||||
Series 2006-11, Cl. PS, 23.416%, 3/25/361 | 663,345 | 796,505 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 801,776 | 854,422 | ||||||
Series 2106, Cl. FG, 0.769%, 12/15/281 | 1,818,624 | 1,823,901 | ||||||
Series 2122, Cl. F, 0.769%, 2/15/291 | 59,839 | 59,374 | ||||||
Series 2135, Cl. OH, 6.50%, 3/15/29 | 1,049,329 | 1,124,116 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 | 1,676,278 | 1,787,532 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 781,945 | 831,266 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 119,917 | 128,117 | ||||||
Series 2344, Cl. FP, 1.269%, 8/15/311 | 569,007 | 570,607 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | 509,897 | 546,486 | ||||||
Series 2412, Cl. GF, 1.269%, 2/15/321 | 1,245,154 | 1,250,013 | ||||||
Series 2415, Cl. ZA, 6.50%, 2/15/32 | 1,483,261 | 1,589,747 | ||||||
Series 2435, Cl. EQ, 6%, 5/15/31 | 666,731 | 682,267 | ||||||
Series 2449, Cl. FL, 0.869%, 1/15/321 | 735,531 | 730,088 | ||||||
Series 2451, Cl. FD, 1.319%, 3/15/321 | 402,094 | 404,070 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 201,421 | 215,888 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,756,706 | 1,880,025 | ||||||
Series 2464, Cl. FI, 1.319%, 2/15/321 | 397,973 | 399,688 | ||||||
Series 2470, Cl. AF, 1.319%, 3/15/321 | 689,895 | 694,789 | ||||||
Series 2470, Cl. LF, 1.319%, 2/15/321 | 407,268 | 411,075 | ||||||
Series 2471, Cl. FD, 1.319%, 3/15/321 | 731,578 | 739,478 | ||||||
Series 2477, Cl. FZ, 0.869%, 6/15/311 | 1,506,486 | 1,495,560 | ||||||
Series 2500, Cl. FD, 0.819%, 3/15/321 | 42,356 | 41,806 | ||||||
Series 2517, Cl. GF, 1.319%, 2/15/321 | 354,098 | 357,048 | ||||||
Series 2526, Cl. FE, 0.719%, 6/15/291 | 87,417 | 85,681 | ||||||
Series 2551, Cl. FD, 0.719%, 1/15/331 | 44,987 | 44,500 | ||||||
Series 2641, Cl. CE, 3.50%, 9/15/25 | 235,302 | 236,643 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 | 3,843,000 | 3,915,418 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 | 6,037,000 | 6,289,245 | ||||||
Series 2857, Cl. MG, 5%, 9/1/34 | 2,045,000 | 2,130,684 | ||||||
Series 2890, Cl. PE, 5%, 11/1/34 | 6,120,000 | 6,381,252 | ||||||
Series 2934, Cl. NA, 5%, 4/15/24 | 355,139 | 359,089 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 4,858,000 | 5,053,765 | ||||||
Series 2947, Cl. HE, 5%, 3/1/35 | 1,650,000 | 1,720,708 | ||||||
Series 3025, Cl. SJ, 23.579%, 8/15/351 | 800,034 | 961,001 | ||||||
Series 3035, Cl. DM, 5.50%, 11/15/25 | 1,468,087 | 1,493,965 | ||||||
Series 3094, Cl. HS, 23.212%, 6/15/341 | 448,787 | 526,989 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 177, Cl. IO, 13.007%, 7/1/268 | 153,648 | 29,945 | ||||||
Series 192, Cl. IO, 10.766%, 2/1/288 | 39,685 | 8,303 | ||||||
Series 200, Cl. IO, 10.148%, 1/1/298 | 48,794 | 8,572 | ||||||
Series 205, Cl. IO, 8.876%, 9/1/298 | 207,630 | 44,080 | ||||||
Series 2074, Cl. S, 46.419%, 7/17/288 | 50,817 | 6,936 | ||||||
Series 2079, Cl. S, 58.157%, 7/17/288 | 83,972 | 11,447 | ||||||
Series 208, Cl. IO, (20.244)%, 6/1/308 | 233,637 | 42,342 | ||||||
Series 2136, Cl. SG, 91.448%, 3/15/298 | 2,281,896 | 263,598 |
F4 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Series 2177, Cl. S, 80.116%, 8/15/298 | $ | 2,488,970 | $ | 339,464 | ||||
Series 224, Cl. IO, 2.539%, 3/1/338 | 1,462,069 | 246,516 | ||||||
Series 2399, Cl. SG, 79.234%, 12/15/268 | 1,361,744 | 171,751 | ||||||
Series 243, Cl. 6, 1.711%, 12/15/328 | 635,964 | 95,294 | ||||||
Series 2437, Cl. SB, 94.303%, 4/15/328 | 3,929,583 | 481,772 | ||||||
Series 2526, Cl. SE, 42.267%, 6/15/298 | 109,750 | 13,103 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/338 | 940,539 | 73,249 | ||||||
Series 2920, Cl. S, 76.77%, 1/15/358 | 918,517 | 92,109 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/258 | 1,013,038 | 85,981 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/268 | 585,846 | 49,078 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 192, Cl. PO, 6.883%, 2/1/289 | 39,685 | 33,686 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 7/1/24-7/1/3910 | 13,175,000 | 13,279,980 | ||||||
5%, 11/25/21-11/1/33 | 34,941,990 | 35,763,870 | ||||||
5%, 7/1/3910 | 2,000,000 | 2,036,562 | ||||||
5.296%, 10/1/36 | 10,157,716 | 10,584,716 | ||||||
5.50%, 4/25/21-7/1/22 | 789,297 | 827,386 | ||||||
5.50%, 7/1/24-7/1/3910 | 55,503,000 | 57,324,485 | ||||||
6%, 10/25/16-10/1/37 | 5,187,421 | 5,461,349 | ||||||
6%, 7/1/23-7/1/3910 | 31,395,000 | 32,961,579 | ||||||
6.50%, 3/25/17-1/1/34 | 8,922,166 | 9,526,945 | ||||||
6.50%, 7/1/3710 | 7,011,000 | 7,467,809 | ||||||
7%, 11/1/17-6/25/34 | 8,899,874 | 9,751,923 | ||||||
7.50%, 2/25/27-3/25/33 | 4,170,236 | 4,549,238 | ||||||
8.50%, 7/1/32 | 6,912 | 7,526 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 809,676 | 854,371 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 1,435,246 | 1,534,898 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 417,846 | 446,499 | ||||||
Trust 2001-69, Cl. PF, 1.314%, 12/25/311 | 906,006 | 912,034 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 | 4,619,275 | 4,932,704 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 967,449 | 1,032,549 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 631,584 | 675,975 | ||||||
Trust 2002-29, Cl. F, 1.314%, 4/25/321 | 440,818 | 443,785 | ||||||
Trust 2002-56, Cl. KW, 6%, 4/25/23 | 2,192,894 | 2,251,277 | ||||||
Trust 2002-60, Cl. FH, 1.314%, 8/25/321 | 927,169 | 932,456 | ||||||
Trust 2002-64, Cl. FJ, 1.314%, 4/25/321 | 135,742 | 135,771 | ||||||
Trust 2002-68, Cl. FH, 0.818%, 10/18/321 | 303,165 | 301,505 | ||||||
Trust 2002-71, Cl. UB, 5%, 11/25/15 | 950,824 | 958,844 | ||||||
Trust 2002-84, Cl. FB, 1.314%, 12/25/321 | 1,820,480 | 1,832,846 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | 656,656 | 703,000 | ||||||
Trust 2002-9, Cl. PR, 6%, 3/25/17 | 804,044 | 860,790 | ||||||
Trust 2002-90, Cl. FH, 0.814%, 9/25/321 | 1,018,563 | 1,009,771 | ||||||
Trust 2003-11, Cl. FA, 1.314%, 9/25/321 | 1,820,522 | 1,832,889 | ||||||
Trust 2003-116, Cl. FA, 0.714%, 11/25/331 | 119,753 | 117,224 | ||||||
Trust 2003-81, Cl. PW, 4%, 3/25/25 | 176,412 | 176,844 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,825,000 | 1,934,360 | ||||||
Trust 2004-52, Cl. JR, 4.50%, 7/25/24 | 162,253 | 162,307 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 571,000 | 581,244 | ||||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,160,000 | 2,203,480 | ||||||
Trust 2005-25, Cl. PS, 26.78%, 4/25/351 | 689,055 | 870,367 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 560,000 | 590,256 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 480,000 | 490,721 | ||||||
Trust 2006-46, Cl. SW, 23.049%, 6/25/361 | 1,141,745 | 1,364,476 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2005-14, Cl. SE, 42.618%, 3/25/358 | 3,045,130 | 271,103 | ||||||
Trust 2006-60, Cl. DI, 42.267%, 4/25/358 | 2,939,644 | 255,322 |
F5 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 54.038%, 11/18/318 | $ | 494,302 | $ | 52,922 | ||||
Trust 2001-63, Cl. SD, 42.385%, 12/18/318 | 117,961 | 13,247 | ||||||
Trust 2001-68, Cl. SC, 33.763%, 11/25/318 | 80,268 | 8,835 | ||||||
Trust 2001-81, Cl. S, 37.059%, 1/25/328 | 93,288 | 10,562 | ||||||
Trust 2002-28, Cl. SA, 40.476%, 4/25/328 | 56,925 | 7,675 | ||||||
Trust 2002-38, Cl. SO, 58.095%, 4/25/328 | 285,868 | 28,006 | ||||||
Trust 2002-48, Cl. S, 37.329%, 7/25/328 | 90,437 | 9,855 | ||||||
Trust 2002-52, Cl. SL, 38.225%, 9/25/328 | 57,201 | 6,267 | ||||||
Trust 2002-56, Cl. SN, 40.167%, 7/25/328 | 124,272 | 13,731 | ||||||
Trust 2002-77, Cl. IS, 49.818%, 12/18/328 | 487,034 | 52,478 | ||||||
Trust 2002-77, Cl. SH, 45.207%, 12/18/328 | 126,052 | 15,214 | ||||||
Trust 2002-9, Cl. MS, 36.522%, 3/25/328 | 120,836 | 13,481 | ||||||
Trust 2003-117, Cl. KS, 63.628%, 8/25/338 | 9,601,218 | 863,905 | ||||||
Trust 2003-13, Cl. IO, 9.753%, 3/25/338 | 919,846 | 126,898 | ||||||
Trust 2003-26, Cl. DI, 10.64%, 4/25/338 | 726,035 | 90,062 | ||||||
Trust 2003-33, Cl. SP, 62.33%, 5/25/338 | 855,139 | 91,572 | ||||||
Trust 2003-38, Cl. SA, 34.567%, 3/25/238 | 1,519,270 | 150,376 | ||||||
Trust 2003-4, Cl. S, 50.418%, 2/25/338 | 255,104 | 26,946 | ||||||
Trust 2005-40, Cl. SA, 76.253%, 5/25/358 | 2,621,144 | 251,111 | ||||||
Trust 2005-40, Cl. SB, 98.347%, 5/25/358 | 4,129,513 | 513,278 | ||||||
Trust 2005-63, Cl. SA, 99.999%, 10/25/318 | 196,256 | 20,859 | ||||||
Trust 2005-71, Cl. SA, 74.889%, 8/25/258 | 651,322 | 62,087 | ||||||
Trust 2005-85, Cl. SA, 99.999%, 10/25/358 | 10,056,942 | 974,201 | ||||||
Trust 2005-87, Cl. SE, 64.633%, 10/25/358 | 32,635,930 | 2,921,546 | ||||||
Trust 2005-87, Cl. SG, 99.999%, 10/25/358 | 2,643,551 | 277,381 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/368 | 2,542,516 | 339,099 | ||||||
Trust 214, Cl. 2, 24.715%, 3/1/238 | 629,322 | 115,411 | ||||||
Trust 221, Cl. 2, 19.315%, 5/1/238 | 69,236 | 12,825 | ||||||
Trust 240, Cl. 2, 25.699%, 9/1/238 | 132,245 | 18,151 | ||||||
Trust 254, Cl. 2, 10.355%, 1/1/248 | 1,108,046 | 186,664 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/338 | 989,737 | 123,088 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/358 | 1,767,451 | 162,304 | ||||||
Trust 301, Cl. 2, 0.665%, 4/1/298 | 285,580 | 50,670 | ||||||
Trust 313, Cl. 2, 28.537%, 6/1/318 | 3,140,365 | 573,079 | ||||||
Trust 319, Cl. 2, 5.867%, 2/1/328 | 92,180 | 16,248 | ||||||
Trust 321, Cl. 2, 5.718%, 4/1/328 | 411,670 | 73,803 | ||||||
Trust 324, Cl. 2, (0.405)%, 7/1/328 | 710,748 | 119,356 | ||||||
Trust 328, Cl. 2, (4.54)%, 12/1/328 | 5,236,677 | 832,836 | ||||||
Trust 331, Cl. 5, 2.084%, 2/1/338 | 1,546,342 | 212,115 | ||||||
Trust 334, Cl. 12, (7.844)%, 2/1/338 | 1,318,045 | 177,647 | ||||||
Trust 334, Cl. 3, (15.137)%, 7/1/338 | 757,442 | 92,724 | ||||||
Trust 334, Cl. 5, (15.088)%, 5/1/338 | 891,540 | 107,926 | ||||||
Trust 339, Cl. 15, 10.83%, 7/1/338 | 3,608,367 | 389,055 | ||||||
Trust 339, Cl. 7, (7.864)%, 7/1/338 | 6,338,477 | 709,767 | ||||||
Trust 339, Cl. 8, (7.298)%, 8/1/338 | 430,029 | 53,278 | ||||||
Trust 345, Cl. 9, 2.362%, 1/1/348 | 1,728,854 | 302,946 | ||||||
Trust 351, Cl. 10, 3.464%, 4/1/348 | 754,248 | 97,076 | ||||||
Trust 351, Cl. 11, (0.318)%, 11/1/348 | 397,686 | 51,371 | ||||||
Trust 351, Cl. 8, 2.745%, 4/1/348 | 1,215,141 | 165,092 | ||||||
Trust 351, Cl. 9, 1.126%, 10/1/348 | 14,879,817 | 1,886,004 | ||||||
Trust 356, Cl. 10, (2.058)%, 6/1/358 | 1,054,020 | 129,433 | ||||||
Trust 356, Cl. 12, (3.812)%, 2/1/358 | 541,200 | 65,247 | ||||||
Trust 362, Cl. 12, 1.304%, 8/1/358 | 1,007,252 | 154,829 | ||||||
Trust 362, Cl. 13, (0.564)%, 8/1/358 | 598,488 | 83,872 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 322, Cl. 1, 7.806%, 4/1/329 | 5,016,471 | 4,457,062 | ||||||
Trust 324, Cl. 1, 7.752%, 7/1/329 | 177,479 | 160,107 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 998,266 | 718,983 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.124%, 11/1/371 | 5,138,527 | 3,244,787 |
F6 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | $ | 1,412,376 | $ | 1,409,321 | ||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.112%, 5/15/301,5 | 1,567,000 | 1,563,707 | ||||||
Government National Mortgage Assn.: | ||||||||
4.125%, 12/9/251 | 6,673 | 6,778 | ||||||
4.50%, 7/1/2410 | 4,650,000 | 4,642,737 | ||||||
7%, 3/29/28-7/29/28 | 355,307 | 387,605 | ||||||
7.50%, 3/1/27 | 15,237 | 16,714 | ||||||
8%, 11/29/25-5/29/26 | 100,798 | 111,369 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 1,341,395 | 1,484,391 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 | 3,119,831 | 3,354,028 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 43.573%, 7/16/288 | 168,513 | 23,026 | ||||||
Series 1998-6, Cl. SA, 63.318%, 3/16/288 | 103,593 | 14,691 | ||||||
Series 2001-21, Cl. SB, 77.475%, 1/16/278 | 782,265 | 91,935 | ||||||
Series 2006-47, Cl. SA, 74.861%, 8/16/368 | 3,934,201 | 405,958 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 | 1,960,000 | 1,603,699 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 3.861%, 5/1/341 | 3,532,393 | 2,565,400 | ||||||
GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates: | ||||||||
Series 2005-AR6, Cl. 1A4, 3.949%, 9/1/351 | 9,499,158 | 6,979,518 | ||||||
Series 2005-AR6, Cl. 3A1, 4.56%, 9/25/351 | 4,355,776 | 3,576,597 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.348%, 11/25/351 | 4,594,964 | 3,286,770 | ||||||
GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates, Series 2007-AR1, Cl. 4A1, 5.799%, 3/1/371,5 | 3,500,304 | 2,275,198 | ||||||
Indymac Index Mortgage Loan Trust 2005-AR31, Mtg. Pass-Through Certificates, Series 2005-AR31, Cl. 2 A2, 5.258%, 1/1/361 | 576,091 | 176,005 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 | 5,600,000 | 4,232,145 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 | 6,380,000 | 3,126,865 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 | 5,682,000 | 5,051,903 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 2,380,000 | 2,155,166 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 | 4,410,000 | 3,258,325 | ||||||
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 | 8,390,000 | 5,234,033 | ||||||
Series 2008-C2, Cl. AM, 6.579%, 2/1/511 | 4,990,000 | 1,776,879 | ||||||
JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 | 1,767,960 | 1,774,692 | ||||||
JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.732%, 2/25/321 | 1,240,655 | 974,799 | ||||||
JPMorgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 3A4, 5.677%, 4/1/361 | 2,687,574 | 780,974 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 5.79%, 1/1/371 | 932,965 | 658,485 | ||||||
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 7A1, 5.295%, 7/1/351,5 | 5,768,945 | 3,361,564 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A3, 6.005%, 5/1/371,5 | 1,732,651 | 225,764 |
F7 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.166%, 9/11/451 | $ | 10,430,000 | $ | 5,069,698 | ||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.149%, 4/11/411 | 2,610,000 | 1,241,269 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 | 238,297 | 175,893 | ||||||
Mastr Adjustable Rate Mortgages Trust 2006-2, Mtg. Pass-Through Certificates, Series 2006-2, Cl. 1A1, 4.712%, 4/1/361 | 3,078,467 | 1,910,389 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 378,887 | 290,314 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 4.482%, 2/1/351 | 1,326,611 | 1,066,002 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 6.077%, 10/25/361 | 5,501,458 | 4,372,222 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-HQ10, Cl. AM, 5.36%, 11/12/41 | 8,500,000 | 4,782,081 | ||||||
Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 | 3,420,000 | 2,615,516 | ||||||
Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 | 101,920 | 102,043 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Asset-Backed Pass-Through Certificates, Series 2006-AR2, Cl. 1A2, 5.525%, 3/1/361,7 | 8,508,282 | 5,475,361 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 5.38%, 4/25/351 | 153,997 | 34,036 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 3,213,404 | 2,233,996 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 406,972 | 377,725 | ||||||
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 | 35,066 | 34,150 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 1,353,332 | 589,934 | ||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | 3,720,000 | 2,258,832 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | 5,817,459 | 4,051,268 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 1,078,862 | 619,663 | ||||||
Residential Funding Mortgage Securities I, Inc., Mtg. Pass-Through Certificates, 5.763%, 7/1/371,5 | 3,031,693 | 218,282 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.827%, 2/1/371 | 13,532,303 | 8,303,456 | ||||||
Structured Asset Mortgage Investments, Inc., Mtg. Pass-Through Certificates, Series 2002-AR3, Cl. A2, 1.063%, 9/19/321,5 | 669,377 | 415,014 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48 | 2,997,000 | 2,783,650 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 5.902%, 2/1/511 | 5,790,000 | 4,279,455 |
F8 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. AJ, 5.951%, 5/1/461 | $ | 2,610,000 | $ | 779,681 | ||||
WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.478%, 9/25/331 | 1,475,723 | 1,329,447 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 4.825%, 10/1/351 | 3,610,417 | 2,558,228 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.929%, 9/1/361 | 3,936,070 | 2,917,886 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 2.18%, 11/1/461,5 | 1,496,185 | 516,034 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 2A4, 5.833%, 2/1/371 | 628,298 | 113,588 | ||||||
Series 2007-HY1, Cl. 4A1, 5.394%, 2/1/371 | 18,338,700 | 10,886,164 | ||||||
Series 2007-HY1, Cl. 5A1, 5.747%, 2/1/371 | 10,837,351 | 6,090,936 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY2, Cl. 1A1, 5.581%, 12/1/361 | 13,390,114 | 8,260,317 | ||||||
Series 2007-HY2, Cl. 1A2, 5.581%, 12/1/361 | 1,503,249 | 276,468 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 4A1, 5.33%, 3/1/371 | 11,705,732 | 7,896,518 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 4A1, 5.501%, 9/25/361 | 10,594,462 | 6,419,277 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.674%, 6/25/371 | 5,521,088 | 3,424,871 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.805%, 7/1/371 | 2,973,767 | 1,641,643 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 1.559%, 4/1/471,5 | 1,063,561 | 325,982 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.656%, 10/1/341 | 3,253,609 | 2,766,129 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 4.537%, 11/1/341 | 1,141,463 | 509,812 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 4.544%, 2/1/351 | 5,698,328 | 4,919,665 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.439%, 10/1/351 | 2,192,655 | 1,932,479 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR10, Cl. 2A1, 5.613%, 7/25/361 | 4,374,904 | 2,904,777 | ||||||
Series 2006-AR10, Cl. 2A2, 5.613%, 7/1/361,5 | 2,265,346 | 362,455 | ||||||
Series 2006-AR10, Cl. 3A2, 4.577%, 7/1/361,5 | 899,981 | 152,997 | ||||||
Series 2006-AR10, Cl. 4A2, 5.557%, 7/1/361,5 | 3,219,227 | 547,269 | ||||||
Series 2006-AR10, Cl. 5A3, 5.594%, 7/1/361 | 1,573,477 | 1,065,387 | ||||||
Series 2006-AR10, Cl. 5A6, 5.594%, 7/1/361 | 16,408,328 | 11,019,016 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.097%, 9/25/361 | 5,937,227 | 4,127,290 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg. Pass-Through Certificates, Series 2006-AR13, Cl. A4, 5.751%, 9/1/361 | 11,440,000 | 6,731,875 |
F9 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.071%, 3/25/361 | $ | 1,757,188 | $ | 1,147,844 | ||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.092%, 3/25/361 | 2,446,251 | 1,663,270 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR8, Cl. 1A3, 4.694%, 4/25/361 | 3,458,273 | 2,339,854 | ||||||
Series 2006-AR8, Cl. 2A1, 5.24%, 4/1/361 | 2,471,598 | 1,553,400 | ||||||
Total Mortgage-Backed Obligations (Cost $737,443,107) | 620,240,389 | |||||||
U.S. Government Obligations—12.1% | ||||||||
Federal Home Loan Bank Bonds, 3%, 6/11/10 | 171,115,000 | 175,185,655 | ||||||
Federal Home Loan Bank Unsec. Bonds, 3.625%, 10/18/1311 | 9,795,000 | 10,141,674 | ||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
1.625%, 4/26/1111 | 75,000,000 | 75,618,375 | ||||||
2.50%, 4/23/1411 | 18,400,000 | 18,137,230 | ||||||
Federal National Mortgage Assn. Nts., 2.50%, 5/15/1411 | 16,335,000 | 16,084,192 | ||||||
Federal National Mortgage Assn. Unsec. Nts., 4.625%, 10/15/1411 | 9,070,000 | 9,799,437 | ||||||
Resolution Funding Corp. Bonds, Residual Funding STRIPS, 4.994%, 1/15/2112 | 1,868,000 | 1,082,984 | ||||||
U.S. Treasury Bonds: | ||||||||
STRIPS, 4.201%, 2/15/1112 | 900,000 | 886,928 | ||||||
STRIPS, 4.833%, 2/15/1612 | 2,116,000 | 1,699,999 | ||||||
U.S. Treasury Nts., 0.875%, 5/31/1113 | 151,000,000 | 150,521,783 | ||||||
Total U.S. Government Obligations (Cost $457,919,197) | 459,158,257 | |||||||
Foreign Government Obligations—23.8% | ||||||||
Argentina—0.2% | ||||||||
Argentina (Republic of) Bonds: | ||||||||
1.683%, 8/3/121 | 571,500 | 416,101 | ||||||
Series GDP, 1.626%,12/15/351 | 8,600,000 | 356,900 | ||||||
Series V, 7%, 3/28/11 | 2,320,000 | 1,616,396 | ||||||
Series VII, 7%, 9/12/13 | 3,035,000 | 1,741,837 | ||||||
Argentina (Republic of) Sr. Unsec. Nts., 7%, 10/3/15 | 5,760,000 | 2,836,800 | ||||||
6,968,034 | ||||||||
Australia—0.1% | ||||||||
New South Wales Treasury Corp. Bonds: | ||||||||
Series 12, 6%, 5/1/12 | 1,170,000 | AUD | 966,367 | |||||
Series 14, 5.50%, 8/1/14 | 1,700,000 | AUD | 1,353,370 | |||||
2,319,737 | ||||||||
Belgium—0.1% | ||||||||
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 | 2,140,000 | EUR | 3,180,714 | |||||
Brazil—3.2% | ||||||||
Banco Nacional de Desenvolvimento Economico e Social Nts., 6.369%, 6/16/1814 | 3,870,000 | 3,821,625 | ||||||
Brazil (Federal Republic of) Bonds: | ||||||||
6%, 1/17/17 | 19,770,000 | 20,392,755 | ||||||
8%, 1/15/18 | 11,545,000 | 12,988,125 | ||||||
8.75%, 2/4/25 | 2,950,000 | 3,643,250 | ||||||
8.875%, 10/14/19 | 4,610,000 | 5,670,300 | ||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||
10%, 1/10/10 | 3,322,000 | BRR | 1,775,747 | |||||
10%, 1/1/12 | 36,251,000 | BRR | 18,849,003 | |||||
10%, 1/1/14 | 8,370,000 | BRR | 3,940,054 | |||||
10%, 1/1/17 | 88,036,000 | BRR | 41,584,713 | |||||
10.812%, 5/15/45 | 4,545,000 | BRR | 4,016,238 | |||||
Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 | 130,000 | 147,680 | ||||||
Brazil (Federal Republic of) Sr. Nts., 5.875%, 1/15/19 | 3,380,000 | 3,427,320 | ||||||
120,256,810 | ||||||||
Bulgaria—0.0% | ||||||||
Bulgaria (Republic of) Bonds: | ||||||||
8.25%, 1/15/15 | 740,000 | 777,000 | ||||||
8.25%, 1/15/1514 | 710,000 | 745,500 | ||||||
1,522,500 | ||||||||
Canada—0.2% | ||||||||
Ontario (Province of) Bonds, 4.20%, 3/8/18 | 4,485,000 | CAD | 3,895,586 | |||||
Quebec (Province of) Nts., 4.50%, 12/1/18 | 4,445,000 | CAD | 3,890,498 | |||||
7,786,084 | ||||||||
Colombia—0.9% | ||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/2814 | 3,058,000,000 | COP | 1,222,073 |
F10 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Colombia Continued | ||||||||
Colombia (Republic of) Bonds: | ||||||||
7.375%, 9/18/37 | $ | 3,805,000 | $ | 3,900,125 | ||||
12%, 10/22/15 | 40,486,000,000 | COP | 21,597,695 | |||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | 5,680,000 | 6,091,800 | ||||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | 1,640,000 | 1,773,660 | ||||||
Colombia (Republic of) Unsec. Unsub. Bonds, 9.85%, 6/28/27 | 1,002,000,000 | COP | 473,195 | |||||
EEB International Ltd. Sr. Unsec. Bonds, 8.75%, 10/31/1414 | 1,320,000 | 1,369,500 | ||||||
36,428,048 | ||||||||
Denmark—0.1% | ||||||||
Denmark (Kingdom of) Bonds, 5%, 11/15/13 | 14,440,000 | DKK | 2,966,410 | |||||
Egypt—0.1% | ||||||||
Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/1214 | 22,870,000 | EGP | 4,006,543 | |||||
France—1.0% | ||||||||
France (Government of) Obligations Assimilables du Tresor Bonds, 4%, 10/25/38 | 4,635,000 | EUR | 6,129,055 | |||||
France (Government of) Treasury Nts.: | ||||||||
1.5%, 9/12/11 | 10,590,000 | EUR | 14,835,924 | |||||
3.75%, 1/12/13 | 11,270,000 | EUR | 16,618,835 | |||||
37,583,814 | ||||||||
Germany—1.4% | ||||||||
Bundesschatzanweisungen Bonds, 1.25%, 3/11/11 | 7,080,000 | EUR | 9,938,201 | |||||
Germany (Federal Republic of) Bonds: | ||||||||
3.50%, 7/4/19 | 15,805,000 | EUR | 22,407,212 | |||||
Series 03, 3.75%, 7/4/13 | 8,556,000 | EUR | 12,658,218 | |||||
Series 08, 4.75%, 7/4/40 | 4,875,000 | EUR | 7,455,126 | |||||
52,458,757 | ||||||||
Greece—1.0% | ||||||||
Greece (Republic of) Bonds: | ||||||||
4.30%, 3/20/12 | 5,115,000 | EUR | 7,468,928 | |||||
4.60%, 5/20/13 | 20,406,000 | EUR | 30,046,427 | |||||
37,515,355 | ||||||||
Hungary—0.5% | ||||||||
Hungary (Republic of) Bonds: | ||||||||
Series 10/C, 6.75%, 4/12/10 | 345,000,000 | HUF | 1,742,170 | |||||
Series 11/C, 6.75%, 4/22/11 | 471,000,000 | HUF | 2,323,459 | |||||
Series 12/C, 6%, 10/24/12 | 1,609,000,000 | HUF | 7,505,559 | |||||
Series 12/B, 7.25%, 6/12/12 | 793,000,000 | HUF | 3,870,149 | |||||
Series 14/C, 5.50%, 2/12/14 | 503,700,000 | HUF | 2,207,481 | |||||
17,648,818 | ||||||||
Indonesia—0.8% | ||||||||
Indonesia (Republic of) Nts.: | ||||||||
6.75%, 3/10/1414 | 1,418,000 | 1,425,090 | ||||||
6.875%, 1/17/1814 | 7,285,000 | 7,011,813 | ||||||
7.25%, 4/20/1514 | 4,293,000 | 4,346,663 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts.: | ||||||||
7.75%, 1/17/3814 | 4,815,000 | 4,429,800 | ||||||
10.375%, 5/4/1414 | 2,720,000 | 3,114,400 | ||||||
11.625%, 3/4/1914 | 2,306,000 | 2,931,503 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/3514 | 6,700,000 | 6,875,875 | ||||||
30,135,144 | ||||||||
Israel—0.4% | ||||||||
Israel (State of) Bonds: | ||||||||
5.50%, 2/28/17 | 24,370,000 | ILS | 6,530,912 | |||||
Series 2682, 7.50%, 3/31/14 | 25,080,000 | ILS | 7,488,901 | |||||
14,019,813 | ||||||||
Italy—0.5% | ||||||||
Buoni Poliennali Del Tesoro Bonds, 3.75%, 12/15/13 | 12,332,000 | EUR | 17,760,239 | |||||
Japan—2.8% | ||||||||
Japan (Government of) Bonds: | ||||||||
2 yr., Series 269, 0.90%, 6/15/10 | 1,891,000,000 | JPY | 19,762,309 | |||||
5 yr., Series 72, 1.50%, 6/20/13 | 2,734,000,000 | JPY | 29,401,249 | |||||
10 yr., Series 279, 2%, 3/20/16 | 718,000,000 | JPY | 7,979,053 | |||||
10 yr., Series 282, 1.70%, 9/20/16 | 2,009,000,000 | JPY | 21,890,937 | |||||
20 yr., Series 61, 1%, 3/20/23 | 1,195,000,000 | JPY | 11,319,969 | |||||
20 yr., Series 73, 2%, 12/20/24 | 896,000,000 | JPY | 9,514,239 | |||||
20 yr., Series 75, 2.10%, 3/20/25 | 498,000,000 | JPY | 5,346,205 | |||||
105,213,961 | ||||||||
Korea, Republic of—0.1% | ||||||||
Export-Import Bank of Korea (The), 8.125% Sr. Nts., 1/21/14 | 3,400,000 | 3,726,427 | ||||||
Mexico—2.4% | ||||||||
United Mexican States Bonds: | ||||||||
5.625%, 1/15/17 | 5,820,000 | 5,913,120 | ||||||
Series A, 6.375%, 1/16/13 | 3,800,000 | 4,123,000 | ||||||
Series M 10, 7.75%, 12/14/171 | 224,000,000 | MXN | 16,662,576 | |||||
Series MI10, 8%, 12/19/13 | 262,410,000 | MXN | 20,562,960 | |||||
Series M20, 10%, 12/5/241 | 485,040,000 | MXN | 41,756,333 | |||||
United Mexican States Sr. Unsec. Bonds, 6.05%, 1/11/40 | 2,070,000 | 1,890,945 | ||||||
United Mexican States Sr. Unsec. Nts., 5.875%, 2/17/14 | 2,045,000 | 2,152,364 | ||||||
93,061,298 | ||||||||
Norway—0.0% | ||||||||
Norway (Kingdom of) Bonds, 6.50%, 5/15/13 | 7,770,000 | NOK | 1,361,621 |
F11 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Panama—0.5% | ||||||||
Panama (Republic of) Bonds: | ||||||||
6.70%, 1/26/36 | $ | 7,190,000 | $ | 7,010,250 | ||||
7.25%, 3/15/15 | 6,230,000 | 6,821,850 | ||||||
8.875%, 9/30/27 | 1,375,000 | 1,679,219 | ||||||
9.375%, 4/1/29 | 655,000 | 825,300 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 2,760,000 | 2,870,400 | ||||||
19,207,019 | ||||||||
Peru—0.8% | ||||||||
Peru (Republic of) Bonds: | ||||||||
7.84%, 8/12/20 | 28,080,000 | PEN | 10,645,883 | |||||
9.91%, 5/5/15 | 10,351,000 | PEN | 4,301,819 | |||||
Series 7, 8.60%, 8/12/17 | 27,250,000 | PEN | 10,839,364 | |||||
Series 8-1, 12.25%, 8/10/11 | 5,415,000 | PEN | 2,118,163 | |||||
Peru (Republic of) Sr. Nts., 4.533%, 2/28/1612 | 363,871 | 270,320 | ||||||
Peru (Republic of) Sr. Unsec. Nts., 7.125%, 3/30/19 | 1,730,000 | 1,855,425 | ||||||
30,030,974 | ||||||||
Philippines—0.4% | ||||||||
Philippines (Republic of the) Unsec. Bonds: | ||||||||
7.75%, 1/14/31 | 4,060,000 | 4,242,700 | ||||||
9%, 2/15/13 | 7,625,000 | 8,559,063 | ||||||
Power Sector Assets & Liabilities Management Corp., 7.25% Gtd. Sr. Unsec. Nts., 5/27/1914 | 2,280,000 | 2,308,500 | ||||||
15,110,263 | ||||||||
Poland—0.3% | ||||||||
Poland (Republic of) Bonds: | ||||||||
Series WS0922, 5.75%, 9/23/22 | 1,000,000 | PLZ | 298,988 | |||||
Series 0413, 5.25%, 4/25/13 | 9,705,000 | PLZ | 3,019,677 | |||||
Series 0511, 4.25%, 5/24/11 | 23,470,000 | PLZ | 7,269,842 | |||||
10,588,507 | ||||||||
Portugal—0.1% | ||||||||
Portugal (Republic of) Obrigacoes Do Tesouro Bonds, 5%, 6/15/12 | 2,435,000 | EUR | 3,678,752 | |||||
South Africa—0.1% | ||||||||
South Africa (Republic of) Nts., 6.875%, 5/27/19 | 2,300,000 | 2,374,750 | ||||||
Spain—0.1% | ||||||||
Spain (Government of) Bonos Y Oblig Del Estado, 4.25% 1/31/14 | 2,470,000 | EUR | 3,670,609 | |||||
Sweden—0.1% | ||||||||
Sweden (Kingdom of) Bonds, Series 1049, 4.50%, 8/12/15 | 22,290,000 | SEK | 3,130,276 | |||||
The Netherlands—0.1% | ||||||||
Netherlands (Kingdom of the) Bonds, 5%, 7/15/11 | 3,330,000 | EUR | 4,994,323 | |||||
Turkey—4.0% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.75%, 4/3/18 | 10,035,000 | 9,991,147 | ||||||
7%, 9/26/16 | 6,560,000 | 6,740,400 | ||||||
7%, 3/11/19 | 1,685,000 | 1,697,638 | ||||||
12.192%, 2/2/1112 | 21,945,000 | TRY | 11,860,811 | |||||
14%, 1/19/111 | 15,250,000 | TRY | 10,199,328 | |||||
14.559%, 11/3/1012 | 14,900,000 | TRY | 8,324,746 | |||||
15.861%, 10/7/0912 | 18,240,000 | TRY | 11,547,975 | |||||
15.895%, 6/23/1012 | 8,970,000 | TRY | 5,258,697 | |||||
16%, 3/7/121 | 69,310,000 | TRY | 48,424,335 | |||||
18.141%, 1/13/1012 | 28,520,000 | TRY | 17,571,693 | |||||
Series CPI, 11.957%, 2/15/121 | 6,810,000 | TRY | 5,470,898 | |||||
Series CPI, 12.463%, 8/14/131 | 6,930,000 | TRY | 5,236,606 | |||||
Turkey (Republic of) Nts.: | ||||||||
7.25%, 3/15/15 | 4,115,000 | 4,300,175 | ||||||
7.50%, 7/14/17 | 800,000 | 840,000 | ||||||
Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 | 3,410,000 | 3,546,400 | ||||||
151,010,849 | ||||||||
United Kingdom—0.7% | ||||||||
United Kingdom Treasury Bills, 0.454%, 11/23/0912 | 5,350,000 | GBP | 8,784,404 | |||||
United Kingdom Treasury Bonds: | ||||||||
4.50%, 3/7/19 | 4,730,000 | GBP | 8,301,604 | |||||
4.75%, 12/7/38 | 6,480,000 | GBP | 11,305,112 | |||||
28,391,120 | ||||||||
Uruguay—0.4% | ||||||||
Uruguay (Oriental Republic of) Bonds: | ||||||||
4.82%, 4/5/27 | 48,300,000 | UYU | 1,664,339 | |||||
7.625%, 3/21/36 | 3,525,000 | 3,410,438 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds: | ||||||||
5%, 9/14/18 | 54,110,000 | UYU | 2,584,460 | |||||
8%, 11/18/22 | 7,030,000 | 7,381,500 | ||||||
15,040,737 | ||||||||
Venezuela—0.4% | ||||||||
Venezuela (Republic of) Bonds, 9%, 5/7/23 | 3,495,000 | 2,156,415 | ||||||
Venezuela (Republic of) Nts.: | ||||||||
8.50%, 10/8/14 | 8,170,000 | 5,841,550 | ||||||
10.75%, 9/19/13 | 2,385,000 | 1,979,550 | ||||||
Venezuela (Republic of) Unsec. Bonds, 7.65%, 4/21/25 | 8,795,000 | 4,755,896 | ||||||
Venezuela (Republic of) Unsec. Nts., 6%, 12/9/20 | 5,410,000 | 2,713,927 | ||||||
17,447,338 | ||||||||
Total Foreign Government Obligations (Cost $891,513,223) | 900,595,644 |
F12 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Loan Participations—1.7% | ||||||||
Bayerische Hypo-und Vereinsbank AG for the City of Kiev, Ukraine, 8.625% Nts., 7/15/1114 | $ | 8,210,000 | $ | 5,151,775 | ||||
Credit Suisse First Boston International, Export-Import Bank of Ukraine, 8.40% Sec. Nts., 2/9/16 | 4,340,000 | 2,788,450 | ||||||
Dali Capital plc/Bank of Moscow, 7.25% Sec. Nts., Series 28, Tranche 1, 11/25/09 | 37,000,000 | RUR | 1,148,498 | |||||
Dali Capital SA (ROSBANK), 8% Sec. Nts., Series 23, Tranche 1, 9/30/09 | 36,400,000 | RUR | 1,132,792 | |||||
Gaz Capital SA: | ||||||||
7.288% Sr. Sec. Nts., 8/16/3714 | 13,510,000 | 10,149,388 | ||||||
7.51% Sr. Sec. Nts., 7/31/1314 | 5,970,000 | 5,813,288 | ||||||
8.625% Sr. Sec. Nts., 4/28/3414 | 3,590,000 | 3,500,250 | ||||||
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.75% Nts., 5/29/1814 | 2,010,000 | 1,819,050 | ||||||
Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/1314 | 5,310,000 | 4,380,750 | ||||||
TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67% Sec. Bonds, 3/5/1414 | 2,490,000 | 2,143,512 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/1814 | 6,680,000 | 5,694,700 | ||||||
VTB Capital SA: | ||||||||
6.315% Sub. Unsec. Nts., 2/4/15 | 16,280,000 | 15,038,650 | ||||||
6.875% Sr. Sec. Nts., 5/29/1814 | 6,940,000 | 6,280,700 | ||||||
Total Loan Participations (Cost $76,305,350) | 65,041,803 | |||||||
Corporate Bonds and Notes—24.0% | ||||||||
Consumer Discretionary—3.3% | ||||||||
Auto Components—0.1% | ||||||||
Allison Transmission, Inc., 11% Sr. Nts., 11/1/1514 | 3,190,000 | 2,536,050 | ||||||
Goodyear Tire & Rubber Co. (The): | ||||||||
7.857% Nts., 8/15/11 | 1,315,000 | 1,288,700 | ||||||
9% Sr. Unsec. Nts., 7/1/15 | 910,000 | 905,450 | ||||||
4,730,200 | ||||||||
Automobiles—0.5% | ||||||||
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 | 6,550,000 | 6,009,625 | ||||||
Daimler Finance North America LLC: | ||||||||
5.75% Unsec. Unsub. Nts., Series E, 9/8/11 | 824,000 | 841,337 | ||||||
5.875% Sr. Unsec. Unsub. Nts., 3/15/11 | 1,542,000 | 1,568,365 | ||||||
Ford Motor Co.: | ||||||||
6.50% Sr. Unsec. Unsub. Nts., 8/1/18 | 1,725,000 | 1,026,375 | ||||||
7.45% Bonds, 7/16/31 | 7,300,000 | 4,343,500 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
8% Unsec. Nts., 6/1/14 | 2,155,000 | 1,745,968 | ||||||
9.75% Sr. Unsec. Nts., 9/15/10 | 2,870,000 | 2,749,905 | ||||||
18,285,075 | ||||||||
Diversified Consumer Services—0.1% | ||||||||
Service Corp. International: | ||||||||
6.75% Sr. Unsec. Nts., 4/1/15 | 1,065,000 | 969,150 | ||||||
7% Sr. Unsec. Unsub. Nts., 6/15/17 | 840,000 | 764,400 | ||||||
1,733,550 | ||||||||
Hotels, Restaurants & Leisure—0.8% | ||||||||
CCM Merger, Inc., 8% Unsec. Nts., 8/1/1314 | 2,575,000 | 1,789,625 | ||||||
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/134,14 | 4,560,000 | 307,800 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/1814 | 5,117,000 | 2,967,860 | ||||||
Harrah’s Operating Escrow LLC/Harrah’s Escrow Group, 11.25% Sr. Sec. Nts., 6/1/1714 | 1,535,000 | 1,458,250 | ||||||
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 | 2,590,000 | 2,097,900 | ||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/1514 | 6,420,000 | 3,242,100 | ||||||
McDonald’s Corp.: | ||||||||
5% Sr. Unsec. Nts., 2/1/19 | 551,000 | 565,951 | ||||||
5.80% Sr. Unsec. Nts., 10/15/17 | 775,000 | 846,987 | ||||||
MGM Mirage, Inc., 6.75% Sr. Unsec. Nts., 4/1/13 | 1,135,000 | 763,288 | ||||||
Mohegan Tribal Gaming Authority, 6.125% Sr. Unsec. Sub. Nts., 2/15/13 | 2,990,000 | 2,272,400 | ||||||
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 | 2,650,000 | 2,438,000 | ||||||
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 | 1,855,000 | 1,855,000 | ||||||
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/1414 | 1,570,000 | 1,546,450 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/084,5,6 | 250,000 | — | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/144 | 11,910,000 | 297,750 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 2,305,000 | 1,371,475 |
F13 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure Continued | ||||||||
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/154,6 | $ | 2,630,000 | $ | 338,613 | ||||
Wendy’s/Arby’s Group, Inc., 10% Sr. Unsec. Nts., 7/15/1614 | 3,510,000 | 3,373,988 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 | 3,075,000 | 2,721,375 | ||||||
30,254,812 | ||||||||
Household Durables—0.2% | ||||||||
Jarden Corp., 7.50% Sr. Unsec. Sub. Nts., 5/1/17 | 2,520,000 | 2,217,600 | ||||||
K. Hovnanian Enterprises, Inc.: | ||||||||
7.75% Sr. Unsec. Sub. Nts., 5/15/13 | 1,005,000 | 457,275 | ||||||
8.875% Sr. Sub. Nts., 4/1/12 | 2,830,000 | 1,768,750 | ||||||
Lennar Corp., 12.25% Sr. Unsec. Nts., 6/1/17 | 1,470,000 | 1,550,850 | ||||||
Toll Brothers Finance Corp., 8.91% Sr. Unsec. Nts., 10/15/17 | 1,035,000 | 1,059,954 | ||||||
7,054,429 | ||||||||
Leisure Equipment & Products—0.0% | ||||||||
Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 | 1,470,000 | 1,488,375 | ||||||
Media—1.2% | ||||||||
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 | 1,305,000 | 1,014,638 | ||||||
AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 | 995,000 | 853,213 | ||||||
American Media Operations, Inc.: | ||||||||
9% Sr. Unsec. Nts., 5/1/1314 | 296 | 130 | ||||||
14% Sr. Sub. Nts., 11/1/1314 | 85,189 | 30,668 | ||||||
CCH I LLC/CCH I Capital Corp., 11% Sr. Sec. Nts., 10/1/154 | 3,955,000 | 494,375 | ||||||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp., 10.25% Sr. Unsec. Nts., 9/15/104,6 | 1,840,000 | 1,950,400 | ||||||
Cinemark USA, Inc., 8.625% Sr. Nts., 6/15/1914 | 2,150,000 | 2,133,875 | ||||||
Comcast Corp., 5.70% Unsec. Unsub. Nts., 5/15/18 | 3,093,000 | 3,114,552 | ||||||
EchoStar DBS Corp., 6.375% Sr. Unsec. Nts., 10/1/11 | 4,165,000 | 4,050,463 | ||||||
Fisher Communications, Inc., 8.625% Sr. Unsec. Nts., 9/15/14 | 670,000 | 591,275 | ||||||
Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 | 3,735,000 | 3,571,594 | ||||||
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 | 4,910,000 | 3,559,750 | ||||||
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 | 3,320,000 | 3,178,900 | ||||||
MediaNews Group, Inc.: | ||||||||
6.375% Sr. Sub. Nts., 4/1/145 | 1,330,000 | 6,783 | ||||||
6.875% Sr. Unsec. Sub. Nts., 10/1/134,5 | 2,870,000 | 14,637 | ||||||
News America, Inc., 6.15% Sr. Unsec. Unsub. Nts., 3/1/37 | 1,489,000 | 1,265,154 | ||||||
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 | 2,505,000 | 2,423,588 | ||||||
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 | 1,070,000 | 446,725 | ||||||
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/1214 | 2,020,000 | 2,045,250 | ||||||
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 | 6,665,000 | 4,482,213 | ||||||
Time Warner Cable, Inc.: | ||||||||
6.20% Sr. Unsec. Nts., 7/1/13 | 2,473,000 | 2,608,691 | ||||||
8.75% Sr. Unsub. Nts., 2/14/19 | 993,000 | 1,158,575 | ||||||
Time Warner, Inc., 6.50% Sr. Unsec. Debs., 11/15/36 | 1,374,000 | 1,205,626 | ||||||
Virgin Media Finance plc, 8.75% Sr. Unsec. Nts., 4/15/14 | 1,015,000 | 994,700 | ||||||
Walt Disney Co. (The), 4.50% Sr. Unsec. Unsub. Nts., Series D, 12/15/13 | 1,205,000 | 1,257,931 | ||||||
Warner Music Group Corp., 7.375% Sr. Sub. Bonds, 4/15/14 | 3,775,000 | 3,213,469 | ||||||
WMG Acquisition Corp., 9.50% Sr. Sec. Nts., 6/15/1614 | 1,155,000 | 1,155,000 | ||||||
46,822,175 | ||||||||
Multiline Retail—0.1% | ||||||||
Target Corp., 6% Sr. Unsec. Nts., 1/15/18 | 2,750,000 | 2,920,495 | ||||||
Specialty Retail—0.2% | ||||||||
Claire’s Stores, Inc., 10.50% Sr. Unsec. Sub. Nts., 6/1/17 | 5,425,000 | 1,925,875 | ||||||
GameStop Corp., 8% Sr. Unsec. Nts., 10/1/12 | 1,940,000 | 1,964,250 | ||||||
Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 | 2,664,000 | 2,354,827 | ||||||
Leslie’s Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/135 | 2,210,000 | 2,116,075 | ||||||
8,361,027 |
F14 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Textiles, Apparel & Luxury Goods—0.1% | ||||||||
Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 | $ | 3,635,000 | $ | 3,589,563 | ||||
Consumer Staples—1.4% | ||||||||
Beverages—0.1% | ||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/171,14 | 4,470,000 | BRR | 2,098,699 | |||||
Diageo Capital plc, 7.375% Sr. Unsec. Unsub. Nts., 1/15/14 | 1,362,000 | 1,543,142 | ||||||
PepsiCo, Inc., 7.90% Sr. Unsec. Nts., 11/1/18 | 1,342,000 | 1,635,487 | ||||||
5,277,328 | ||||||||
Food & Staples Retailing—0.4% | ||||||||
Albertson’s, Inc., 8% Sr. Unsec. Debs., 5/1/31 | 3,570,000 | 3,079,125 | ||||||
CVS Caremark Corp., 6.60% Nts., 3/15/19 | 1,339,000 | 1,433,304 | ||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 3,390,000 | 4,121,772 | ||||||
Kroger Co. (The), 7.50% Sr. Unsec., Nts., 1/15/14 | 1,378,000 | 1,544,031 | ||||||
Real Time Data Co., 11% Nts., 5/31/094,5,6,15 | 142,981 | — | ||||||
Wal-Mart Stores, Inc.: | ||||||||
5.80% Sr. Unsec. Unsub. Nts., 2/15/18 | 2,477,000 | 2,702,915 | ||||||
6.20% Sr. Unsec. Nts., 4/15/38 | 2,143,000 | 2,307,797 | ||||||
15,188,944 | ||||||||
Food Products—0.7% | ||||||||
Chiquita Brands International, Inc.: | ||||||||
7.50% Sr. Unsec. Nts., 11/1/14 | 2,445,000 | 2,066,025 | ||||||
8.875% Sr. Unsec. Unsub. Nts., 12/1/15 | 1,060,000 | 919,550 | ||||||
Dean Foods Co., 7% Sr. Unsec. Unsub. Nts., 6/1/16 | 5,580,000 | 5,119,650 | ||||||
Dole Food Co., Inc.: | ||||||||
7.25% Sr. Unsec. Nts., 6/15/10 | 2,170,000 | 2,148,300 | ||||||
8.875% Sr. Unsec. Nts., 3/15/11 | 1,861,000 | 1,823,780 | ||||||
General Mills, Inc., 5.65% Sr. Unsec. Nts., 2/15/19 | 1,241,000 | 1,299,455 | ||||||
JBS USA LLC/JBS USA Finance, Inc., 11.625% Sr. Nts., 5/1/1414 | 2,730,000 | 2,593,500 | ||||||
Kraft Foods, Inc., 6.125% Sr. Unsec. Unsub. Nts., 2/1/18 | 2,754,000 | 2,852,158 | ||||||
MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/1114 | 1,360,000 | 904,400 | ||||||
Pinnacle Foods Finance LLC/ Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 | 4,950,000 | 4,207,500 | ||||||
Smithfield Foods, Inc., 7% Sr. Nts., 8/1/11 | 1,305,000 | 1,246,275 | ||||||
25,180,593 | ||||||||
Household Products—0.0% | ||||||||
Proctor & Gamble Co. (The), 4.70% Sr. Unsec. Unsub. Nts., 2/15/19 | 1,837,000 | 1,866,563 | ||||||
Personal Products—0.1% | ||||||||
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 | 2,700,000 | 2,349,000 | ||||||
Tobacco—0.1% | ||||||||
Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 | 2,248,000 | 2,581,295 | ||||||
Philip Morris International, Inc., 5.65% Sr. Unsec. Unsub. Nts., 5/16/18 | 1,649,000 | 1,731,485 | ||||||
4,312,780 | ||||||||
Energy—3.3% | ||||||||
Energy Equipment & Services—0.2% | ||||||||
Helix Energy Solutions Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/1614 | 3,535,000 | 3,243,363 | ||||||
Key Energy Services, Inc., 8.375% Sr. Unsec. Nts., 12/1/14 | 3,005,000 | 2,666,938 | ||||||
Pride International, Inc., 7.375% Sr. Unsec. Nts., 7/15/14 | 2,205,000 | 2,199,488 | ||||||
8,109,789 | ||||||||
Oil, Gas & Consumable Fuels—3.1% | ||||||||
Anadarko Petroleum Corp., 7.625% Sr. Unsec. Nts., 3/15/14 | 1,722,000 | 1,869,426 | ||||||
Atlas Energy Resources LLC, 10.75% Sr. Nts., 2/1/1814 | 4,110,000 | 3,894,225 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 | 2,285,000 | 1,645,200 | ||||||
Berry Petroleum Co.: | ||||||||
8.25% Sr. Sub. Nts., 11/1/16 | 1,940,000 | 1,673,250 | ||||||
10.25% Sr. Unsec. Nts., 6/1/14 | 1,655,000 | 1,679,825 | ||||||
Bill Barrett Corp., 9.875% Sr. Nts., 7/15/1610 | 325,000 | 320,125 | ||||||
Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 | 5,010,000 | 4,446,375 | ||||||
Cimarex Energy Co., 7.125% Sr. Nts., 5/1/17 | 875,000 | 774,375 | ||||||
ConocoPhillips, 6.50% Sr. Unsec. Nts., 2/1/39 | 4,375,000 | 4,666,362 | ||||||
Denbury Resources, Inc., 7.50% Sr. Sub. Nts., 12/15/15 | 3,690,000 | 3,523,950 | ||||||
Devon Energy Corp., 6.30% Sr. Nts., 1/15/19 | 2,021,000 | 2,163,567 |
F15 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
El Paso Corp.: | ||||||||
7% Sr. Unsec. Sub. Nts., 6/15/17 | $ | 535,000 | $ | 489,871 | ||||
7.25% Sr. Unsec. Nts., 6/1/18 | 620,000 | 575,537 | ||||||
Empresa Nacional Del Petroleo, 6.25% Sr. Unsec. Nts., 7/8/1910,14 | 1,500,000 | 1,489,200 | ||||||
Enterprise Products Operating LLP: | ||||||||
6.50% Sr. Unsec. Unsub. Nts., 1/31/19 | 1,334,000 | 1,358,148 | ||||||
8.375% Jr. Sub. Nts., 8/1/661 | 4,820,000 | 3,884,910 | ||||||
Forest Oil Corp.: | ||||||||
7.25% Sr. Unsec. Nts., 6/15/1914 | 1,035,000 | 931,500 | ||||||
8.50% Sr. Nts., 2/15/1414 | 3,520,000 | 3,476,000 | ||||||
Gaz Capital SA, 8.146% Sr. Sec. Nts., 4/11/1814 | 3,220,000 | 2,934,225 | ||||||
Kazmunaigaz Finance Sub BV, 9.125% Nts., 7/2/1814 | 6,490,000 | 5,824,775 | ||||||
Kinder Morgan Energy Partners LP, 6% Sr. Unsec. Nts., 2/1/17 | 1,615,000 | 1,604,591 | ||||||
Kinder Morgan Finance Co. ULC, 5.70% Sr. Unsec. Unsub. Nts., 1/5/16 | 1,935,000 | 1,668,938 | ||||||
Marathon Oil Corp., 5.90% Unsec. Unsub. Nts., 3/15/18 | 1,983,000 | 1,991,567 | ||||||
Mariner Energy, Inc., 11.75% Sr. Unsec. Nts., 6/30/16 | 1,510,000 | 1,510,000 | ||||||
Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 | 3,830,000 | 3,523,600 | ||||||
Newfield Exploration Co., 6.625% Sr. Unsec. Unsub. Nts., 4/15/16 | 2,425,000 | 2,200,688 | ||||||
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 | 1,780,000 | 1,771,100 | ||||||
Pemex Project Funding Master Trust, 6.625% Sr. Unsec. Unsub. Nts., 6/15/3814 | 6,680,000 | 5,811,600 | ||||||
Petrobras International Finance Co.: | ||||||||
5.785% Sr. Unsec. Nts., 3/1/18 | 5,770,000 | 5,699,496 | ||||||
7.875% Sr. Unsec. Nts., 3/15/19 | 5,215,000 | 5,710,425 | ||||||
Petrohawk Energy Corp., 10.50% Sr. Nts., 8/1/1414 | 1,625,000 | 1,669,688 | ||||||
Petroleos Mexicanos, 8% Nts., 5/3/19 | 3,430,000 | 3,738,700 | ||||||
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/1114 | 2,093,558 | 2,017,830 | ||||||
Pioneer Natural Resources Co.: | ||||||||
5.875% Sr. Unsec. Nts., 7/15/16 | 465,000 | 403,219 | ||||||
6.65% Sr. Unsec. Nts., 3/15/17 | 290,000 | 255,273 | ||||||
6.875% Sr. Unsec. Unsub. Nts., 5/1/18 | 465,000 | 407,375 | ||||||
Plains Exploration & Production, 10% Sr. Unsec. Nts., 3/1/16 | 4,285,000 | 4,424,263 | ||||||
Quicksilver Resources, Inc.: | ||||||||
7.125% Sr. Sub. Nts., 4/1/16 | 2,005,000 | 1,573,925 | ||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 755,000 | 675,725 | ||||||
11.75% Sr. Nts., 1/1/16 | 2,260,000 | 2,350,400 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.625% Sr. Unsec. Unsub. Nts., 4/1/1515 | 1,235,000 | 1,114,588 | ||||||
9.875% Sr. Unsec. Nts., 5/15/1614 | 2,315,000 | 2,245,550 | ||||||
Shell International Finance, 6.375% Sr. Nts., 12/15/38 | 2,441,000 | 2,665,064 | ||||||
Southwestern Energy Co., 7.50% Sr. Nts., 2/1/1814 | 1,550,000 | 1,495,750 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/1414 | 1,668,485 | 1,509,979 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/1714 | 2,692,000 | 2,718,920 | ||||||
TransCanada PipeLines Ltd., 7.625% Sr. Unsec. Nts., 1/15/39 | 1,647,000 | 1,926,417 | ||||||
Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 | 1,996,000 | 2,010,918 | ||||||
XTO Energy, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 6/15/18 | 1,498,000 | 1,503,715 | ||||||
6.50% Sr. Unsec. Unsub. Nts., 12/15/18 | 1,954,000 | 2,100,054 | ||||||
115,920,204 | ||||||||
Financials—5.4% | ||||||||
Capital Markets—0.9% | ||||||||
Credit Suisse New York, 5% Sr. Unsec. Nts., 5/15/13 | 4,910,000 | 5,025,734 | ||||||
Deutsche Bank AG London, 4.875% Sr. Unsec. Nts., 5/20/13 | 1,440,000 | 1,479,937 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
6% Sr. Nts., 5/1/14 | 1,478,000 | 1,544,782 | ||||||
6.15% Sr. Unsec. Nts., 4/1/18 | 6,836,000 | 6,666,440 | ||||||
7.50% Sr. Unsec. Nts., 2/15/19 | 4,648,000 | 4,985,533 | ||||||
Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/384,5 | 3,036,000 | 304 | ||||||
Morgan Stanley, 6% Sr. Unsec. Unsub. Nts., Series F, 4/28/15 | 10,970,000 | 10,959,930 | ||||||
RailAmerica, Inc., 9.25% Sr. Sec. Nts., 7/1/1714 | 1,170,000 | 1,134,900 | ||||||
UBS AG Stamford CT, 5.75% Sr. Unsec. Nts., 4/25/18 | 1,471,000 | 1,341,937 | ||||||
33,139,497 | ||||||||
Commercial Banks—1.5% | ||||||||
Banco BMG SA, 9.15% Nts., 1/15/1614 | 3,520,000 | 3,423,200 |
F16 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued | ||||||||
Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/211,14 | $ | 1,345,000 | $ | 1,314,738 | ||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 8,405,000 | EUR | 11,180,255 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 4,684,000 | EUR | 5,707,563 | |||||
Corparacion Adina de Fomento, 8.125% Nts., 6/4/19 | 2,280,000 | 2,423,553 | ||||||
Hana Bank, 6.50% Sr. Unsec. Nts., 4/9/1214 | 2,610,000 | 2,701,094 | ||||||
HSBC Finance Corp.: | ||||||||
4.75% Sr. Unsec. Nts., 7/15/13 | 1,378,000 | 1,347,264 | ||||||
5.70% Sr. Unsec. Nts., 6/1/11 | 1,557,000 | 1,572,218 | ||||||
HSBC Holdings plc, 6.80% Sub. Nts., 6/1/38 | 2,292,000 | 2,307,741 | ||||||
HSBK Europe BV: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/1714 | 1,360,000 | 788,800 | ||||||
9.25% Sr. Nts., 10/16/1314 | 15,930,000 | 12,106,800 | ||||||
ICICI Bank Ltd., 6.375% Bonds, 4/30/221,14 | 6,960,000 | 5,442,762 | ||||||
Inter-American Development Bank: | ||||||||
6.26% Nts., 12/8/091 | 920,000 | BRR | 466,690 | |||||
11.377% Nts., 1/25/121 | 530,142,871 | COP | 241,844 | |||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/104,5,6 | 90,000 | — | ||||||
Salisbury International Investments Ltd., 5.257% Sec. Nts., Series 2006-003, Tranche E, 7/20/111,5 | 1,100,000 | 667,480 | ||||||
Wells Fargo & Co., 5.25% Sr. Unsec. Unsub. Nts., 10/23/12 | 6,942,000 | 7,193,488 | ||||||
58,885,490 | ||||||||
Consumer Finance—0.3% | ||||||||
American Express Credit Corp.: | ||||||||
5.875% Sr. Unsec. Nts., 5/2/13 | 2,045,000 | 2,033,022 | ||||||
7.30% Sr. Unsec. Nts., Series C, 8/20/13 | 2,196,000 | 2,286,029 | ||||||
JSC Astana Finance, 9.16% Nts., 3/14/125 | 7,200,000 | 938,160 | ||||||
SLM Corp.: | ||||||||
4.50% Nts., Series A, 7/26/10 | 4,470,000 | 4,225,446 | ||||||
8.45% Sr. Unsec. Nts., Series A, 6/15/18 | 1,468,000 | 1,257,556 | ||||||
10,740,213 | ||||||||
Diversified Financial Services—1.6% | ||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/2614 | 4,551,750 | 2,594,498 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 1,450,000 | EUR | 1,785,166 | |||||
Banco Invex SA, 27.399% Mtg.-Backed Certificates, Series 062U, 3/13/341,16 | 4,830,734 | MXN | 1,149,148 | |||||
Bank of America Corp.: | ||||||||
4.90% Sr. Unsec. Nts., 5/1/13 | 2,750,000 | 2,681,806 | ||||||
5.65% Sr. Unsec. Nts., 5/1/18 | 7,280,000 | 6,443,594 | ||||||
Bear Stearns Cos. LLC (The), 7.25% Sr. Unsec. Nts., 2/1/18 | 3,956,000 | 4,176,242 | ||||||
BP Capital Markets plc, 3.625% Sr. Unsec. Unsub. Nts., 5/8/14 | 1,519,000 | 1,517,274 | ||||||
CIT Group, Inc., 7.625% Sr. Unsec. Nts., Series A, 11/30/12 | 3,038,000 | 2,082,218 | ||||||
Citigroup, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 4/11/13 | 10,816,000 | 10,149,021 | ||||||
6.50% Sr. Nts., 8/19/13 | 2,944,000 | 2,863,287 | ||||||
Cloverie plc, 4.859% Sec. Nts., Series 2005-93, 12/20/101,5 | 1,100,000 | 900,790 | ||||||
Countrywide Financial Corp., 5.80% Nts., 6/7/12 | 1,271,000 | �� | 1,280,066 | |||||
GMAC LLC, 8% Sr. Unsec. Unsub. Nts., 11/1/3114 | 2,745,000 | 1,948,950 | ||||||
JPMorgan Chase & Co., 6.40% Sr. Unsec. Nts., 5/15/38 | 8,180,000 | 8,216,777 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
6.47% Sec. Nts., 8/26/355 | 5,808,600 | MXN | 355,529 | |||||
25.628% Mtg.-Backed Certificates, Series 06U, 9/25/351 | 2,421,523 | MXN | 470,908 | |||||
Korea Development Bank, 8% Sr. Nts., 1/23/14 | 2,770,000 | 3,007,533 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 7,515,000 | 6,992,181 | ||||||
National Rural Utilities Cooperative Finance Corp., 10.375% Sec. Bonds, 11/1/18 | 835,000 | 1,048,470 | ||||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/9717 | 2,695,000 | 875,878 | ||||||
60,539,336 | ||||||||
Insurance—0.4% | ||||||||
American International Group, Inc., 8.25% Sr. Nts., 8/15/1814 | 3,753,000 | 2,211,568 | ||||||
Berkshire Hathaway Finance Corp., 5% Sr. Unsec. Unsub. Nts., 8/15/13 | 1,680,000 | 1,764,748 | ||||||
International Lease Finance Corp.: | ||||||||
6.375% Sr. Unsec. Nts., 3/25/13 | 1,790,000 | 1,363,327 | ||||||
6.625% Sr. Unsec. Nts., Series R, 11/15/13 | 1,372,000 | 1,057,346 | ||||||
MetLife, Inc., 6.817% Sr. Unsec. Nts., Series A, 8/15/18 | 1,269,000 | 1,280,170 | ||||||
MidAmerican Energy Holdings Co., 5.75% Sr. Unsec. Nts., 4/1/18 | 4,346,000 | 4,527,832 |
F17 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Insurance Continued | ||||||||
Multiplan, Inc., 10.375% Sr. Sub. Nts., 4/15/165 | $ | 1,425,000 | $ | 1,378,688 | ||||
13,583,679 | ||||||||
Real Estate Investment Trusts—0.1% | ||||||||
HCP, Inc.: | ||||||||
6% Sr. Unsec. Nts., 1/30/17 | 745,000 | 632,470 | ||||||
6.70% Sr. Unsec. Nts., 1/30/18 | 1,440,000 | 1,252,868 | ||||||
Simon Property Group LP, 5.30% Sr. Unsec. Nts., 5/30/13 | 1,851,000 | 1,792,027 | ||||||
3,677,365 | ||||||||
Thrifts & Mortgage Finance—0.6% | ||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/1614 | 1,585,000 | 966,850 | ||||||
WM Covered Bond Program: | ||||||||
3.875% Sec. Nts., Series1, 9/27/11 | 8,275,000 | EUR | 11,357,911 | |||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 10,035,000 | EUR | 12,151,862 | |||||
24,476,623 | ||||||||
Health Care—1.8% | ||||||||
Biotechnology—0.1% | ||||||||
Amgen, Inc., 5.70% Sr. Nts., 2/1/19 | 1,325,000 | 1,400,473 | ||||||
Health Care Equipment & Supplies—0.3% | ||||||||
Biomet, Inc., 10.375% Sr. Unsec. Nts., 10/15/1715 | 3,695,000 | 3,593,388 | ||||||
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/151 | 5,400,000 | 4,131,000 | ||||||
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/1515 | 2,035,000 | 1,928,163 | ||||||
9,652,551 | ||||||||
Health Care Providers & Services—1.0% | ||||||||
Apria Healthcare Group, Inc., 11.25% Sr. Sec. Nts., 11/1/1414 | 3,355,000 | 3,254,350 | ||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/1515 | 3,285,000 | 1,728,731 | ||||||
Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 | 4,410,000 | 4,343,850 | ||||||
DaVita, Inc., 6.625% Sr. Unsec. Nts., 3/15/13 | 1,295,000 | 1,227,013 | ||||||
Fresenius Medical Care Capital Trust IV, 7.875% Sr. Sub. Nts., 6/15/11 | 595,000 | 608,388 | ||||||
HCA, Inc.: | ||||||||
6.375% Nts., 1/15/15 | 4,750,000 | 3,883,125 | ||||||
8.50% Sr. Sec. Nts., 4/15/1914 | 1,035,000 | 1,019,475 | ||||||
HEALTHSOUTH Corp., 10.75% Sr. Unsec. Nts., 6/15/16 | 4,135,000 | 4,176,350 | ||||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 | 5,310,000 | 4,340,925 | ||||||
Tenet Healthcare Corp., 7.375% Nts., 2/1/13 | 1,890,000 | 1,710,450 | ||||||
UnitedHealth Group, Inc., 6.875% Sr. Unsec. Nts., 2/15/38 | 2,346,000 | 2,175,329 | ||||||
US Oncology Holdings, Inc., 6.904% Sr. Unsec. Nts., 3/15/121,15 | 1,748,000 | 1,481,430 | ||||||
US Oncology, Inc.: | ||||||||
9% Sr. Unsec. Nts., 8/15/12 | 2,615,000 | 2,686,913 | ||||||
9.125% Sr. Sec. Nts., 8/15/1714 | 2,155,000 | 2,149,613 | ||||||
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Nts., 10/1/1517 | 2,935,000 | 2,876,300 | ||||||
WellPoint, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/37 | 1,483,000 | 1,362,256 | ||||||
39,024,498 | ||||||||
Pharmaceuticals—0.4% | ||||||||
Abbott Laboratories: | ||||||||
5.125% Sr. Unsec. Nts., 4/1/19 | 572,000 | 590,075 | ||||||
5.60% Sr. Unsec. Nts., 11/30/17 | 1,392,000 | 1,493,528 | ||||||
AstraZeneca plc, 6.45% Sr. Unsec. Unsub. Nts., 9/15/37 | 1,726,000 | 1,917,826 | ||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 2,480,000 | 2,182,400 | ||||||
Eli Lilly & Co., 4.20% Sr. Unsec. Nts., 3/6/14 | 1,236,000 | 1,274,420 | ||||||
GlaxosmithKline Capital, Inc., 6.375% Sr. Unsec. Nts., 5/15/38 | 2,179,000 | 2,374,406 | ||||||
Johnson & Johnson, 5.85% Sr. Unsec. Nts., 7/15/3810 | 1,219,000 | 1,309,236 | ||||||
Pfizer, Inc., 7.20% Sr. Unsec. Nts., 3/15/39 | 2,575,000 | 3,063,776 | ||||||
Wyeth, 5.95% Nts., 4/1/37 | 1,898,000 | 1,967,588 | ||||||
16,173,255 | ||||||||
Industrials—2.6% | ||||||||
Aerospace & Defense—0.6% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 3,060,000 | 2,822,850 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 3,810,000 | 3,600,450 | ||||||
Boeing Co. (The), 5% Sr. Unsec. Unsub. Nts., 3/15/14 | 2,634,000 | 2,777,195 | ||||||
Bombardier, Inc.: | ||||||||
6.30% Sr. Unsec. Unsub. Nts., 5/1/1414 | 2,230,000 | 1,962,400 | ||||||
8% Sr. Nts., 11/15/1414 | 1,235,000 | 1,168,619 | ||||||
Honeywell International, Inc., 5% Sr. Unsec. Nts., 2/15/19 | 2,449,000 | 2,506,123 |
F18 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Aerospace & Defense Continued | ||||||||
L-3 Communications Corp.: | ||||||||
5.875% Sr. Sub. Nts., 1/15/15 | $ | 3,540,000 | $ | 3,159,450 | ||||
6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 | 1,185,000 | 1,081,313 | ||||||
United Technologies Corp.: | ||||||||
6.125% Sr. Unsec. Nts., 2/1/19 | 2,376,000 | 2,634,559 | ||||||
6.125% Sr. Unsec. Nts., 7/15/38 | 1,011,000 | 1,099,687 | ||||||
22,812,646 | ||||||||
Air Freight & Logistics—0.1% | ||||||||
United Parcel Service, Inc.: | ||||||||
5.125% Sr. Unsec. Unsub. Nts., 4/1/19 | 661,000 | 696,158 | ||||||
5.50% Sr. Unsec. Nts., 1/15/18 | 1,183,000 | 1,262,097 | ||||||
1,958,255 | ||||||||
Airlines—0.1% | ||||||||
American Airlines Pass Through Trust 2009-1A, 10.375% Pass-Through Certificates, Series 2009-1A, 7/2/1910 | 830,000 | 834,150 | ||||||
American Airlines Pass Through Trust 2001-2, 7.858% Pass-Through Certificates, Series 2001-2, Cl. A-2, 10/1/115 | 2,905,000 | 2,723,438 | ||||||
3,557,588 | ||||||||
Building Products—0.0% | ||||||||
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 | 1,115,000 | 323,350 | ||||||
Commercial Services & Supplies—0.4% | ||||||||
Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 | 3,050,000 | 3,114,102 | ||||||
Aramark Services, Inc., 8.50% Sr. Unsec. Nts., 2/1/15 | 1,120,000 | 1,092,000 | ||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 1,975,000 | 1,955,250 | ||||||
Iron Mountain, Inc.: | ||||||||
7.75% Sr. Sub. Nts., 1/15/15 | 1,040,000 | 1,003,600 | ||||||
8.625% Sr. Unsec. Sub. Nts., 4/1/13 | 2,530,000 | 2,536,325 | ||||||
West Corp., 9.50% Sr. Unsec. Nts., 10/15/14 | 4,770,000 | 4,197,600 | ||||||
13,898,877 | ||||||||
Construction & Engineering—0.3% | ||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/2414 | 8,343,361 | 7,801,042 | ||||||
Odebrecht Finance Ltd., 9.625% Sr. Unsec. Nts., 4/9/1414 | 2,900,000 | 3,172,020 | ||||||
10,973,062 | ||||||||
Electrical Equipment—0.0% | ||||||||
Baldor Electric Co., 8.625% Sr. Nts., 2/15/17 | 410,000 | 381,300 | ||||||
Industrial Conglomerates—0.5% | ||||||||
General Electric Capital Corp.: | ||||||||
4.80% Sr. Unsec. Nts., 5/1/13 | 2,518,000 | 2,523,791 | ||||||
5.40% Sr. Unsec. Nts., Series A, 9/20/13 | 3,392,000 | 3,367,974 | ||||||
6.875% Sr. Unsec. Nts., 1/10/39 | 4,119,000 | 3,714,123 | ||||||
General Electric Co., 5.25% Sr. Unsec. Nts., 12/6/17 | 8,095,000 | 7,963,003 | ||||||
Tyco International Finance SA, 8.50% Sr. Unsec. Unsub. Nts., 1/15/19 | 1,298,000 | 1,441,397 | ||||||
19,010,288 | ||||||||
Machinery—0.1% | ||||||||
Caterpillar Financial Services Corp., 7.15% Sr. Unsec. Nts., 2/15/19 | 2,229,000 | 2,390,052 | ||||||
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 | 1,955,000 | 1,454,031 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 3,130,000 | 2,421,838 | ||||||
6,265,921 | ||||||||
Professional Services—0.1% | ||||||||
US Investigations Services, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/1514 | 2,680,000 | 2,197,600 | ||||||
Road & Rail—0.3% | ||||||||
Avis Budget Car Rental LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 | 3,905,000 | 2,792,075 | ||||||
CSX Corp., 6.25% Sr. Unsec. Unsub. Nts., 4/1/15 | 1,376,000 | 1,424,964 | ||||||
Hertz Corp., 10.50% Sr. Unsec. Sub. Nts., 1/1/16 | 2,755,000 | 2,465,725 | ||||||
Norfolk Southern Corp., 5.75% Sr. Unsec. Nts., 1/15/1614 | 2,122,000 | 2,201,412 | ||||||
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/2614 | 3,599,030 | 2,537,316 | ||||||
11,421,492 | ||||||||
Trading Companies & Distributors—0.1% | ||||||||
RSC Equipment Rental, Inc., 10% Sr. Sec. Nts., 7/15/175,10 | 655,000 | 624,346 | ||||||
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 | 5,085,000 | 4,182,413 | ||||||
4,806,759 |
F19 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Information Technology—0.8% | ||||||||
Communications Equipment—0.0% | ||||||||
Cisco Systems, Inc., 4.95% Sr. Unsec. Nts., 2/15/19 | $ | 1,830,000 | $ | 1,833,378 | ||||
Orion Network Systems, Inc., 12.50% Sr. Unsub. Nts., 1/15/074,5,6 | 675,000 | 7 | ||||||
1,833,385 | ||||||||
Computers & Peripherals—0.2% | ||||||||
Hewlett-Packard Co., 6.125% Sr. Unsec. Nts., 3/1/14 | 1,007,000 | 1,111,575 | ||||||
International Business Machines Corp., 8% Sr. Unsec. Unsub. Nts., 10/15/38 | 2,311,000 | 2,997,055 | ||||||
Seagate Technology International, 10% Sr. Sec. Nts., 5/1/1414 | 4,345,000 | 4,502,506 | ||||||
8,611,136 | ||||||||
Electronic Equipment & Instruments—0.1% | ||||||||
Celestica, Inc., 7.625% Sr. Unsec. Sub. Nts., 7/1/13 | 1,785,000 | 1,749,300 | ||||||
Flextronics International Ltd., 6.50% Sr. Unsec. Sub. Nts., 5/15/13 | 2,340,000 | 2,263,950 | ||||||
RBS Global & Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 | 1,560,000 | 1,158,300 | ||||||
5,171,550 | ||||||||
Internet Software & Services—0.0% | ||||||||
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/094,5,6 | 337,947 | EUR | — | |||||
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/104,5,6 | 200,173 | — | ||||||
— | ||||||||
IT Services—0.3% | ||||||||
Affiliated Computer Services, Inc., 5.20% Sr. Unsec. Nts., 6/1/15 | 1,900,000 | 1,624,500 | ||||||
First Data Corp., 9.875% Sr. Unsec. Nts., 9/24/15 | 4,385,000 | 3,135,275 | ||||||
Sabre Holdings Corp., 7.35% Sr. Unsec. Unsub. Nts., 8/1/11 | 560,000 | 478,800 | ||||||
SunGard Data Systems, Inc., 9.125% Sr. Unsec. Nts., 8/15/13 | 4,460,000 | 4,237,000 | ||||||
9,475,575 | ||||||||
Office Electronics—0.1% | ||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 | 1,868,000 | 1,847,196 | ||||||
Semiconductors & Semiconductor Equipment—0.1% | ||||||||
Amkor Technology, Inc.: | ||||||||
7.75% Sr. Nts., 5/15/13 | 1,635,000 | 1,506,244 | ||||||
9.25% Sr. Unsec. Nts., 6/1/16 | 740,000 | 689,125 | ||||||
2,195,369 | ||||||||
Software—0.0% | ||||||||
Oracle Corp., 5.75% Sr. Unsec. Unsub. Nts., 4/15/18 | 1,697,000 | 1,793,159 | ||||||
Materials—2.0% | ||||||||
Chemicals—0.4% | ||||||||
Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/1814 | 4,185,000 | 3,912,975 | ||||||
E.I. du Pont de Nemours & Co.: | ||||||||
5.75% Sr. Nts., 3/15/19 | 1,430,000 | 1,511,978 | ||||||
6% Sr. Unsec. Unsub. Nts., 7/15/18 | 1,315,000 | 1,419,966 | ||||||
Huntsman International LLC, 7.875% Sr. Unsec. Sub. Nts., 11/15/14 | 590,000 | 470,525 | ||||||
Huntsman LLC: | ||||||||
11.50% Sr. Unsec. Nts., 7/15/12 | 675,000 | 686,813 | ||||||
11.625% Sr. Unsec. Nts., 10/15/10 | 1,400,000 | 1,438,500 | ||||||
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 | 10,910,000 | 3,109,350 | ||||||
Nalco Co., 8.875% Unsec. Sub. Nts., 11/15/13 | 2,135,000 | 2,188,375 | ||||||
14,738,482 | ||||||||
Construction Materials—0.1% | ||||||||
C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs.14,18 | 2,750,000 | 1,409,777 | ||||||
NTK Holdings, Inc., 0%/10.75% Sr. Unsec. Nts., 3/1/1417 | 2,095,000 | 178,075 | ||||||
1,587,852 | ||||||||
Containers & Packaging—0.4% | ||||||||
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 | 4,395,000 | 3,724,763 | ||||||
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 | 3,000,000 | 2,947,500 | ||||||
Graham Packaging Co., Inc.: | ||||||||
8.50% Sr. Unsec. Nts., 10/15/12 | 1,310,000 | 1,270,700 | ||||||
9.875% Sr. Unsec. Sub. Nts., 10/15/14 | 3,770,000 | 3,524,950 | ||||||
Graphic Packaging International, Inc.: | ||||||||
8.50% Sr. Nts., 8/15/11 | 1,564,000 | 1,556,180 | ||||||
9.50% Sr. Unsec. Nts., 6/15/1714 | 1,940,000 | 1,920,600 | ||||||
14,944,693 |
F20 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Metals & Mining—1.0% | ||||||||
Alcoa, Inc., 6.75% Sr. Unsec. Unsub. Nts., 7/15/18 | $ | 961,000 | $ | 853,962 | ||||
Alrosa Finance SA, 8.875% Nts., 11/17/1414 | 13,025,000 | 11,201,500 | ||||||
BHP Billiton Finance (USA) Ltd., 6.50% Sr. Unsec. Unsub. Nts., 4/1/19 | 2,469,000 | 2,746,911 | ||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 4,995,000 | 5,039,545 | ||||||
Rio Tinto Finance (USA) Ltd.: | ||||||||
5.875% Sr. Unsec. Unsub. Nts., 7/15/13 | 2,052,000 | 2,067,277 | ||||||
9% Sr. Unsec. Nts., 5/1/19 | 888,000 | 988,527 | ||||||
Steel Dynamics, Inc., 7.375% Sr. Unsec. Unsub. Nts., 11/1/12 | 2,250,000 | 2,143,125 | ||||||
Teck Resourches Ltd., 10.25% Sr. Sec. Nts., 5/15/1614 | 3,200,000 | 3,356,118 | ||||||
Vale Overseas Ltd., 6.875% Bonds, 11/21/36 | 604,000 | 575,975 | ||||||
Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/1814 | 11,010,000 | 9,193,350 | ||||||
38,166,290 | ||||||||
Paper & Forest Products—0.1% | ||||||||
Georgia-Pacific LLC, 8.25% Sr. Unsec. Nts., 5/1/1614 | 3,520,000 | 3,432,000 | ||||||
NewPage Corp., 10% Sr. Sec. Nts., 5/1/12 | 3,550,000 | 1,721,750 | ||||||
5,153,750 | ||||||||
Telecommunication Services—1.7% | ||||||||
Diversified Telecommunication Services—1.1% | ||||||||
AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 | 1,747,000 | 1,957,555 | ||||||
AT&T, Inc., 6.70% Sr. Unsec. Unsub. Nts., 11/15/13 | 3,693,000 | 4,060,826 | ||||||
BellSouth Corp., 5.20% Sr. Unsec. Nts., 12/15/16 | 1,054,000 | 1,054,093 | ||||||
British Telecom plc, 5.15% Sr. Unsec. Unsub. Nts., 1/15/13 | 1,372,000 | 1,368,704 | ||||||
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 | 5,595,000 | 5,175,375 | ||||||
Deutsche Telekom International Finance BV, 6.75% Sr. Unsec. Nts., 8/20/18 | 1,955,000 | 2,078,132 | ||||||
France Telecom SA, 7.75% Sr. Unsec. Nts., 3/1/111 | 1,097,000 | 1,187,055 | ||||||
Intelsat Subsidiary Holdings Co. Ltd., 8.50% Sr. Unsec. Nts., 1/15/1314 | 2,135,000 | 2,060,275 | ||||||
Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 | 5,015,000 | 5,077,688 | ||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 | 2,028,000 | 2,069,296 | ||||||
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/165 | 3,290,100 | PEN | 1,108,927 | |||||
Telefonica Emisiones SAU, 5.855% Sr. Unsec. Unsub. Nts., 2/4/13 | 1,695,000 | 1,788,666 | ||||||
Telmar Norte Leste SA, 9.50% Sr. Unsec. Nts., 4/23/1914 | 2,495,000 | 2,728,906 | ||||||
Verizon Communications, Inc.: | ||||||||
6.90% Sr. Unsec. Unsub. Bonds, 4/15/38 | 1,377,000 | 1,439,608 | ||||||
8.95% Sr. Unsec. Unsub. Nts., 3/1/39 | 3,572,000 | 4,520,062 | ||||||
Windstream Corp.: | ||||||||
8.125% Sr. Unsec. Unsub. Nts., 8/1/13 | 2,410,000 | 2,343,725 | ||||||
8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 1,535,000 | 1,477,438 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/104,5,6 | 250,000 | — | ||||||
41,496,331 | ||||||||
Wireless Telecommunication Services—0.6% | ||||||||
America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 52,700,000 | MXN | 2,865,468 | |||||
American Tower Corp., 7.25% Sr. Unsec. Nts., 5/15/1914 | 2,410,000 | 2,343,725 | ||||||
Cricket Communications, Inc., 7.75% Sr. Sec. Nts., 5/15/1614 | 2,585,000 | 2,500,988 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 5,825,000 | 4,674,563 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 11,080,000 | 8,974,800 | ||||||
Teligent, Inc., 11.50% Sr. Nts., 12/1/084,5,6 | 500,000 | — | ||||||
Vodafone Group plc, 5.625% Sr. Unsec. Unsub. Nts., 2/27/17 | 1,991,000 | 2,025,076 | ||||||
23,384,620 | ||||||||
Utilities—1.7% | ||||||||
Electric Utilities—0.9% | ||||||||
Duke Energy Carolinas LLC, 7% Sec. Bonds, Series C, 11/15/18 | 1,725,000 | 2,014,224 | ||||||
Duke Energy Corp., 6.30% Sr. Unsec. Unsub. Nts., 2/1/14 | 2,665,000 | 2,881,020 | ||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 4,405,000 | 3,402,863 |
F21 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Electric Utilities Continued | ||||||||
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/105 | 1,115,000 | BRR | $ | 606,009 | ||||
Energy Future Holdings Corp., 10.875% Sr. Unsec. Nts., 11/1/17 | 4,520,000 | 3,322,200 | ||||||
FPL Group Capital, Inc., 6% Sr. Unsec. Nts., 3/1/19 | 1,158,000 | 1,245,910 | ||||||
Georgia Power Co., 5.95% Sr. Unsec. Bonds, 2/1/39 | 835,000 | 877,451 | ||||||
ISA Capital do Brasil SA, 8.80% Sr. Nts., 1/30/1714 | 1,110,000 | 1,143,300 | ||||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/1914 | 8,015,000 | 7,929,296 | ||||||
Majapahit Holding BV: | ||||||||
7.25% Nts., 10/17/1114 | 1,990,000 | 1,960,150 | ||||||
7.75% Nts., 10/17/1614 | 4,230,000 | 3,743,550 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 109,600,000 | PHP | 2,043,969 | |||||
Texas Competitive Electric Holdings Co. LLC, 10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 1,795,000 | 1,126,363 | ||||||
32,296,305 | ||||||||
Energy Traders—0.5% | ||||||||
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/1314 | 1,010,000 | 1,030,200 | ||||||
AES Panama SA, 6.35% Sr. Nts., 12/21/1614 | 615,000 | 585,136 | ||||||
Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 | 4,110,000 | 3,503,775 | ||||||
Electric Power Development Co. Ltd., 1.80% Gtd. Unsec., 6/28/10 | 233,000,000 | JPY | 2,438,742 | |||||
Mirant North America LLC, 7.375% Sr. Unsec. Nts., 12/31/13 | 4,490,000 | 4,332,850 | ||||||
NRG Energy, Inc.: | ||||||||
7.375% Sr. Nts., 1/15/17 | 1,735,000 | 1,639,575 | ||||||
7.375% Sr. Nts., 2/1/16 | 2,820,000 | 2,675,475 | ||||||
Reliant Energy, Inc., 7.625% Sr. Unsec. Unsub. Nts., 6/15/14 | 3,540,000 | 3,256,800 | ||||||
19,462,553 | ||||||||
Multi-Utilities—0.3% | ||||||||
Consolidated Edison Co. of New York, Inc., 7.125% Sr. Unsec. Nts., 12/1/18 | 3,024,000 | 3,440,822 | ||||||
Dominion Resources, Inc., 6.40% Sr. Unsec. Nts., 6/15/18 | 1,263,000 | 1,335,263 | ||||||
Pacific Gas & Electric Co.: | ||||||||
6.25% Sr. Unsec. Nts., 12/1/13 | 2,595,000 | 2,853,171 | ||||||
8.25% Sr. Unsec. Nts., 10/15/18 | 1,354,000 | 1,654,897 | ||||||
Sempra Energy, 9.80% Sr. Unsec. Nts., 2/15/19 | 2,056,000 | 2,494,140 | ||||||
11,778,293 | ||||||||
Total Corporate Bonds and Notes (Cost $929,010,289) | 906,281,559 |
Shares | ||||||||
Preferred Stocks—0.0% | ||||||||
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.5,6,15 | 4,253 | — | ||||||
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.5,6 | 5,000 | — | ||||||
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.5,6,15 | 151 | — | ||||||
Total Preferred Stocks (Cost $537,064) | — | |||||||
Common Stocks—0.1% | ||||||||
American Media, Inc.5,6 | 1,562 | 16 | ||||||
Arco Capital Corp. Ltd.5,6 | 690,638 | 345,319 | ||||||
Charter Communications, Inc.6 | 89,923 | 1,773,816 | ||||||
Global Aero Logistics, Inc.5,6 | 2,168 | 2,168 | ||||||
MHP SA, GDR6,14 | 56,610 | 481,185 | ||||||
Premier Holdings Ltd.5,6 | 18,514 | — | ||||||
Total Common Stocks (Cost $12,106,979) | 2,602,504 |
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/115,6 (Cost $2,025) | 266 | 3 |
Principal | ||||||||
Amount | ||||||||
Structured Securities—3.6% | ||||||||
Citibank NA, New York, Dominican Republic Credit Linked Nts., 12%, 2/22/115 | 22,200,000 | DOP | 566,773 | |||||
Citigroup Global Markets Holdings, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 9.762%, 1/3/175 | 8,850,000 | BRR | 3,945,570 | |||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 3,255,000,000 | COP | 1,729,166 | |||||
Colombia (Republic of) Credit Linked Nts., 12.975%, 2/26/155,16 | 2,199,000,000 | COP | 2,045,666 | |||||
Colombia (Republic of) Credit Linked Nts., Series 01, 12.975%, 2/26/155,16 | 811,000,000 | COP | 754,450 |
F22 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Citigroup Global Markets Holdings, Inc.: Continued Colombia (Republic of) Credit Linked Nts., Series 02, 12.975% 12/26/155,16 | 1,345,000,000 | COP | $ | 1,251,215 | ||||
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 | 552,359,546 | COP | 305,564 | |||||
Colombia (Republic of) Total Return Linked Nts., 11%, 5/19/11 | 6,880,000,000 | COP | 3,473,211 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/125 | 1,200,000,000 | COP | 663,837 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 | 1,034,000,000 | COP | 572,006 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 | 927,000,000 | COP | 512,814 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 49,300,000 | DOP | 1,266,891 | |||||
Ghana (Republic of) Credit Linked Nts., 13.50%, 4/2/10 | 2,990,000 | GHS | 1,723,424 | |||||
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/2/10 | 880,000 | UAH | 108,764 | |||||
Coriolanus Ltd., Peru (Republic of) Credit Linked Bonds, 3.346%, 4/30/255,12 | 2,135,063 | 1,165,833 | ||||||
Credit Suisse First Boston International: | ||||||||
Boryspil Airport Total Return Linked Nts., 10%, 4/19/101 | 4,840,000 | UAH | 236,721 | |||||
Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 | 14,800,000,000 | IDR | 1,549,613 | |||||
Moitk Total Return Linked Nts., 21%, 3/26/111,5 | 53,910,000 | RUR | 691,841 | |||||
Oreniz Total Return Linked Nts., 9.24%, 2/21/121,5 | 116,835,000 | RUR | 1,874,218 | |||||
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 | 2,195,000 | UAH | 220,888 | |||||
Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/175 | 14,609,000,000 | VND | 486,967 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch): | ||||||||
Russian Specialized Construction and Installation Administration Credit Linked Nts., 5/20/104,5,6 | 97,250,000 | RUR | 312,009 | |||||
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/095 | 5,650,000 | UAH | 568,572 | |||||
Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 | 661,000 | UAH | 66,518 | |||||
Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/095 | 4,170,000 | UAH | 419,636 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/24/125 | 106,500,000 | RUR | 1,879,271 | |||||
Deutsche Bank AF: | ||||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 10.62%, 9/10/105 | 3,300,000 | 671,550 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 9.177%, 12/31/175,16 | 20,560,000 | BRR | 4,663,316 | |||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 112, 8.33%, 12/7/091,14 | 650,000 | 616,701 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/111,5 | 655,000 | 623,495 | ||||||
Deutsche Bank AG: | ||||||||
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 | 7,118,596 | MXN | 505,990 | |||||
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 | 4,724,887 | MXN | 335,845 | |||||
European Investment Bank, Russian Federation Credit Linked Nts., 5.502%, 1/19/105,12 | 705,000 | 664,054 | ||||||
Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 | 1,951,020 | 761,678 | ||||||
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 | 820,000 | 711,874 | ||||||
Indonesia (Republic of) Credit Linked Nts., Series 02, 12.80%, 6/22/21 | 29,700,000,000 | IDR | 3,138,540 | |||||
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/22/13 | 873,600 | 922,343 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 1A, 7.204%, 9/24/141,5 | 14,850,000 | MXN | 1,127,712 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1B, 7.204%, 9/24/141,5 | 2,970,000 | MXN | 225,543 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1C, 7.204%, 9/24/141,5 | 4,950,000 | MXN | 375,904 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.704%, 5/22/151,5 | 1,417,014 | MXN | 107,608 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.704%, 5/22/151,5 | 2,479,100 | MXN | 188,263 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.704%, 5/22/151,5 | 37,378,810 | MXN | 2,838,556 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.704%, 5/22/151,5 | 2,724,116 | MXN | 206,870 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.704%, 5/22/151,5 | 1,979,122 | MXN | 150,295 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.704%, 5/22/151,5 | 1,263,966 | MXN | 95,986 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.704%, 5/22/151,5 | 232,771 | MXN | 17,677 | |||||
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/27/10 | 885,000 | 493,326 | ||||||
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 3/1/11 | 885,000 | 423,924 |
F23 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Deutsche Bank AG: Continued Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/29/11 | $ | 885,000 | $ | 377,833 | ||||
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/29/12 | 885,000 | 370,019 | ||||||
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/30/12 | 885,000 | 366,302 | ||||||
United Mexican States Credit Linked Nts., 9.52%, 1/5/11 | 4,715,044 | MXN | 335,146 | |||||
Deutsche Bank AG, Singapore, Vietnam Shipping Industry Group Total Return Linked Nts., 9%, 4/20/17 | 36,800,000,000 | VND | 1,223,248 | |||||
Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.04%, 12/12/111,14 | 34,190,000 | RUR | 938,058 | |||||
Eirles Two Ltd. Sec. Nts.: | ||||||||
Series 324, 4.841%, 4/30/121,5 | 4,100,000 | 1,946,270 | ||||||
Series 335, 3.291%, 4/30/121,5 | 6,300,000 | 3,994,830 | ||||||
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/1712,14 | 21,980,000 | TRY | 4,412,805 | |||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/375,12 | 63,720,800,000 | COP | 704,376 | |||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 7.083%, 9/17/131,5 | 19,430,000 | 19,616,528 | ||||||
Hallertau SPC Philippines (Republic of) Credit Linked Nts., Series 2007-01, 3.211%, 12/20/171,5 | 14,290,000 | 10,831,820 | ||||||
Hallertau SPC Segregated Portfolio, Brazil (Federal Republic of) Credit Linked Nts., Series 2008-01, 9.888%, 8/2/104,5,12 | 14,337,604 | BRR | 731,697 | |||||
ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/095 | 4,689,000 | UAH | 561,174 | |||||
JPMorgan Chase Bank NA: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 10.703%, 5/16/455 | 1,445,000 | BRR | 1,271,907 | |||||
Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/165,12 | 9,020,000,000 | COP | 2,212,088 | |||||
Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/165,12 | 12,177,000,000 | COP | 2,729,034 | |||||
Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/165,12 | 12,125,000,000 | COP | 2,717,380 | |||||
Peru (Republic of) Credit Linked Nts., 8.115%, 9/2/1512,14 | 3,470,000 | PEN | 744,258 | |||||
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/105 | 1,120,000 | 1,163,568 | ||||||
JPMorgan Chase Bank NA London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/17/2114 | 25,490,000,000 | IDR | 2,693,649 | |||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/125 | 6,875,641 | 6,698,937 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/165 | 1,784,000,000 | COP | 595,360 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/1714 | 4,885,000 | PEN | 1,065,817 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 89,030,318 | RUR | 1,357,958 | |||||
Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc Total Return Linked Nts., Series A, 8.375%, 7/9/12 | 17,279,895 | RUR | 491,069 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/2212,14 | 28,914,000 | BRR | 898,481 | |||||
Ukraine (Republic of) Credit Linked Nts., 3.476%, 10/15/171,5 | 8,300,000 | 3,320,000 | ||||||
Ukraine (Republic of) Credit Linked Nts., Series 2, 4.346%, 10/15/171,5 | 6,800,000 | 2,720,000 | ||||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/155 | 2,000,000 | 1,424,600 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series A, 15%, 3/8/12 | 4,777,231 | 3,663,658 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series C, 15%, 3/8/12 | 6,391,949 | 4,915,378 | ||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/115 | 1,222,052 | GHS | 522,978 | |||||
Total Structured Securities (Cost $197,386,559) | 135,874,714 | |||||||
Event-Linked Bonds—0.9% | ||||||||
Akibare Ltd. Catastrophe Linked Nts., Cl. A, 3.666%, 5/22/121,14 | 1,888,000 | 1,801,624 | ||||||
Atlas V Capital Ltd. Catastrophe Linked Nts., Series 2, 12.708%, 2/24/121,14 | 820,000 | 809,996 | ||||||
Cascadia Ltd. Catastrophe Linked Nts., 4.668%, 8/31/091,14 | 1,130,000 | 1,129,040 | ||||||
East Lane Re III Ltd. Catastrophe Linked Nts., 11.806%, 3/16/121,14 | 3,373,000 | 3,378,650 | ||||||
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 4.916%, 8/10/111,14 | 2,880,000 | 2,755,872 |
F24 | OPPENHEIMER STRATEGIC BOND FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Event-Linked Bonds Continued | ||||||||
Lakeside Re Ltd. Catastrophe Linked Nts., 7.098%, 12/31/091,14 | $ | 4,100,000 | $ | 4,097,130 | ||||
Medquake Ltd. Catastrophe Linked Nts., 5.983%, 5/31/101,14 | 1,500,000 | 1,465,725 | ||||||
Midori Ltd. Catastrophe Linked Nts., 3.881%, 10/24/121,14 | 1,850,000 | 1,780,440 | ||||||
Muteki Ltd. Catastrophe Linked Nts., 5.21%, 5/24/111,14 | 2,100,000 | 1,999,935 | ||||||
Nelson Re Ltd. Catastrophe Linked Nts., Series 2007-I, Cl. A, 12.783%, 6/21/101,14 | 3,340,000 | 3,146,614 | ||||||
Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts., Series D, 6.131%, 1/15/101,14 | 890,000 | 878,341 | ||||||
Residential Reinsurance 2007 Ltd. Catastrophe Linked Nts.: | ||||||||
Series CL2, 12.168%, 6/6/111,14 | 2,590,000 | 2,381,440 | ||||||
Series CL3, 12.918%, 6/7/101,14 | 1,000,000 | 948,200 | ||||||
Vega Capital Ltd. Catastrophe Linked Nts., Series D, 0%, 6/24/115,12 | 4,205,000 | 5,067,025 | ||||||
Willow Re Ltd. Catastrophe Linked Nts., 6/16/104,14 | 2,480,000 | 1,302,000 | ||||||
Total Event-Linked Bonds (Cost $34,146,207) | 32,942,032 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.0% | ||||||||||||||||
Hungarian Forint Put6 (Cost $372,532) | 8/18/09 | 270 | EUR | 15,550,000 | 189,499 |
Shares | Value | |||||||
Investment Companies—18.5% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%19,22 | 3,536,645 | $ | 3,536,645 | |||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%19,20 | 450,768,943 | 450,768,943 | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC20 | 1,404,749 | 14,017,706 | ||||||
Oppenheimer Master Loan Fund, LLC20 | 25,324,221 | 232,703,875 | ||||||
Total Investment Companies (Cost $714,601,116) | 701,027,169 | |||||||
Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $4,093,999,664) | 3,845,513,917 | |||||||
Investments Purchased with Cash Collateral from Securities Loaned—2.0%21 | ||||||||
OFI Liquid Assets Fund, LLC, 1.02%19,20 (Cost $74,026,020) | 74,026,020 | 74,026,020 | ||||||
Total Investments, at Value (Cost $4,168,025,684) | 103.7 | % | 3,919,539,937 | |||||
Liabilities in Excess of Other Assets | (3.7 | ) | (138,641,278 | ) | ||||
Net Assets | 100.0 | % | $ | 3,780,898,659 | ||||
Footnotes to Statement of Investments
Principal amount and strike price are reported in U.S. Dollars, except for those denoted in the following currencies:
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
DKK | Danish Krone | |
DOP | Dominican Republic Peso | |
EGP | Egyptian Pounds | |
EUR | Euro | |
GBP | British Pound Sterling | |
GHS | Ghana Cedi | |
HUF | Hungarian Forint | |
IDR | Indonesia Rupiah | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NOK | Norwegian Krone | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
UYU | Uruguay Peso | |
VND | Vietnam Dong |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | A sufficient amount of liquid assets has been designated to cover outstanding written put options. See Note 5 of accompanying Notes. | |
3. | A sufficient amount of liquid assets has been designated to cover outstanding written call options. See Note 5 of accompanying Notes. | |
4. | Issue is in default. See Note 1 of accompanying Notes. |
F25 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
5. | Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of June 30, 2009 was $132,175,758, which represents 3.50% of the Fund’s net assets, of which $5,334,414 is considered restricted. See Note 6 of accompanying Notes. Information concerning restricted securities is as follows: |
Acquisition | Unrealized | |||||||||||||||
Security | Date | Cost | Value | Depreciation | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1A, 7.204%, 9/24/14 | 12/27/07 | $ | 1,364,764 | $ | 1,127,712 | $ | 237,052 | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1B, 7.204%, 9/24/14 | 6/12/08 | 286,334 | 225,543 | 60,791 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1C, 7.204%, 9/24/14 | 8/12/08 | 487,085 | 375,904 | 111,181 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.704%, 5/22/15 | 5/21/08 | 136,622 | 107,608 | 29,014 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.704%, 5/22/15 | 6/12/08 | 239,007 | 188,263 | 50,744 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.704%, 5/22/15 | 6/18/08 | 3,626,317 | 2,838,556 | 787,761 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.704%, 5/22/15 | 7/8/08 | 264,086 | 206,870 | 57,216 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.704%, 5/22/15 | 7/15/08 | 192,185 | 150,295 | 41,890 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.704%, 5/22/15 | 8/8/08 | 124,426 | 95,986 | 28,440 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.704%, 5/22/15 | 8/22/08 | 22,959 | 17,677 | 5,282 | ||||||||||||
$ | 6,743,785 | $ | 5,334,414 | $ | 1,409,371 | |||||||||||
6. | Non-income producing security. | |
7. | A sufficient amount of securities has been designated to cover outstanding foreign currency exchange contracts. See Note 5 of accompanying Notes. | |
8. | 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 $17,400,869 or 0.46% of the Fund’s net assets as of June 30, 2009. | |
9. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $4,650,855 or 0.12% of the Fund’s net assets as of June 30, 2009. | |
10. | When-issued security or delayed delivery to be delivered and settled after June 30, 2009. See Note 1 of accompanying Notes. | |
11. | Partial or fully-loaned security. See Note 7 of accompanying Notes. | |
12. | Zero coupon bond reflects effective yield on the date of purchase. | |
13. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $25,618,608. See Note 5 of accompanying Notes. | |
14. | 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 $322,766,868 or 8.54% of the Fund’s net assets as of June 30, 2009. | |
15. | Interest or dividend is paid-in-kind, when applicable. | |
16. | Denotes an inflation-indexed security: coupon and principal are indexed to a consumer price index. | |
17. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
18. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
19. | Rate shown is the 7-day yield as of June 30, 2009. | |
20. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
OFI Liquid Assets Fund, LLC | 325,265,870 | 115,905,820 | 367,145,670 | 74,026,020 | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 314,416,821 | 2,276,579,177 | 2,140,227,055 | 450,768,943 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 1,404,749 | — | — | 1,404,749 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 14,194,313 | 11,129,908 | — | 25,324,221 |
Realized | ||||||||||||
Value | Income | Loss | ||||||||||
OFI Liquid Assets Fund, LLC | $ | 74,026,020 | $ | 450,546 | a | $ | — | |||||
Oppenheimer Institutional Money Market Fund, Cl. E | 450,768,943 | 2,295,917 | — | |||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 14,017,706 | 626,451 | b | 91,029 | b | |||||||
Oppenheimer Master Loan Fund, LLC | 232,703,875 | 6,305,685 | c | 5,754,170 | c | |||||||
$ | 771,516,544 | $ | 9,678,599 | $ | 5,845,199 | |||||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
b. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | |
c. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. | |
21. | The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 7 of accompanying Notes. | |
22. | Interest rate less than 0.0005%. |
F26 | OPPENHEIMER STRATEGIC BOND FUND/ VA
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 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 | $ | — | $ | 21,560,344 | $ | — | $ | 21,560,344 | ||||||||
Mortgage-Backed Obligations | — | 620,240,389 | — | 620,240,389 | ||||||||||||
U.S. Government Obligations | — | 459,158,257 | — | 459,158,257 | ||||||||||||
Foreign Government Obligations | — | 900,595,644 | — | 900,595,644 | ||||||||||||
Loan Participations | — | 65,041,803 | — | 65,041,803 | ||||||||||||
Corporate Bonds and Notes | — | 905,814,862 | 466,697 | 906,281,559 | ||||||||||||
Preferred Stocks | — | — | — | — | ||||||||||||
Common Stocks | 481,185 | 2,119,151 | 2,168 | 2,602,504 | ||||||||||||
Rights, Warrants and Certificates | — | — | 3 | 3 | ||||||||||||
Structured Securities | — | 135,874,714 | — | 135,874,714 | ||||||||||||
Event-Linked Bonds | — | 32,942,032 | — | 32,942,032 | ||||||||||||
Options Purchased | — | 189,499 | — | 189,499 | ||||||||||||
Investment Companies | 701,027,169 | — | — | 701,027,169 | ||||||||||||
Investments Purchased with Cash Collateral from Securities Loaned | 74,026,020 | — | — | 74,026,020 | ||||||||||||
Total Investments, at Value | 775,534,374 | 3,143,536,695 | 468,868 | 3,919,539,937 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps | — | 23,757,483 | — | 23,757,483 | ||||||||||||
Foreign currency exchange contracts | — | 13,203,275 | — | 13,203,275 | ||||||||||||
Futures | 1,534,891 | — | — | 1,534,891 | ||||||||||||
Total Assets | $ | 777,069,265 | $ | 3,180,497,453 | $ | 468,868 | $ | 3,958,035,586 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps | $ | — | $ | (22,115,585 | ) | $ | — | $ | (22,115,585 | ) | ||||||
Options written | — | (271,014 | ) | — | (271,014 | ) | ||||||||||
Foreign currency exchange contracts | — | (5,100,488 | ) | — | (5,100,488 | ) | ||||||||||
Futures | (1,833,379 | ) | — | — | (1,833,379 | ) | ||||||||||
Unfunded loan commitments | — | (846,883 | ) | — | (846,883 | ) | ||||||||||
Total Liabilities | $ | (1,833,379 | ) | $ | (28,333,970 | ) | $ | — | $ | (30,167,349 | ) | |||||
Currency contracts, forwards and unfunded loan commitments, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
F27 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts as of June 30, 2009 are as follows:
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Banc of America: | ||||||||||||||||||||||||
Hungarian Forint (HUF) | Buy | 1,561,000 | HUF | 7/6/09 | $ | 8,036,543 | $ | 129,945 | $ | — | ||||||||||||||
Indonesia Rupiah (IDR) | Buy | 221,316,000 | IDR | 8/19/09-8/26/09 | 21,425,506 | 127,839 | — | |||||||||||||||||
Japanese Yen (JPY) | Buy | 1,047,000 | JPY | 11/12/09 | 10,888,167 | 258,725 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 18,540 | NZD | 8/10/09 | 11,932,329 | 158,510 | 48,984 | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 226,000 | TWD | 7/6/09 | 6,898,082 | 137,813 | — | |||||||||||||||||
Philippines Peso (PHP) | Sell | 92,900 | PHP | 7/17/09 | 1,926,866 | — | 2,276 | |||||||||||||||||
Polish Zloty (PLZ) | Buy | 15,190 | PLZ | 8/10/09 | 4,772,069 | 100,052 | — | |||||||||||||||||
912,884 | 51,260 | |||||||||||||||||||||||
Bank Paribas Asia—FGN: | ||||||||||||||||||||||||
Euro (EUR) | Sell | 30,095 | EUR | 8/3/09-11/12/09 | 42,215,526 | 148,466 | 829,155 | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 3,299,000 | HUF | 8/3/09 | 16,867,441 | 498,531 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 286,770 | JPY | 8/10/09 | 2,978,236 | — | 64,558 | |||||||||||||||||
Polish Zloty (PLZ) | Buy | 66,780 | PLZ | 8/3/09 | 20,989,273 | 93,097 | — | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 7,970 | PLZ | 11/12/09 | 2,489,529 | — | 75,109 | |||||||||||||||||
Swedish Krona (SEK) | Sell | 18,570 | SEK | 8/10/09 | 2,406,852 | — | 84,964 | |||||||||||||||||
Swiss Franc (CHF) | Buy | 732 | CHF | 8/10/09 | 674,041 | 2,580 | — | |||||||||||||||||
424,751 | 1,053,786 | |||||||||||||||||||||||
Barclay’s Capital: | ||||||||||||||||||||||||
Euro (EUR) | Buy | 17,340 | EUR | 9/24/09 | 24,320,958 | 322,398 | — | |||||||||||||||||
Euro (EUR) | Sell | 13,232 | EUR | 8/10/09 | 18,562,579 | 11,120 | 147,718 | |||||||||||||||||
Israeli Shekel (ILS) | Sell | 29,100 | ILS | 7/6/09 | 7,404,787 | 91,233 | — | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 15,950 | PLZ | 11/12/09 | 4,982,182 | — | 70,711 | |||||||||||||||||
424,751 | 218,429 | |||||||||||||||||||||||
Chase Manhattan Bank | ||||||||||||||||||||||||
Japanese Yen (JPY) | Buy | 378 | JPY | 7/7/09 | 3,920 | — | 4 | |||||||||||||||||
Citigroup: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 1,110 | GBP | 8/10/09 | 1,826,105 | 54,559 | — | |||||||||||||||||
Chilean Peso (CLP) | Sell | 4,137,000 | CLP | 8/3/09 | 7,772,447 | 27,327 | — | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 87,300 | CNY | 9/2/09 | 12,789,773 | — | 328,184 | |||||||||||||||||
Peruvian New Sol (PEN) | Buy | 44,060 | PEN | 7/13/09 | 14,644,160 | — | 241,809 | |||||||||||||||||
Peruvian New Sol (PEN) | Sell | 10,880 | PEN | 10/26/09 | 3,598,497 | — | 122,459 | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 2,100 | SGD | 8/11/09 | 1,449,315 | 6,016 | — | |||||||||||||||||
87,902 | 692,452 | |||||||||||||||||||||||
Credit Suisse: | ||||||||||||||||||||||||
Japanese Yen (JPY) | Buy | 2,429,000 | JPY | 11/12/09 | 25,260,130 | 600,795 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 91,000 | JPY | 8/10/09 | 945,076 | — | 18,245 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 214,060 | MXN | 8/10/09 | 16,154,971 | — | 286,920 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 32,474 | TRY | 7/2/09-7/29/09 | 21,023,351 | — | 32,562 | |||||||||||||||||
New Turkish Lira (TRY) | Sell | 21,231 | TRY | 8/10/09 | 13,637,575 | 11,413 | — | |||||||||||||||||
Russian Ruble (RUR) | Sell | 3,050 | RUR | 11/16/09 | 93,976 | — | 2,467 | |||||||||||||||||
South African Rand (ZAR) | Buy | 166,885 | ZAR | 7/15/09-8/17/09 | 21,463,756 | 962,666 | — | |||||||||||||||||
1,574,874 | 340,194 | |||||||||||||||||||||||
Deutsche Bank Capital Corp.: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 1,199 | AUD | 7/20/09 | 964,613 | 24,010 | — | |||||||||||||||||
British Pound Sterling (GBP) | Buy | 2,325 | GBP | 7/20/09 | 3,825,041 | 39,127 | — | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 4,130 | CAD | 7/20/09 | 3,551,049 | — | 59,059 | |||||||||||||||||
Euro (EUR) | Buy | 15,030 | EUR | 7/20/09 | 21,085,366 | 279,787 | — | |||||||||||||||||
Euro (EUR) | Sell | 9,830 | EUR | 11/12/09 | 13,786,816 | — | 476,996 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 489,000 | JPY | 7/21/09 | 5,077,311 | — | 28,885 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 1,728,000 | JPY | 7/22/09 | 17,942,125 | 62,752 | — | |||||||||||||||||
Russian Ruble (RUR) | Sell | 107,800 | RUR | 9/18/09 | 3,385,192 | 634,946 | — |
F28 | OPPENHEIMER STRATEGIC BOND FUND/VA
Foreign Currency Exchange Contracts: Continued
Contract | ||||||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||||||
Deutsche Bank Capital Corp. Continued | ||||||||||||||||||||||||||||
Swiss Franc (CHF) | Buy | 952 | CHF | 7/20/09 | 876,394 | $ | 274 | $ | — | |||||||||||||||||||
1,040,896 | 564,940 | |||||||||||||||||||||||||||
Goldman, Sachs & Co.: | ||||||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 195,022 | BRR | 7/2/09-1/5/10 | $ | 98,440,343 | 4,767,726 | 543,536 | ||||||||||||||||||||
Brazilian Real (BRR) | Sell | 8,680 | BRR | 8/4/09 | 4,399,119 | 52,620 | — | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 326,650 | MXN | 8/10/09 | 24,652,066 | 335,628 | — | |||||||||||||||||||||
South African Rand (ZAR) | Buy | 31,210 | ZAR | 7/15/09 | 4,034,089 | 172,182 | — | |||||||||||||||||||||
South Korean Won (KRW) | Buy | 12,420,000 | KRW | 8/24/09 | 9,777,223 | — | 281,337 | |||||||||||||||||||||
5,328,156 | 824,872 | |||||||||||||||||||||||||||
Hong Kong & Shanghai Bank Corp.: | ||||||||||||||||||||||||||||
Hungarian Forint (HUF) | Buy | 2,447,000 | HUF | 7/20/09 | 12,553,524 | 527,181 | — | |||||||||||||||||||||
Israeli Shekel (ILS) | Sell | 51,660 | ILS | 7/31/09 | 13,146,978 | — | 94,437 | |||||||||||||||||||||
Russian Ruble (RUR) | Buy | 45,980 | RUR | 9/18/09 | 1,443,888 | 46,320 | — | |||||||||||||||||||||
573,501 | 94,437 | |||||||||||||||||||||||||||
JP Morgan Chase: | ||||||||||||||||||||||||||||
Argentine Peso (ARP) | Buy | 26,150 | ARP | 7/28/09 | 6,782,045 | 33,658 | — | |||||||||||||||||||||
Australian Dollar (AUD) | Buy | 13,600 | AUD | 8/10/09 | 10,924,002 | 39,418 | — | |||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 80,050 | CNY | 12/17/09 | 11,764,245 | 265,440 | 41,782 | |||||||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 58,500 | HKD | 8/3/09 | 7,550,595 | — | 455 | |||||||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 24,670,000 | IDR | 8/18/09 | 2,389,882 | 4,002 | — | |||||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 6,340 | MYR | 7/8/09 | 1,803,152 | — | 8,639 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 129,125 | MXN | 8/10/09 | 9,744,981 | 197,069 | — | |||||||||||||||||||||
Russian Ruble (RUR) | Buy | 64,870 | RUR | 9/18/09-11/16/09 | 2,035,280 | 24,742 | — | |||||||||||||||||||||
South Korean Won (KRW) | Sell | 9,260,000 | KRW | 8/3/09 | 7,283,601 | — | 49,226 | |||||||||||||||||||||
564,329 | 100,102 | |||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | ||||||||||||||||||||||||||||
South African Rand (ZAR) | Buy | 31,780 | ZAR | 7/15/09 | 4,107,765 | 242,526 | — | |||||||||||||||||||||
RBS Greenwich Capital: | ||||||||||||||||||||||||||||
Norwegian Krone (NOK) | Buy | 77,130 | NOK | 8/10/09 | 11,981,872 | 43,300 | 11,382 | |||||||||||||||||||||
Polish Zloty (PLZ) | Buy | 24,420 | PLZ | 8/3/09 | 7,675,323 | 176,935 | — | |||||||||||||||||||||
Swiss Franc (CHF) | Sell | 13,687 | CHF | 8/10/09 | 12,603,282 | 719 | — | |||||||||||||||||||||
220,954 | 11,382 | |||||||||||||||||||||||||||
Santander Investments: | ||||||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 63,000 | BRR | 8/4/09 | 31,929,089 | — | 243,314 | |||||||||||||||||||||
Colombian Peso (COP) | Buy | 23,860,000 | COP | 8/5/09 | 11,060,876 | 776,393 | — | |||||||||||||||||||||
Colombian Peso (COP) | Sell | 15,056,000 | COP | 7/17/09-7/31/09 | 6,994,332 | — | 374,568 | |||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 382,330 | MXN | 7/20/09-8/31/09 | 28,785,723 | — | 166,419 | |||||||||||||||||||||
Peruvian New Sol (PEN) | Sell | 11,779 | PEN | 9/4/09 | 3,903,693 | — | 364,330 | |||||||||||||||||||||
776,393 | 1,148,631 | |||||||||||||||||||||||||||
Standard New York Securities, Inc. | ||||||||||||||||||||||||||||
South African Rand (ZAR) | Buy | 181,660 | ZAR | 8/3/09-8/17/09 | 23,342,583 | 660,619 | — | |||||||||||||||||||||
State Street | ||||||||||||||||||||||||||||
Canadian Dollar (CAD) | Sell | 7,500 | CAD | 8/10/09 | 6,449,499 | 52,816 | — | |||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 13,203,275 | $ | 5,100,488 | ||||||||||||||||||||||||
F29 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Futures Contracts as of June 30, 2009 are as follows:
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
CAC40 10 Euro Index | Sell | 141 | 7/17/09 | $ | 6,203,106 | $ | 232,763 | |||||||||||||
DAX Index | Sell | 76 | 9/18/09 | 12,846,050 | 44,802 | |||||||||||||||
Euro-Bundesobligation, 5 yr. | Buy | 131 | 9/8/09 | 21,216,770 | 209,518 | |||||||||||||||
Euro-Bundesobligation, 10 yr. | Buy | 51 | 9/8/09 | 8,662,767 | 179,921 | |||||||||||||||
Euro-Bundesobligation, 10 yr. | Sell | 99 | 9/8/09 | 16,815,959 | (199,394 | ) | ||||||||||||||
FTSE 100 Index | Buy | 51 | 9/18/09 | 3,539,115 | (117,559 | ) | ||||||||||||||
FTSE 100 Index | Sell | 148 | 9/18/09 | 10,270,372 | 234,608 | |||||||||||||||
IBEX 35 Index | Buy | 30 | 7/17/09 | 4,089,474 | 108,650 | |||||||||||||||
Japan (Government of) Bonds, 10 yr. | Buy | 40 | 9/9/09 | 5,738,309 | 58,690 | |||||||||||||||
Mexican Bolsa Index | Sell | 197 | 9/18/09 | 3,676,625 | 98,170 | |||||||||||||||
MSCI Taiwan Index | Buy | 151 | 7/30/09 | 3,479,040 | (6,351 | ) | ||||||||||||||
NASDAQ 100 E-Mini Index | Buy | 456 | 9/18/09 | 13,463,400 | (83,174 | ) | ||||||||||||||
NIKKEI 225 Index | Buy | 21 | 9/10/09 | 1,083,952 | 14,634 | |||||||||||||||
NIKKEI 225 Index | Sell | 96 | 9/10/09 | 9,895,469 | (89,928 | ) | ||||||||||||||
SGX CNX Nifty Index | Sell | 407 | 7/30/09 | 3,502,235 | (50,568 | ) | ||||||||||||||
SPI 200 Index | Buy | 54 | 9/17/09 | 4,243,634 | (66,302 | ) | ||||||||||||||
Standard & Poor’s 500 E-Mini Index | Sell | 1,206 | 9/18/09 | 55,204,650 | 1,273,657 | |||||||||||||||
Standard & Poor’s/MIB Index, 10 yr. | Buy | 28 | 9/18/09 | 3,748,888 | (124,399 | ) | ||||||||||||||
U.S. Treasury Long Bonds | Buy | 2,006 | 9/21/09 | 237,428,906 | 4,090,442 | |||||||||||||||
U.S. Treasury Long Bonds | Sell | 186 | 9/21/09 | 22,014,844 | (544,189 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. | Buy | 660 | 9/30/09 | 142,704,375 | (12,869 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 165 | 9/30/09 | 35,676,094 | (2,186 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Buy | 1,850 | 9/30/09 | 212,229,688 | (654,557 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 896 | 9/30/09 | 102,788,000 | 1,185,917 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 3,975 | 9/21/09 | 462,155,859 | 3,175,973 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 2,278 | 9/21/09 | 264,853,094 | (471,133 | ) | ||||||||||||||
United Kingdom Long Gilt | Buy | 140 | 9/28/09 | 27,197,078 | 218,398 | |||||||||||||||
$ | 8,703,534 | |||||||||||||||||||
Written Options as of June 30, 2009 are as follows:
Number of | Exercise | Expiration | Premiums | |||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | ||||||||||||||||||
Hungarian Forint (HUF) | Put | 15,550,000 | 255.000 | EUR | 8/18/09 | $ | 100,626 | $ | (22,824 | ) | ||||||||||||||
Polish Zloty (PLN) | Call | 7,870,000 | 4.670 | EUR | 7/27/09 | 78,720 | (93,402 | ) | ||||||||||||||||
Polish Zloty (PLN) | Call | 7,870,000 | 4.687 | EUR | 7/27/09 | 81,472 | (30,913 | ) | ||||||||||||||||
Polish Zloty (PLN) | Put | 7,870,000 | 4.379 | EUR | 7/27/09 | 79,546 | (68,341 | ) | ||||||||||||||||
Polish Zloty (PLN) | Put | 7,870,000 | 4.381 | EUR | 7/27/09 | 76,518 | (55,534 | ) | ||||||||||||||||
$ | 416,882 | $ | (271,014 | ) | ||||||||||||||||||||
Exercise price is reported in U.S. Dollars (USD), except for those denoted in the following currency: EUR Euro
F30 | OPPENHEIMER STRATEGIC BOND FUND/VA
Credit Default Swap Contracts as of June 30, 2009 are as follows:
Buy/Sell | Notional | Payment | ||||||||||||||||||||||||
Swap | Credit | Amount | Receive | Termination | Received/ | |||||||||||||||||||||
Reference Entity | Counterparty | Protection | (000’s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
American International Group, Inc.: | ||||||||||||||||||||||||||
Deutsche Bank AG | Sell | $ | 3,035 | 5.00 | % | 6/20/14 | $ | 711,539 | $ | (832,317 | ) | |||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 3,035 | 5.00 | 6/20/14 | 696,785 | (832,317 | ) | |||||||||||||||||||
Total | 6,070 | 1,408,324 | (1,664,634 | ) | ||||||||||||||||||||||
Bolivarian Republic of Venezuela: | ||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,360 | 30.50 | 1/20/10 | — | 328,036 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,360 | 30.00 | 1/20/10 | — | 321,348 | ||||||||||||||||||||
Total | 2,720 | — | 649,384 | |||||||||||||||||||||||
CDX Emerging Market Index, Series 11: | ||||||||||||||||||||||||||
Barclays Bank plc | Buy | 7,650 | 5.00 | 6/20/14 | 490,662 | (351,224 | ) | |||||||||||||||||||
Barclays Bank plc | Buy | 12,500 | 5.00 | 6/20/14 | 778,472 | (573,895 | ) | |||||||||||||||||||
Deutsche Bank AG | Buy | 4,600 | 5.00 | 6/20/14 | 295,039 | (211,193 | ) | |||||||||||||||||||
Goldman Sachs International | Buy | 12,250 | 5.00 | 6/20/14 | 762,903 | (562,417 | ) | |||||||||||||||||||
Total | 37,000 | 2,327,076 | (1,698,729 | ) | ||||||||||||||||||||||
Cemex SAB de CV: | ||||||||||||||||||||||||||
UBS AG | Buy | 1,535 | 5.30 | 10/20/13 | — | 149,220 | ||||||||||||||||||||
UBS AG | Buy | 1,535 | 5.30 | 10/20/13 | — | 149,220 | ||||||||||||||||||||
Total | 3,070 | — | 298,440 | |||||||||||||||||||||||
CIT Group, Inc. | Deutsche Bank AG | Sell | 6,070 | 5.00 | 6/20/14 | 696,364 | (1,875,504 | ) | ||||||||||||||||||
Total | 6,070 | 696,364 | (1,875,504 | ) | ||||||||||||||||||||||
ConocoPhillips | Deutsche Bank AG | Buy | 6,070 | 1.00 | 6/20/14 | 150,637 | (135,453 | ) | ||||||||||||||||||
Total | 6,070 | 150,637 | (135,453 | ) | ||||||||||||||||||||||
Darden Restaurants, Inc. | Deutsche Bank AG | Sell | 6,070 | 1.00 | 6/20/14 | 9,733 | (67,363 | ) | ||||||||||||||||||
Total | 6,070 | 9,733 | (67,363 | ) | ||||||||||||||||||||||
Development Bank of Kazakhstan JSC | Credit Suisse International | Sell | 8,170 | 3.75 | 2/20/13 | — | (1,416,980 | ) | ||||||||||||||||||
Total | 8,170 | — | (1,416,980 | ) | ||||||||||||||||||||||
Devon Energy | Credit Suisse International | Buy | 6,070 | 1.00 | 6/20/14 | 150,026 | (143,109 | ) | ||||||||||||||||||
Total | 6,070 | 150,026 | (143,109 | ) | ||||||||||||||||||||||
FirstEnergy Corp. | Morgan Stanley Capital Services, Inc. | Buy | 6,070 | 1.00 | 6/20/14 | (130,657 | ) | 316,283 | ||||||||||||||||||
Total | 6,070 | (130,657 | ) | 316,283 | ||||||||||||||||||||||
HSBK Europe BV: | ||||||||||||||||||||||||||
Credit Suisse International | Sell | 1,600 | 4.95 | 3/20/13 | — | (577,391 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 3,200 | 4.88 | 3/20/13 | — | (1,159,108 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 3,200 | 4.78 | 3/20/13 | — | (1,165,289 | ) | |||||||||||||||||||
Total | 8,000 | — | (2,901,788 | ) | ||||||||||||||||||||||
Islamic Republic of Pakistan | Citibank NA, New York | Sell | 1,570 | 5.10 | 3/20/13 | — | (553,030 | ) | ||||||||||||||||||
Total | 1,570 | — | (553,030 | ) |
F31 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Credit Default Swap Contracts: Continued
Buy/Sell | Notional | Payment | ||||||||||||||||||||||||
Swap | Credit | Amount | Receive | Termination | Received/ | |||||||||||||||||||||
Reference Entity | Counterparty | Protection | (000’s) | Fixed Rate | Date | (Paid) | Value | |||||||||||||||||||
Istanbul Bond Co. SA | Morgan Stanley Capital Services, Inc. | Sell | $ | 5,180 | 1.30 | % | 3/24/13 | $ | — | $ | (851,888 | ) | ||||||||||||||
Total | 5,180 | — | (851,888 | ) | ||||||||||||||||||||||
Marsh & Mclennan Cos., Inc. | Deutsche Bank AG | Buy | 6,070 | 1.00 | 6/20/14 | 161,719 | (143,109 | ) | ||||||||||||||||||
Total | 6,070 | 161,719 | (143,109 | ) | ||||||||||||||||||||||
McDonald’s Corp. | Morgan Stanley Capital Services, Inc. | Sell | 6,070 | 1.00 | 6/20/14 | (206,842 | ) | 177,985 | ||||||||||||||||||
Total | 6,070 | (206,842 | ) | 177,985 | ||||||||||||||||||||||
Norfolk Southern | Barclays Bank plc | Buy | 6,070 | 1.00 | 6/20/14 | 197,027 | (160,505 | ) | ||||||||||||||||||
Total | 6,070 | 197,027 | (160,505 | ) | ||||||||||||||||||||||
PEMEX Project Funding Master | Goldman Sachs International | Buy | 1,005 | 3.45 | 11/20/13 | — | (45,080 | ) | ||||||||||||||||||
Total | 1,005 | — | (45,080 | ) | ||||||||||||||||||||||
Republic of Peru | Deutsche Bank AG | Buy | 1,900 | 1.71 | 12/20/16 | — | 43,282 | |||||||||||||||||||
Total | 1,900 | — | 43,282 | |||||||||||||||||||||||
Republic of Turkey: | ||||||||||||||||||||||||||
Citibank NA, New York | Buy | 3,250 | 5.25 | 12/20/13 | — | (339,227 | ) | |||||||||||||||||||
Goldman Sachs International | Buy | 6,500 | 5.29 | 12/20/13 | — | (688,705 | ) | |||||||||||||||||||
Total | 9,750 | — | (1,027,932 | ) | ||||||||||||||||||||||
Russian Federation | Citibank NA, New York | Sell | 10,000 | 0.36 | 1/20/11 | — | (439,554 | ) | ||||||||||||||||||
Total | 10,000 | — | (439,554 | ) | ||||||||||||||||||||||
Standard Bank London Holdings plc for NAK Naftogaz Ukrainy | Credit Suisse International | Sell | 2,570 | 3.25 | 4/20/11 | — | (1,035,978 | ) | ||||||||||||||||||
Total | 2,570 | — | (1,035,978 | ) | ||||||||||||||||||||||
Troy Capital SA for Yasar Holdings SA: | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,340 | 8.75 | 6/20/10 | — | (200,329 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,340 | 8.50 | 10/20/09 | — | (48,686 | ) | |||||||||||||||||||
Total | 2,680 | — | (249,015 | ) | ||||||||||||||||||||||
Ukraine: | ||||||||||||||||||||||||||
Citibank NA, New York | Buy | 1,660 | 4.18 | 8/20/13 | — | 607,656 | ||||||||||||||||||||
Citibank NA, New York | Buy | 2,340 | 6.65 | 10/20/13 | — | 753,358 | ||||||||||||||||||||
Goldman Sachs International | Buy | 4,600 | 4.22 | 8/20/13 | — | 1,679,455 | ||||||||||||||||||||
Merrill Lynch International | Buy | 7,580 | 4.30 | 8/20/13 | — | 2,752,897 | ||||||||||||||||||||
Total | 16,180 | — | 5,793,366 | |||||||||||||||||||||||
United Mexican States | Citibank NA, New York | Sell | 2,760 | 3.75 | 2/20/14 | — | 202,460 | |||||||||||||||||||
Total | 2,760 | — | 202,460 | |||||||||||||||||||||||
VTB Capital SA | Goldman Sachs International | Buy | 3,300 | 7.40 | 5/28/13 | — | (168,283 | ) | ||||||||||||||||||
Total | 3,300 | — | (168,283 | ) | ||||||||||||||||||||||
XL Capital Ltd. | Deutsche Bank AG | Sell | 6,070 | 5.00 | 6/20/14 | (614,883 | ) | 128,277 | ||||||||||||||||||
Total | 6,070 | (614,883 | ) | 128,277 | ||||||||||||||||||||||
Grand Total Buys | 2,855,828 | 2,929,171 | ||||||||||||||||||||||||
Grand Total Sells | 1,292,696 | (9,897,628 | ) | |||||||||||||||||||||||
Total Credit Default Swaps | $ | 4,148,524 | $ | (6,968,457 | ) | |||||||||||||||||||||
F32 | OPPENHEIMER STRATEGIC BOND FUND/VA
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
Type of Reference | Total Maximum Potential | |||||||||||
Asset on which the | Payments for Selling Credit | Amount | Reference Asset | |||||||||
Fund Sold Protection | Protection (Undiscounted) | Recoverable* | Rating Range** | |||||||||
Investment Grade Single Name Corporate Debt | $ | 24,280,000 | $ | — | A to BBB | |||||||
Non-Investment Grade Single Name Corporate Debt | 6,070,000 | — | BB | |||||||||
Investment Grade Sovereign Debt | 26,110,000 | — | BBB+ to BBB- | |||||||||
Non-Investment Grade Sovereign Debt | 17,540,000 | — | BB to CCC+ | |||||||||
Total | $ | 74,000,000 | $ | — | ||||||||
* | The Fund has no amounts recoverable from related purchased 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 & Poor’s 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. |
Interest Rate Swap Contracts as of June 30, 2009 are as follows:
Notional | ||||||||||||||||||||||||
Interest Rate/Swap | Amount | Paid by | Received by | Termination | ||||||||||||||||||||
Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||||
AUD BBR BBSW: | ||||||||||||||||||||||||
Westpac Banking Corp. | 12,305 | AUD | Six-Month AUD BBR BBSW | 5.580 | % | 6/23/14 | $ | 85,143 | ||||||||||||||||
Westpac Banking Corp. | 6,185 | AUD | Six-Month AUD BBR BBSW | 5.368 | 6/19/14 | (1,524 | ) | |||||||||||||||||
Westpac Banking Corp. | 13,885 | AUD | Six-Month AUD BBR BBSW | 5.525 | 6/25/14 | 70,063 | ||||||||||||||||||
Total | 32,375 | AUD | 153,682 | |||||||||||||||||||||
BZDI: | ||||||||||||||||||||||||
Banco Santander Central Hispano SA | 4,420 | BRR | BZDI | 14.000 | 1/3/12 | 194,780 | ||||||||||||||||||
Banco Santander SA, Inc. | 32,480 | BRR | BZDI | 14.900 | 1/2/12 | 1,319,141 | ||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 30,100 | BRR | BZDI | 12.800 | 1/2/17 | 316,899 | ||||||||||||||||||
Goldman Sachs International | 2,640 | BRR | BZDI | 14.100 | 1/2/17 | 84,919 | ||||||||||||||||||
Goldman Sachs International | 17,000 | BRR | BZDI | 13.900 | 1/2/17 | 546,958 | ||||||||||||||||||
J Aron & Co. | 43,800 | BRR | BZDI | 10.670 | 1/2/12 | (410,332 | ) | |||||||||||||||||
J Aron & Co. | 8,745 | BRR | BZDI | 14.160 | 1/2/17 | 303,837 | ||||||||||||||||||
J Aron & Co. | 8,790 | BRR | BZDI | 12.920 | 1/2/14 | 209,439 | ||||||||||||||||||
J Aron & Co. | 4,390 | BRR | BZDI | 12.870 | 1/2/14 | 100,653 | ||||||||||||||||||
J Aron & Co. | 19,400 | BRR | BZDI | 12.390 | 1/2/12 | 255,769 | ||||||||||||||||||
J Aron & Co. | 6,910 | BRR | BZDI | 12.260 | 1/2/15 | 68,035 | ||||||||||||||||||
J Aron & Co. | 3,160 | BRR | BZDI | 12.290 | 1/2/15 | 30,428 | ||||||||||||||||||
J Aron & Co. | 4,420 | BRR | BZDI | 14.050 | 1/2/12 | 196,747 | ||||||||||||||||||
J Aron & Co. | 7,700 | BRR | BZDI | 14.300 | 1/2/17 | 335,770 | ||||||||||||||||||
J Aron & Co. | 8,550 | BRR | BZDI | 13.670 | 1/2/17 | 276,558 | ||||||||||||||||||
J Aron & Co. | 10,360 | BRR | BZDI | 13.100 | 1/2/17 | 171,607 | ||||||||||||||||||
JPMorgan Chase Bank NA | 19,400 | BRR | BZDI | 12.380 | 1/2/12 | 254,878 | ||||||||||||||||||
JPMorgan Chase Bank NA | 17,080 | BRR | BZDI | 13.900 | 1/2/17 | 549,681 | ||||||||||||||||||
JPMorgan Chase Bank NA | 8,750 | BRR | BZDI | 13.910 | 1/2/12 | 387,090 | ||||||||||||||||||
JPMorgan Chase Bank NA | 15,800 | BRR | BZDI | 13.900 | 1/2/17 | 425,233 | ||||||||||||||||||
Morgan Stanley | 12,300 | BRR | BZDI | 12.810 | 1/2/17 | 177,849 | ||||||||||||||||||
Morgan Stanley | 12,860 | BRR | BZDI | 15.000 | 1/2/17 | 564,449 | ||||||||||||||||||
Morgan Stanley | 8,540 | BRR | BZDI | 14.880 | 1/2/17 | 353,969 | ||||||||||||||||||
Morgan Stanley | 32,000 | BRR | BZDI | 13.900 | 1/2/17 | 861,232 | ||||||||||||||||||
Morgan Stanley | 8,540 | BRR | BZDI | 14.860 | 1/2/17 | 373,075 | ||||||||||||||||||
Morgan Stanley | 17,000 | BRR | BZDI | 12.050 | 1/2/12 | 222,479 | ||||||||||||||||||
Total | 365,135 | BRR | 8,171,143 |
F33 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Interest Rate Swap Contracts: Continued
Notional | |||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | |||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
CAD BA CDOR: | |||||||||||||||||||||
JPMorgan Chase Bank NA | 11,525 | CAD | Six-Month CAD BA CDOR | 3.000 | % | 4/30/19 | $ | (432,080 | ) | ||||||||||||
JPMorgan Chase Bank NA | 9,470 | CAD | Six-Month CAD BA CDOR | 3.010 | 5/1/19 | (348,862 | ) | ||||||||||||||
Total | 20,995 | CAD | (780,942 | ) | |||||||||||||||||
CZK PRIBOR PRBO: | |||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 142,000 | CZK | Six-Month CZK PRIBOR PRBO | 3.760 | 10/6/18 | 111,508 | |||||||||||||||
Morgan Stanley | 140,800 | CZK | Six-Month CZK PRIBOR PRBO | 3.830 | 10/3/18 | 106,624 | |||||||||||||||
Total | 282,800 | CZK | 218,132 | ||||||||||||||||||
DKK DKNA13 CIBOR | |||||||||||||||||||||
Barclays Bank plc | 92,170 | DKK | 3.845 | % | Six-Month DKK DKNA13 CIBOR | 4/3/19 | 105,723 | ||||||||||||||
HUF BUBOR Reuters: | |||||||||||||||||||||
Barclays Bank plc | 1,433,000 | HUF | Six-Month HUF BUBOR Reuters | 7.820 | 9/19/13 | (17,763 | ) | ||||||||||||||
Barclays Bank plc | 866,000 | HUF | Six-Month HUF BUBOR Reuters | 7.180 | 10/8/18 | (250,170 | ) | ||||||||||||||
Citibank NA | 852,000 | HUF | Six-Month HUF BUBOR Reuters | 7.200 | 10/8/18 | (236,811 | ) | ||||||||||||||
Citibank NA | 853,000 | HUF | Six-Month HUF BUBOR Reuters | 7.180 | 10/3/18 | (248,879 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 866,000 | HUF | Six-Month HUF BUBOR Reuters | 7.200 | 10/6/18 | (240,702 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 666,000 | HUF | Six-Month HUF BUBOR Reuters | 7.890 | 9/12/13 | 6,459 | |||||||||||||||
JPMorgan Chase Bank NA | 1,142,000 | HUF | Six-Month HUF BUBOR Reuters | 8.480 | 6/6/13 | (33,873 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 753,000 | HUF | Six-Month HUF BUBOR Reuters | 7.880 | 8/12/13 | 7,470 | |||||||||||||||
Total | 7,431,000 | HUF | (1,014,269 | ) | |||||||||||||||||
ILS TELBOR01 Reuters: | |||||||||||||||||||||
Credit Suisse International | 6,220 | ILS | Three-Month ILS TELBOR01 Reuters | 4.650 | 12/22/18 | (88,553 | ) | ||||||||||||||
Credit Suisse International | 6,640 | ILS | Three-Month ILS TELBOR01 Reuters | 4.940 | 12/15/18 | (64,883 | ) | ||||||||||||||
UBS AG | 15,300 | ILS | Three-Month ILS TELBOR01 Reuters | 5.880 | 8/28/10 | 280,488 | |||||||||||||||
UBS AG | 15,550 | ILS | Three-Month ILS TELBOR01 Reuters | 5.850 | 9/4/18 | 272,157 | |||||||||||||||
UBS AG | 17,164 | ILS | Three-Month ILS TELBOR01 Reuters | 4.780 | 1/7/19 | (196,426 | ) | ||||||||||||||
UBS AG | 16,930 | ILS | Three-Month ILS TELBOR01 Reuters | 5.036 | 12/12/18 | (119,946 | ) | ||||||||||||||
Total | 77,804 | ILS | 82,837 |
F34 | OPPENHEIMER STRATEGIC BOND FUND/VA
Interest Rate Swap Contracts: Continued
Notional | |||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | |||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
JPY BBA LIBOR: | |||||||||||||||||||||
JPMorgan Chase Bank NA | 536,100 | JPY | 1.210 | % | Six-Month JPY BBA LIBOR | 3/5/19 | $ | 63,830 | |||||||||||||
JPMorgan Chase Bank NA | 536,100 | JPY | 1.268 | Six-Month JPY BBA LIBOR | 3/6/19 | 33,674 | |||||||||||||||
Citibank NA | 536,100 | JPY | 1.236 | Six-Month JPY BBA LIBOR | 3/10/19 | 51,353 | |||||||||||||||
Total | 1,608,300 | JPY | 148,857 | ||||||||||||||||||
MXN TIIE BANXICO: | |||||||||||||||||||||
Banco Santander SA, Inc. | 90,600 | MXN | MXN TIIE BANXICO | 8.540 | % | 9/27/13 | 341,071 | ||||||||||||||
Banco Santander SA, Inc. | 97,800 | MXN | MXN TIIE BANXICO | 8.060 | 2/6/14 | 296,217 | |||||||||||||||
Citibank NA | 175,200 | MXN | MXN TIIE BANXICO | 8.920 | 11/24/11 | 686,324 | |||||||||||||||
Credit Suisse International | 35,800 | MXN | MXN TIIE BANXICO | 8.560 | 9/27/13 | 155,456 | |||||||||||||||
Credit Suisse International | 22,480 | MXN | MXN TIIE BANXICO | 8.300 | 12/17/26 | (56,960 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 54,800 | MXN | MXN TIIE BANXICO | 8.540 | 9/27/13 | 206,299 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 227,000 | MXN | MXN TIIE BANXICO | 6.250 | 6/7/11 | (65,352 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 280,800 | MXN | MXN TIIE BANXICO | 6.000 | 6/6/11 | (90,672 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 44,400 | MXN | MXN TIIE BANXICO | 8.458 | 5/18/29 | (79,427 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 32,000 | MXN | MXN TIIE BANXICO | 8.729 | 8/27/26 | 6,384 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 174,000 | MXN | MXN TIIE BANXICO | 9.350 | 11/18/11 | 993,147 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 563,000 | MXN | MXN TIIE BANXICO | 10.000 | 11/11/11 | 1,105,542 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 212,800 | MXN | MXN TIIE BANXICO | 9.270 | 11/21/11 | 947,304 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 211,300 | MXN | MXN TIIE BANXICO | 9.080 | 11/22/11 | 869,093 | |||||||||||||||
JPMorgan Chase Bank NA | 560,000 | MXN | MXN TIIE BANXICO | 10.000 | 11/11/11 | 1,099,651 | |||||||||||||||
JPMorgan Chase Bank NA | 171,100 | MXN | MXN TIIE BANXICO | 8.920 | 11/24/11 | 670,263 | |||||||||||||||
Total | 2,953,080 | MXN | 7,084,340 | ||||||||||||||||||
NZD BBR FRA: | |||||||||||||||||||||
Westpac Banking Corp. | 7,775 | NZD | 5.218 | Three-Month NZD BBR FRA | 6/19/14 | 5,488 | |||||||||||||||
Westpac Banking Corp. | 16,925 | NZD | 5.345 | Three-Month NZD BBR FRA | 6/25/14 | (43,796 | ) | ||||||||||||||
Westpac Banking Corp. | 15,385 | NZD | 5.400 | Three-Month NZD BBR FRA | 6/23/14 | (65,277 | ) | ||||||||||||||
Total | 40,085 | NZD | (103,585 | ) |
F35 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Interest Rate Swap Contracts: Continued
Interest Rate/ | Notional Amount | Paid by | Received by | Termination | |||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
PLZ WIBOR WIBO: | |||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 21,640 | PLZ | Six-Month PLZ WIBOR WIBO | 5.330 | % | 10/6/18 | $ | 17,997 | |||||||||||||
Goldman Sachs Group, Inc. (The) | 21,700 | PLZ | Six-Month PLZ WIBOR WIBO | 5.320 | 10/3/18 | 13,280 | |||||||||||||||
Total | 43,340 | PLZ | 31,277 | ||||||||||||||||||
USD BBA LIBOR | |||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 18,300 | Three-Month USD BBA LIBOR | 3.743 | 6/2/19 | 148,478 | ||||||||||||||||
ZAR JIBAR SAFEX: | |||||||||||||||||||||
Barclays Bank plc | 81,375 | ZAR | Three-Month ZAR JIBAR SAFEX | 8.100 | 4/13/14 | (217,777 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 83,710 | ZAR | Three-Month ZAR JIBAR SAFEX | 8.080 | 4/2/14 | (226,893 | ) | ||||||||||||||
Total | 165,085 | ZAR | (444,670 | ) | |||||||||||||||||
Total Interest Rate Swaps | $ | 13,801,003 | |||||||||||||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
CZK | Czech Koruna | |
DKK | Danish Krone | |
HUF | Hungarian Forint | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NZD | New Zealand Dollar | |
PLZ | Polish Zloty | |
ZAR | South African Rand |
Abbreviations/Definitions are as follows:
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate | |
BANIXCO | Banco de Mexico | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BBR | Bank Bill Rate | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian financial market) | |
BUBOR | Budapest Interbank Offered Rate | |
BZDI | Brazil Interbank Deposit Rate | |
CIBOR | Copenhagen Interbank Offered Rate | |
DKNA13 | Reuters 12-Month CIBOR | |
FRA | Forward Rate Agreement | |
JIBAR | South Africa Johannesburg Interbank Agreed Rate | |
PRIBOR PRBO | Prague Interbank Offering Rate | |
SAFEX | South African Futures Exchange | |
TIIE | Interbank Equilibrium Interest Rate | |
TELBOR01 | Tel Aviv Interbank Offered Rate 1 Month | |
WIBOR WIBO | Poland Warsaw Interbank Offer Bid Rate |
F36 | OPPENHEIMER STRATEGIC BOND FUND/VA
Total Return Swap Contracts as of June 30, 2009 are as follows:
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
Custom basket of securities: | ||||||||||||||
Citibank NA, New York | 945,687 | JPY | One-Month JPY BBA LIBOR plus 40 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 4/14/10 | $ | 508,328 | |||||||
Citibank NA, New York | 6,897 | GBP | One-Month GBP BBA LIBOR plus 35 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 5/7/10 | (217,340 | ) | |||||||
Deutsche Bank AG | 453 | One-Month BBA LIBOR plus 21.354 basis points and if negative, the absolute value of the Total Return of a custom equity basket | If positive, the Total Return of a custom equity basket | 10/5/09 | (541,217 | ) | ||||||||
Deutsche Bank AG, London | 38,333 | One-Month BBA LIBOR plus 35 basis points and if negative, the absolute value of the Total Return of a custom equity basket | If positive, the Total Return of a custom equity basket | 3/5/10 | (2,112,746 | ) | ||||||||
Morgan Stanley | 4,871 | EUR | One-Month EUR BBA LIBOR plus 25 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 3/5/10 | (602,689 | ) | |||||||
Morgan Stanley International | 5,231 | EUR | One-Month EUR BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 10/7/09 | (474,727 | ) | |||||||
Reference Entity Total | (3,440,391 | ) | ||||||||||||
Korea Stock Price Index 200 | ||||||||||||||
Citibank NA | 4,572,558 | KRW | If positive, the Total Return of the KOSPI 200 Index | If negative, the absolute value of the Total Return of the KOSPI 200 Index | 9/10/09 | 13,255 |
F37 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Total Return Swap Contracts: Continued
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Gross Belgium USD Index | ||||||||||||||
Morgan Stanley | $ | 3,539 | If positive, the Total Return of MSCI Daily Gross Belgium USD Index | One-Month BBA LIBOR minus 95 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Belgium USD Index | 5/10/11 | $ | 127,857 | |||||||
MSCI Daily TR Net Emerging Markets USD Index | ||||||||||||||
UBS AG | 9,025 | One-Month BBA LIBOR plus 100 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Emerging Markets USD Index | If positive, the Total Return of the MSCI Daily Net Emerging Markets USD Index | 5/12/10 | (564,948 | ) | ||||||||
S&P 500 Citigroup Value Index | ||||||||||||||
Citibank NA | 9,317 | If positive, the Total Return of the S&P 500 Citigroup Value Index | One-Month BBA LIBOR minus 15 basis points and if negative, the absolute value of the Total Return of the S&P 500 Citigroup Value Index | 6/2/10 | 251,919 | |||||||||
Total of Total Return Swaps | $(3,612,308 | ) | ||||||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: | ||
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
Abbreviations are as follows: | ||
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
KOSPI 200 | Korean Stock Exchange Capitalization-weighted Index | |
MSCI | Morgan Stanley Capital International | |
S&P | Standard & Poor’s | |
TR | Total Return |
F38 | OPPENHEIMER STRATEGIC BOND FUND/VA
Currency Swaps as of June 30, 2009 are as follows:
Reference Entity/ | Notional | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | Amount (000s) | the Fund | the Fund | Date | Value | |||||||||
JSC “Rushydro” (Open Joint Stock Company) “Federal Hydrogeneration Company”) and OJSC Saratovskaya HPP and any Successor(s) | ||||||||||||||
Morgan Stanley Capital Services, Inc. | 271,430 | RUR | Three-Month USD BBA LIBOR | 7.75% from debt obligations of JSC Rushydro and OJSC Saratovskaya HPP | 12/26/13 | $ | (2,074,193 | ) | ||||||
MXN TIIE BANXICO: | ||||||||||||||
Deutsche Bank AG | 1,620 | Six-Month USD BBA LIBOR | 5.46% times UDI | 5/13/15 | 177,884 | |||||||||
Deutsche Bank AG | 930 | Six-Month USD BBA LIBOR | 5.25% times UDI | 6/23/15 | 72,683 | |||||||||
Goldman Sachs Group, Inc. (The) | 920 | Six-Month USD BBA LIBOR | 5.08% times UDI | 1/20/15 | 124,761 | |||||||||
Reference Entity Total | 375,328 | |||||||||||||
USD BBA LIBOR | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 920 | Six-Month USD BBA LIBOR | 5.10% times UDI | 1/14/15 | 120,525 | |||||||||
Total Currency Swaps | $(1,578,340 | ) | ||||||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currency: | ||
RUR | Russian Ruble | |
Abbreviations/Definitions are as follows: | ||
BANXICO | Banco de Mexico | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
MXN-TIIE | Mexican Nuevo Peso-Interbank Equilibrium Interest Rate | |
UDI | Unidad de Inversion (Unit of Investment) |
Swap Summary as of June 30, 2009 is as follows:
The following table aggregates, as of period, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Banco Santander Central Hispano SA | Interest Rate | 4,420 | BRR | $ | 194,780 | |||||
Banco Santander SA, Inc.: | ||||||||||
Interest Rate | 32,480 | BRR | 1,319,141 | |||||||
Interest Rate | 188,400 | MXN | 637,288 | |||||||
1,956,429 | ||||||||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | 26,220 | (1,085,624 | ) | |||||||
Credit Default Sell Protection | 1,360 | 328,036 | ||||||||
Interest Rate | 92,170 | DKK | 105,723 | |||||||
Interest Rate | 2,299,000 | HUF | (267,933 | ) | ||||||
Interest Rate | 81,375 | ZAR | (217,777 | ) | ||||||
(1,137,575 | ) | |||||||||
F39 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Swap Summary: Continued
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Citibank NA: | ||||||||||
Interest Rate | 1,705,000 | HUF | $ | (485,690 | ) | |||||
Interest Rate | 536,100 | JPY | 51,353 | |||||||
Interest Rate | 175,200 | MXN | 686,324 | |||||||
Total Return | 4,572,558 | KRW | 13,255 | |||||||
Total Return | 9,317 | 251,919 | ||||||||
517,161 | ||||||||||
Citibank NA, New York: | ||||||||||
Credit Default Buy Protection | 7,250 | 1,021,787 | ||||||||
Credit Default Sell Protection | 14,330 | (790,124 | ) | |||||||
Total Return | 6,897 | GBP | (217,340 | ) | ||||||
Total Return | 945,687 | JPY | 508,328 | |||||||
522,651 | ||||||||||
Credit Suisse International: | ||||||||||
Credit Default Buy Protection | 6,070 | (143,109 | ) | |||||||
Credit Default Sell Protection | 12,340 | (3,030,349 | ) | |||||||
Interest Rate | 12,860 | ILS | (153,436 | ) | ||||||
Interest Rate | 58,280 | MXN | 98,496 | |||||||
(3,228,398 | ) | |||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 18,640 | (446,473 | ) | |||||||
Credit Default Sell Protection | 21,245 | (2,646,907 | ) | |||||||
Currency | 2,550 | 250,567 | ||||||||
Total Return | 453 | (541,217 | ) | |||||||
(3,384,030 | ) | |||||||||
Deutsche Bank AG, London | Total Return | 38,333 | (2,112,746 | ) | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Currency | 1,840 | 245,286 | ||||||||
Interest Rate | 30,100 | BRR | 316,899 | |||||||
Interest Rate | 142,000 | CZK | 111,508 | |||||||
Interest Rate | 1,800,100 | MXN | 3,892,318 | |||||||
Interest Rate | 43,340 | PLZ | 31,277 | |||||||
Interest Rate | 18,300 | 148,478 | ||||||||
4,745,766 | ||||||||||
Goldman Sachs International: | ||||||||||
Credit Default Buy Protection | 27,655 | 214,970 | ||||||||
Interest Rate | 19,640 | BRR | 631,877 | |||||||
846,847 | ||||||||||
J Aron & Co. | Interest Rate | 126,225 | BRR | 1,538,511 | ||||||
JPMorgan Chase Bank NA: | ||||||||||
Interest Rate | 61,030 | BRR | 1,616,882 | |||||||
Interest Rate | 20,995 | CAD | (780,942 | ) | ||||||
Interest Rate | 3,427,000 | HUF | (260,646 | ) | ||||||
Interest Rate | 1,072,200 | JPY | 97,504 | |||||||
Interest Rate | 731,100 | MXN | 1,769,914 | |||||||
Interest Rate | 83,710 | ZAR | (226,893 | ) | ||||||
2,215,819 | ||||||||||
Merrill Lynch International | Credit Default Buy Protection | 7,580 | 2,752,897 |
F40 | OPPENHEIMER STRATEGIC BOND FUND/VA
Swap Summary: Continued
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Morgan Stanley: | ||||||||||
Interest Rate | 91,240 | BRR | $ | 2,553,053 | ||||||
Interest Rate | 140,800 | CZK | 106,624 | |||||||
Total Return | 4,871 | EUR | (602,689 | ) | ||||||
Total Return | 3,539 | 127,857 | ||||||||
2,184,845 | ||||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Buy Protection | 6,070 | 316,283 | ||||||||
Credit Default Sell Protection | 24,725 | (3,758,284 | ) | |||||||
Currency | 271,430 | RUR | (2,074,193 | ) | ||||||
(5,516,194 | ) | |||||||||
Morgan Stanley International | Total Return | 5,231 | EUR | (474,727 | ) | |||||
UBS AG: | ||||||||||
Credit Default Buy Protection | 3,070 | 298,440 | ||||||||
Interest Rate | 64,944 | ILS | 236,273 | |||||||
Total Return | 9,025 | (564,948 | ) | |||||||
(30,235 | ) | |||||||||
Westpac Banking Corp.: | ||||||||||
Interest Rate | 32,375 | AUD | 153,682 | |||||||
Interest Rate | 40,085 | NZD | (103,585 | ) | ||||||
50,097 | ||||||||||
Total Swaps | $ | 1,641,898 | ||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
AUD | Australian Dollar | |||||
BRR | Brazilian Real | |||||
CAD | Canadian Dollar | |||||
CZK | Czech Koruna | |||||
DKK | Danish Krone | |||||
EUR | Euro | |||||
GBP | British Pounds Sterling | |||||
HUF | Hungarian Forint | |||||
ILS | Israeli Shekel | |||||
JPY | Japanese Yen | |||||
KRW | South Korean Won | |||||
MXN | Mexican Nuevo Peso | |||||
NZD | New Zealand Dollar | |||||
PLZ | Polish Zloty | |||||
RUR | Russian Ruble | |||||
ZAR | South African Rand |
See accompanying Notes to Financial Statements.
F41 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $3,382,935,193) | $ | 3,148,023,393 | ||
Affiliated companies (cost $785,090,491) | 771,516,544 | |||
3,919,539,937 | ||||
Cash—foreign currencies (cost $6,088,172) | 6,069,415 | |||
Unrealized appreciation on foreign currency exchange contracts | 13,203,275 | |||
Swaps, at value (net upfront payments received $2,855,828) | 23,757,483 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 47,269,512 | |||
Investments sold (including $2,517,143 sold on a when-issued or delayed delivery basis) | 16,047,469 | |||
Closed foreign currency contracts | 10,905,771 | |||
Shares of beneficial interest sold | 9,263,338 | |||
Futures margins | 1,534,891 | |||
Other | 62,829 | |||
Total assets | 4,047,653,920 | |||
Liabilities | ||||
Options written, at value (premiums received $416,882) | 271,014 | |||
Return of collateral for securities loaned | 74,026,020 | |||
Unrealized depreciation on foreign currency exchange contracts | 5,100,488 | |||
Swaps, at value (net upfront payments received $1,292,696) | 22,115,585 | |||
Unrealized depreciation on unfunded loan commitments | 846,883 | |||
Payables and other liabilities: | ||||
Investments purchased (including $121,982,524 purchased on a when-issued or delayed delivery basis) | 151,852,118 | |||
Closed foreign currency contracts | 6,147,548 | |||
Shares of beneficial interest redeemed | 2,027,384 | |||
Futures margins | 1,833,379 | |||
Distribution and service plan fees | 1,818,877 | |||
Transfer and shareholder servicing agent fees | 306,435 | |||
Shareholder communications | 207,640 | |||
Trustees’ compensation | 16,577 | |||
Other | 185,313 | |||
Total liabilities | 266,755,261 | |||
Net Assets | $ | 3,780,898,659 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 788,758 | ||
Additional paid-in capital | 4,145,678,038 | |||
Accumulated net investment income | 148,343,683 | |||
Accumulated net realized loss on investments and foreign currency transactions | (287,859,864 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (226,051,956 | ) | ||
Net Assets | $ | 3,780,898,659 | ||
F42 | OPPENHEIMER STRATEGIC BOND FUND/VA
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $681,808,479 and 144,169,463 shares of beneficial interest outstanding) | $ | 4.73 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $3,099,090,180 and 644,588,593 shares of beneficial interest outstanding) | $ | 4.81 |
See accompanying Notes to Financial Statements.
F43 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Allocation of Income and Expenses from Master Funds1 | ||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund: | ||||
Interest | $ | 624,895 | ||
Dividends | 1,556 | |||
Expenses2 | (37,036 | ) | ||
Net investment income from Oppenheimer Master Event-Linked Bond Fund, LLC | 589,415 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest | 6,259,361 | |||
Dividends | 46,324 | |||
Expenses3 | (232,138 | ) | ||
Net investment income from Oppenheimer Master Loan Fund, LLC | 6,073,547 | |||
Investment Income | ||||
Interest (net of foreign withholding taxes of $65,691) | 107,171,390 | |||
Dividends: | ||||
Unaffiliated companies | 12,648 | |||
Affiliated companies | 2,295,917 | |||
Fee income | 1,889,949 | |||
Income from investment of securities lending cash collateral, net-affiliated companies | 450,546 | |||
Total investment income | 111,820,450 | |||
Expenses | ||||
Management fees | 9,545,975 | |||
Distribution and service plan fees—Service shares | 3,533,598 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 114,543 | |||
Service shares | 505,722 | |||
Shareholder communications: | ||||
Non-Service shares | 30,194 | |||
Service shares | 132,709 | |||
Custodian fees and expenses | 123,308 | |||
Trustees’ compensation | 32,388 | |||
Other | 90,940 | |||
Total expenses | 14,109,377 | |||
Less waivers and reimbursements of expenses | (516,879 | ) | ||
Net expenses | 13,592,498 | |||
Net Investment Income | 104,890,914 |
1. | The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. See Note 1 of accompanying Notes. | |
2. | Net of expense waivers and/or reimbursements of $264. | |
3. | Net of expense waivers and/or reimbursements of $6,526. |
F44 | OPPENHEIMER STRATEGIC BOND FUND/VA
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | $ | (112,623,431 | ) | |
Closing and expiration of option contracts written | 682,270 | |||
Closing and expiration of futures contracts | (19,073,110 | ) | ||
Foreign currency transactions | (19,918,983 | ) | ||
Short positions | (45,916 | ) | ||
Swap contracts | (90,726,691 | ) | ||
Allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | (91,029 | ) | ||
Allocated from Oppenheimer Master Loan Fund, LLC | (5,754,170 | ) | ||
Net realized loss | (247,551,060 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 248,388,919 | |||
Translation of assets and liabilities denominated in foreign currencies | 43,898,488 | |||
Futures contracts | 2,841,635 | |||
Option contracts written | 133,145 | |||
Short positions | 27,270 | |||
Swap contracts | 22,923,506 | |||
Unfunded loan commitments | (2,565,840 | ) | ||
Allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | (242,589 | ) | ||
Allocated from Oppenheimer Master Loan Fund, LLC | 33,900,711 | |||
Net change in unrealized depreciation | 349,305,245 | |||
Net Increase in Net Assets Resulting from Operations | $ | 206,645,099 | ||
See accompanying Notes to Financial Statements.
F45 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 104,890,914 | $ | 218,155,192 | ||||
Net realized loss | (247,551,060 | ) | (197,517,639 | ) | ||||
Net change in unrealized depreciation | 349,305,245 | (643,679,330 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 206,645,099 | (623,041,777 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (3,468,223 | ) | (36,989,595 | ) | ||||
Service shares | (7,263,543 | ) | (140,242,199 | ) | ||||
(10,731,766 | ) | (177,231,794 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (522,726 | ) | (8,547,484 | ) | ||||
Service shares | (2,276,448 | ) | (33,595,865 | ) | ||||
(2,799,174 | ) | (42,143,349 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (639,128 | ) | 73,339,965 | |||||
Service shares | 129,538,887 | 617,334,287 | ||||||
128,899,759 | 690,674,252 | |||||||
Net Assets | ||||||||
Total increase (decrease) | 322,013,918 | (151,742,668 | ) | |||||
Beginning of period | 3,458,884,741 | 3,610,627,409 | ||||||
End of period (including accumulated net investment income of $148,343,683 and $54,184,535, respectively) | $ | 3,780,898,659 | $ | 3,458,884,741 | ||||
See accompanying Notes to Financial Statements.
F46 | OPPENHEIMER STRATEGIC BOND FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 4.49 | $ | 5.56 | $ | 5.26 | $ | 5.11 | $ | 5.21 | $ | 5.05 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .18 | .30 | .28 | .26 | .25 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .08 | (1.04 | ) | .21 | .11 | (.12 | ) | .20 | ||||||||||||||||
Total from investment operations | .26 | (.74 | ) | .49 | .37 | .13 | .42 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.02 | ) | (.27 | ) | (.19 | ) | (.22 | ) | (.23 | ) | (.26 | ) | ||||||||||||
Distributions from net realized gain | — | 2 | (.06 | ) | — | — | — | — | ||||||||||||||||
Total dividends and distributions to shareholders | (.02 | ) | (.33 | ) | (.19 | ) | (.22 | ) | (.23 | ) | (.26 | ) | ||||||||||||
Net asset value, end of period | $ | 4.73 | $ | 4.49 | $ | 5.56 | $ | 5.26 | $ | 5.11 | $ | 5.21 | ||||||||||||
Total Return, at Net Asset Value3 | 6.05 | % | (14.21 | )% | 9.69 | % | 7.49 | % | 2.67 | % | 8.67 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 681,809 | $ | 648,570 | $ | 734,611 | $ | 606,632 | $ | 538,141 | $ | 614,915 | ||||||||||||
Average net assets (in thousands) | $ | 639,445 | $ | 753,062 | $ | 664,668 | $ | 564,248 | $ | 550,201 | $ | 584,878 | ||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 6.27 | % | 5.78 | % | 5.34 | % | 5.05 | % | 4.91 | % | 4.50 | % | ||||||||||||
Total expenses | 0.63 | %6 | 0.59 | %6 | 0.59 | %6 | 0.64 | %6 | 0.71 | % | 0.74 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.60 | % | 0.57 | % | 0.57 | % | 0.63 | % | 0.71 | % | 0.74 | % | ||||||||||||
Portfolio turnover rate7 | 70 | % | 86 | % | 76 | % | 93 | % | 98 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Six Months Ended June 30, 2009 | 0.63 | % | ||
Year Ended December 31, 2008 | 0.60 | % | ||
Year Ended December 31, 2007 | 0.61 | % | ||
Year Ended December 31, 2006 | 0.64 | % |
7. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2009 | $ | 991,495,048 | $ | 918,349,774 | ||||
Year Ended December 31, 2008 | $ | 634,319,548 | $ | 594,845,589 | ||||
Year Ended December 31, 2007 | $ | 1,061,009,472 | $ | 1,120,098,096 | ||||
Year Ended December 31, 2006 | $ | 742,785,501 | $ | 749,719,239 | ||||
Year Ended December 31, 2005 | $ | 890,029,144 | $ | 873,786,459 | ||||
Year Ended December 31, 2004 | $ | 959,649,113 | $ | 973,488,511 |
See accompanying Notes to Financial Statements.
F47 | OPPENHEIMER STRATEGIC BOND FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 4.56 | $ | 5.65 | $ | 5.34 | $ | 5.19 | $ | 5.29 | $ | 5.13 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .13 | .29 | .28 | .25 | .21 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .13 | (1.06 | ) | .22 | .11 | (.08 | ) | .22 | ||||||||||||||||
Total from investment operations | .26 | (.77 | ) | .50 | .36 | .13 | .41 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.01 | ) | (.26 | ) | (.19 | ) | (.21 | ) | (.23 | ) | (.25 | ) | ||||||||||||
Distributions from net realized gain | — | 2 | (.06 | ) | — | — | — | — | ||||||||||||||||
Total dividends and distributions to shareholders | (.01 | ) | (.32 | ) | (.19 | ) | (.21 | ) | (.23 | ) | (.25 | ) | ||||||||||||
Net asset value, end of period | $ | 4.81 | $ | 4.56 | $ | 5.65 | $ | 5.34 | $ | 5.19 | $ | 5.29 | ||||||||||||
Total Return, at Net Asset Value3 | 5.86 | % | (14.49 | )% | 9.55 | % | 7.23 | % | 2.48 | % | 8.43 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,099,090 | $ | 2,810,315 | $ | 2,876,016 | $ | 1,396,188 | $ | 658,107 | $ | 242,705 | ||||||||||||
Average net assets (in thousands) | $ | 2,844,242 | $ | 3,152,967 | $ | 2,075,028 | $ | 1,016,582 | $ | 408,515 | $ | 150,040 | ||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 6.03 | % | 5.54 | % | 5.08 | % | 4.83 | % | 4.20 | % | 3.82 | % | ||||||||||||
Total expenses | 0.88 | %6 | 0.84 | %6 | 0.84 | %6 | 0.89 | %6 | 0.96 | % | 0.99 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.85 | % | 0.82 | % | 0.82 | % | 0.88 | % | 0.96 | % | 0.99 | % | ||||||||||||
Portfolio turnover rate7 | 70 | % | 86 | % | 76 | % | 93 | % | 98 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Six Months Ended June 30, 2009 | 0.88 | % | ||
Year Ended December 31, 2008 | 0.85 | % | ||
Year Ended December 31, 2007 | 0.86 | % | ||
Year Ended December 31, 2006 | 0.89 | % |
7. | The portfolio turnover rate excludes purchases and sales of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2009 | $ | 991,495,048 | $ | 918,349,774 | ||||
Year Ended December 31, 2008 | $ | 634,319,548 | $ | 594,845,589 | ||||
Year Ended December 31, 2007 | $ | 1,061,009,472 | $ | 1,120,098,096 | ||||
Year Ended December 31, 2006 | $ | 742,785,501 | $ | 749,719,239 | ||||
Year Ended December 31, 2005 | $ | 890,029,144 | $ | 873,786,459 | ||||
Year Ended December 31, 2004 | $ | 959,649,113 | $ | 973,488,511 |
See accompanying Notes to Financial Statements.
F48 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Strategic Bond Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek a high level of current income principally derived from interest on debt securities. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
F49 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
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 note’s 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 Statement of Operations. The Fund records a realized gain or loss when a structured security is sold or matures.
Event-Linked Bonds. The Fund may invest in “event-linked” bonds. Event-linked bonds, which are sometimes referred to as “catastrophe” bonds, are fixed income securities for which the return of principal and payment of interest is contingent on the non-occurrence of a specific trigger event, such as a hurricane, earthquake, or other occurrence that leads to physical or economic loss. If the trigger event occurs prior to maturity, the Fund may lose all or a portion of its principal in addition to interest otherwise due from the security. Event-linked bonds may expose the Fund to certain other risks, including issuer default, adverse regulatory or jurisdictional interpretations, liquidity risk and adverse tax consequences. The Fund records the net change in market value of event-linked bonds on the Statement of Operations as a change in unrealized appreciation or depreciation on investments. The Fund records a realized gain or loss on the Statement of Operations upon the sale or maturity of such securities.
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 maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
F50 | OPPENHEIMER STRATEGIC BOND FUND/VA
As of June 30, 2009, 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:
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $ | 121,982,524 | ||
Sold securities | 2,517,143 |
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll.
Securities Sold Short. The Fund may short sell when-issued securities for future settlement. The value of the open short position is recorded as a liability, and the Fund records an unrealized gain or loss for the change in value of the open short position. The Fund records a realized gain or loss when the short position is closed out.
At June 30, 2009, the Fund had no outstanding securities sold short.
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 in default, and is not obligated to dispose of securities whose issuers subsequently default. As of June 30, 2009, securities with an aggregate market value of $5,749,592, representing 0.15% of the Fund’s net assets, were in default.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
F51 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in OFI Liquid Assets Fund, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund’s Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC (“LAF”) is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund’s investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF’s expenses, including its management fee of 0.08%.
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 Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC and Oppenheimer Master Event-Linked Bond Fund, LLC (the “master funds”). Each master fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one master fund than in another, the Fund will have greater exposure to the risks of that master fund.
The investment objective of Oppenheimer Master Loan Fund, LLC is to seek as high a level of current income and preservation of capital as is consistent with investing primarily in loans and other debt securities. The investment objective of Oppenheimer Master Event-Linked Bond Fund, LLC is to seek a high level of current income principally derived from interest on debt securities. The Fund’s investments in the master funds are included in the 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 master funds’s expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the master funds.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
F52 | OPPENHEIMER STRATEGIC BOND FUND/VA
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $4,149,094, post-October foreign currency losses of $29,563,300, post-October passive foreign investment company losses of $66,312 and straddle losses of $586,197.
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $281,915,963 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 4,194,117,784 | ||
Federal tax cost of other investments | 591,805,521 | |||
Total federal tax cost | $ | 4,785,923,305 | ||
Gross unrealized appreciation | $ | 145,014,465 | ||
Gross unrealized depreciation | (405,818,129 | ) | ||
Net unrealized depreciation | $ | (260,803,664 | ) | |
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times
F53 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 14,200,287 | $ | 63,157,123 | 44,736,337 | $ | 230,966,547 | ||||||||||
Dividends and/or distributions reinvested | 952,494 | 3,990,949 | 8,575,721 | 45,537,079 | ||||||||||||
Redeemed | (15,335,347 | ) | (67,787,200 | ) | (40,970,673 | ) | (203,163,661 | ) | ||||||||
Net increase (decrease) | (182,566 | ) | $ | (639,128 | ) | 12,341,385 | $ | 73,339,965 | ||||||||
Service Shares | ||||||||||||||||
Sold | 43,109,948 | $ | 196,077,388 | 147,318,126 | $ | 805,889,322 | ||||||||||
Dividends and/or distributions reinvested | 2,234,190 | 9,539,991 | 32,192,234 | 173,838,064 | ||||||||||||
Redeemed | (17,152,553 | ) | (76,078,492 | ) | (72,462,189 | ) | (362,393,099 | ) | ||||||||
Net increase | 28,191,585 | $ | 129,538,887 | 107,048,171 | $ | 617,334,287 | ||||||||||
F54 | OPPENHEIMER STRATEGIC BOND FUND/VA
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, LAF and the master funds for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 1,120,971,762 | $ | 1,008,878,167 | ||||
U.S. government and government agency obligations | 457,985,192 | 561,524,096 | ||||||
To Be Announced (TBA) mortgage-related securities | 991,495,048 | 918,349,774 |
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $200 million | 0.60 | |||
Over $1 billion | 0.50 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $315,550 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expnses so that those expenses, as a percentage of daily net assets will not exceed the annual rate of 0.75% for Non-Service shares and 1.00% for Service shares. This voluntary undertaking may be amended or withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investments in IMMF and the master funds. During the six months ended June 30, 2009, the Manager waived $516,879 for management fees.
F55 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return 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. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This 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.
Market Risk Factors. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
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.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. 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.
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. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.
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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
F56 | OPPENHEIMER STRATEGIC BOND FUND/VA
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of June 30, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $39,737,422 which represents the gross unrealized appreciation on these derivative contracts. To reduce this risk 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 net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $21,662,796 as of June 30, 2009.
Credit Related Contingent Features. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
As of June 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $11,996,881. If a contingent feature would have been triggered as of June 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions.
Valuations of derivative instruments as of June 30, 2009 are as follows:
Derivatives not Accounted | Asset Derivatives | Liability Derivatives | ||||||||||
for as Hedging Instruments | Statement of Assets | Statement of Assets | ||||||||||
under Statement 133(a) | and Liabilities Location | Value | and Liabilities Location | Value | ||||||||
Credit contracts | Swaps, at value | $ | 5,022,310 | Swaps, at value | $ | 11,990,767 | ||||||
Equity contracts | Futures margins | 902,645 | * | Futures margins | 205,427 | * | ||||||
Equity contracts | Swaps, at value | 901,359 | Swaps, at value | 4,513,667 | ||||||||
Foreign exchange contracts | Investments, at value** | 189,499 | ||||||||||
Foreign exchange contracts | Swaps, at value | 495,853 | Swaps, at value | 2,074,193 | ||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 13,203,275 | Unrealized depreciation on foreign currency exchange contracts | 5,097,743 | ||||||||
Foreign exchange contracts | Options written, at value | 271,014 | ||||||||||
Interest rate contracts | Futures margins | 632,246 | * | Futures margins | 1,627,952 | * | ||||||
Interest rate contracts | Swaps, at value | 17,337,961 | Swaps, at value | 3,536,958 | ||||||||
Total | $ | 38,685,148 | $ | 29,317,721 | ||||||||
* | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options. |
F57 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or Loss Recognized on Derivative | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||
from | ||||||||||||||||||||||||
unaffiliated | Closing | |||||||||||||||||||||||
companies | and | |||||||||||||||||||||||
(including | expiration | Closing and | ||||||||||||||||||||||
Derivatives Not Accounted | premiums | of option | expiration of | Foreign | ||||||||||||||||||||
for as Hedging Instruments | on options | contracts | futures | currency | Swap | |||||||||||||||||||
under Statement 133(a) | exercised)* | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Interest rate contracts | $ | 474,893 | $ | — | $ | (13,344,203 | ) | $ | — | $ | 7,816,190 | $ | (5,053,120 | ) | ||||||||||
Foreign exchange contracts | 880,378 | 682,270 | — | (217,351,349 | ) | (5,490,027 | ) | (221,278,728 | ) | |||||||||||||||
Equity contracts | — | — | (5,728,907 | ) | — | 5,824,036 | 95,129 | |||||||||||||||||
Credit contracts | — | — | — | — | (98,876,890 | ) | (98,876,890 | ) | ||||||||||||||||
Total | $ | 1,355,271 | $ | 682,270 | $ | (19,073,110 | ) | $ | (217,351,349 | ) | $ | (90,726,691 | ) | $ | (325,113,609 | ) | ||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or Loss Recognized on Derivative | ||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||
liabilities | ||||||||||||||||||||||||
Derivatives Not Accounted | Option | denominated | ||||||||||||||||||||||
for as Hedging Instruments | contracts | Futures | in foreign | Swap | ||||||||||||||||||||
under Statement 133(a) | Investments* | written | contracts | currencies | contracts | Total | ||||||||||||||||||
Interest rate contracts | $ | (759,635 | ) | $ | — | $ | (32,515 | ) | $ | — | $ | (5,417,671 | ) | $ | (6,209,821 | ) | ||||||||
Foreign exchange contracts | (135,489 | ) | 133,145 | — | 15,097,887 | 9,211,694 | 24,307,237 | |||||||||||||||||
Equity contracts | — | — | 2,874,150 | — | (11,820,880 | ) | (8,946,730 | ) | ||||||||||||||||
Credit contracts | — | — | — | — | 30,950,363 | 30,950,363 | ||||||||||||||||||
Total | $ | (895,124 | ) | $ | 133,145 | $ | 2,841,635 | $ | 15,097,887 | $ | 22,923,506 | $ | 40,101,049 | |||||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Foreign Currency Exchange Contracts
The Fund may enter into foreign currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward foreign currency exchange contracts with the obligation to buy specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio.
The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk.
F58 | OPPENHEIMER STRATEGIC BOND FUND/VA
The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a financial instrument 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 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.
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. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk.
The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities.
F59 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
The Fund has written put options on currencies to increase exposure to foreign exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written call options on currencies to decrease exposure to foreign exchange rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has purchased call options on currencies to increase exposure to foreign exchange rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the six months ended June 30, 2009 was as follows:
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of December 31, 2008 | 4,945,000 | $ | 78,520 | 4,945,000 | $ | 78,520 | ||||||||||
Options written | 474,205,000 | 763,942 | 489,755,000 | 864,570 | ||||||||||||
Options closed or expired | (456,185,000 | ) | (544,584 | ) | (7,225,000 | ) | (137,686 | ) | ||||||||
Options exercised | (7,225,000 | ) | (137,686 | ) | (456,185,000 | ) | (548,714 | ) | ||||||||
Options outstanding as of June 30, 2009 | 15,740,000 | $ | 160,192 | 31,290,000 | $ | 256,690 | ||||||||||
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, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps.
Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. 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 at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference 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 require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received. If there is an illiquid market for the agreement, the Fund may be unable to close the contract prior to contract termination.
F60 | OPPENHEIMER STRATEGIC BOND FUND/VA
Credit Default Swap Contracts. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, sovereign debt, or a basket of securities (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying 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 reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market.
The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer. The intent of a pairs trade is to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
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 interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
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 asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities)
F61 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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 has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes.
The Fund has entered into total return swaps on various equity indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, or an amount equal to the negative price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same index multiplied by the notional amount of the contract.
The Fund has entered into total return swaps on various equity indexes to decrease exposure to equity risk. These equity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments of a floating reference interest rate or an amount equal to the negative price movement of the same index multiplied by the notional amount of the contract.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Currency Swaps. A currency swap is an agreement between counterparties to exchange different currencies equivalent to the notional value at contract inception and reverse the exchange of the same notional values of those currencies at contract termination. The contract may also include periodic exchanges of cash flows based on a specified index or interest rate.
The Fund has entered into currency swap contracts with the obligation to pay an interest rate on the dollar notional amount and receive an interest rate on various foreign currency notional amounts in order to take a positive investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into currency swap contracts with the obligation to pay an interest rate various foreign currency notional amounts and receive an interest rate on the dollar notional amount in order to take a negative investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to decrease exposure to foreign exchange rate risk.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swaption Transactions. The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into an interest rate swap at a preset rate 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 rate on the underlying interest rate swap.
Swaptions are marked to market daily using primarily quotations from counterparties and brokers. Written swaptions are reported on a schedule following the Statement of Investments. Written swaptions are reported as a liability in the Statement of Assets and Liabilities. The difference between the premium received or paid, and market value of the swaption, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations for the amount of the premium paid or received.
F62 | OPPENHEIMER STRATEGIC BOND FUND/VA
Swaption contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. 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 option, according to the terms of the underlying agreement. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the option expires unexercised. However, when the Fund purchases a swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate.
As of June 30, 2009, the Fund had no written or purchased swaptions outstanding.
6. Illiquid or Restricted Securities
As of June 30, 2009, investments in securities included issues that are illiquid or restricted. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Directors as reflecting fair value. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid and restricted securities. Certain restricted securities, eligible for resale to qualified institutional purchasers, may not be subject to that limitation. Securities that are illiquid or restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
7. Securities Lending
The Fund lends portfolio securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower and recognizes the gain or loss in the fair value of the securities loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. As of June 30, 2009, the Fund had on loan securities valued at $72,483,005. Collateral of $74,026,020 was received for the loans, of which all was received in cash and subsequently invested in approved instruments.
8. Unfunded Purchase Commitments
Pursuant to the terms of certain indenture agreements, the Fund has unfunded purchase commitments of $20,260,727 at June 30, 2009. The Fund generally will maintain with its custodian, liquid investments having an aggregate value at least equal to the amount of unfunded purchase loan commitments. The following commitments are subject to funding based on the borrower’s 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.
As of June 30, 2009, the Fund had unfunded purchase commitments as follows:
Commitment | ||||||||
Termination | Unfunded | |||||||
Date | Amount | |||||||
Deutsche Bank AG, | ||||||||
Opic Reforma I Credit Linked Nts. | 10/23/13 | $ | 9,514,715 |
F63 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
8. Unfunded Purchase Commitments Continued
Commitment | ||||||||||||||||
Interest | Termination | Unfunded | Unrealized | |||||||||||||
Rate | Date | Amount | Depreciation | |||||||||||||
Deutsche Bank AG; An unfunded commitment that the Fund receives 0.125% quarterly; and will pay out, upon request, up to 10,746,012 USD to a Peruvian Trust through Deutsche Bank’s Global Note Program. Upon funding requests, the unfunded portion decreases and new structured securities will be created and held by the Fund to maintain a consistent exposure level. | 0.50 | % | 9/20/10 | $ | 10,746,012 | $ | 846,883 |
9. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
10. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff “) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
F64 | OPPENHEIMER STRATEGIC BOND FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
7 | OPPENHEIMER STRATEGIC BOND FUND/VA
OPPENHEIMER STRATEGIC BOND FUND/ VA
A Series of Oppenheimer Variable Account Funds
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Arthur Steinmetz, Vice President and Portfolio Manager | ||
Krishna Memani, Vice President and Portfolio Manager | ||
Joseph Welsh, Vice President and Portfolio Manager | ||
Caleb Wong, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent auditors. |
©Copyright 2009 OppenheimerFunds, Inc. All Rights reserved. |
OPPENHEIMER VALUE FUND/VA
Fund Objective. The Fund seeks long-term growth of capital by investing primarily in common stocks with low price-earnings ratios and better-than-anticipated earnings. Realization of current income is a secondary consideration.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/09
For the 6-Month Period Ended 6/30/09
Non-Service Shares | 16.23 | % | ||
Service Shares | 11.63 |
Average Annual Total Returns
For the Periods Ended 6/30/09
For the Periods Ended 6/30/09
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (1/2/03) | ||||||||||
Non-Service Shares | -16.98% | 1.27% | 5.26% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/06) | ||||||||||
Service Shares | -26.71% | N/A | -10.44% |
Expense Ratios
For the Fiscal Year Ended 12/31/08
For the Fiscal Year Ended 12/31/08
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 1.58% | 0.80% | ||||||
Service Shares | 2.23 | 1.05 |
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings
Chevron Corp. | 5.0 | % | ||
Lubrizol Corp. (The) | 4.8 | |||
Tyco International Ltd. | 4.6 | |||
Kroger Co. (The) | 4.6 | |||
Merck & Co., Inc. | 4.5 | |||
AT&T, Inc. | 3.4 | |||
PG&E Corp. | 3.3 | |||
News Corp., Inc., Cl. A | 3.3 | |||
Navistar International Corp. | 3.2 | |||
MetLife, Inc. | 3.2 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2009, and are based on net assets.
The performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance and expense ratios may be lower or higher than the data quoted. For performance data current to the most recent month end, call us at 1.800.981.2871. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. The expense ratios in the table are based on the Fund’s expenses during its fiscal year ended December 31, 2008, but have been restated as if the changes in the transfer agent fee structure and voluntary limits to the Fund’s total annual operating expenses that went into effect May 1, 2009 had been in effect during that entire fiscal year. The net expense ratios take into account a voluntary fee waiver or expense reimbursement, without which performance would have been less. This undertaking may be modified or terminated at any time.
2 | OPPENHEIMER VALUE FUND/VA
Narrative by Mitch Williams and John Damian, Portfolio Managers1
During the six-month reporting period ended June 30, 2009, the Fund’s Non-Service shares returned 16.23%, outpacing the Russell 1000 Value Index (the “Index”), which returned -2.87% over the same period.2 The Fund outperformed the Index in all sectors other than consumer staples and telecommunications services. Outperformance was highest versus the Index in the industrials, financials, health care, information technology, materials and energy sectors. The Fund underperformed primarily in the consumer staples sector.
In the industrials sector, the Fund outperformed the Index due to successful stock selection and an overweight positioning. The Fund’s sector return outperformed the Index’s sector return substantially. Top performers for the Fund included Goodrich Corp., whose stock continued to hold up well in adverse market conditions. We exited our position and locked in our gains over the period. Tyco International Ltd., one of the Fund’s top five holdings at period end, had solid returns during the reporting period, adding to Fund performance. The largest contributor to Fund performance within the sector was commercial trucking manufacturer Navistar International Corp. The firm’s stock price roared back in the first half of 2009 after a difficult 2008. The stock was up over 100% for the period, signaling some market optimism that there is renewed demand for Navistar’s products and services.
The Fund outpaced the Index in the financials sector due to successful stock selection. After a dismal 2008 for most financial securities, a number of the Fund’s holdings in this sector had strong performance during the reporting period. Top contributors in this sector included Morgan Stanley, student loan provider SLM Corp., with a total return near 100% for the Fund, Wells Fargo & Co. and MetLife, Inc.
The Fund outperformed the Index in the health care sector, where it had better relative stock selection. The two top contributors to Fund performance were Schering-Plough Corp. and Wyeth. A similar story here, 2008 was a historically volatile year for pharmaceutical stocks. As market volatility lessened over the first half of 2009, renewed market optimism about the intrinsic value of pharmaceutical companies was reflected in their higher stock prices. With regards to Schering-Plough, we locked in our gains over the period and exited our position.
The Fund was overweight the information technology sector, which helped given the Fund’s strong stock selection within the sector. The top contributors to Fund performance were Research in Motion Ltd. and QUALCOMM, Inc. Research in Motion, a Canadian-based developer of mobile communications and wireless email products including the BlackBerry smartphone, saw its stock price jump as year-over-year revenue growth and net income jumped in the 1st quarter of 2009 as did sales of BlackBerry devices. We exited our position by period end. QUALCOMM, a leading manufacturer of the CDMA chip-technology that is used in 3G wireless communications, has weathered the economic downturn relatively well and continued to expand on its product line.
In terms of the materials sector, the Fund’s overweight helped as the Fund’s holdings in the sector performed exceptionally well for the period. The Lubrizol Corp., a top five holding for the Fund at period end, and Mosaic Co. were the two top contributors. We exited our position in Mosaic and locked in our gains for the period. The Fund also outperformed the Index in the energy sector, as a result of better relative stock selection. The energy sector had a choppy reporting period and on a total return basis was basically flat for the Fund. However, the Index’s sector return was - -7.15%, which accounted for the Fund’s relative outperformance.
1. | Effective January 1, 2009 | |
2. | The Russell 1000 Value Index is an index of equity securities of large capitalization value companies. The index is unmanaged and cannot be purchased directly by investors and includes reinvestment of income but does not reflect any transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only and does not predict or depict the performance of the Fund |
3 | OPPENHEIMER VALUE FUND/VA
OPPENHEIMER VALUE FUND/VA
Within consumer staples, the Fund was overweight the Index, which hurt relative performance and stock selection in this sector was weakest for the Fund. Performance detractors included The Kroger Co. and Molson Coors Brewing Co. Within telecommunication services, an underweight to Sprint Nextel Corp. hurt relative performance as the firm’s stock price returned triple-digits during the reporting period. Within the utilities sector, performance was roughly even with that of the Index. On a total return basis, utilities was one of the weaker performing sectors for the Fund during the period.
At the end of the reporting period, the Fund was overweight versus the Index in the health care, materials and consumer staples sectors. The Fund was underweight the Index primarily in the energy, telecommunication services, utilities, financials and information technology sectors.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.981.2871. Read the prospectus carefully before investing.
Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
4 | OPPENHEIMER VALUE FUND/VA
FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include redemption fees (if applicable); and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2009.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2009 | June 30, 2009 | June 30, 2009 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,162.30 | $ | 5.43 | ||||||
Service shares | 1,000.00 | 1,116.30 | 6.95 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,019.79 | 5.07 | |||||||||
Service shares | 1,000.00 | 1,018.25 | 6.63 |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended June 30, 2009 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 1.01 | % | ||
Service shares | 1.32 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager that can be terminated at any time, without advance notice. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
5 | OPPENHEIMER VALUE FUND/VA
THIS PAGE INTENTIONALLY LEFT BLANK.
6 | OPPENHEIMER VALUE FUND/VA
STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares | Value | |||||||
Common Stocks—98.0% | ||||||||
Consumer Discretionary—8.6% | ||||||||
Media—7.6% | ||||||||
Cablevision Systems Corp. | 3,030 | $ | 58,812 | |||||
New York Group, Cl. A | ||||||||
Cinemark Holdings, Inc. | 850 | 9,622 | ||||||
News Corp., Inc., Cl. A | 18,642 | 169,829 | ||||||
Time Warner Cable, Inc. | 4,936 | 156,323 | ||||||
394,586 | ||||||||
Specialty Retail—1.0% | ||||||||
Bed Bath & Beyond, Inc.1 | 1,610 | 49,508 | ||||||
Consumer Staples—11.3% | ||||||||
Beverages—2.8% | ||||||||
Molson Coors Brewing Co., Cl. B | 3,370 | 142,652 | ||||||
Food & Staples Retailing—7.4% | ||||||||
Kroger Co. (The) | 10,720 | 236,376 | ||||||
Walgreen Co. | 5,060 | 148,764 | ||||||
385,140 | ||||||||
Food Products—1.1% | ||||||||
Campbell Soup Co. | 1,980 | 58,252 | ||||||
Energy—15.8% | ||||||||
Oil, Gas & Consumable Fuels—15.8% | ||||||||
Apache Corp. | 1,020 | 73,593 | ||||||
Chevron Corp. | 3,930 | 260,363 | ||||||
Devon Energy Corp. | 1,700 | 92,650 | ||||||
Exxon Mobil Corp. | 1,920 | 134,227 | ||||||
Marathon Oil Corp. | 4,780 | 144,021 | ||||||
Petroleo Brasileiro SA, Sponsored ADR | 2,670 | 89,071 | ||||||
Valero Energy Corp. | 1,570 | 26,517 | ||||||
820,442 | ||||||||
Financials—19.6% | ||||||||
Capital Markets—3.4% | ||||||||
Goldman Sachs Group, Inc. (The) | 850 | 125,324 | ||||||
Morgan Stanley | 1,730 | 49,322 | ||||||
174,646 | ||||||||
Commercial Banks—2.2% | ||||||||
Wells Fargo & Co. | 4,820 | 116,933 | ||||||
Consumer Finance—1.2% | ||||||||
SLM Corp.1 | 5,890 | 60,490 | ||||||
Diversified Financial Services—4.0% | ||||||||
Bank of America Corp. | 6,630 | 87,516 | ||||||
JPMorgan Chase & Co. | 3,580 | 122,114 | ||||||
209,630 | ||||||||
Insurance—8.8% | ||||||||
Assurant, Inc. | 5,100 | 122,859 | ||||||
Everest Re Group Ltd. | 1,567 | 112,150 | ||||||
MetLife, Inc. | 5,470 | 164,155 | ||||||
National Financial Partners Corp. | 4,940 | 36,161 | ||||||
Prudential Financial, Inc. | 630 | 23,449 | ||||||
458,774 | ||||||||
Health Care—13.7% | ||||||||
Health Care Equipment & Supplies—3.1% | ||||||||
Covidien plc | 4,310 | 161,366 | ||||||
Health Care Providers & Services—1.4% | ||||||||
Aetna, Inc. | 2,850 | 71,393 | ||||||
Pharmaceuticals—9.2% | ||||||||
Merck & Co., Inc. | 8,400 | 234,864 | ||||||
Pfizer, Inc. | 7,130 | 106,950 | ||||||
Wyeth | 3,060 | 138,893 | ||||||
480,707 | ||||||||
Industrials—9.8% | ||||||||
Air Freight & Logistics—0.9% | ||||||||
United Parcel Service, Inc., Cl. B | 980 | 48,990 | ||||||
Industrial Conglomerates—4.6% | ||||||||
Tyco International Ltd. | 9,130 | 237,197 | ||||||
Machinery—3.2% | ||||||||
Navistar International Corp.1 | 3,793 | 165,375 | ||||||
Trading Companies & Distributors—1.1% | ||||||||
Aircastle Ltd. | 7,860 | 57,771 | ||||||
Information Technology—3.9% | ||||||||
Communications Equipment—2.0% | ||||||||
Motorola, Inc. | 11,700 | 77,571 | ||||||
QUALCOMM, Inc. | 560 | 25,312 | ||||||
102,883 | ||||||||
Computers & Peripherals—0.5% | ||||||||
Apple, Inc.1 | 200 | 28,486 | ||||||
Internet Software & Services—1.4% | ||||||||
Google, Inc., Cl. A1 | 170 | 71,670 | ||||||
Materials—5.6% | ||||||||
Chemicals—5.6% | ||||||||
Lubrizol Corp. (The) | 5,267 | 249,182 | ||||||
Potash Corp. of Saskatchewan, Inc. | 430 | 40,012 | ||||||
289,194 | ||||||||
Telecommunication Services—3.9% | ||||||||
Diversified Telecommunication Services—3.4% | ||||||||
AT&T, Inc. | 7,020 | 174,377 | ||||||
Wireless Telecommunication Services—0.5% | ||||||||
Sprint Nextel Corp.1 | 5,770 | 27,754 |
F1 | OPPENHEIMER VALUE FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Utilities—5.8% | ||||||||
Electric Utilities—2.5% | ||||||||
Exelon Corp. | 2,536 | $ | 129,869 | |||||
Multi-Utilities—3.3% | ||||||||
PG&E Corp. | 4,470 | 171,827 | ||||||
Total Common Stocks (Cost $4,962,486) | 5,089,912 | |||||||
Investment Companies—8.0% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,4 | 22,090 | 22,090 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%2,3 | 396,414 | 396,414 | ||||||
Total Investment Companies (Cost $418,504) | 418,504 | |||||||
Total Investments, at Value (Cost $5,380,990) | 106.0 | % | 5,508,416 | |||||
Liabilities in Excess of Other Assets | (6.0 | ) | (313,865 | ) | ||||
Net Assets | 100.0 | % | $ | 5,194,551 | ||||
Footnotes to Statement of Investments
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2009. | |
3. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, 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 period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2008 | Additions | Reductions | June 30, 2009 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 664,973 | 7,805,189 | 8,073,748 | 396,414 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 396,414 | $ | 1,141 |
4. | Interest rate less than 0.0005%. |
F2 | OPPENHEIMER VALUE FUND/VA
Valuation Inputs
Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3—unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset).
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
Level 3 — | ||||||||||||||||
Level 2 — | Significant | |||||||||||||||
Level 1 — | Other Significant | Unobservable | ||||||||||||||
Unadjusted Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 444,094 | $ | — | $ | — | $ | 444,094 | ||||||||
Consumer Staples | 586,044 | — | — | 586,044 | ||||||||||||
Energy | 820,442 | — | — | 820,442 | ||||||||||||
Financials | 1,020,473 | — | — | 1,020,473 | ||||||||||||
Health Care | 713,466 | — | — | 713,466 | ||||||||||||
Industrials | 509,333 | — | — | 509,333 | ||||||||||||
Information Technology | 203,039 | — | — | 203,039 | ||||||||||||
Materials | 289,194 | — | — | 289,194 | ||||||||||||
Telecommunication Services | 202,131 | — | — | 202,131 | ||||||||||||
Utilities | 301,696 | — | — | 301,696 | ||||||||||||
Investment Companies | 418,504 | — | — | 418,504 | ||||||||||||
Total Assets | $ | 5,508,416 | $ | — | $ | — | $ | 5,508,416 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in determining value of the Fund’s investments, and a summary of changes to the valuation techniques, if any, during the reporting period.
See accompanying Notes to Financial Statements.
F3 | OPPENHEIMER VALUE FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2009
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $4,984,576) | $ | 5,112,002 | ||
Affiliated companies (cost $396,414) | 396,414 | |||
5,508,416 | ||||
Receivables and other assets: | ||||
Investments sold | 119,931 | |||
Dividends | 8,984 | |||
Shares of beneficial interest sold | 875 | |||
Other | 3,335 | |||
Total assets | 5,641,541 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 407,697 | |||
Shares of beneficial interest redeemed | 13,790 | |||
Distribution and service plan fees | 2,937 | |||
Trustees’ compensation | 2,317 | |||
Shareholder communications | 1,919 | |||
Transfer and shareholder servicing agent fees | 421 | |||
Other | 17,909 | |||
Total liabilities | 446,990 | |||
Net Assets | $ | 5,194,551 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 686 | ||
Additional paid-in capital | 7,723,816 | |||
Accumulated net investment income | 35,934 | |||
Accumulated net realized loss on investments and foreign currency transactions | (2,693,311 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 127,426 | |||
Net Assets | $ | 5,194,551 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $18,974 and 3,270 shares of beneficial interest outstanding) | $ | 5.80 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $5,175,577 and 682,387 shares of beneficial interest outstanding) | $ | 7.58 |
See accompanying Notes to Financial Statements.
F4 | OPPENHEIMER VALUE FUND/VA
STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2009
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $132) | $ | 61,211 | ||
Affiliated companies | 1,141 | |||
Interest | 17 | |||
Total investment income | 62,369 | |||
Expenses | ||||
Management fees | 16,454 | |||
Distribution and service plan fees—Service shares | 4,110 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 12 | |||
Service shares | 861 | |||
Shareholder communications: | ||||
Non-Service shares | 13 | |||
Service shares | 4,568 | |||
Legal, auditing and other professional fees | 11,718 | |||
Trustees’ compensation | 3,182 | |||
Registration and filing fees | 2,030 | |||
Custodian fees and expenses | 161 | |||
Other | 880 | |||
Total expenses | 43,989 | |||
Less waivers and reimbursements of expenses | (14,970 | ) | ||
Net expenses | 29,019 | |||
Net Investment Income | 33,350 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | (445,019 | ) | ||
Closing and expiration of option contracts written | 3,628 | |||
Foreign currency transactions | (22,722 | ) | ||
Net realized loss | (464,113 | ) | ||
Net change in unrealized appreciation on: | ||||
Investments | 964,892 | |||
Translation of assets and liabilities denominated in foreign currencies | 3,599 | |||
Net change in unrealized appreciation | 968,491 | |||
Net Increase in Net Assets Resulting from Operations | $ | 537,728 | ||
See accompanying Notes to Financial Statements.
F5 | OPPENHEIMER VALUE FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2009 | December 31, | |||||||
(Unaudited) | 2008 | |||||||
Operations | ||||||||
Net investment income | $ | 33,350 | $ | 56,053 | ||||
Net realized loss | (464,113 | ) | (1,927,397 | ) | ||||
Net change in unrealized appreciation (depreciation) | 968,491 | (1,273,014 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 537,728 | (3,144,358 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | — | (2,000 | ) | |||||
Service shares | — | (47,216 | ) | |||||
— | (49,216 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 9,860 | (1,475,254 | ) | |||||
Service shares | (49,181 | ) | 1,155,875 | |||||
(39,321 | ) | (319,379 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | 498,407 | (3,512,953 | ) | |||||
Beginning of period | 4,696,144 | 8,209,097 | ||||||
End of period (including accumulated net investment income of $35,934 and $2,584, respectively) | $ | 5,194,551 | $ | 4,696,144 | ||||
See accompanying Notes to Financial Statements.
F6 | OPPENHEIMER VALUE FUND/VA
FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 4.99 | $ | 11.73 | $ | 11.58 | $ | 11.16 | $ | 12.26 | $ | 12.90 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | .07 | .12 | .10 | (.03 | ) | .02 | (.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | .74 | (4.44 | ) | .59 | 1.61 | .71 | 1.82 | |||||||||||||||||
Total from investment operations | .81 | (4.32 | ) | .69 | 1.58 | .73 | 1.81 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | (2.42 | ) | (.10 | ) | (.01 | ) | (.02 | ) | (.03 | ) | |||||||||||||
Distributions from net realized gain | — | — | (.44 | ) | (1.15 | ) | (1.81 | ) | (2.42 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | — | (2.42 | ) | (.54 | ) | (1.16 | ) | (1.83 | ) | (2.45 | ) | |||||||||||||
Net asset value, end of period | $ | 5.80 | $ | 4.99 | $ | 11.73 | $ | 11.58 | $ | 11.16 | $ | 12.26 | ||||||||||||
Total Return, at Net Asset Value2 | 16.23 | % | (36.43 | )% | 5.89 | % | 14.03 | % | 5.88 | % | 14.50 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 19 | $ | 6 | $ | 1,728 | $ | 2,657 | $ | 2,562 | $ | 2,815 | ||||||||||||
Average net assets (in thousands) | $ | 11 | $ | 857 | $ | 2,753 | $ | 2,695 | $ | 2,878 | $ | 3,370 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income (loss) | 2.89 | % | 1.07 | % | 0.80 | % | (0.29 | )% | 0.15 | % | (0.08 | )% | ||||||||||||
Total expenses | 2.15 | %4 | 1.48 | %4 | 1.49 | %4 | 2.14 | %4 | 1.78 | % | 1.82 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.01 | % | 1.25 | % | 1.25 | % | 2.14 | % | 1.78 | % | 1.82 | % | ||||||||||||
Portfolio turnover rate | 104 | % | 175 | % | 142 | % | 124 | % | 86 | % | 100 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 2.16 | % | ||
Year Ended December 31, 2008 | 1.48 | % | ||
Year Ended December 31, 2007 | 1.49 | % | ||
Year Ended December 31, 2006 | 2.14 | % |
See accompanying Notes to Financial Statements.
F7 | OPPENHEIMER VALUE FUND/VA
FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||
Ended | ||||||||||||||||
June 30, 2009 | Year Ended December 31, | |||||||||||||||
Service Shares | (Unaudited) | 2008 | 2007 | 20061 | ||||||||||||
Per Share Operating Data | ||||||||||||||||
Net asset value, beginning of period | $ | 6.79 | $ | 11.75 | $ | 11.57 | $ | 11.89 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income (loss)2 | .05 | .08 | .06 | (.05 | ) | |||||||||||
Net realized and unrealized gain (loss) | .74 | (4.97 | ) | .60 | .88 | |||||||||||
Total from investment operations | .79 | (4.89 | ) | .66 | .83 | |||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||
Dividends from net investment income | — | (.07 | ) | (.04 | ) | — | ||||||||||
Distributions from net realized gain | — | — | (.44 | ) | (1.15 | ) | ||||||||||
Total dividends and/or distributions to shareholders | — | (.07 | ) | (.48 | ) | (1.15 | ) | |||||||||
Net asset value, end of period | $ | 7.58 | $ | 6.79 | $ | 11.75 | $ | 11.57 | ||||||||
Total Return, at Net Asset Value3 | 11.63 | % | (41.62 | )% | 5.70 | % | 6.81 | % | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,176 | $ | 4,690 | $ | 6,481 | $ | 455 | ||||||||
Average net assets (in thousands) | $ | 4,416 | $ | 5,561 | $ | 3,527 | $ | 268 | ||||||||
Ratios to average net assets:4 | ||||||||||||||||
Net investment income (loss) | 1.52 | % | 0.84 | % | 0.49 | % | (1.30 | )% | ||||||||
Total expenses5 | 2.00 | % | 2.13 | % | 1.63 | % | 2.89 | % | ||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.32 | % | 1.50 | % | 1.50 | % | 2.88 | % | ||||||||
Portfolio turnover rate | 104 | % | 175 | % | 142 | % | 124 | % |
1. | For the period from September 18, 2006 (inception of offering) to December 31, 2006. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2009 | 2.01 | % | ||
Year Ended December 31, 2008 | 2.13 | % | ||
Year Ended December 31, 2007 | 1.63 | % | ||
Period Ended December 31, 2006 | 2.89 | % |
See accompanying Notes to Financial Statements.
F8 | OPPENHEIMER VALUE FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Value Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek long-term growth of capital by investing primarily in common stocks with low price-earnings ratios and better-than-anticipated earnings. Realization of current income is a secondary consideration. The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”).
The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.
The following is a summary of significant accounting policies consistently followed by the Fund.
Securities Valuation. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, Fair Value Measurements, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Unadjusted quoted prices in active markets for identical securities are classified as “Level 1,” inputs other than unadjusted quoted prices for an asset that are observable are classified as “Level 2” and unobservable inputs, including the Manager’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund’s investments under these levels of classification is included following the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs.
Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund’s assets are valued. Securities whose principal exchange is NASDAQ® are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the “bid” and “asked” prices.
F9 | OPPENHEIMER VALUE FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
“Money market-type” debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2.
In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund’s assets are valued but after the close of the securities’ respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities 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 adjusted for any discounts related to 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.
Fair valued securities may be classified as “Level 3” if the Manager’s own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value.
There have been no significant changes to the fair valuation methodologies during the period.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Statement of Operations.
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
F10 | OPPENHEIMER VALUE FUND/VA
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
During the fiscal year ended December 31, 2008, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2008, the Fund had available for federal income tax purposes post-October losses of $749,879 and unused capital loss carryforward as follows:
Expiring | ||||
2016 | $ | 1,303,597 |
As of June 30, 2009, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $2,517,589 expiring by 2018. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended June 30, 2009, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities | $ | 5,799,675 | ||
Gross unrealized appreciation | $ | 79,923 | ||
Gross unrealized depreciation | (371,182 | ) | ||
Net unrealized depreciation | $ | (291,259 | ) | |
Trustees’ Compensation. The Board of Trustees has adopted a compensation deferral plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of trustees’ fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the compensation deferral plan.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
F11 | OPPENHEIMER VALUE FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2009 | Year Ended December 31, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 2,353 | $ | 11,508 | 957 | $ | 8,036 | ||||||||||
Dividends and/or distributions reinvested | — | — | 409 | 2,000 | ||||||||||||
Redeemed | (329 | ) | (1,648 | ) | (147,464 | ) | (1,485,290 | ) | ||||||||
Net increase (decrease) | 2,024 | $ | 9,860 | (146,098 | ) | $ | (1,475,254 | ) | ||||||||
Service Shares | ||||||||||||||||
Sold | 115,503 | $ | 787,031 | 461,846 | $ | 4,322,028 | ||||||||||
Dividends and/or distributions reinvested | — | — | 7,057 | 47,216 | ||||||||||||
Redeemed | (123,894 | ) | (836,212 | ) | (329,902 | ) | (3,213,369 | ) | ||||||||
Net increase (decrease) | (8,391 | ) | $ | (49,181 | ) | 139,001 | $ | 1,155,875 | ||||||||
3. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended June 30, 2009, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 4,601,080 | $ | 4,446,184 |
F12 | OPPENHEIMER VALUE FUND/VA
4. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Over $800 million | 0.60 |
Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. For the six months ended June 30, 2009, the Fund paid $461 to OFS for services to the Fund.
Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) in accordance with Rule 12b-1 under the Investment Company Act of 1940 for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of up to 0.25% of the average annual net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsor(s) of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.
Waivers and Reimbursements of Expenses. Effective January 1, 2007, the Manager voluntarily agreed to an expense waiver of any “Total expenses” over 1.25% of average annual net assets for Non-Service shares and 1.50% of average annual net assets for Service shares. Effective May 1, 2009, the Manager has voluntarily undertaken to limit the Fund’s total annual operating expenses so that those expenses, as percentages of daily net assets will not exceed the annual rate of 0.80% for Non-Service shares and 1.05% for Service shares. During the six months ended June 30, 2009, the Manager waived $59 and $14,770 for Non-Service and Service shares, respectively. This voluntary undertaking and may be amended or withdrawn at any time.
Prior to May 1, 2009, OFS had voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF. During the six months ended June 30, 2009, the Manager waived $141 for IMMF management fees.
5. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return 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. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This 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.
F13 | OPPENHEIMER VALUE FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
Market Risk Factors. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors:
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.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. 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.
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. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.
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. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. To reduce this risk 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 net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
Credit Related Contingent Features. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
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The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or Loss Recognized on Derivative
Investments from | ||||||||||||
Derivatives Not Accounted | unaffiliated companies | Closing and | ||||||||||
for as Hedging Instruments | (including premiums | expiration of option | ||||||||||
under Statement 133(a) | on options exercised)* | contracts written | Total | |||||||||
Equity contracts | $ | (110 | ) | $ | 3,628 | $ | 3,518 |
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Foreign Currency Exchange Contracts
The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date.
Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations.
The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund’s loss will consist of the net amount of contractual payments that the Fund has not yet received.
As of June 30, 2009, the Fund had no outstanding forward contracts.
Option Activity
The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities.
The Fund has written put options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written covered call options on individual equity securities and, or, equity indexes to decrease exposure to equity risk. A written covered call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
F15 | OPPENHEIMER VALUE FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
The Fund has purchased call options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional associated risk that there may be an illiquid market where the Fund is unable to close the contract.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the six months ended June 30, 2009 was as follows:
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of December 31, 2008 | — | $ | — | — | $ | — | ||||||||||
Options written | 168 | 11,721 | 17 | 1,895 | ||||||||||||
Options closed or expired | (160 | ) | (10,654 | ) | (17 | ) | (1,895 | ) | ||||||||
Options exercised | (8 | ) | (1,067 | ) | — | — | ||||||||||
Options outstanding as of June 30, 2009 | — | $ | — | — | $ | — | ||||||||||
6. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through August 13, 2009, the date the financial statements were available to be issued. This evaluation determined that there were no subsequent events that necessitated disclosures and/or adjustments.
7. Pending Litigation
During 2009, a number of complaints have been filed in federal courts against the Manager, the Distributor, and certain mutual funds (“Defendant Funds”) advised by the Manager and distributed by the Distributor—excluding the Fund. The complaints naming the Defendant Funds also name certain officers, trustees and former trustees of the respective Defendant Funds. The plaintiffs seek class action status on behalf of purchasers of shares of the respective Defendant Fund during a particular time period. The complaints against the Defendant Funds raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and omissions, that such Defendant Fund’s investment policies were not followed, and that such Defendant Fund and the other defendants violated federal securities laws and regulations. The plaintiffs seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation expenses.
A complaint has been brought in state court against the Manager, the Distributor and another subsidiary of the Manager (but not against the Fund), on behalf of the Oregon College Savings Plan Trust. The complaint alleges breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seeks compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
Other complaints have been filed in 2008 and 2009 in state and federal courts, by investors who made investments through an affiliate of the Manager, against the Manager and certain of its affiliates. Those complaints relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”) and allege a variety of claims, including breach of fiduciary duty, fraud, negligent misrepresentation, unjust enrichment, and violation of federal and state securities laws and regulations, among others. They seek unspecified damages, equitable relief and an award of attorneys’ fees and litigation
F16 | OPPENHEIMER VALUE FUND/VA
expenses. None of the suits have named the Distributor, any of the Oppenheimer mutual funds or any of their independent Trustees or Directors. None of the Oppenheimer funds invested in any funds or accounts managed by Madoff.
The Manager believes that the lawsuits described above are without legal merit and intends to defend them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits vigorously on behalf of those Funds, their boards and the Trustees named in those suits. While it is premature to render any opinion as to the likelihood of an outcome in these lawsuits, or whether any costs that the Defendant Funds may bear in defending the suits might not be reimbursed by insurance, the Manager believes that these suits should not impair the ability of the Manager or the Distributor to perform their respective duties to the Fund, and that the outcome of all of the suits together should not have any material effect on the operations of any of the Oppenheimer Funds.
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F18 | OPPENHEIMER VALUE FUND/VA
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
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9 | OPPENHEIMER VALUE FUND/VA
OPPENHEIMER VALUE FUND/VA
A Series of Oppenheimer Variable Account Funds | ||
Trustees and Officers | William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
John V. Murphy, Trustee, President and Principal Executive Officer | ||
Mitch Williams, Vice President and Portfolio Manager | ||
John Damian, Vice President and Portfolio Manager | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Robert G. Zack, Vice President and Secretary | ||
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer Agent | OppenheimerFunds Services | |
Independent Registered | KPMG llp | |
Public Accounting Firm | ||
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, or calling us at 1.800.981.2871. Read prospectuses carefully before investing. | ||
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
©Copyright 2009 OppenheimerFunds, Inc. All rights reserved. |
Item 2. Code of Ethics.
Not applicable to semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual reports.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
1. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and |
whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. | ||
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. |
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 06/30/2009, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a) | (1) Not applicable to semiannual reports. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b) | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Variable Account Funds
By: | /s/ John V. Murphy | |||
Principal Executive Officer | ||||
Date: | 08/11/2009 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John V. Murphy | |||
Principal Executive Officer | ||||
Date: | 08/11/2009 |
By: | /s/ Brian W. Wixted | |||
Principal Financial Officer | ||||
Date: | 08/11/2009 |