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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: 06/30/2010
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Item 1. Reports to Stockholders.
June 30, 2010 Oppenheimer Small- & Mid-Cap Semiannual Growth Fund/VA* Report A Series of Oppenheimer Variable Account Funds SEMI ANNUAL REPORT Fund Performance Discussion Listing of Top Holdings Listing of Investments Financial Statements *Prior to April 30, 2010, the Fund’s name was “Oppenheimer MidCap Fund/VA” |
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OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/ VA
Fund Objective. The Fund seeks capital appreciation by investing in “growth type” companies.
Portfolio Manager: Ronald J. Zibelli, Jr.
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
For the 6-Month Period Ended 6/30/10
Non-Service Shares | –4.82 | % | ||
Service Shares | –4.92 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 17.32% | –5.05% | –8.05% | |||||||||
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (10/16/00) | ||||||||||
Service Shares | 17.05% | –5.30% | –8.61% |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Gross Expense Ratios | Net Expense Ratios | |||||||
Non-Service Shares | 0.86% | 0.71% | ||||||
Service Shares | 1.12 | 0.97 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
Sector Allocation
Information Technology 24.3% Health Care 18.2 Consumer Discretionary 18.0 Industrials 12.4 Financials 8.5 Materials 5.6 Consumer Staples 5.2 Energy 4.6 Telecommunication Services 3.2 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings
Edwards Lifesciences Corp. | 2.0 | % | ||
Alexion Pharmaceuticals, Inc. | 1.9 | |||
Concho Resources, Inc. | 1.7 | |||
F5 Networks, Inc. | 1.7 | |||
HMS Holdings Corp. | 1.6 | |||
Cognizant Technology Solutions Corp. | 1.4 | |||
Salesforce.com, Inc. | 1.4 | |||
Dollar Tree, Inc. | 1.4 | |||
TreeHouse Foods, Inc. | 1.3 | |||
Goodrich Corp. | 1.3 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
2 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA
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FUND PERFORMANCE DISCUSSION
During the six-month reporting period ended June 30, 2010, the Fund’s Non-Service shares returned - -4.82%, underper-forming the Russell 2500 Growth Index (the “Index”), which returned –1.82%. In our opinion, the primary cause of the Fund’s unfavorable stock selection relative to the Index was the market’s continued preference for lower-quality stocks over higher-quality stocks. This preference for lower-quality stocks typically happens at the start of a market rebound as the appetite for risk returns, but tends to be temporary in nature. Despite the Fund’s disappointing results during the tumultuous six-month period, we continue to adhere to our investment approach of focusing on well-established, higher-quality growth companies.
The first half of 2010 saw a continuation of the economic recovery that began in 2009. Improving manufacturing activity and a rebound in corporate earnings helped bolster the confidence of consumers, businesses and investors, adding a degree of support to the economic expansion. However, the rebound proved to be more sluggish than most previous recoveries, as stubbornly high unemployment and ongoing weakness in housing markets produced headwinds that constrained the pace of economic growth. Nonetheless, improved investor sentiment helped sustain a stock market rally through the first four months of the year. As it was in 2009, the rally was led by smaller, more speculative stocks that had been severely beaten down during the Great Recession and financial crisis.
The investment climate changed significantly in May, when a number of developments appeared to threaten the global economic recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures.
Meanwhile, robust economic growth in China seemed to spark local inflationary pressures, particularly in urban property markets. The Chinese government raised short-term interest rates and adopted other measures to forestall an acceleration of inflation, but global investors grew concerned that these measures might choke off regional economic growth in a country that has been a key driver of the global economic recovery. Finally, economic concerns intensified in the United States, where employment gains have remained relatively modest, real estate markets have continued to struggle and consumers have been reluctant to spend. Consequently, stock prices fell sharply in May and June, giving back all of their previous 2010 gains and ending the reporting period lower than where they began.
In terms of detractors from performance, within the consumer discretionary sector, overweight positions to hard hit securities DreamWorks Animation SKG, Inc., Sotheby’s and Royal Caribbean Cruises Ltd. detracted from relative performance. We exited our position in DreamWorks by period end. In financials, the Fund was overweight to Stifel Financial Corp., Assured Guaranty Ltd. and Waddell & Reed Financial, Inc., all of which experienced sharp declines during the volatile period and detracted from relative performance. Poor showings from these securities were indicative of the larger themes of the reporting period, weakness in the stock market in the second half of the period and concerns over a slowdown in demand for certain products. Underweighting information technology holding Akamai Technologies, Inc., which performed well for the Index during the period, hurt performance. In addition, overweighting Lam Research Corp., Longtop Financial Technologies Ltd. and Sybase, Inc., all three of which we exited by period end, detracted from results.
On the positive side, the Fund outperformed the Index within the health care and consumer staples sectors due to stronger relative stock selection. In health care, overweight positions to Thoratec Corp., Edwards Lifesciences Corp. (the Fund’s largest holding at period end), SXC Health Solutions Corp. and Perrigo Co., all of which performed well during the reporting period, benefited performance. Positive contributors within consumer staples included overweight positions to strong performing holdings TreeHouse Foods, Inc. and The Estee Lauder Cos., Inc. Individual securities that contributed positively to performance in other sectors were energy holding Concho Resources, Inc., consumer discretionary stocks Dollar Tree, Inc. and Chipotle Mexican Grill, Inc., and information technology holdings F5 Networks, Inc., ARM Holdings plc and Cognizant Technology Solutions Corp. The Fund’s overweight position to each of these holdings produced positive relative performance during the period.
3 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA
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FUND PERFORMANCE DISCUSSION
At period end, relative to the Index, the Fund had overweight positions within the consumer staples, telecommunication services, financials, information technology, health care and energy sectors, underweight positions within the industrials, consumer discretionary, materials sectors and did not hold securities within the utilities sector.
Given the global equity and bond market pull-backs over the last two months of the reporting period, we would like to reiterate that we continue to follow a long-term, bottom-up, fundamentals-based approach to investing. While we expect the volatility in the markets to continue based on the global uncertainty regarding debt levels of certain countries and other pressing issues, we also believe market corrections present investment opportunities. We will continue to monitor current events as they unfold, but we are optimistic regarding the Fund’s investment strategy of seeking dynamic companies with above-average and sustainable revenue and earnings growth that we believe are positioned to outperform. This includes leading firms in structurally attractive industries with committed management teams that have proven records of performance. Despite the market volatility, we believe we are in the early period of a longer economic cycle that favors our approach to investing.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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.
4 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA
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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, 2010.
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, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 951.80 | $ | 3.54 | ||||||
Service shares | 1,000.00 | 950.80 | 4.75 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.17 | 3.66 | |||||||||
Service 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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.73 | % | ||
Service shares | 0.98 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Shares | Value | |||||||
Common Stocks—95.1% | ||||||||
Consumer Discretionary—17.1% | ||||||||
Diversified Consumer Services—0.8% | ||||||||
Sotheby’s | 174,100 | $ | 3,981,667 | |||||
Hotels, Restaurants & Leisure—4.6% | ||||||||
Cheesecake Factory, Inc. (The)1 | 223,540 | 4,976,000 | ||||||
Chipotle Mexican Grill, Inc., Cl. A1 | 43,390 | 5,936,186 | ||||||
Panera Bread Co., Cl. A1 | 82,980 | 6,247,564 | ||||||
Royal Caribbean Cruises Ltd.1 | 129,300 | 2,944,161 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 92,160 | 3,818,189 | ||||||
23,922,100 | ||||||||
Household Durables—0.7% | ||||||||
Tupperware Brands Corp. | 99,320 | 3,957,902 | ||||||
Internet & Catalog Retail—0.7% | ||||||||
Priceline.com, Inc.1 | 20,370 | 3,596,120 | ||||||
Leisure Equipment & Products—0.8% | ||||||||
Hasbro, Inc. | 96,600 | 3,970,260 | ||||||
Media—2.5% | ||||||||
Discovery Communications, Inc.1 | 184,920 | 6,603,493 | ||||||
Scripps Networks Interactive, Cl. A | 94,780 | 3,823,425 | ||||||
Valassis Communications, Inc.1 | 75,420 | 2,392,322 | ||||||
12,819,240 | ||||||||
Multiline Retail—2.8% | ||||||||
Big Lots, Inc.1 | 79,050 | 2,536,715 | ||||||
Dollar Tree, Inc.1 | 170,685 | 7,105,617 | ||||||
Nordstrom, Inc. | 151,600 | 4,880,004 | ||||||
14,522,336 | ||||||||
Specialty Retail—2.7% | ||||||||
O’Reilly Automotive, Inc.1 | 80,260 | 3,817,166 | ||||||
Tiffany & Co. | 122,610 | 4,648,145 | ||||||
Urban Outfitters, Inc.1 | 162,480 | 5,587,687 | ||||||
14,052,998 | ||||||||
Textiles, Apparel & Luxury Goods—1.5% | ||||||||
Phillips/Van Heusen Corp. | 57,610 | 2,665,615 | ||||||
Polo Ralph Lauren Corp., Cl. A | 33,440 | 2,439,782 | ||||||
Skechers USA, Inc., Cl. A1 | 69,070 | 2,522,436 | ||||||
7,627,833 | ||||||||
Consumer Staples—5.0% | ||||||||
Food & Staples Retailing—1.0% | ||||||||
Whole Foods Market, Inc.1 | 142,570 | 5,135,371 | ||||||
Food Products—2.2% | ||||||||
J.M. Smucker Co. (The) | 72,090 | 4,341,260 | ||||||
TreeHouse Foods, Inc.1 | 150,440 | 6,869,090 | ||||||
11,210,350 | ||||||||
Personal Products—1.8% | ||||||||
Estee Lauder Cos., Inc. (The), Cl. A | 109,100 | 6,080,143 | ||||||
Nu Skin Asia Pacific, Inc., Cl. A | 129,620 | 3,231,427 | ||||||
9,311,570 | ||||||||
Energy—4.4% | ||||||||
Energy Equipment & Services—1.0% | ||||||||
Core Laboratories NV | 19,660 | 2,902,013 | ||||||
Superior Energy Services, Inc.1 | 116,100 | 2,167,587 | ||||||
5,069,600 | ||||||||
Oil, Gas & Consumable Fuels—3.4% | ||||||||
Alpha Natural Resources, Inc.1 | 75,120 | 2,544,314 | ||||||
Concho Resources, Inc.1 | 161,780 | 8,951,287 | ||||||
Petrohawk Energy Corp.1 | 102,500 | 1,739,425 | ||||||
Range Resources Corp. | 110,846 | 4,450,467 | ||||||
17,685,493 | ||||||||
Financials—8.0% | ||||||||
Capital Markets—1.9% | ||||||||
Greenhill & Co., Inc. | 42,100 | 2,573,573 | ||||||
Stifel Financial Corp.1 | 115,500 | 5,011,545 | ||||||
Waddell & Reed Financial, Inc., Cl. A | 114,440 | 2,503,947 | ||||||
10,089,065 | ||||||||
Commercial Banks—2.1% | ||||||||
East West Bancorp, Inc. | 356,620 | 5,438,455 | ||||||
Signature Bank1 | 138,200 | 5,252,982 | ||||||
10,691,437 | ||||||||
Diversified Financial Services—0.9% | ||||||||
CBOE Holdings, Inc.1 | 48,300 | 1,572,165 | ||||||
MSCI, Inc., Cl. A1 | 119,040 | 3,261,696 | ||||||
4,833,861 | ||||||||
Insurance—0.6% | ||||||||
Assured Guaranty Ltd. | 220,300 | 2,923,381 | ||||||
Real Estate Investment Trusts—1.2% | ||||||||
Digital Realty Trust, Inc. | 109,790 | 6,332,687 | ||||||
Real Estate Management & Development—1.3% | ||||||||
Jones Lang LaSalle, Inc. | 102,400 | 6,721,536 | ||||||
Health Care—17.4% | ||||||||
Biotechnology—4.2% | ||||||||
Alexion Pharmaceuticals, Inc.1 | 191,680 | 9,812,099 | ||||||
Amylin Pharmaceuticals, Inc.1 | 128,500 | 2,415,800 | ||||||
Dendreon Corp.1 | 40,840 | 1,320,357 | ||||||
Human Genome Sciences, Inc.1 | 152,560 | 3,457,010 | ||||||
United Therapeutics Corp.1 | 96,600 | 4,715,046 | ||||||
21,720,312 |
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Shares | Value | |||||||
Health Care Equipment & Supplies—4.2% | ||||||||
Edwards Lifesciences Corp.1 | 186,580 | $ | 10,452,212 | |||||
ResMed, Inc.1 | 75,520 | 4,592,371 | ||||||
Thoratec Corp.1 | 152,350 | 6,509,916 | ||||||
21,554,499 | ||||||||
Health Care Providers & Services—5.9% | ||||||||
Catalyst Health Solutions, Inc.1 | 127,350 | 4,393,575 | ||||||
Coventry Health Care, Inc.1 | 141,570 | 2,502,958 | ||||||
Emergency Medical Services LP, Cl. A1 | 83,290 | 4,083,709 | ||||||
Health Management Associates, Inc., Cl. A1 | 757,740 | 5,887,640 | ||||||
HMS Holdings Corp.1 | 151,750 | 8,227,885 | ||||||
Schein (Henry), Inc.1 | 98,270 | 5,395,023 | ||||||
30,490,790 | ||||||||
Health Care Technology—2.0% | ||||||||
Cerner Corp.1 | 66,420 | 5,040,614 | ||||||
SXC Health Solutions Corp.1 | 74,410 | 5,450,533 | ||||||
10,491,147 | ||||||||
Pharmaceuticals—1.1% | ||||||||
Perrigo Co. | 91,970 | 5,432,668 | ||||||
Industrials—11.8% | ||||||||
Aerospace & Defense—2.2% | ||||||||
BE Aerospace, Inc.1 | 75,580 | 1,921,999 | ||||||
Goodrich Corp. | 103,250 | 6,840,313 | ||||||
Rockwell Collins, Inc. | 47,800 | 2,539,614 | ||||||
11,301,926 | ||||||||
Electrical Equipment—3.0% | ||||||||
Regal-Beloit Corp. | 100,630 | 5,613,141 | ||||||
Rockwell Automation, Inc. | 112,930 | 5,543,734 | ||||||
Roper Industries, Inc. | 77,640 | 4,344,734 | ||||||
15,501,609 | ||||||||
Machinery—2.9% | ||||||||
Bucyrus International, Inc. | 56,770 | 2,693,737 | ||||||
Gardner Denver, Inc. | 94,761 | 4,225,393 | ||||||
Parker-Hannifin Corp. | 68,770 | 3,813,984 | ||||||
Pentair, Inc. | 126,640 | 4,077,808 | ||||||
14,810,922 | ||||||||
Professional Services—0.7% | ||||||||
Verisk Analytics, Inc., Cl. A1 | 126,280 | 3,775,772 | ||||||
Road & Rail—1.9% | ||||||||
Hunt (J.B.) Transport Services, Inc. | 120,590 | 3,939,675 | ||||||
Kansas City Southern, Inc.1 | 165,560 | 6,018,106 | ||||||
9,957,781 | ||||||||
Trading Companies & Distributors—1.1% | ||||||||
MSC Industrial Direct Co., Inc., Cl. A | 112,530 | 5,700,770 | ||||||
Information Technology—23.1% | ||||||||
Communications Equipment—2.5% | ||||||||
F5 Networks, Inc.1 | 125,230 | 8,587,021 | ||||||
Riverbed Technology, Inc.1 | 150,340 | 4,152,391 | ||||||
12,739,412 | ||||||||
Computers & Peripherals—2.0% | ||||||||
NetApp, Inc.1 | 174,770 | 6,520,669 | ||||||
SanDisk Corp.1 | 86,920 | 3,656,724 | ||||||
10,177,393 | ||||||||
Electronic Equipment & Instruments—1.0% | ||||||||
Dolby Laboratories, Inc., Cl. A1 | 83,990 | 5,265,333 | ||||||
Internet Software & Services—3.8% | ||||||||
Akamai Technologies, Inc.1 | 94,580 | 3,837,111 | ||||||
Equinix, Inc.1 | 63,503 | 5,157,714 | ||||||
GSI Commerce, Inc.1 | 232,310 | 6,690,528 | ||||||
VistaPrint NV1 | 86,700 | 4,117,383 | ||||||
19,802,736 | ||||||||
IT Services—2.1% | ||||||||
Cognizant Technology Solutions | ||||||||
Corp.1 | 146,210 | 7,319,273 | ||||||
Global Payments, Inc. | 99,300 | 3,628,422 | ||||||
10,947,695 | ||||||||
Semiconductors & Semiconductor Equipment—4.9% | ||||||||
ARM Holdings plc, Sponsored ADR | 332,340 | 4,121,016 | ||||||
Atheros Communications, Inc.1 | 190,130 | 5,236,180 | ||||||
Broadcom Corp., Cl. A | 142,570 | 4,700,533 | ||||||
Cree, Inc.1 | 61,300 | 3,679,839 | ||||||
Netlogic Microsystems, Inc.1 | 193,390 | 5,260,208 | ||||||
Silicon Laboratories, Inc.1 | 63,660 | 2,582,050 | ||||||
25,579,826 | ||||||||
Software—6.8% | ||||||||
Autodesk, Inc.1 | 191,070 | 4,654,465 | ||||||
Citrix Systems, Inc.1 | 94,680 | 3,998,336 | ||||||
Concur Technologies, Inc.1 | 124,320 | 5,305,978 | ||||||
Informatica Corp.1 | 168,490 | 4,023,541 | ||||||
Red Hat, Inc.1 | 198,030 | 5,730,988 | ||||||
Rovi Corp.1 | 72,300 | 2,740,893 | ||||||
Salesforce.com, Inc.1 | 83,380 | 7,155,672 | ||||||
SS&C Technologies Holdings, Inc.1 | 96,490 | 1,546,735 | ||||||
35,156,608 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Materials—5.3% | ||||||||
Chemicals—3.1% | ||||||||
Albemarle Corp. | 144,190 | $ | 5,725,785 | |||||
Intrepid Potash, Inc.1 | 171,400 | 3,354,298 | ||||||
Lubrizol Corp. (The) | 54,370 | 4,366,455 | ||||||
Solutia, Inc.1 | 187,340 | 2,454,154 | ||||||
15,900,692 | ||||||||
Containers & Packaging—0.8% | ||||||||
Rock-Tenn Co., Cl. A | 80,280 | 3,987,508 | ||||||
Metals & Mining—1.4% | ||||||||
Silver Wheaton Corp.1 | 179,480 | 3,607,548 | ||||||
Steel Dynamics, Inc. | 292,400 | 3,856,756 | ||||||
7,464,304 | ||||||||
Telecommunication Services—3.0% | ||||||||
Wireless Telecommunication Services—3.0% | ||||||||
Crown Castle International Corp.1 | 122,610 | 4,568,449 | ||||||
NII Holdings, Inc.1 | 143,080 | 4,652,962 | ||||||
SBA Communications Corp.1 | 188,620 | 6,414,962 | ||||||
15,636,373 | ||||||||
Total Common Stocks (Cost $ 450,321,603) | 491,850,883 | |||||||
Investment Companies—4.0% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,3 | 53,477 | 53,477 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%2,4 | 20,606,897 | 20,606,897 | ||||||
Total Investment Companies (Cost $20,660,374) | 20,660,374 | |||||||
Total Investments, at Value (Cost $470,981,977) | 99.1 | % | 512,511,257 | |||||
Other Assets Net of Liabilities | 0.9 | 4,502,581 | ||||||
Net Assets | 100.0 | % | $ | 517,013,838 | ||||
Footnotes to Statement of Investments
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2010. | |
3. | Interest rate is less than 0.0005%. | |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 10,877,341 | 126,203,227 | 116,473,671 | 20,606,897 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 20,606,897 | $ | 10,985 |
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—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
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The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities as of June 30, 2010 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 | $ | 88,450,456 | $ | — | $ | — | $ | 88,450,456 | ||||||||
Consumer Staples | 25,657,291 | — | — | 25,657,291 | ||||||||||||
Energy | 22,755,093 | — | — | 22,755,093 | ||||||||||||
Financials | 41,591,967 | — | — | 41,591,967 | ||||||||||||
Health Care | 89,689,416 | — | — | 89,689,416 | ||||||||||||
Industrials | 61,048,780 | — | — | 61,048,780 | ||||||||||||
Information Technology | 119,669,003 | — | — | 119,669,003 | ||||||||||||
Materials | 27,352,504 | — | — | 27,352,504 | ||||||||||||
Telecommunication Services | 15,636,373 | — | — | 15,636,373 | ||||||||||||
Investment Companies | 20,660,374 | — | — | 20,660,374 | ||||||||||||
Total Assets | $ | 512,511,257 | $ | — | $ | — | $ | 512,511,257 | ||||||||
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 methodologies, if any, during the reporting period.
See accompanying Notes to Financial Statements.
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $450,375,080) | $ | 491,904,360 | ||
Affiliated companies (cost $20,606,897) | 20,606,897 | |||
512,511,257 | ||||
Receivables and other assets: | ||||
Investments sold | 8,012,002 | |||
Shares of beneficial interest sold | 1,418,354 | |||
Dividends | 149,103 | |||
Other | 22,863 | |||
Total assets | 522,113,579 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 4,724,552 | |||
Shares of beneficial interest redeemed | 193,340 | |||
Shareholder communications | 87,169 | |||
Transfer and shareholder servicing agent fees | 45,086 | |||
Trustees’ compensation | 16,542 | |||
Distribution and service plan fees | 16,471 | |||
Other | 16,581 | |||
Total liabilities | 5,099,741 | |||
Net Assets | $ | 517,013,838 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 14,890 | ||
Additional paid-in capital | 961,918,572 | |||
Accumulated net investment loss | (947,301 | ) | ||
Accumulated net realized loss on investments | (485,501,603 | ) | ||
Net unrealized appreciation on investments | 41,529,280 | |||
Net Assets | $ | 517,013,838 | ||
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 $492,170,969 and 14,159,313 shares of beneficial interest outstanding) | $ | 34.76 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $24,842,869 and 730,987 shares of beneficial interest outstanding) | $ | 33.99 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies | $ | 1,107,208 | ||
Affiliated companies | 10,985 | |||
Interest | 43 | |||
Total investment income | 1,118,236 | |||
Expenses | ||||
Management fees | 2,046,025 | |||
Distribution and service plan fees—Service shares | 32,948 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 270,410 | |||
Service shares | 13,214 | |||
Shareholder communications: | ||||
Non-Service shares | 36,283 | |||
Service shares | 1,767 | |||
Trustees’ compensation | 13,345 | |||
Custodian fees and expenses | 1,865 | |||
Other | 30,612 | |||
Total expenses | 2,446,469 | |||
Less waivers and reimbursements of expenses | (343,667 | ) | ||
Net expenses | 2,102,802 | |||
Net Investment Loss | (984,566 | ) | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 49,371,382 | |||
Net change in unrealized appreciation/depreciation on investments | (73,804,185 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (25,417,369 | ) | |
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment loss | $ | (984,566 | ) | $ | (925,079 | ) | ||
Net realized gain (loss) | 49,371,382 | (78,545,847 | ) | |||||
Net change in unrealized appreciation/depreciation | (73,804,185 | ) | 224,373,833 | |||||
Net increase (decrease) in net assets resulting from operations | (25,417,369 | ) | 144,902,907 | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (31,423,866 | ) | (52,496,797 | ) | ||||
Service shares | 74,318 | (2,261,210 | ) | |||||
(31,349,548 | ) | (54,758,007 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (56,766,917 | ) | 90,144,900 | |||||
Beginning of period | 573,780,755 | 483,635,855 | ||||||
End of period (including accumulated net investment income (loss) of $(947,301) and $37,265, respectively) | $ | 517,013,838 | $ | 573,780,755 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.52 | $ | 27.54 | $ | 54.07 | $ | 50.85 | $ | 49.39 | $ | 43.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss1 | (.06 | ) | (.05 | ) | (.13 | ) | (.02 | ) | (.02 | ) | (.12 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.70 | ) | 9.03 | (26.40 | ) | 3.24 | 1.48 | 5.54 | ||||||||||||||||
Total from investment operations | (1.76 | ) | 8.98 | (26.53 | ) | 3.22 | 1.46 | 5.42 | ||||||||||||||||
Net asset value, end of period | $ | 34.76 | $ | 36.52 | $ | 27.54 | $ | 54.07 | $ | 50.85 | $ | 49.39 | ||||||||||||
Total Return, at Net Asset Value2 | (4.82 | )% | 32.61 | % | (49.07 | )% | 6.33 | % | 2.96 | % | 12.33 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 492,171 | $ | 547,683 | $ | 461,684 | $ | 1,002,442 | $ | 1,054,809 | $ | 1,227,881 | ||||||||||||
Average net assets (in thousands) | $ | 544,987 | $ | 478,968 | $ | 754,170 | $ | 1,045,592 | $ | 1,135,831 | $ | 1,177,979 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment loss | (0.34 | )% | (0.17 | )% | (0.30 | )% | (0.04 | )% | (0.04 | )% | (0.26 | )% | ||||||||||||
Total expenses | 0.85 | %4 | 0.86 | %4 | 0.71 | %4 | 0.69 | %4 | 0.69 | %4 | 0.69 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.73 | % | 0.71 | % | 0.68 | % | 0.69 | % | 0.69 | % | 0.69 | % | ||||||||||||
Portfolio turnover rate | 49 | % | 102 | % | 78 | % | 112 | % | 56 | % | 32 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.85 | % | ||
Year Ended December 31, 2009 | 0.86 | % | ||
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.
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FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 35.75 | $ | 27.03 | $ | 53.22 | $ | 50.19 | $ | 48.87 | $ | 43.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss1 | (.11 | ) | (.13 | ) | (.24 | ) | (.17 | ) | (.16 | ) | (.25 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.65 | ) | 8.85 | (25.95 | ) | 3.20 | 1.48 | 5.48 | ||||||||||||||||
Total from investment operations | (1.76 | ) | 8.72 | (26.19 | ) | 3.03 | 1.32 | 5.23 | ||||||||||||||||
Net asset value, end of period | $ | 33.99 | $ | 35.75 | $ | 27.03 | $ | 53.22 | $ | 50.19 | $ | 48.87 | ||||||||||||
Total Return, at Net Asset Value2 | (4.92 | )% | 32.26 | % | (49.21 | )% | 6.04 | % | 2.70 | % | 11.99 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 24,843 | $ | 26,098 | $ | 21,952 | $ | 47,270 | $ | 47,131 | $ | 36,551 | ||||||||||||
Average net assets (in thousands) | $ | 26,630 | $ | 22,605 | $ | 35,815 | $ | 49,421 | $ | 44,273 | $ | 28,798 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment loss | (0.58 | )% | (0.44 | )% | (0.57 | )% | (0.31 | )% | (0.33 | )% | (0.54 | )% | ||||||||||||
Total expenses | 1.10 | %4 | 1.12 | %4 | 0.98 | %4 | 0.96 | %4 | 0.97 | %4 | 0.97 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.98 | % | 0.97 | % | 0.95 | % | 0.96 | % | 0.97 | % | 0.97 | % | ||||||||||||
Portfolio turnover rate | 49 | % | 102 | % | 78 | % | 112 | % | 56 | % | 32 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 1.10 | % | ||
Year Ended December 31, 2009 | 1.12 | % | ||
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.
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NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Small- & Mid-Cap Growth Fund/VA (the “Fund”), formerly known as Oppenheimer MidCap Fund/VA, 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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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. Shares of IMMF are valued at their net asset value per share. 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, 2009, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes unused capital loss carryforwards as follows:
Expiring | ||||
2010 | $ | 230,224,822 | ||
2017 | 301,036,389 | |||
Total | $ | 531,261,211 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $481,889,829 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $49,371,382 of capital loss carryforward to offset realized capital gains.
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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, 2010 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 | $ | 474,598,384 | ||
Gross unrealized appreciation | $ | 70,413,058 | ||
Gross unrealized depreciation | (32,500,185 | ) | ||
Net unrealized appreciation | $ | 37,912,873 | ||
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.
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 299,910 | $ | 11,176,612 | 730,850 | $ | 22,021,499 | ||||||||||
Redeemed | (1,138,332 | ) | (42,600,478 | ) | (2,496,465 | ) | (74,518,296 | ) | ||||||||
Net decrease | (838,422 | ) | $ | (31,423,866 | ) | (1,765,615 | ) | $ | (52,496,797 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 67,117 | $ | 2,498,588 | 97,563 | $ | 2,820,902 | ||||||||||
Redeemed | (66,161 | ) | (2,424,270 | ) | (179,541 | ) | (5,082,112 | ) | ||||||||
Net increase (decrease) | 956 | $ | 74,318 | (81,978 | ) | $ | (2,261,210 | ) | ||||||||
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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 272,454,267 | $ | 321,701,893 |
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 |
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Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $286,661 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 0.25% of the daily 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. From April 1, 2009 through March 31, 2010, the Manager agreed to voluntarily waive its advisory fee by 0.09% of the Fund’s average annual net assets. Effective April 1, 2010 through August 31, 2010, the Manager has voluntarily agreed to waive its advisory fee by 0.05% of the Fund’s average daily net assets. This voluntary waiver will be applied after all other waivers and/or reimbursements. During the six months ended June 30, 2010, the Manager waived $197,956 in advisory fees as a result of these voluntary arrangements.
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, 2010, the Manager waived fees and/or reimbursed the Fund $134,048 and $6,481 for Non-Service and Service shares, respectively.
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, 2010, the Manager waived fees and/or reimbursed the Fund $5,182 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
5. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
6. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Pending Litigation Continued
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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OPPENHEIMER SMALL- & MID - CAP GROWTH 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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Ronald J. Zibelli, Jr., Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 | KPMGLLP | |
Counsel | K&L Gates LLP | |
Before investing, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved. |
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June 30, 2010 Oppenheimer Balanced Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds Fund SEMIANNUAL REPORT Performance Discussion Listing of Top Holdings Listing of Investments Financial Statements |
Table of Contents
OPPENHEIMER BALANCED FUND/VA
Fund Objective. The Fund seeks high total investment return, which includes current income and capital appreciation.
Portfolio Managers: Emmanuel Ferreira, Krishna Memani and Peter A. Strzalkowski
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
Non-Service Shares | –2.74 | % | ||
Service Shares | –2.91 |
Average Annual Total Returns
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 9.73% | –4.58% | 0.09% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/02) | ||||||||||
Service Shares | 9.32% | –4.82% | –0.23% |
Expense Ratios
For the Fiscal Year Ended 12/31/09
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.91% | 0.62% | ||||||
Service Shares | 1.17 | 0.87 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
Portfolio Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of investments.
Top Ten Common Stock Holdings
Take-Two Interactive Software, Inc. | 4.2 | % | ||
Chevron Corp. | 2.6 | |||
Exxon Mobil Corp. | 2.5 | |||
Google, Inc., Cl. A | 2.4 | |||
JPMorgan Chase & Co. | 2.2 | |||
Everest Re Group Ltd. | 2.2 | |||
Navistar International Corp. | 2.0 | |||
Nestle SA | 1.9 | |||
Jupiter Telecommunications Co. Ltd. | 1.9 | |||
Merck & Co., Inc. | 1.8 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
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FUND PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, Oppenheimer Balanced Fund/VA’s Non Service shares produced a return of –2.74%, compared to its equity benchmark, the S&P 500 Index, which returned –6.64%, and its fixed-income benchmark, the Barclays Capital U.S. Aggregate Bond Index, which returned 5.33%.
A U.S. economic recovery that began in 2009 continued in the first half of 2010 as manufacturing activity increased, housing markets appeared to stabilize and corporate earnings rebounded. Improving economic conditions helped lift the prices of most stocks and higher yielding fixed-income securities in the first quarter of 2010. However, investor sentiment changed sharply in the second quarter of 2010 when a number of global developments threatened the recovery of the U.S. economy.
A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures. Meanwhile, surging property values in China sparked inflation fears, and investors worried that remedial measures might damage a primary engine of the global rebound. In the United States, retail sales, employment and housing indicators sent mixed signals regarding the future of the domestic recovery. As a result, stocks generally ended the reporting period in negative territory, while some fixed-income indices achieved positive absolute returns due to renewed investor demand for traditional safe havens, including U.S. Government securities.
During the reporting period, the equity portfolio underperformed the S&P 500 Index, primarily due to underperformance within the information technology and financials sectors as a result of weaker relative stock selection. In information technology, overweighting underperforming securities Google, Inc., Research in Motion Ltd. and QUALCOMM, Inc. during the tumultuous reporting period detracted from results. Within financials, an overweight position to Everest Re Group Ltd. detracted from results, as did an underweight to the commercial banks subsector, which produced positive performance for the S&P 500 Index.
The equity portfolio outperformed the S&P 500 Index within the industrials sector, with positive contributions from an overweight to Navistar International Corp., which produced strong positive results during the period. Other individual contributors to performance during the period included our decision not to own Microsoft Corp., which experienced declines during the reporting period, overweighting insurer Assurant, Inc., food company Nestle SA, media company Liberty Global, Inc. and pharmaceutical company Merck & Co., Inc. We exited our position in Liberty Global by period end. While the equity portfolio lost value during the May/June market correction, we continue to follow a long-term, bottom-up investment approach of stock picking based on fundamentals.
In the bond portfolio, the Fund outperformed for the period versus its fixed-income benchmark, primarily as a result of solid performance from mortgage-backed securities (MBS). In particular, the Fund’s emphasis on MBS, including non-agency MBS, agency MBS, and commercial MBS fared well throughout the reporting period amid robust demand from newly risk-averse investors. Asset-backed securities also modestly contributed to relative Fund performance.
Although our underweight position in U.S. Government securities prevented the Fund from participating more fully in their rally in May and June, our focus on agency MBS over U.S. Treasury securities bolstered the Fund’s returns compared to its fixed-income benchmark. In the corporate bond sector, we found select opportunities among high yield bonds rated BB. However, the Fund’s high yield bonds declined more sharply than investment-grade securities in May and June, and the Fund’s corporate holdings detracted mildly from relative performance for the reporting period overall. We also lengthened the Fund’s average duration during the second quarter of the year, which helped the Fund benefit from narrower yield differences along the market’s maturity spectrum. As a result, our interest rate strategies as expressed through the use of futures contracts added significantly to Fund performance.
Although the markets in the U.S. have clearly hit a rough patch, we do not currently expect a return to recessionary conditions. As investors recognize that the subpar economic recovery remains intact, we expect investors to become more tolerant of certain risks. However, we also expect them to grow more selective in the subpar recovery, suggesting to us that the fundamental strengths and weakness of individual companies and issuers will become a more critical determinant of market performance. Such an environment may be particularly well suited to the research-intensive investment processes we employ to select stocks and bonds.
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FUND PERFORMANCE DISCUSSION
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 may invest in below-investment-grade (“junk”) bonds, which are more at risk of default and are subject to liquidity risk. Mortgage-related securities have greater potential for loss when interest rates rise. The Fund also invests in derivative instruments, investments whose values depend on the performance of an underlying security, asset, interest rate, index or currency and 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 and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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.
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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, 2010.
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, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 972.60 | $ | 3.09 | ||||||
Service Shares | 1,000.00 | 970.90 | 4.31 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.67 | 3.16 | |||||||||
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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.63 | % | ||
Service shares | 0.88 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Shares | Value | |||||||
Common Stocks—50.5% | ||||||||
Consumer Discretionary—1.9% | ||||||||
Media—1.9% | ||||||||
Jupiter Telecommunications Co. Ltd. | 4,393 | $ | 4,186,650 | |||||
Consumer Staples—6.0% | ||||||||
Food & Staples Retailing—1.7% | ||||||||
CVS Caremark Corp. | 44,100 | 1,293,012 | ||||||
Kroger Co. (The) | 89,600 | 1,764,224 | ||||||
Walgreen Co. | 31,000 | 827,700 | ||||||
3,884,936 | ||||||||
Food Products—1.9% | ||||||||
Nestle SA | 87,780 | 4,235,383 | ||||||
Tobacco—2.4% | ||||||||
Altria Group, Inc. | 83,010 | 1,663,520 | ||||||
Lorillard, Inc. | 50,660 | 3,646,507 | ||||||
5,310,027 | ||||||||
Energy—6.6% | ||||||||
Energy Equipment & Services—1.0% | ||||||||
Halliburton Co. | 49,300 | 1,210,315 | ||||||
Schlumberger Ltd. | 20,400 | 1,128,936 | ||||||
2,339,251 | ||||||||
Oil, Gas & Consumable Fuels—5.6% | ||||||||
Chevron Corp. | 86,600 | 5,876,676 | ||||||
CONSOL Energy, Inc. | 31,300 | 1,056,688 | ||||||
Exxon Mobil Corp. | 96,370 | 5,499,836 | ||||||
12,433,200 | ||||||||
Financials—7.4% | ||||||||
Capital Markets—0.8% | ||||||||
Lazard Ltd., Cl. A | 29,900 | 798,629 | ||||||
Morgan Stanley | 46,300 | 1,074,623 | ||||||
1,873,252 | ||||||||
Diversified Financial Services—2.2% | ||||||||
JPMorgan Chase & Co. | 132,900 | 4,865,469 | ||||||
Insurance—4.4% | ||||||||
Assurant, Inc. | 51,500 | 1,787,050 | ||||||
Everest Re Group Ltd. | 68,430 | 4,839,370 | ||||||
MetLife, Inc. | 82,200 | 3,103,872 | ||||||
9,730,292 | ||||||||
Health Care—6.6% | ||||||||
Biotechnology—2.8% | ||||||||
Amgen, Inc.1 | 46,400 | 2,440,640 | ||||||
Genzyme Corp. (General Division)1 | 49,500 | 2,513,115 | ||||||
Vanda Pharmaceuticals, Inc.1 | 199,000 | 1,315,390 | ||||||
6,269,145 | ||||||||
Health Care Providers & Services—1.0% | ||||||||
Aetna, Inc. | 87,140 | 2,298,753 | ||||||
Pharmaceuticals—2.8% | ||||||||
Merck & Co., Inc. | 113,127 | 3,956,051 | ||||||
Pfizer, Inc. | 156,865 | 2,236,895 | ||||||
6,192,946 | ||||||||
Industrials—3.8% | ||||||||
Aerospace & Defense—0.0% | ||||||||
AerCap Holdings NV1 | 9,000 | 93,420 | ||||||
Electrical Equipment—0.6% | ||||||||
General Cable Corp.1 | 50,500 | 1,345,825 | ||||||
Industrial Conglomerates—0.7% | ||||||||
Tyco International Ltd. | 41,300 | 1,454,999 | ||||||
Machinery—2.0% | ||||||||
Navistar International Corp.1 | 92,850 | 4,568,220 | ||||||
Trading Companies & Distributors—0.5% | ||||||||
Aircastle Ltd. | 133,700 | 1,049,545 | ||||||
Information Technology—15.4% | ||||||||
Communications Equipment—3.1% | ||||||||
Orbcomm, Inc.1 | 375 | 683 | ||||||
QUALCOMM, Inc. | 113,360 | 3,722,742 | ||||||
Research in Motion Ltd.1 | 65,680 | 3,235,397 | ||||||
6,958,822 | ||||||||
Computers & Peripherals—0.8% | ||||||||
Dell, Inc.1 | 147,000 | 1,772,820 | ||||||
Internet Software & Services—3.7% | ||||||||
eBay, Inc.1 | 150,600 | 2,953,266 | ||||||
Google, Inc., Cl. A1 | 12,010 | 5,343,850 | ||||||
8,297,116 | ||||||||
IT Services—0.7% | ||||||||
MasterCard, Inc., Cl. A | 7,300 | 1,456,569 | ||||||
Software—7.1% | ||||||||
Oracle Corp. | 128,700 | 2,761,902 | ||||||
Take-Two Interactive Software, Inc.1 | 1,048,576 | 9,437,184 | ||||||
THQ, Inc.1 | 853,300 | 3,686,256 | ||||||
15,885,342 | ||||||||
Materials—1.7% | ||||||||
Chemicals—1.7% | ||||||||
Celanese Corp., Series A | 46,000 | 1,145,860 | ||||||
Potash Corp. of Saskatchewan, Inc. | 32,400 | 2,794,176 | ||||||
3,940,036 | ||||||||
Telecommunication Services—0.5% | ||||||||
Diversified Telecommunication Services—0.5% | ||||||||
Telefonica SA, Sponsored ADR | 20,800 | 1,155,024 | ||||||
XO Holdings, Inc.1 | 85 | 57 | ||||||
1,155,081 |
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Shares | Value | |||||||
Utilities—0.6% | ||||||||
Electric Utilities—0.6% | ||||||||
Edison International, Inc. | 40,500 | $ | 1,284,660 | |||||
Total Common Stocks (Cost $128,182,485) | 112,881,759 | |||||||
Preferred Stocks—2.3% | ||||||||
Mylan, Inc., 6.50% Cv., Non-Vtg. (Cost $3,047,107) | 4,800 | 5,102,352 | ||||||
Principal | ||||||||
Amount | ||||||||
Asset-Backed Securities—5.2% | ||||||||
Ally Master Owner Trust 2010-1, Asset-Backed Certificates, Series 2010-1, Cl. A, 2.10%, 1/15/132,3 | $ | 240,000 | 243,428 | |||||
Ally Master Owner Trust 2010-2, Asset-Backed Certificates, Series 2010-2, Cl. A2, 1%, 9/17/12 | 235,000 | 235,000 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/132 | 200,000 | 202,955 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivable Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 105,000 | 104,928 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivable Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 | 100,000 | 100,050 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.827%, 5/25/343 | 306,713 | 270,356 | ||||||
Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A2, 0.91%, 10/15/12 | 150,000 | 150,117 | ||||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 | 265,000 | 269,898 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A, Mtg. Pass-Through Certificates, Series 2006-A, Cl. 2A4, 0.647%, 2/28/413 | 303,712 | 241,825 | ||||||
Capital One Multi-Asset Execution Trust, Credit Card Asset-Backed Certificates, Series 2009-A2, Cl. A2, 3.20%, 6/15/11 | 280,000 | 285,962 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/152 | 76,328 | 78,936 | ||||||
Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 | 400,000 | 403,612 | ||||||
Chrysler Financial Lease Trust, Asset-Backed Nts., Series 2010-A, Cl. A2, 1.78%, 6/15/112 | 260,000 | 260,931 | ||||||
CIT Equipment Collateral, Asset-Backed Certificates, Series 2009-VT1, Cl. A2, 2.20%, 10/15/102 | 267,525 | 267,951 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 180,000 | 187,815 | ||||||
CNH Equipment Trust, Asset-Backed Certificates: | ||||||||
Series 2009-B, Cl. A3, 2.97%, 3/15/13 | 263,956 | 266,471 | ||||||
Series 2010-A, Cl. A2, 0.81%, 3/25/15 | 305,000 | 304,946 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.087%, 2/25/333 | 18,836 | 16,213 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/363 | 300,188 | 240,971 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/363 | 166,823 | 133,824 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.467%, 6/25/473 | 480,000 | 404,581 | ||||||
Discover Card Master Trust, Credit Card Receivables, Series 2008-A3, Cl. A3, 5.10%, 10/15/13 | 235,000 | 242,839 | ||||||
DT Auto Owner Trust, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15 | 189,031 | 189,594 | ||||||
Ellington Loan Acquisition Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. A2A2, 1.147%, 5/27/372,3 | 325,729 | 283,771 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A, 1.04%, 3/15/132 | 225,000 | 225,252 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts.: | ||||||||
Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 58,626 | 58,750 | ||||||
Series 2009-E, Cl. A2, 0.80%, 3/15/12 | 505,000 | 505,004 | ||||||
Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 350,000 | 355,990 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.90%, 9/15/123 | 245,000 | 247,355 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 2%, 12/15/143 | 250,000 | 252,788 | ||||||
GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 | 105,000 | 109,184 | ||||||
Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 | 469,057 | 470,533 |
7 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11 | $ | 244,849 | $ | 245,303 | ||||
HSBC Credit Card Master Note Trust (USA) I, Asset-Backed Securities, Series 2007-1, Cl. A, 0.40%, 4/15/133 | 265,000 | 264,948 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.608%, 1/20/353 | 248,974 | 234,521 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.458%, 3/20/363 | 116,841 | 115,777 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables: | ||||||||
Series 2003-C7, Cl. C7, 1.70%, 3/15/163 | 255,000 | 247,808 | ||||||
Series 2005-A6, Cl. A6, 4.50%, 1/15/13 | 660,000 | 663,209 | ||||||
Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.41%, 12/15/133 | 239,848 | 238,764 | ||||||
Morgan Stanley Structured Trust I 2001-1, Asset-Backed Certificates, Series 2004-1, Cl. A1, 0.427%, 6/25/373 | 257,175 | 235,999 | ||||||
Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.997%, 1/26/152,3 | 405,000 | 405,156 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.50%, 1/15/132,3 | 240,000 | 240,758 | ||||||
Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.447%, 7/1/363 | 604,530 | 397,225 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.447%, 9/25/363 | 203,839 | 197,233 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables: | ||||||||
Series 2009-A, Cl. A, 4.60%, 9/15/15 | 245,000 | 253,112 | ||||||
Series 2009-C, Cl. A, 2.36%, 5/15/14 | 245,000 | 245,106 | ||||||
Total Asset-Backed Securities (Cost $12,054,014) | 11,596,749 | |||||||
Mortgage-Backed Obligations—28.4% | ||||||||
Government Agency—23.5% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—20.1% | ||||||||
Federal Home Loan Bank, Mtg.-Backed Obligations, Series 5G-2012, Cl. 1, 4.97%, 2/24/12 | 521,778 | 559,689 | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5.50%, 9/1/39 | 1,409,257 | 1,514,159 | ||||||
7%, 10/1/37 | 1,244,578 | 1,387,057 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2006-11, Cl. PS, 23.294%, 3/25/363 | 260,611 | 370,858 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17 | 496,473 | 540,130 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 521,966 | 575,288 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33 | 805,000 | 878,597 | ||||||
Series 2638, Cl. KG, 4%, 11/1/27 | 983,096 | 1,002,393 | ||||||
Series 2648, Cl. JE, 3%, 2/1/30 | 453,002 | 457,703 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 | 582,247 | 595,422 | ||||||
Series 2676, Cl. KB, 5%, 2/1/20 | 195,843 | 200,420 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17 | 367,230 | 377,166 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 139,453 | 143,892 | ||||||
Series 2911, Cl. CU, 5%, 2/1/28 | 388,015 | 400,297 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28 | 140,726 | 144,652 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 | 80,336 | 82,061 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 379,386 | 393,034 | ||||||
Series 3025, Cl. SJ, 23.468%, 8/15/353 | 80,311 | 114,168 | ||||||
Series 3033, Cl. UD, 5.50%, 10/1/30 | 475,000 | 495,945 | ||||||
Series 3061, Cl. MB, 5.50%, 5/1/30 | 185,000 | 193,497 | ||||||
Series 3094, Cl. HS, 23.101%, 6/15/343 | 156,529 | 196,755 | ||||||
Series 3157, Cl. MC, 5.50%, 2/1/26 | 388,367 | 389,946 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 | 190,138 | 196,503 | ||||||
Series 3279, Cl. PH, 6%, 2/1/27 | 398,203 | 399,670 | ||||||
Series 3291, Cl. NA, 5.50%, 10/1/27 | 100,590 | 100,263 | ||||||
Series 3306, Cl. PA, 5.50%, 10/1/27 | 171,998 | 175,558 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 110,369 | 112,976 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 12.856%, 4/1/274 | 208,017 | 51,089 | ||||||
Series 192, Cl. IO, 11.114%, 2/1/284 | 60,224 | 13,419 | ||||||
Series 2130, Cl. SC, 51.813%, 3/15/294 | 162,063 | 25,843 | ||||||
Series 224, Cl. IO, 2.624%, 3/1/334 | 310,063 | 62,940 | ||||||
Series 243, Cl. 6, 2.265%, 12/15/324 | 202,932 | 39,690 | ||||||
Series 2527, Cl. SG, 25.553%, 2/15/324 | 86,052 | 2,852 | ||||||
Series 2531, Cl. ST, 38.611%, 2/15/304 | 1,118,063 | 40,465 | ||||||
Series 2796, Cl. SD, 66.326%, 7/15/264 | 233,575 | 39,635 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/334 | 250,920 | 23,568 | ||||||
Series 2920, Cl. S, 68.535%, 1/15/354 | 1,250,971 | 173,327 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/254 | 1,152,655 | 140,326 | ||||||
Series 3045, Cl. DI, 36.961%, 10/15/354 | 1,007,077 | 130,828 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/264 | 180,105 | 18,876 | ||||||
Series 3146, Cl. SA, 54.451%, 4/15/364 | 1,340,390 | 184,056 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.457%, 6/1/265 | 56,273 | 49,988 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 7/1/256 | 1,482,000 | 1,563,741 | ||||||
5%, 7/1/25-8/1/406 | 4,383,000 | 4,637,857 | ||||||
5.50%, 9/25/20 | 12,983 | 14,090 |
8 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn.: Continued | ||||||||
5.50%, 7/1/25-8/1/406 | $ | 7,248,000 | $ | 7,772,064 | ||||
6%, 3/1/37 | 1,063,124 | 1,157,210 | ||||||
6%, 7/1/25-6/1/356 | 4,675,159 | 5,090,277 | ||||||
6.50%, 8/1/39-7/1/406 | 1,780,000 | 1,948,528 | ||||||
7%, 11/1/177 | 241,902 | 258,306 | ||||||
7.50%, 1/1/33 | 229,295 | 261,237 | ||||||
8.50%, 7/1/32 | 11,389 | 12,887 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 185,135 | 207,028 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,000,000 | 1,080,326 | ||||||
Trust 2004-81, Cl. KC, 4.50%, 4/1/17 | 501,537 | 513,891 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 349,975 | 360,733 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 | 700,000 | 775,067 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 365,846 | 378,916 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 137,695 | 142,735 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 142,207 | 147,784 | ||||||
Trust 2005-57, Cl. PA, 5.50%, 5/1/27 | 103,331 | 103,391 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | 515,710 | 547,704 | ||||||
Trust 2006-46, Cl. SW, 22.926%, 6/25/363 | 195,369 | 267,081 | ||||||
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 | 310,306 | 316,385 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 | 739,142 | 778,192 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 | 778,873 | 839,595 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-65, Cl. S, 44.421%, 11/25/314 | 526,895 | 87,177 | ||||||
Trust 2001-81, Cl. S, 35.777%, 1/25/324 | 120,931 | 19,968 | ||||||
Trust 2002-47, Cl. NS, 33.119%, 4/25/324 | 266,502 | 43,957 | ||||||
Trust 2002-51, Cl. S, 33.407%, 8/25/324 | 244,712 | 40,447 | ||||||
Trust 2002-52, Cl. SD, 38.099%, 9/25/324 | 289,360 | 49,305 | ||||||
Trust 2002-77, Cl. SH, 45.102%, 12/18/324 | 170,319 | 28,910 | ||||||
Trust 2002-84, Cl. SA, 45.276%, 12/25/324 | 468,495 | 74,210 | ||||||
Trust 2002-9, Cl. MS, 34.02%, 3/25/324 | 180,716 | 30,841 | ||||||
Trust 2003-33, Cl. SP, 51.506%, 5/25/334 | 536,962 | 87,367 | ||||||
Trust 2003-4, Cl. S, 43.203%, 2/25/334 | 309,713 | 54,142 | ||||||
Trust 2003-46, Cl. IH, 2.308%, 6/1/334 | 1,770,413 | 201,302 | ||||||
Trust 2003-89, Cl. XS, 48.521%, 11/25/324 | 223,409 | 22,680 | ||||||
Trust 2004-54, Cl. DS, 49.103%, 11/25/304 | 247,040 | 37,784 | ||||||
Trust 2005-14, Cl. SE, 37.376%, 3/25/354 | 183,754 | 21,350 | ||||||
Trust 2005-40, Cl. SA, 61.599%, 5/25/354 | 676,616 | 96,230 | ||||||
Trust 2005-6, Cl. SE, 78.946%, 2/25/354 | 986,680 | 129,228 | ||||||
Trust 2005-71, Cl. SA, 68.089%, 8/25/254 | 761,714 | 100,027 | ||||||
Trust 2005-87, Cl. SG, 34.314%, 10/25/354 | 40,469 | 4,914 | ||||||
Trust 2006-60, Cl. DI, 35.868%, 4/25/354 | 118,206 | 12,941 | ||||||
Trust 2007-88, Cl. XI, 13.126%, 6/25/374 | 2,908,455 | 344,692 | ||||||
Trust 222, Cl. 2, 18.125%, 6/1/234 | 443,310 | 87,607 | ||||||
Trust 233, Cl. 2, 25.30%, 8/1/234 | 401,868 | 81,990 | ||||||
Trust 252, Cl. 2, 25.159%, 11/1/234 | 359,899 | 75,966 | ||||||
Trust 319, Cl. 2, 5.082%, 2/1/324 | 120,716 | 28,731 | ||||||
Trust 331, Cl. 9, 0%, 2/1/334,8 | 339,955 | 54,938 | ||||||
Trust 334, Cl. 17, 7.999%, 2/1/334 | 197,940 | 34,111 | ||||||
Trust 339, Cl. 12, 0.597%, 7/1/334 | 343,472 | 49,753 | ||||||
Trust 339, Cl. 7, 2.493%, 7/1/334 | 1,248,472 | 196,723 | ||||||
Trust 343, Cl. 13, 0%, 9/1/334,8 | 308,119 | 45,496 | ||||||
Trust 345, Cl. 9, 2.501%, 1/1/344 | 530,961 | 80,068 | ||||||
Trust 351, Cl. 10, 0%, 4/1/344,8 | 49,573 | 7,004 | ||||||
Trust 351, Cl. 8, 0%, 4/1/344,8 | 154,023 | 21,043 | ||||||
Trust 356, Cl. 10, 0%, 6/1/354,8 | 127,033 | 16,999 | ||||||
Trust 356, Cl. 12, 0.481%, 2/1/354 | 67,226 | 8,564 | ||||||
Trust 362, Cl. 12, 1.393%, 8/1/354 | 846,114 | 135,077 | ||||||
Trust 362, Cl. 13, 1.477%, 8/1/354 | 466,277 | 74,317 | ||||||
Trust 364, Cl. 16, 2.205%, 9/1/354 | 354,745 | 55,335 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.053%, 9/25/235 | 161,933 | 150,956 | ||||||
44,862,176 | ||||||||
GNMA/Guaranteed—3.4% | ||||||||
Government National Mortgage Assn.: | ||||||||
4.50%, 7/1/406 | 5,730,000 | 5,969,944 | ||||||
5%, 7/1/406 | 1,350,000 | 1,438,173 | ||||||
8%, 4/15/23 | 68,947 | 79,777 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-21, Cl. SB, 80.118%, 1/16/274 | 275,591 | 43,814 | ||||||
Series 2002-15, Cl. SM, 68.255%, 2/16/324 | 315,775 | 53,350 | ||||||
Series 2002-76, Cl. SY, 74.811%, 12/16/264 | 720,782 | 121,636 | ||||||
Series 2004-11, Cl. SM, 59.243%, 1/17/304 | 235,841 | 45,635 | ||||||
7,752,329 | ||||||||
Non-Agency—4.9% | ||||||||
Commercial—3.2% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-1, Cl. AM, 5.421%, 9/1/45 | 1,385,000 | 1,223,426 | ||||||
Series 2007-1, Cl. A4, 5.451%, 1/1/17 | 355,000 | 360,124 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.297%, 12/1/493 | 550,000 | 461,243 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 | 290,000 | 282,275 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 310,631 | 198,185 |
9 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | $ | 283,377 | $ | 264,164 | ||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 529,223 | 386,262 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/162 | 290,000 | 300,004 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 | 485,000 | 456,173 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 235,000 | 235,002 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 4/1/13 | 315,000 | 316,429 | ||||||
Series 2007-LD11, Cl. A2, 5.968%, 6/15/493 | 270,000 | 280,147 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 | 409,967 | 331,574 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 | 210,000 | 216,034 | ||||||
Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 2.975%, 4/1/343 | 257,435 | 255,914 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 578,627 | 557,192 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A5, Mtg. Pass-Through Certificates, Series 2005-A5, Cl. A9, 2.751%, 6/1/353 | 329,732 | 291,355 | ||||||
Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.60%, 6/17/113,9 | 255,000 | 252,769 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 7/1/17 | 260,000 | 261,664 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.866%, 2/1/353 | 183,020 | 166,173 | ||||||
7,096,109 | ||||||||
Manufactured Housing—0.1% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 4.807%, 3/25/363 | 270,998 | 228,151 | ||||||
Multifamily—0.4% | ||||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 | 330,000 | 344,184 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.043%, 3/25/363 | 652,081 | 585,417 | ||||||
929,601 | ||||||||
Other—0.2% | ||||||||
Greenwich Capital Commercial Mortgage 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 | 320,000 | 321,218 | ||||||
Residential—1.0% | ||||||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.875%, 6/1/343 | 171,474 | 154,285 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 329,008 | 292,306 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.297%, 12/1/493 | 300,000 | 308,803 | ||||||
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 | 875,796 | 670,878 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 333,168 | 299,195 |
10 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | $ | 173,924 | $ | 175,037 | ||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 43,296 | 40,893 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.737%, 7/1/373 | 334,299 | 225,157 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.998%, 9/1/343 | 110,892 | 105,406 | ||||||
2,271,960 | ||||||||
Total Mortgage-Backed Obligations (Cost $62,190,004) | 63,461,544 | |||||||
U.S. Government Obligations—0.6% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
2.875%, 2/9/15 | 325,000 | 339,070 | ||||||
5%, 2/16/17 | 115,000 | 131,518 | ||||||
5.25%, 4/18/16 | 195,000 | 224,292 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
2.375%, 7/28/15 | 295,000 | 298,559 | ||||||
4.875%, 12/15/16 | 90,000 | 101,926 | ||||||
5%, 3/15/16 | 120,000 | 136,697 | ||||||
Total U.S. Government Obligations (Cost $1,197,489) | 1,232,062 | |||||||
Non-Convertible Corporate Bonds and Notes—15.9% | ||||||||
Consumer Discretionary—2.6% | ||||||||
Auto Components—0.1% | ||||||||
Lear Corp., 8.125% Sr. Unsec. Nts., 3/15/20 | 245,000 | 246,838 | ||||||
Automobiles—0.3% | ||||||||
DaimlerChrysler North America Holding Corp./Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 | 235,000 | 263,241 | ||||||
Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 | 465,000 | 470,768 | ||||||
734,009 | ||||||||
Diversified Consumer Services—0.1% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 240,000 | 239,400 | ||||||
Hotels, Restaurants & Leisure—0.2% | ||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/152 | 242,000 | 252,876 | ||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 | 270,000 | 284,434 | ||||||
537,310 | ||||||||
Household Durables—0.2% | ||||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 | 356,000 | 396,736 | ||||||
Leisure Equipment & Products—0.2% | ||||||||
Mattel, Inc.: | ||||||||
5.625% Sr. Unsec. Nts., 3/15/13 | 215,000 | 230,426 | ||||||
6.125% Sr. Unsec. Nts., 6/15/11 | 230,000 | 239,178 | ||||||
469,604 | ||||||||
Media—1.1% | ||||||||
CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 | 222,000 | 279,934 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 145,000 | 200,637 | ||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 | 432,000 | 469,817 | ||||||
DISH DBS Corp., 7.875% Sr. Unsec. Nts., 9/1/19 | 205,000 | 214,225 | ||||||
Grupo Televisa SA, 6.625% Sr. Unsec. Bonds, 1/15/40 | 200,000 | 209,798 | ||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 | 218,000 | 238,710 | ||||||
Time Warner Cable, Inc., 6.75% Sr. Unsec. Unsub. Nts., 6/15/39 | 32,000 | 35,546 | ||||||
Time Warner Cos., Inc., 9.125% Debs., 1/15/13 | 165,000 | 192,195 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 85,000 | 106,003 | ||||||
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 | 140,000 | 162,703 | ||||||
Virgin Media Secured Finance plc, 6.50% Sr. Sec. Nts., 1/15/182 | 240,000 | 237,000 | ||||||
2,346,568 | ||||||||
Multiline Retail—0.1% | ||||||||
J.C. Penney Co., Inc. (Holding Co.), 7.40% Nts., 4/1/37 | 235,000 | 236,175 | ||||||
Specialty Retail—0.3% | ||||||||
Limited Brands, Inc., 7% Sr. Unsec. Unsub. Nts., 5/1/20 | 242,000 | 245,025 | ||||||
Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 | 350,000 | 365,842 | ||||||
610,867 |
11 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Consumer Staples—0.8% | ||||||||
Beverages—0.3% | ||||||||
Anheuser-Busch InBev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/192 | $ | 340,000 | $ | 413,614 | ||||
Constellation Brands, Inc., 8.375% Sr. Nts., 12/15/14 | 220,000 | 235,400 | ||||||
649,014 | ||||||||
Food & Staples Retailing—0.1% | ||||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 95,000 | 130,342 | ||||||
Food Products—0.2% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 25,000 | 26,434 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 175,000 | 209,456 | ||||||
Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 | 165,000 | 174,784 | ||||||
410,674 | ||||||||
Tobacco—0.2% | ||||||||
Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 | 336,000 | 426,404 | ||||||
Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 | 142,000 | 146,852 | ||||||
573,256 | ||||||||
Energy—1.7% | ||||||||
Energy Equipment & Services—0.2% | ||||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 | 260,000 | 279,372 | ||||||
Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 | 165,000 | 150,140 | ||||||
Weatherford International, Inc., 6.625% Sr. Unsec. Unsub. Nts., Series B, 11/15/11 | 42,000 | 44,416 | ||||||
473,928 | ||||||||
Oil, Gas & Consumable Fuels—1.5% | ||||||||
DCP Midstream LLC, 9.75% Sr. Unsec. Unsub. Nts., 3/15/192 | 93,000 | 119,893 | ||||||
Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 | 220,000 | 221,619 | ||||||
El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 | 250,000 | 263,125 | ||||||
Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 | 95,000 | 97,539 | ||||||
Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 | 195,000 | 200,901 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 440,000 | 471,117 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 80,000 | 83,873 | ||||||
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 | 235,000 | 237,938 | ||||||
Pipeline Funding Co. LLC, 7.50% Sr. Sec. Nts., 1/15/302 | 168,000 | 182,640 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/142 | 140,000 | 150,058 | ||||||
Rockies Express Pipeline LLC: | ||||||||
3.90% Sr. Unsec. Unsub. Nts., 4/15/152 | 203,000 | 196,488 | ||||||
5.625% Sr. Unsec. Unsub. Nts., 4/15/202 | 163,000 | 155,432 | ||||||
Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18 | 245,000 | 261,538 | ||||||
Williams Cos., Inc. (The) Credit Linked Certificates Trust V, 6.375% Sr. Unsec. Nts., 10/1/102 | 175,000 | 176,529 | ||||||
Williams Partners LP/Williams Partners Finance Corp., 7.25% Sr. Unsec. Nts., 2/1/17 | 222,000 | 252,527 | ||||||
Woodside Finance Ltd., 4.50% Nts., 11/10/142 | 348,000 | 355,417 | ||||||
3,426,634 | ||||||||
Financials—5.5% | ||||||||
Capital Markets—0.6% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/192 | 367,000 | 379,635 | ||||||
Discover Bank, 7% Sub. Nts., 4/15/20 | 240,000 | 242,931 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 255,000 | 229,731 | ||||||
Goldman Sachs Group, Inc. (The), 5.375% Sr. Unsec. Unsub. Nts., 3/15/20 | 255,000 | 252,629 | ||||||
Morgan Stanley: | ||||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 100,000 | 99,382 | ||||||
7.30% Sr. Unsec. Nts., 5/13/19 | 110,000 | 118,568 | ||||||
1,322,876 | ||||||||
Commercial Banks—1.6% | ||||||||
Barclays Bank plc, 6.278% Perpetual Bonds10 | 540,000 | 406,350 | ||||||
City National Capital Trust I, 9.625% Jr. Sub. Bonds, 2/1/40 | 250,000 | 264,155 | ||||||
Comerica Capital Trust II, 6.576% Bonds, 2/20/373 | 287,000 | 243,950 | ||||||
Fifth Third Bancorp, 8.25% Sub. Nts., 3/1/38 | 120,000 | 135,085 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 | 370,000 | 308,025 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353 | 390,000 | 331,500 | ||||||
Key Bank NA, 5.80% Unsec. Sub. Nts., 7/1/14 | 150,000 | 160,340 |
12 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued | ||||||||
Lloyds TSB Bank plc, 5.80% Nts., 1/13/202 | $ | 430,000 | $ | 406,978 | ||||
Regions Financial Corp., 5.75% Sr. Unsec. Unsub. Nts., 6/15/15 | 450,000 | 447,819 | ||||||
Sanwa Bank Ltd. (The), 7.40% Sub. Nts., 6/15/11 | 219,000 | 229,299 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 | 715,000 | 740,025 | ||||||
3,673,526 | ||||||||
Consumer Finance—0.3% | ||||||||
Capital One Capital IV: | ||||||||
6.745% Sub. Bonds, 2/17/373 | 270,000 | 228,150 | ||||||
8.875% Jr. Sub. Nts., 5/15/40 | 150,000 | 157,583 | ||||||
SLM Corp., 8% Sr. Nts., 3/25/20 | 245,000 | 215,680 | ||||||
601,413 | ||||||||
Diversified Financial Services—1.0% | ||||||||
Citigroup, Inc., 6.01% Sr. Unsec. Nts., 1/15/15 | 743,000 | 780,398 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 | 830,000 | 858,302 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 530,000 | 569,215 | ||||||
2,207,915 | ||||||||
Insurance—1.6% | ||||||||
American International Group, Inc., 5.05% Sr. Unsec. Nts., 10/1/15 | 480,000 | 443,400 | ||||||
AXA SA, 6.463% Jr. Unsec. Sub. Perpetual Bonds2,10 | 80,000 | 63,100 | ||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 | 325,000 | 345,512 | ||||||
Genworth Financial, Inc., 8.625% Sr. Unsec. Unsub. Nts., 12/15/16 | 400,000 | 427,304 | ||||||
Hartford Financial Services Group, Inc. (The): | ||||||||
5.25% Sr. Unsec. Nts., 10/15/11 | 242,000 | 250,589 | ||||||
6.625% Sr. Unsec. Unsub. Nts., 3/30/40 | 165,000 | 153,880 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/132 | 320,000 | 317,319 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 | 460,000 | 349,600 | ||||||
Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 | 235,000 | 236,703 | ||||||
Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/102 | 232,000 | 233,230 | ||||||
Prudential Financial, Inc., 6.625% Sr. Unsec. Bonds, 6/21/40 | 157,000 | 160,512 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds2,10 | 472,000 | 389,400 | ||||||
ZFS Finance USA Trust IV, 5.875% Sub. Bonds, 5/9/322 | 270,000 | 239,630 | ||||||
3,610,179 | ||||||||
Real Estate Investment Trusts—0.4% | ||||||||
AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 | 100,000 | 105,047 | ||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 | 123,000 | 127,148 | ||||||
Liberty Property LP, 7.25% Sr. Unsec. Unsub. Nts., 3/15/11 | 240,000 | 247,634 | ||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 | 93,000 | 96,988 | ||||||
ProLogis, 7.625% Sr. Unsec. Nts., 8/15/14 | 205,000 | 217,831 | ||||||
794,648 | ||||||||
Health Care—0.7% | ||||||||
Biotechnology—0.1% | ||||||||
Genzyme Corp., 5% Sr. Nts., 6/15/202 | 232,000 | 239,613 | ||||||
Health Care Equipment & Supplies—0.0% | ||||||||
Covidien International Finance SA, 2.80% Sr. Unsec. Nts., 6/15/15 | 98,000 | 99,130 | ||||||
Health Care Providers & Services—0.2% | ||||||||
HCA, Inc., 8.50% Sr. Sec. Nts., 4/15/19 | 225,000 | 239,625 | ||||||
WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 | 220,000 | 224,323 | ||||||
463,948 | ||||||||
Life Sciences Tools & Services—0.4% | ||||||||
Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 | 415,000 | 427,459 | ||||||
Life Technologies Corp., 6% Sr. Nts., 3/1/20 | 408,000 | 442,971 | ||||||
870,430 | ||||||||
Industrials—1.3% | ||||||||
Aerospace & Defense—0.3% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 251,000 | 247,235 | ||||||
Meccanica Holdings USA, Inc., 7.375% Sr. Unsec. Unsub. Nts., 7/15/392 | 337,000 | 362,610 | ||||||
609,845 | ||||||||
Commercial Services & Supplies—0.4% | ||||||||
Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 | 150,000 | 179,908 | ||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 235,000 | 244,988 |
13 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Commercial Services & Supplies Continued | ||||||||
R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 | $ | 230,000 | $ | 236,823 | ||||
Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 | 195,000 | 205,744 | ||||||
867,463 | ||||||||
Electrical Equipment—0.1% | ||||||||
Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 | 248,000 | 275,626 | ||||||
Industrial Conglomerates—0.3% | ||||||||
General Electric Capital Corp.: | ||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 | 210,000 | 218,592 | ||||||
5.50% Sr. Unsec. Nts., 1/8/20 | 255,000 | 270,173 | ||||||
Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 | 198,000 | 238,463 | ||||||
727,228 | ||||||||
Machinery—0.2% | ||||||||
Pall Corp., 5% Nts., 6/15/20 | 77,000 | 80,089 | ||||||
SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 | 265,000 | 273,613 | ||||||
353,702 | ||||||||
Information Technology—0.3% | ||||||||
Communications Equipment—0.1% | ||||||||
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 | 220,000 | 236,230 | ||||||
Electronic Equipment & Instruments—0.2% | ||||||||
Agilent Technologies, Inc., 5.50% Sr. Unsec. Unsub. Nts., 9/14/15 | 391,000 | 421,526 | ||||||
Materials—1.0% | ||||||||
Chemicals—0.2% | ||||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 | 220,000 | 242,000 | ||||||
CF Industries, Inc., 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 | 242,000 | 246,840 | ||||||
488,840 | ||||||||
Containers & Packaging—0.2% | ||||||||
Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 | 250,000 | 262,813 | ||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/172 | 225,000 | 235,628 | ||||||
498,441 | ||||||||
Metals & Mining—0.6% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 350,000 | 385,500 | ||||||
Teck Resources Ltd., 10.75% Sr. Sec. Nts., 5/15/19 | 355,000 | 435,636 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 | 40,000 | 42,958 | ||||||
Vale Overseas Ltd., 6.875% Sr. Unsec. Nts., 11/10/39 | 250,000 | 262,930 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 75,000 | 79,171 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 132,000 | 143,063 | ||||||
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/162 | 35,000 | 37,590 | ||||||
1,386,848 | ||||||||
Telecommunication Services—1.2% | ||||||||
Diversified Telecommunication Services—1.1% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 230,000 | 250,985 | ||||||
British Telecommunications plc, 9.625% Bonds, 12/15/30 | 151,000 | 185,022 | ||||||
Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 | 225,000 | 244,921 | ||||||
New Communications Holdings, Inc., 8.25% Sr. Nts., 4/15/172 | 235,000 | 237,056 | ||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 | 232,000 | 249,400 | ||||||
Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 | 345,000 | 347,574 | ||||||
Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 | 165,000 | 167,072 | ||||||
Telus Corp., 8% Nts., 6/1/11 | 185,000 | 196,173 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 151,000 | 167,340 | ||||||
Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 280,000 | 283,500 | ||||||
2,329,043 | ||||||||
Wireless Telecommunication Services—0.1% | ||||||||
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 | 185,000 | 207,200 | ||||||
Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 | 92,000 | 98,213 | ||||||
305,413 | ||||||||
Utilities—0.8% | ||||||||
Electric Utilities—0.3% | ||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/122 | 180,000 | 196,735 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 | 150,000 | 149,176 | ||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/192 | 240,000 | 304,605 | ||||||
650,516 |
14 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Energy Traders—0.2% | ||||||||
Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 | $ | 303,000 | $ | 343,771 | ||||
Multi-Utilities—0.3% | ||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 | 235,000 | 224,958 | ||||||
NiSource Finance Corp., 10.75% Sr. Unsec. Nts., 3/15/16 | 295,000 | 378,644 | ||||||
Sempra Energy, 9.80% Sr. Unsec. Nts., 2/15/19 | 130,000 | 173,037 | ||||||
776,639 | ||||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $34,587,946) | 35,636,164 |
Shares | ||||||||
Investment Companies—9.4% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%11,12 | 2,243,538 | 2,243,538 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%11,13 | 18,724,866 | 18,724,866 | ||||||
Total Investment Companies (Cost $20,968,404) | 20,968,404 | |||||||
Total Investments, at Value (Cost $262,227,449) | 112.3 | % | 250,879,034 | |||||
Liabilities in Excess of Other Assets | (12.3 | ) | (27,459,384 | ) | ||||
Net Assets | 100.0 | % | $ | 223,419,650 | ||||
Footnotes to Statement of Investments | ||
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 $8,392,218 or 3.76% of the Fund’s net assets as of June 30, 2010. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
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 $3,752,543 or 1.68% of the Fund’s net assets as of June 30, 2010. | |
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 $200,944 or 0.09% of the Fund’s net assets as of June 30, 2010. | |
6. | When-issued security or delayed delivery to be delivered and settled after June 30, 2010. See Note 1 of accompanying Notes. | |
7. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $258,306. See Note 5 of accompanying Notes. | |
8. | The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. | |
9. | Restricted security. The aggregate value of restricted securities as of June 30, 2010 was $252,769, which represents 0.11% of the Fund’s net assets. See Note 6 of accompanying Notes. Information concerning restricted securities is as follows: |
Acquisition | Unrealized | |||||||||||||||
Security | Dates | Cost | Value | Appreciation | ||||||||||||
Morgan Stanley Resecuritization Trust, Automobile Receivable | ||||||||||||||||
Nts., Series 2010-F, Cl. A, 0.60%, 6/17/11 | 1/11/10 | $ | 252,044 | $ | 252,769 | $ | 725 |
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. | Rate shown is the 7-day yield as of June 30, 2010. | |
12. | Interest rate is less than 0.0005%. | |
13. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 470,448 | 470,448 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 30,151,515 | 39,240,604 | 50,667,253 | 18,724,866 |
15 | OPPENHEIMER BALANCED FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 8 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 18,724,866 | 24,156 | ||||||
$ | 18,724,866 | $ | 24,164 | |||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. |
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—significant 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, 2010 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 | $ | — | $ | 4,186,650 | $ | — | $ | 4,186,650 | ||||||||
Consumer Staples | 9,194,963 | 4,235,383 | — | 13,430,346 | ||||||||||||
Energy | 14,772,451 | — | — | 14,772,451 | ||||||||||||
Financials | 16,469,013 | — | — | 16,469,013 | ||||||||||||
Health Care | 14,760,844 | — | — | 14,760,844 | ||||||||||||
Industrials | 8,512,009 | — | — | 8,512,009 | ||||||||||||
Information Technology | 34,370,669 | — | — | 34,370,669 | ||||||||||||
Materials | 3,940,036 | — | — | 3,940,036 | ||||||||||||
Telecommunication Services | 1,155,081 | — | — | 1,155,081 | ||||||||||||
Utilities | 1,284,660 | — | — | 1,284,660 | ||||||||||||
Preferred Stocks | 5,102,352 | — | — | 5,102,352 | ||||||||||||
Asset-Backed Securities | — | 11,596,749 | — | 11,596,749 | ||||||||||||
Mortgage-Backed Obligations | — | 63,461,544 | — | 63,461,544 | ||||||||||||
U.S. Government Obligations | — | 1,232,062 | — | 1,232,062 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | — | 35,636,164 | — | 35,636,164 | ||||||||||||
Investment Companies | 20,968,404 | — | — | 20,968,404 | ||||||||||||
Total Investments, at Value | 130,530,482 | 120,348,552 | — | 250,879,034 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | — | 15,473 | — | 15,473 | ||||||||||||
Futures margins | 35,647 | — | — | 35,647 | ||||||||||||
Total Assets | $ | 130,566,129 | $ | 120,364,025 | $ | — | $ | 250,930,154 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Depreciated swaps, at value | $ | — | $ | (19,993 | ) | $ | — | $ | (19,993 | ) | ||||||
Futures margins | (567 | ) | — | — | (567 | ) | ||||||||||
Total Liabilities | $ | (567 | ) | $ | (19,993 | ) | $ | — | $ | (20,560 | ) | |||||
16 | OPPENHEIMER BALANCED FUND/VA
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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.
The table below shows the significant transfers between Level 1 and Level 2. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
Transfers out of | Transfers into | |||||||
Level 1* | Level 2* | |||||||
Assets Table | ||||||||
Investments, at Value: | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $ | (6,554,531 | ) | $ | 6,554,531 | |||
Consumer Staples | (4,259,806 | ) | 4,259,806 | |||||
Total Assets | $ | (10,814,337 | ) | $ | 10,814,337 | |||
* | Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund’s assets were valued but after the close of the securities’ respective exchanges. |
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 methodologies, if any, during the reporting period.
Futures Contracts as of June 30, 2010 are as follows:
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 77 | 9/21/10 | $ | 9,817,500 | $ | 279,967 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 60 | 9/30/10 | 13,129,688 | (36,333 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 13 | 9/30/10 | 1,538,570 | (20,128 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 42 | 9/21/10 | 5,146,969 | 77,604 | |||||||||||||||
$ | 301,110 | |||||||||||||||||||
Credit Default Swap Contracts as of June 30, 2010 are as follows:
Buy/Sell | Notional | Unrealized | ||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Pay/Receive | Termination | Appreciation | |||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Fixed Rate | Date | Value | (Depreciation) | ||||||||||||||||||
Vale Inco Ltd.: | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | $ | 545 | 0.70 | % | 3/20/17 | $ | 6,530 | $ | 6,530 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 550 | 0.63 | 3/20/17 | 8,943 | 8,943 | ||||||||||||||||||
Total | 1,095 | 15,473 | 15,473 | |||||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 545 | 1.17 | 3/20/17 | (8,772 | ) | (8,772 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 550 | 1.10 | 3/20/17 | (11,221 | ) | (11,221 | ) | ||||||||||||||||
Total | 1,095 | (19,993 | ) | (19,993 | ) | |||||||||||||||||||
Grand Total Buys | 15,473 | 15,473 | ||||||||||||||||||||||
Grand Total Sells | (19,993 | ) | (19,993 | ) | ||||||||||||||||||||
Total Credit Default Swaps | $ | (4,520 | ) | $ | (4,520 | ) | ||||||||||||||||||
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 | $ | 1,095,000 | $ | — | 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. |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
The following table aggregates, as of period end, 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 Summary as of June 30, 2010 is as follows:
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||||
Credit Default Buy Protection | $ | 1,095 | $ | 15,473 | ||||||||
Credit Default Sell Protection | 1,095 | (19,993 | ) | |||||||||
$ | (4,520 | ) | ||||||||||
See accompanying Notes to Financial Statements.
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $243,502,583) | $ | 232,154,168 | ||
Affiliated companies (cost $18,724,866) | 18,724,866 | |||
250,879,034 | ||||
Appreciated swaps, at value | 15,473 | |||
Receivables and other assets: | ||||
Investments sold (including $17,186,516 sold on a when-issued or delayed delivery basis) | 17,613,025 | |||
Interest, dividends and principal paydowns | 1,001,780 | |||
Futures margins | 35,647 | |||
Other | 13,433 | |||
Total assets | 269,558,392 | |||
Liabilities | ||||
Depreciated swaps, at value | 19,993 | |||
Payables and other liabilities: | ||||
Investments purchased (including $45,393,042 purchased on a when-issued or delayed delivery basis) | 45,832,077 | |||
Shares of beneficial interest redeemed | 145,487 | |||
Distribution and service plan fees | 53,686 | |||
Shareholder communications | 37,056 | |||
Transfer and shareholder servicing agent fees | 19,129 | |||
Trustees’ compensation | 10,441 | |||
Futures margins | 567 | |||
Other | 20,306 | |||
Total liabilities | 46,138,742 | |||
Net Assets | $ | 223,419,650 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 22,703 | ||
Additional paid-in capital | 310,134,501 | |||
Accumulated net investment income | 2,722,161 | |||
Accumulated net realized loss on investments and foreign currency transactions | (78,409,470 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (11,050,245 | ) | ||
Net Assets | $ | 223,419,650 | ||
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 $141,196,635 and 14,295,865 shares of beneficial interest outstanding) | $ | 9.88 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $82,223,015 and 8,407,175 shares of beneficial interest outstanding) | $ | 9.78 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010
Investment Income | ||||
Interest (net of foreign withholding taxes of $192) | $ | 2,489,624 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $22,853) | 1,071,638 | |||
Affiliated companies | 24,156 | |||
Income from investment of securities lending cash collateral, net—affiliated companies | 8 | |||
Total investment income | 3,585,426 | |||
Expenses | ||||
Management fees | 902,879 | |||
Distribution and service plan fees—Service shares | 109,949 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 77,280 | |||
Service shares | 43,987 | |||
Shareholder communications: | ||||
Non-Service shares | 15,151 | |||
Service shares | 8,625 | |||
Trustees’ compensation | 6,655 | |||
Custodian fees and expenses | 4,775 | |||
Other | 31,344 | |||
Total expenses | 1,200,645 | |||
Less waivers and reimbursements of expenses | (327,413 | ) | ||
Net expenses | 873,232 | |||
Net Investment Income | 2,712,194 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 11,296,989 | |||
Closing and expiration of futures contracts | 478,123 | |||
Foreign currency transactions | (100,257 | ) | ||
Swap contracts | 2,602 | |||
Net realized gain | 11,677,457 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (21,258,163 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | 92,435 | |||
Futures contracts | 630,104 | |||
Swap contracts | 30,812 | |||
Net change in unrealized appreciation/depreciation | (20,504,812 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (6,115,161 | ) | |
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 2,712,194 | $ | 6,170,062 | ||||
Net realized gain (loss) | 11,677,457 | (30,890,935 | ) | |||||
Net change in unrealized appreciation/depreciation | (20,504,812 | ) | 70,642,719 | |||||
Net increase (decrease) in net assets resulting from operations | (6,115,161 | ) | 45,921,846 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (2,184,050 | ) | — | |||||
Service shares | (1,027,757 | ) | — | |||||
(3,211,807 | ) | — | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (12,704,505 | ) | (40,306,895 | ) | ||||
Service shares | (3,092,187 | ) | 4,509,086 | |||||
(15,796,692 | ) | (35,797,809 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (25,123,660 | ) | 10,124,037 | |||||
Beginning of period | 248,543,310 | 238,419,273 | ||||||
End of period (including accumulated net investment income of $2,722,161 and $3,221,774, respectively) | $ | 223,419,650 | $ | 248,543,310 | ||||
See accompanying Notes to Financial Statements.
21 | OPPENHEIMER BALANCED FUND/VA
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.30 | $ | 8.45 | $ | 16.41 | $ | 17.69 | $ | 17.07 | $ | 17.35 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .12 | .25 | .41 | .43 | .40 | .33 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.39 | ) | 1.60 | (7.03 | ) | .19 | 1.38 | .31 | ||||||||||||||||
Total from investment operations | (.27 | ) | 1.85 | (6.62 | ) | .62 | 1.78 | .64 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.15 | ) | — | (.39 | ) | (.46 | ) | (.36 | ) | (.30 | ) | |||||||||||||
Distributions from net realized gain | — | — | (.95 | ) | (1.44 | ) | (.80 | ) | (.62 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.15 | ) | — | (1.34 | ) | (1.90 | ) | (1.16 | ) | (.92 | ) | |||||||||||||
Net asset value, end of period | $ | 9.88 | $ | 10.30 | $ | 8.45 | $ | 16.41 | $ | 17.69 | $ | 17.07 | ||||||||||||
Total Return, at Net Asset Value2 | (2.74 | )% | 21.89 | % | (43.47 | )% | 3.79 | % | 11.15 | % | 3.89 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 141,197 | $ | 159,797 | $ | 169,621 | $ | 385,948 | $ | 435,639 | $ | 503,753 | ||||||||||||
Average net assets (in thousands) | $ | 155,755 | $ | 159,013 | $ | 295,669 | $ | 418,103 | $ | 456,513 | $ | 522,754 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 2.33 | % | 2.71 | % | 3.14 | % | 2.55 | % | 2.42 | % | 1.98 | % | ||||||||||||
Total expenses | 0.90 | %4 | 0.89 | %4 | 0.76 | %4 | 0.75 | %4 | 0.75 | %4 | 0.74 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.63 | % | 0.60 | % | 0.67 | % | 0.73 | % | 0.75 | % | 0.74 | % | ||||||||||||
Portfolio turnover rate5 | 29 | % | 87 | % | 67 | % | 68 | % | 76 | % | 67 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.91 | % | ||
Year Ended December 31, 2009 | 0.91 | % | ||
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, 2010 | $ | 228,011,790 | $ | 236,869,465 | ||||
Year Ended December 31, 2009 | $ | 504,698,365 | $ | 520,212,670 | ||||
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 |
See accompanying Notes to Financial Statements.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.19 | $ | 8.38 | $ | 16.28 | $ | 17.57 | $ | 16.97 | $ | 17.26 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .11 | .22 | .37 | .38 | .36 | .29 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.40 | ) | 1.59 | (6.97 | ) | .19 | 1.37 | .31 | ||||||||||||||||
Total from investment operations | (.29 | ) | 1.81 | (6.60 | ) | .57 | 1.73 | .60 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | — | (.35 | ) | (.42 | ) | (.33 | ) | (.27 | ) | |||||||||||||
Distributions from net realized gain | — | — | (.95 | ) | (1.44 | ) | (.80 | ) | (.62 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.12 | ) | — | (1.30 | ) | (1.86 | ) | (1.13 | ) | (.89 | ) | |||||||||||||
Net asset value, end of period | $ | 9.78 | $ | 10.19 | $ | 8.38 | $ | 16.28 | $ | 17.57 | $ | 16.97 | ||||||||||||
Total Return, at Net Asset Value2 | (2.91 | )% | 21.60 | % | (43.62 | )% | 3.49 | % | 10.86 | % | 3.67 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 82,223 | $ | 88,746 | $ | 68,798 | $ | 121,399 | $ | 111,363 | $ | 88,156 | ||||||||||||
Average net assets (in thousands) | $ | 88,652 | $ | 77,101 | $ | 100,164 | $ | 117,012 | $ | 100,010 | $ | 72,977 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 2.08 | % | 2.42 | % | 2.90 | % | 2.30 | % | 2.17 | % | 1.74 | % | ||||||||||||
Total expenses | 1.15 | %4 | 1.15 | %4 | 1.01 | %4 | 1.00 | %4 | 1.01 | %4 | 1.00 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.88 | % | 0.85 | % | 0.92 | % | 0.98 | % | 1.01 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate5 | 29 | % | 87 | % | 67 | % | 68 | % | 76 | % | 67 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 1.16 | % | ||
Year Ended December 31, 2009 | 1.17 | % | ||
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, 2010 | $ | 228,011,790 | $ | 236,869,465 | ||||
Year Ended December 31, 2009 | $ | 504,698,365 | $ | 520,212,670 | ||||
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 |
See accompanying Notes to Financial Statements.
23 | OPPENHEIMER BALANCED FUND/VA
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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 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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
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
24 | OPPENHEIMER BALANCED FUND/VA
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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 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, 2010, 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 | $ | 45,393,042 | ||
Sold securities | 17,186,516 |
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.
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
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
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. Shares of IMMF are valued at their net asset value per share. 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. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF’s expenses, including its management fee of 0.08%.
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.
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.
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During the fiscal year ended December 31, 2009, the Fund did not utilize any capital loss carryforward. As of December 31, 2009, the Fund had available for federal income tax purposes post-October foreign currency losses of $2,354, straddle losses of $120,488 and unused capital loss carryforwards as follows:
Expiring | ||||
2016 | $ | 44,402,106 | ||
2017 | 44,728,707 | |||
Total | $ | 89,130,813 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $77,576,198 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $11,677,457 of 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, 2010 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 | $ | 263,389,720 | ||
Federal tax cost of other investments | (4,899 | ) | ||
Total federal tax cost | $ | 263,384,821 | ||
Gross unrealized appreciation | $ | 14,985,430 | ||
Gross unrealized depreciation | (27,199,526 | ) | ||
Net unrealized depreciation | $ | (12,214,096 | ) | |
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.
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 118,646 | $ | 1,250,425 | 484,890 | $ | 4,273,547 | ||||||||||
Dividends and/or distributions reinvested | 209,000 | 2,184,050 | — | — | ||||||||||||
Redeemed | (1,547,044 | ) | (16,138,980 | ) | (5,041,004 | ) | (44,580,442 | ) | ||||||||
Net decrease | (1,219,398 | ) | $ | (12,704,505 | ) | (4,556,114 | ) | $ | (40,306,895 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 309,980 | $ | 3,210,150 | 1,886,160 | $ | 16,689,571 | ||||||||||
Dividends and/or distributions reinvested | 99,204 | 1,027,757 | — | — | ||||||||||||
Redeemed | (713,306 | ) | (7,330,094 | ) | (1,382,728 | ) | (12,180,485 | ) | ||||||||
Net increase (decrease) | (304,122 | ) | $ | (3,092,187 | ) | 503,432 | $ | 4,509,086 | ||||||||
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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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 57,402,129 | $ | 60,062,203 | ||||
U.S. government and government agency obligations | 1,992,809 | 2,183,023 | ||||||
To Be Announced (TBA) mortgage-related securities | 228,011,790 | 236,869,465 |
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $123,149 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 0.25% of the daily 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, 2010, the Manager waived fees and/or reimbursed the Fund $169,858 and $96,723 for Non-Service and Service shares, respectively.
Effective April 1, 2009 through March 31, 2010, the Manager voluntarily waived its advisory fee by 0.08% of the Fund’s average annual net assets. That voluntary waiver was applied after all other waivers and/or reimbursements. During the six months ended June 30, 2010, the Manager waived $48,729.
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, 2010, the Manager waived fees and/or reimbursed the Fund $12,103 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer 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.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.
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.
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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, 2010, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $15,473, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. 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 certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of June 30, 2010 the Fund has not required certain counterparties to post collateral.
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 certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.
As of June 30, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $4,520 for which collateral was not posted by the Fund. Securities held in collateralized accounts to cover these liabilities are noted in the Statement of Investments, if applicable. If a contingent feature would have been triggered as of June 30, 2010, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities; securities posted as collateral, if any, are reported on the Statement of Investments.
Valuations of derivative instruments as of June 30, 2010 are as follows:
Asset Derivatives | Liability Derivatives | |||||||||||||||
Derivatives not | ||||||||||||||||
Accounted for as | Statement of Assets | Statement of Assets | ||||||||||||||
Hedging Instruments | and Liabilities Location | Value | and Liabilities Location | Value | ||||||||||||
Credit contracts | Appreciated swaps, at value | $ | 15,473 | Depreciated swaps, at value | $ | 19,993 | ||||||||||
Interest rate contracts | Futures margins | 35,647 | * | Futures margins | 567 | * | ||||||||||
Total | $ | 51,120 | $ | 20,560 | ||||||||||||
* | 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. |
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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 Derivatives | ||||||||||||
Derivatives not | Closing and | |||||||||||
Accounted for as | expiration of | |||||||||||
Hedging Instruments | futures contracts | Swap contracts | Total | |||||||||
Credit contracts | $ | — | $ | 2,602 | $ | 2,602 | ||||||
Interest rate contracts | 478,123 | — | 478,123 | |||||||||
Total | $ | 478,123 | $ | 2,602 | $ | 480,725 | ||||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||
Derivatives not | ||||||||||||
Accounted for as | ||||||||||||
Hedging Instruments | Futures contracts | Swap contracts | Total | |||||||||
Credit contracts | $ | — | $ | 30,812 | $ | 30,812 | ||||||
Interest rate contracts | 630,104 | — | 630,104 | |||||||||
Total | $ | 630,104 | $ | 30,812 | $ | 660,916 | ||||||
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.
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 values of swap contracts are
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aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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.
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 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 with the intent 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.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
6. Restricted Securities
As of June 30, 2010, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
33 | OPPENHEIMER BALANCED FUND/VA
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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 the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
8. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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.
34 | OPPENHEIMER BALANCED FUND/VA
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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 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.
35 | OPPENHEIMER BALANCED FUND/VA
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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 | ||
William F. Glavin, Jr., 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 | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved. |
Table of Contents
June 30, 2010 Oppenheimer Capital Appreciation Semiannual Fund/VAReport A Series of Oppenheimer Variable Account Funds S EM I AN NUA L R E P ORT Fund Performance Discussion Listing of Top Holdings Listing of n I vestments Financial Statements |
Table of Contents
OPPENHEIMER CAPITAL APPRECIATION FUND/VA
Fund Objective. The Fund seeks capital appreciation by investing in securities of well-known, established companies.
Portfolio Manager. Julie Van Cleave1
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
For the 6-Month Period Ended 6/30/10
Non-Service Shares | –11.71 | % | ||
Service Shares | –11.82 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 8.29 | % | –1.63 | % | –3.03 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/01) | ||||||||||
Service Shares | 7.99 | % | –1.88 | % | 0.47 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Gross Expense Ratios | Net Expense Ratios | |||||||
Non-Service Shares | 0.78 | % | 0.78 | % | ||||
Service Shares | 1.04 | 1.03 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
1. | Effective April 26, 2010. |
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings | ||||
Apple, Inc. | 4.4 | % | ||
Google, Inc., Cl. A | 3.2 | |||
Hewlett-Packard Co. | 2.9 | |||
PepsiCo, Inc. | 2.7 | |||
QUALCOMM, Inc. | 2.6 | |||
Occidental Petroleum Corp. | 2.1 | |||
Oracle Corp. | 2.1 | |||
Express Scripts, Inc. | 2.1 | |||
Visa, Inc., Cl. A | 1.9 | |||
Allergan, Inc. | 1.7 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
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FUND PERFORMANCE DISCUSSION
During the six-month reporting period ended June 30, 2010, the Fund’s Non-Service shares returned -11.71%, underperforming the Russell 1000 Growth Index (the “Index”), which returned - -7.65%. In the midst of a volatile market environment, particularly over May and June, the Fund underperformed the Index primarily in the information technology, materials and consumer discretionary sectors due to weaker relative stock selection.
The first half of 2010 saw a continuation of the economic recovery that began in 2009. Improving manufacturing activity and a rebound in corporate earnings helped bolster the confidence of consumers, businesses and investors, adding a degree of support to the economic expansion. However, the rebound proved to be more sluggish than most previous recoveries, as stubbornly high unemployment and ongoing weakness in housing markets produced head-winds that constrained the pace of economic growth. Nonetheless, improved investor sentiment helped sustain a stock market rally through the first four months of the year. As it was in 2009, the rally was led by smaller, more speculative stocks that had been severely beaten down during the recession and financial crisis.
The investment climate changed significantly in May, when a number of developments appeared to threaten the global economic recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures.
Meanwhile, robust economic growth in China seemed to spark local inflationary pressures, particularly in urban property markets. The Chinese government raised short-term interest rates and adopted other measures to forestall an acceleration of inflation, but global investors grew concerned that these measures might choke off regional economic growth in a country that has been a key driver of the global economic recovery. Finally, economic concerns intensified in the United States, where employment gains have remained relatively modest, real estate markets have continued to struggle and consumers have been reluctant to spend. Consequently, stock prices fell sharply in May and June, giving back all of their previous 2010 gains and ending the reporting period lower than where they began.
In terms of detractors from performance, within the information technology sector, the Fund’s overweight exposure to hard hit securities NVIDIA Corp., QUALCOMM, Inc. and Google, Inc. detracted significantly from relative performance. In materials, the Fund’s overweight position in Monsanto Co. and Xstrata plc, which both had a difficult reporting period, detracted from performance. Overweighting consumer discretionary stock Apollo Group, Inc. hurt relative performance, as did underweighting the hotels, restaurants and leisure subsector, which produced positive results for the Index during the period. By period end, we exited our position in Apollo Group.
Positive contributors to performance during the reporting period included overweighting consumer discretionary holding Cablevision Systems Corp., health care companies Express Scripts, Inc., Novo Nordisk and Thermo Fisher Scientific, Inc., and underweighting hard hit information technology holding Microsoft Corp., which we exited over the last month of the reporting period.
Fund Announcement
Effective April 26, 2010, Julie Van Cleave, CFA, was named portfolio manager of the Fund. Prior to joining OppenheimerFunds, Ms. Van Cleave was a managing director at Deutsche Asset Management where she served as a lead portfolio manager from December 2002 through February 2009. In managing the Fund, Ms. Van Cleave will seek to manage risk and opportunity through top-down sector analysis as well as bottom-up stock selection. She will seek businesses with dominant and rising market share and strong metrics around growth, quality and innovation, while maintaining sensitivity to valuations and risk. We believe her sensitivity to risk and her preference for quality growth companies supported by long-term growth themes will fit well within the style and objectives of the Fund.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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
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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, 2010.
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, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 882.90 | $ | 3.65 | ||||||
Service shares | 1,000.00 | 881.80 | 4.82 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,020.93 | 3.92 | |||||||||
Service shares | 1,000.00 | 1,019.69 | 5.17 |
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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.78 | % | ||
Service shares | 1.03 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Shares | Value | |||||||
Common Stocks—96.9% | ||||||||
Consumer Discretionary—11.2% | ||||||||
Hotels, Restaurants & Leisure—1.4% | ||||||||
McDonald’s Corp. | 275,240 | $ | 18,130,059 | |||||
Internet & Catalog Retail—1.0% | ||||||||
Amazon.com, Inc.1 | 119,934 | 13,103,989 | ||||||
Media—3.0% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 632,575 | 15,188,126 | ||||||
McGraw-Hill Cos., Inc. (The) | 306,780 | 8,632,789 | ||||||
Walt Disney Co. (The) | 437,170 | 13,770,855 | ||||||
37,591,770 | ||||||||
Multiline Retail—0.5% | ||||||||
Target Corp. | 123,130 | 6,054,302 | ||||||
Specialty Retail—1.7% | ||||||||
Bed Bath & Beyond, Inc.1 | 324,620 | 12,036,910 | ||||||
TJX Cos., Inc. (The) | 212,700 | 8,922,765 | ||||||
20,959,675 | ||||||||
Textiles, Apparel & Luxury Goods—3.6% | ||||||||
Coach, Inc. | 526,600 | 19,247,230 | ||||||
Nike, Inc., Cl. B | 220,810 | 14,915,716 | ||||||
Polo Ralph Lauren Corp., Cl. A | 147,730 | 10,778,381 | ||||||
44,941,327 | ||||||||
Consumer Staples—9.8% | ||||||||
Beverages—2.7% | ||||||||
PepsiCo, Inc. | 548,630 | 33,438,999 | ||||||
Food & Staples Retailing—1.6% | ||||||||
Wal-Mart Stores, Inc. | 419,240 | 20,152,867 | ||||||
Food Products—3.1% | ||||||||
DANONE SA | 23,460 | 1,252,813 | ||||||
General Mills, Inc. | 178,140 | 6,327,533 | ||||||
Nestle SA | 365,026 | 17,612,495 | ||||||
Unilever NV CVA | 498,200 | 13,583,604 | ||||||
38,776,445 | ||||||||
Household Products—1.6% | ||||||||
Colgate-Palmolive Co. | 262,840 | 20,701,278 | ||||||
Tobacco—0.8% | ||||||||
Philip Morris International, Inc. | 209,390 | 9,598,438 | ||||||
Energy—7.9% | ||||||||
Energy Equipment & Services—2.9% | ||||||||
Cameron International Corp.1 | 187,770 | 6,106,280 | ||||||
Halliburton Co. | 543,610 | 13,345,626 | ||||||
Schlumberger Ltd. | 296,590 | 16,413,291 | ||||||
35,865,197 | ||||||||
Oil, Gas & Consumable Fuels—5.0% | ||||||||
Apache Corp. | 139,280 | 11,725,983 | ||||||
ConocoPhillips | 50,600 | 2,483,954 | ||||||
EOG Resources, Inc. | 94,600 | 9,305,802 | ||||||
Occidental Petroleum Corp. | 349,240 | 26,943,866 | ||||||
Range Resources Corp. | 122,120 | 4,903,118 | ||||||
Southwestern Energy Co.1 | 199,310 | 7,701,338 | ||||||
63,064,061 | ||||||||
Financials—7.1% | ||||||||
Capital Markets—2.2% | ||||||||
Charles Schwab Corp. (The) | 596,250 | 8,454,825 | ||||||
Credit Suisse Group AG | 294,804 | 11,079,842 | ||||||
Goldman Sachs Group, Inc. (The) | 35,530 | 4,664,023 | ||||||
T. Rowe Price Group, Inc. | 82,750 | 3,673,273 | ||||||
27,871,963 | ||||||||
Commercial Banks—0.8% | ||||||||
PNC Financial Services Group, Inc. | 10,950 | 618,675 | ||||||
Wells Fargo & Co. | 387,890 | 9,929,984 | ||||||
10,548,659 | ||||||||
Diversified Financial Services—3.6% | ||||||||
BM&F BOVESPA SA | 1,633,360 | 10,587,430 | ||||||
CME Group, Inc. | 30,690 | 8,640,770 | ||||||
IntercontinentalExchange, Inc.1 | 89,800 | 10,150,094 | ||||||
JPMorgan Chase & Co. | 366,590 | 13,420,860 | ||||||
MSCI, Inc., Cl. A1 | 68,283 | 1,870,954 | ||||||
44,670,108 | ||||||||
Real Estate Management & Development—0.5% | ||||||||
Jones Lang LaSalle, Inc. | 99,600 | 6,537,744 | ||||||
Health Care—16.8% | ||||||||
Biotechnology—3.4% | ||||||||
Amgen, Inc.1 | 319,890 | 16,826,214 | ||||||
Celgene Corp.1 | 315,980 | 16,058,104 | ||||||
Gilead Sciences, Inc.1 | 291,320 | 9,986,450 | ||||||
42,870,768 | ||||||||
Health Care Equipment & Supplies—3.5% | ||||||||
Baxter International, Inc. | 334,870 | 13,609,117 | ||||||
Covidien plc | 62,390 | 2,506,830 | ||||||
Dentsply International, Inc. | 292,130 | 8,737,608 | ||||||
St. Jude Medical, Inc.1 | 194,850 | 7,032,137 | ||||||
Stryker Corp. | 232,840 | 11,655,970 | ||||||
43,541,662 | ||||||||
Health Care Providers & Services—3.9% | ||||||||
Express Scripts, Inc.1 | 555,620 | 26,125,252 | ||||||
Medco Health Solutions, Inc.1 | 207,320 | 11,419,186 | ||||||
Schein (Henry), Inc.1 | 197,730 | 10,855,377 | ||||||
48,399,815 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Life Sciences Tools & Services—1.6% | ||||||||
Mettler-Toledo International, Inc.1 | 11,360 | $ | 1,268,117 | |||||
Thermo Fisher Scientific, Inc.1 | 391,700 | 19,212,885 | ||||||
20,481,002 | ||||||||
Pharmaceuticals—4.4% | ||||||||
Allergan, Inc. | 356,360 | 20,761,534 | ||||||
Bristol-Myers Squibb Co. | 99,710 | 2,486,767 | ||||||
Novo Nordisk AS, Cl. B | 122,510 | 9,882,352 | ||||||
Roche Holding AG | 101,859 | 13,987,646 | ||||||
Shire plc | 423,610 | 8,610,368 | ||||||
55,728,667 | ||||||||
Industrials—8.8% | ||||||||
Aerospace & Defense—3.3% | ||||||||
General Dynamics Corp. | 118,640 | 6,947,558 | ||||||
Goodrich Corp. | 140,322 | 9,296,333 | ||||||
Lockheed Martin Corp. | 182,110 | 13,567,195 | ||||||
United Technologies Corp. | 177,870 | 11,545,542 | ||||||
41,356,628 | ||||||||
Electrical Equipment—2.6% | ||||||||
ABB Ltd. | 946,047 | 16,439,494 | ||||||
Emerson Electric Co. | 89,230 | 3,898,459 | ||||||
First Solar, Inc.1 | 113,870 | 12,961,822 | ||||||
33,299,775 | ||||||||
Machinery—1.9% | ||||||||
Danaher Corp. | 33,550 | 1,245,376 | ||||||
Joy Global, Inc. | 261,247 | 13,085,862 | ||||||
Parker-Hannifin Corp. | 164,100 | 9,100,986 | ||||||
23,432,224 | ||||||||
Road & Rail—1.0% | ||||||||
Union Pacific Corp. | 181,130 | 12,590,346 | ||||||
Information Technology—29.3% | ||||||||
Communications Equipment—4.3% | ||||||||
Cisco Systems, Inc.1 | 520,400 | 11,089,724 | ||||||
Juniper Networks, Inc.1 | 446,260 | 10,183,653 | ||||||
QUALCOMM, Inc. | 1,011,790 | 33,227,184 | ||||||
54,500,561 | ||||||||
Computers & Peripherals—8.5% | ||||||||
Apple, Inc.1 | 221,000 | 55,588,130 | ||||||
Hewlett-Packard Co. | 837,800 | 36,259,984 | ||||||
NetApp, Inc.1 | 396,900 | 14,808,339 | ||||||
106,656,453 | ||||||||
Electronic Equipment & Instruments—0.9% | ||||||||
Corning, Inc. | 682,350 | 11,019,953 | ||||||
Internet Software & Services—4.6% | ||||||||
Akamai Technologies, Inc.1 | 61,500 | 2,495,055 | ||||||
eBay, Inc.1 | 770,530 | 15,110,093 | ||||||
Google, Inc., Cl. A1 | 90,020 | 40,054,399 | ||||||
57,659,547 | ||||||||
IT Services—4.5% | ||||||||
Cognizant Technology Solutions Corp.1 | 122,200 | 6,117,332 | ||||||
International Business Machines Corp. | 20,160 | 2,489,357 | ||||||
MasterCard, Inc., Cl. A | 81,630 | 16,287,634 | ||||||
Visa, Inc., Cl. A | 343,797 | 24,323,638 | ||||||
Western Union Co. | 528,500 | 7,879,935 | ||||||
57,097,896 | ||||||||
Semiconductors & Semiconductor Equipment—2.2% | ||||||||
Broadcom Corp., Cl. A | 610,730 | 20,135,768 | ||||||
NVIDIA Corp.1 | 806,880 | 8,238,245 | ||||||
28,374,013 | ||||||||
Software—4.3% | ||||||||
Adobe Systems, Inc.1 | 692,030 | 18,290,353 | ||||||
Oracle Corp. | 1,252,820 | 26,885,517 | ||||||
Vmware, Inc., Cl. A1 | 136,750 | 8,559,183 | ||||||
53,735,053 | ||||||||
Materials—3.7% | ||||||||
Chemicals—3.4% | ||||||||
Celanese Corp., Series A | 179,636 | 4,474,733 | ||||||
Ecolab, Inc. | 72,800 | 3,269,448 | ||||||
Monsanto Co. | 150,000 | 6,933,000 | ||||||
Potash Corp. of Saskatchewan, Inc. | 119,990 | 10,347,938 | ||||||
Praxair, Inc. | 232,452 | 17,664,027 | ||||||
42,689,146 | ||||||||
Metals & Mining—0.3% | ||||||||
Barrick Gold Corp. | 19,960 | 906,384 | ||||||
Xstrata plc | 259,330 | 3,397,569 | ||||||
4,303,953 | ||||||||
Telecommunication Services—2.3% | ||||||||
Wireless Telecommunication Services—2.3% | ||||||||
Crown Castle International Corp.1 | 429,380 | 15,998,699 | ||||||
NII Holdings, Inc.1 | 394,650 | 12,834,012 | ||||||
28,832,711 | ||||||||
Total Common Stocks (Cost $1,044,522,064) | 1,218,577,054 |
6 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
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Shares | Value | |||||||
Investment Companies—2.1% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,3 | 84,218 | $ | 84,218 | |||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%2,4 | 26,871,058 | 26,871,058 | ||||||
Total Investment Companies (Cost $26,955,276) | 26,955,276 | |||||||
Total Investments, at Value (Cost $1,071,477,340) | 99.0 | % | 1,245,532,330 | |||||
Other Assets Net of Liabilities | 1.0 | 12,594,054 | ||||||
Net Assets | 100.0 | % | $ | 1,258,126,384 | ||||
Footnotes to Statement of Investments
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2010. | |
3. | Interest rate is less than 0.0005%. | |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 7,898,767 | 166,059,266 | 147,086,975 | 26,871,058 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 26,871,058 | $ | 13,718 |
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—significant 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, 2010 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 | $ | 140,781,122 | $ | — | $ | — | $ | 140,781,122 | ||||||||
Consumer Staples | 90,219,115 | 32,448,912 | — | 122,668,027 | ||||||||||||
Energy | 98,929,258 | — | — | 98,929,258 | ||||||||||||
Financials | 78,548,632 | 11,079,842 | — | 89,628,474 | ||||||||||||
Health Care | 178,541,548 | 32,480,366 | — | 211,021,914 | ||||||||||||
Industrials | 94,239,479 | 16,439,494 | — | 110,678,973 | ||||||||||||
Information Technology | 369,043,476 | — | — | 369,043,476 | ||||||||||||
Materials | 43,595,530 | 3,397,569 | — | 46,993,099 | ||||||||||||
Telecommunication Services | 28,832,711 | — | — | 28,832,711 | ||||||||||||
Investment Companies | 26,955,276 | — | — | 26,955,276 | ||||||||||||
Total Investments, at value | 1,149,686,147 | 95,846,183 | — | 1,245,532,330 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table Continued | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | $ | — | $ | 4,571 | $ | — | $ | 4,571 | ||||||||
Total Assets | $ | 1,149,686,147 | $ | 95,850,754 | $ | — | $ | 1,245,536,901 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | $ | — | $ | (5,824 | ) | $ | — | $ | (5,824 | ) | ||||||
Total Liabilities | $ | — | $ | (5,824 | ) | $ | — | $ | (5,824 | ) | ||||||
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.
The table below shows the significant transfers between Level 1 and Level 2. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
Transfers into | Transfers out of | Transfers into | Transfers out of | |||||||||||||
Level 1 | * | Level 1 | ** | Level 2 | ** | Level 2 | * | |||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Staples | $ | — | $ | (32,537,348 | ) | $ | 32,537,348 | $ | — | |||||||
Financials | 11,587,906 | — | — | (11,587,906 | ) | |||||||||||
Health Care | — | (32,216,004 | ) | 32,216,004 | — | |||||||||||
Total Assets | $ | 11,587,906 | $ | (64,753,352 | ) | $ | 64,753,352 | $ | (11,587,906 | ) | ||||||
* | Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price. As of the prior reporting period end, these securities were absent of a readily available unadjusted quoted market price due to a significant event occurring before the Fund’s assets were valued but after the close of the securities’ respective exchanges. | |
** | Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund’s assets were valued but after the close of the securities’ respective exchanges. |
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 methodologies, if any, during the reporting period.
Foreign Currency Exchange Contracts as of June 30, 2010 are as follows:
Counterparty/ | Contract Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Brown Brothers Harriman: | ||||||||||||||||||||||||
Swiss Franc (CHF) | Buy | 1,876 | CHF | 7/2/10 | $ | 1,740,410 | $ | 4,571 | $ | — | ||||||||||||||
Swiss Franc (CHF) | Sell | 2,390 | CHF | 7/2/10 | 2,217,769 | — | 5,824 | |||||||||||||||||
Total unrealized appreciation and depreciation | $ | 4,571 | $ | 5,824 | ||||||||||||||||||||
See accompanying Notes to Financial Statements.
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,044,606,282) | $ | 1,218,661,272 | ||
Affiliated companies (cost $26,871,058) | 26,871,058 | |||
1,245,532,330 | ||||
Unrealized appreciation on foreign currency exchange contracts | 4,571 | |||
Receivables and other assets: | ||||
Investments sold | 87,612,693 | |||
Shares of beneficial interest sold | 13,118,815 | |||
Dividends | 2,220,857 | |||
Other | 354,852 | |||
Total assets | 1,348,844,118 | |||
Liabilities | ||||
Bank overdraft-foreign currencies (cost $315,046) | 315,046 | |||
Unrealized depreciation on foreign currency exchange contracts | 5,824 | |||
Payables and other liabilities: | ||||
Investments purchased | 88,438,711 | |||
Shares of beneficial interest redeemed | 1,336,775 | |||
Distribution and service plan fees | 255,956 | |||
Shareholder communications | 202,797 | |||
Transfer and shareholder servicing agent fees | 109,805 | |||
Trustees’ compensation | 26,954 | |||
Other | 25,866 | |||
Total liabilities | 90,717,734 | |||
Net Assets | $ | 1,258,126,384 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 38,734 | ||
Additional paid-in capital | 1,492,978,018 | |||
Accumulated net investment income | 20,973 | |||
Accumulated net realized loss on investments and foreign currency transactions | (409,019,049 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 174,107,708 | |||
Net Assets | $ | 1,258,126,384 | ||
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 $876,649,633 and 26,927,281 shares of beneficial interest outstanding) | $ | 32.56 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $381,476,751 and 11,806,681 shares of beneficial interest outstanding) | $ | 32.31 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $339,323) | $ | 7,544,121 | ||
Affiliated companies | 13,718 | |||
Interest | 110 | |||
Total investment income | 7,557,949 | |||
Expenses | ||||
Management fees | 4,752,107 | |||
Distribution and service plan fees—Service shares | 521,617 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 510,035 | |||
Service shares | 212,551 | |||
Shareholder communications: | ||||
Non-Service shares | 69,307 | |||
Service shares | 28,769 | |||
Trustees’ compensation | 28,108 | |||
Custodian fees and expenses | 16,542 | |||
Other | 51,623 | |||
Total expenses | 6,190,659 | |||
Less waivers and reimbursements of expenses | (14,914 | ) | ||
Net expenses | 6,175,745 | |||
Net Investment Income | 1,382,204 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 37,397,580 | |||
Foreign currency transactions | (73,819 | ) | ||
Net realized gain | 37,323,761 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (199,136,058 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (7,014,551 | ) | ||
Net change in unrealized appreciation/depreciation | (206,150,609 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (167,444,644 | ) | |
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 1,382,204 | $ | 2,793,303 | ||||
Net realized gain (loss) | 37,323,761 | (43,296,323 | ) | |||||
Net change in unrealized appreciation/depreciation | (206,150,609 | ) | 521,300,083 | |||||
Net increase (decrease) in net assets resulting from operations | (167,444,644 | ) | 480,797,063 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (1,796,034 | ) | (2,975,281 | ) | ||||
Service shares | — | (24,236 | ) | |||||
(1,796,034 | ) | (2,999,517 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (79,352,553 | ) | (97,375,095 | ) | ||||
Service shares | (11,640,315 | ) | (5,924,734 | ) | ||||
(90,992,868 | ) | (103,299,829 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (260,233,546 | ) | 374,497,717 | |||||
Beginning of period | 1,518,359,930 | 1,143,862,213 | ||||||
End of period (including accumulated net investment income of $20,973 and $434,803, respectively) | $ | 1,258,126,384 | $ | 1,518,359,930 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
�� | ||||||||||||||||||||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.94 | $ | 25.67 | $ | 47.18 | $ | 41.43 | $ | 38.52 | $ | 36.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .05 | .09 | .10 | .07 | .07 | .18 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (4.37 | ) | 11.27 | (21.55 | ) | 5.78 | 2.98 | 1.68 | ||||||||||||||||
Total from investment operations | (4.32 | ) | 11.36 | (21.45 | ) | 5.85 | 3.05 | 1.86 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.06 | ) | (.09 | ) | (.06 | ) | (.10 | ) | (.14 | ) | (.33 | ) | ||||||||||||
Net asset value, end of period | $ | 32.56 | $ | 36.94 | $ | 25.67 | $ | 47.18 | $ | 41.43 | $ | 38.52 | ||||||||||||
Total Return, at Net Asset Value2 | (11.71 | )% | 44.52 | % | (45.52 | )% | 14.15 | % | 7.95 | % | 5.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 876,649 | $ | 1,074,190 | $ | 829,931 | $ | 1,631,791 | $ | 1,598,967 | $ | 1,652,282 | ||||||||||||
Average net assets (in thousands) | $ | 1,027,454 | $ | 927,670 | $ | 1,256,525 | $ | 1,631,686 | $ | 1,615,352 | $ | 1,658,910 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.26 | % | 0.29 | % | 0.25 | % | 0.15 | % | 0.17 | % | 0.47 | % | ||||||||||||
Total expenses | 0.79 | %4 | 0.78 | %4 | 0.66 | %4 | 0.65 | %4 | 0.67 | %4 | 0.66 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.78 | % | 0.78 | % | 0.66 | % | 0.65 | % | 0.67 | % | 0.66 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 46 | % | 67 | % | 59 | % | 47 | % | 70 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.79 | % | ||
Year Ended December 31, 2009 | 0.78 | % | ||
Year Ended December 31, 2008 | 0.66 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.67 | % |
See accompanying Notes to Financial Statements.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.64 | $ | 25.42 | $ | 46.78 | $ | 41.09 | $ | 38.23 | $ | 36.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | — | 2 | .01 | — | 2 | (.05 | ) | (.03 | ) | .08 | ||||||||||||||
Net realized and unrealized gain (loss) | (4.33 | ) | 11.21 | (21.36 | ) | 5.74 | 2.96 | 1.69 | ||||||||||||||||
Total from investment operations | (4.33 | ) | 11.22 | (21.36 | ) | 5.69 | 2.93 | 1.77 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | — | 2 | — | — | 2 | (.07 | ) | (.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 32.31 | $ | 36.64 | $ | 25.42 | $ | 46.78 | $ | 41.09 | $ | 38.23 | ||||||||||||
Total Return, at Net Asset Value3 | (11.82 | )% | 44.15 | % | (45.66 | )% | 13.86 | % | 7.68 | % | 4.87 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 381,477 | $ | 444,170 | $ | 313,931 | $ | 546,887 | $ | 463,140 | $ | 381,852 | ||||||||||||
Average net assets (in thousands) | $ | 428,168 | $ | 368,634 | $ | 454,558 | $ | 510,874 | $ | 426,539 | $ | 301,780 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income (loss) | 0.02 | % | 0.03 | % | 0.00 | %5 | (0.10 | )% | (0.08 | )% | 0.20 | % | ||||||||||||
Total expenses | 1.03 | %6 | 1.04 | %6 | 0.91 | %6 | 0.91 | %6 | 0.92 | %6 | 0.91 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.03 | % | 1.03 | % | 0.91 | % | 0.91 | % | 0.92 | % | 0.91 | % | ||||||||||||
Portfolio turnover rate | 46 | % | 46 | % | 67 | % | 59 | % | 47 | % | 70 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an initial 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. | Less than 0.005%. | |
6. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended June 30, 2010 | 1.03 | % | ||
Year Ended December 31, 2009 | 1.04 | % | ||
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.91 | % | ||
Year Ended December 31, 2006 | 0.92 | % |
See accompanying Notes to Financial Statements.
13 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
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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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
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
14 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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. Shares of IMMF are valued at their net asset value per share. 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.
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.
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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
During the fiscal year ended December 31, 2009, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes post-October foreign currency losses of $3,829 and unused capital loss carryforwards as follows:
Expiring | ||||
2011 | $ | 96,270,872 | ||
2013 | 34,677,838 | |||
2016 | 113,637,770 | |||
2017 | 180,633,172 | |||
Total | $ | 425,219,652 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $387,899,720 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $37,323,761 of 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, 2010 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 | $ | 1,095,437,800 | ||
Gross unrealized appreciation | $ | 193,660,461 | ||
Gross unrealized depreciation | (43,565,931 | ) | ||
Net unrealized appreciation | $ | 150,094,530 | ||
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.
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,892,146 | $ | 68,931,237 | 2,978,928 | $ | 88,352,509 | ||||||||||
Dividends and/or distributions reinvested | 48,306 | 1,796,034 | 134,506 | 2,975,281 | ||||||||||||
Redeemed | (4,095,563 | ) | (150,079,824 | ) | (6,361,581 | ) | (188,702,885 | ) | ||||||||
Net decrease | (2,155,111 | ) | $ | (79,352,553 | ) | (3,248,147 | ) | $ | (97,375,095 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 715,445 | $ | 25,764,560 | 2,097,785 | $ | 61,332,284 | ||||||||||
Dividends and/or distributions reinvested | — | — | 1,099 | 24,157 | ||||||||||||
Redeemed | (1,031,449 | ) | (37,404,875 | ) | (2,325,106 | ) | (67,281,175 | ) | ||||||||
Net decrease | (316,004 | ) | $ | (11,640,315 | ) | (226,222 | ) | $ | (5,924,734 | ) | ||||||
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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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 580,921,828 | $ | 662,865,939 |
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $740,417 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 0.25% of the daily 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 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, 2010, the Manager waived fees and/or reimbursed the Fund $5,467 and $2,227 for Non-Service and Service shares, respectively.
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, 2010, the Manager waived fees and/or reimbursed the Fund $7,220 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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, if any, 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.
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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. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
7. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff ”). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Julie Van Cleave, Vice President and Portfolio Manager1 | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
1. | Effective April 26, 2010. |
©2010 OppenheimerFunds, Inc. All rights reserved.
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June 30, 2010 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 Fund Performance Discussion Listing of Top Holdings Listing of Investments Financial Statements |
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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.
Portfolio Managers: Krishna Memani and Peter A. Strzalkowski
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
Non-Service Shares | 7.09 | % | ||
Service Shares | 7.21 |
Average Annual Total Returns
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 19.42 | % | –4.66 | % | 1.07% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/02) | ||||||||||
Service Shares | 19.33 | % | –4.88 | % | –0.44% |
Expense Ratios
For the Fiscal Year Ended 12/31/09
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.76% | 0.62% | ||||||
Service Shares | 1.02 | 0.87 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
Credit Allocation
NRSRO- | Manager- | |||||||||||
Rated | Rated | Total | ||||||||||
Agency | 46.1 | % | — | % | 46.1 | % | ||||||
AAA | 21.0 | 0.1 | 21.1 | |||||||||
AA | 2.0 | — | 2.0 | |||||||||
A | 7.6 | — | 7.6 | |||||||||
BBB | 16.5 | — | 16.5 | |||||||||
BB | 5.2 | — | 5.2 | |||||||||
B | 0.5 | — | 0.5 | |||||||||
CCC | 0.5 | — | 0.5 | |||||||||
CC | 0.2 | — | 0.2 | |||||||||
D | — | 0.1 | 0.1 | |||||||||
99.6 | 0.2 | 99.8 | ||||||||||
Not Rated | 0.2 | |||||||||||
Total | 100.0 | % |
Percentages are as of June 30, 2010, are subject to change and are dollar-weighted based on the market value of the Fund’s securities and derivatives. The Fund’s investment adviser, OppenheimerFunds, Inc. (“OFI”), determines the “Credit Allocation” of the Fund’s securities and derivatives using ratings by “Nationally Recognized Statistical Rating Organizations” (“NRSROs”), such as Standard & Poor’s Corporation (“S&P”). If two or more NRSROs have assigned a rating to a security, the highest rating is used. For securities rated only by an NRSRO other than S&P, OFI converts that rating to the equivalent S&P credit rating. OFI may use its own credit analysis to assign ratings to securities not rated by an NRSRO using rating denominations similar to those of S&P. Securities issued or guaranteed by the U.S. Government or an agency or instrumentality thereof are assigned a credit rating equal to the sovereign credit rating assigned to the U.S. by S&P. A similar process is used for securities issued or guaranteed by a foreign sovereign or supranational entity. Fund assets invested in Oppenheimer Institutional Money Market Fund are assigned the Fund’s S&P rating, which is currently AAA. More information about securities ratings is contained in the Fund’s Statement of Additional Information.
Corporate Bonds & Notes—Top Ten Industries
Commercial Banks | 3.8 | % | ||
Insurance | 3.7 | |||
Oil, Gas & Consumable Fuels | 3.6 | |||
Diversified Telecommunication Services | 2.6 | |||
Media | 2.4 | |||
Diversified Financial Services | 2.3 | |||
Metals & Mining | 1.5 | |||
Capital Markets | 1.4 | |||
Life Sciences Tools & Services | 0.9 | |||
Commercial Services & Supplies | 0.9 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
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FUND PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, Oppenheimer Core Bond Fund/VA’s Non-Service shares returned 7.09%, higher than its benchmarks, the Barclays Capital U.S. Aggregate Bond Index (the “Index”), the Barclays Capital Credit Index and the Citigroup Broad Investment Grade Bond Index, which returned 5.33%, 5.62% and 5.27%, respectively. The Fund’s relative performance benefited primarily from positions in mortgage-backed securities.
An economic recovery that began in 2009 continued during the first half of 2010 as manufacturing activity increased, housing markets appeared to stabilize and corporate earnings rebounded. The economic expansion was sparked, in part, by historically low short-term interest rates from the Federal Reserve Board and a massive stimulus program adopted by the Federal Government. Improving economic conditions helped lift the prices of higher yielding fixed-income securities in the first quarter of 2010, including mortgage-backed securities, asset-backed securities and high yield corporate bonds.
Investor sentiment changed sharply in the second quarter, however, when a number of global developments threatened the recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures. Meanwhile, surging property values in China sparked inflation fears, and investors worried that higher short-term interest rates and tighter lending restrictions might damage a primary engine of the global rebound. The United States also encountered greater economic uncertainty when retail sales, employment and housing indicators sent mixed signals regarding the future of the domestic recovery. As a result, higher yielding sectors of the bond market lost value, giving back many of the reporting period’s previous gains, while traditionally defensive U.S. Government securities generally rallied.
Because we had identified attractive values in depressed markets in the wake of the Great Recession, the Fund proved well positioned for the economic recovery. At the start of the year, we already had established overweight positions in investment-grade corporate bonds, high yield corporate bonds, mortgage-backed securities and asset-backed securities. Conversely, we held underweight exposure to U.S. Treasury securities due to their historically low yields.
For much of the reporting period, we maintained interest rate strategies that were roughly in line with the Index. However, we lengthened the Fund’s average duration during the second quarter of the year, which helped the Fund benefit from narrower yield differences along the market’s maturity spectrum. As a result, our interest rate strategies as expressed through the use of futures contracts added significantly to Fund performance.
Our sector allocation strategy enabled the Fund to participate more fully than the Index in the bond market rally during the first quarter of 2010. Although high yield corporate credits bore the brunt of the market’s decline in the second quarter, mortgage-backed securities held up relatively well amid robust demand from newly risk-averse domestic and international investors. In fact, mortgage-backed securities guaranteed by U.S. Government agencies fared well even after the termination of government programs designed to enhance market liquidity, supporting the Fund’s relative results throughout the reporting period. The Fund also benefited from its exposure to non-agency mortgage-backed securities when investors responded positively to data indicating that delinquencies were moderating. Asset-backed securities also modestly contributed to relative Fund performance.
In the corporate bond sector, we found select opportunities among high yield bonds rated BB. We generally favored bonds from issuers in the financial sector over those from industrial companies. However, high yield bonds declined more sharply than investment-grade securities in May and June, and the Fund’s high yield corporate holdings detracted mildly from relative performance for the reporting period overall.
Although an underweight position in U.S. Treasury securities prevented the Fund from participating more fully in their rally in May and June, our focus on agency mortgage-backed securities over U.S. Treasury securities bolstered the Fund’s returns compared to the Index.
Although the markets in the U.S. have clearly hit a rough patch, we do not currently expect a return to recessionary conditions. As investors recognize that the subpar economic recovery remains intact, we expect them to become more tolerant of credit risks, which may provide renewed support to corporate bond prices. In addition, we believe that corporate bonds are attractively valued compared to historical norms. On the other hand, we have trimmed the Fund’s exposure to mortgage-backed securities after they reached richer valuations. Still, in light of their more generous yields, we prefer mortgage-backed securities guaranteed by U.S. Government agencies over U.S. Treasury securities.
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FUND PERFORMANCE DISCUSSION
Finally, we have continued to monitor economic developments and their potential impact on the various sectors of the U.S. bond market, where we attempt to manage risks through diversification across sectors and securities. We believe that this approach is consistent with Oppenheimer Core Bond Fund/VA’s role as a core holding in a well diversified investment portfolio, and is an important part of The Right Way to Invest.
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. The Fund also invests in derivative instruments, investments whose values depend on the performance of an underlying security, asset, interest rate, index or currency and 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 and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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 CORE BOND FUND/VA
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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, 2010.
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, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,070.90 | $ | 3.39 | ||||||
Service shares | 1,000.00 | 1,072.10 | 4.69 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.52 | 3.31 | |||||||||
Service shares | 1,000.00 | 1,020.28 | 4.57 |
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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.66 | % | ||
Service shares | 0.91 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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 CORE BOND FUND/VA
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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—10.7% | ||||||||
Ally Master Owner Trust 2010-1, Asset-Backed Certificates, Series 2010-1, Cl. A, 2.10%, 1/15/131,2 | $ | 480,000 | $ | 486,856 | ||||
Ally Master Owner Trust 2010-2, Asset-Backed Certificates, Series 2010-2, Cl. A2, 1%, 9/17/12 | 485,000 | 485,000 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/131 | 390,000 | 395,763 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivable Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 210,000 | 209,855 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 | 195,000 | 195,098 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.827%, 5/25/342 | 589,832 | 519,916 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.447%, 9/25/362 | 21,525 | 8,006 | ||||||
Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A2, 0.91%, 10/15/12 | 530,000 | 530,413 | ||||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 | 730,000 | 743,494 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A, Mtg. Pass-Through Certificates, Series 2006-A, Cl. 2A4, 0.647%, 2/28/412 | 592,608 | 471,854 | ||||||
Capital One Multi-Asset Execution Trust, Credit Card Asset-Backed Certificates, Series 2009-A2, Cl. A2, 3.20%, 6/15/11 | 560,000 | 571,924 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/151 | 147,886 | 152,938 | ||||||
Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 | 230,000 | 232,077 | ||||||
Chrysler Financial Lease Trust, Asset-Backed Nts., Series 2010-A, Cl. A2, 1.78%, 6/15/111 | 515,000 | 516,844 | ||||||
CIT Equipment Collateral, Asset-Backed Certificates, Series 2009-VT1, Cl. A2, 2.20%, 10/15/101 | 243,404 | 243,791 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 310,000 | 323,459 | ||||||
CNH Equipment Trust, Asset-Backed Certificates: | ||||||||
Series 2009-B, Cl. A3, 2.97%, 3/15/13 | 510,883 | 515,751 | ||||||
Series 2010-A, Cl. A2, 0.81%, 3/25/15 | 585,000 | 584,897 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.087%, 2/25/332 | 35,747 | 30,770 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/362 | 583,698 | 468,555 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/362 | 319,744 | 256,496 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.467%, 6/25/472 | 40,000 | 33,715 | ||||||
Discover Card Master Trust, Credit Card Receivables, Series 2008-A3, Cl. A3, 5.10%, 10/15/13 | 465,000 | 480,511 | ||||||
DT Auto Owner Trust, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15 | 378,062 | 379,187 | ||||||
Ellington Loan Acquisition Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. A2A2, 1.147%, 5/27/371,2 | 640,416 | 557,923 | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.437%, 7/25/362 | 21,743 | 20,956 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.457%, 7/7/362 | 9,477 | 8,617 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A, 1.04%, 3/15/131 | 450,000 | 450,504 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts.: | ||||||||
Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 266,261 | 266,825 | ||||||
Series 2009-E, Cl. A2, 0.80%, 3/15/12 | 980,000 | 980,008 | ||||||
Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 670,000 | 681,467 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.90%, 9/15/122 | 470,000 | 474,518 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 2%, 12/15/142 | 490,000 | 495,465 | ||||||
HSBC Credit Card Master Note Trust (USA) I, Asset-Backed Securities, Series 2007-1, Cl. A, 0.40%, 4/15/132 | 515,000 | 514,898 |
6 | OPPENHEIMER CORE BOND FUND/VA
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Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.608%, 1/20/352 | $ | 494,875 | $ | 466,146 | ||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.458%, 3/20/362 | 16,228 | 16,080 | ||||||
Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 | 865,728 | 868,453 | ||||||
Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11 | 454,719 | 455,563 | ||||||
Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/313 | 208,704 | 208,704 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2005-A6, Cl. A6, 4.50%, 1/15/13 | 1,740,000 | 1,748,460 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.447%, 8/25/362 | 68,655 | 22,769 | ||||||
Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.41%, 12/15/132 | 462,864 | 460,772 | ||||||
Morgan Stanley Structured Trust I 2001-1, Asset-Backed Certificates, Series 2004-1, Cl. A1, 0.427%, 6/25/372 | 505,778 | 464,132 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/292,3 | 3,370,016 | 160,076 | ||||||
Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.997%, 1/26/151,2 | 790,000 | 790,303 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.50%, 1/15/131,2 | 485,000 | 486,533 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.447%, 9/25/362 | 15,288 | 14,792 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables: | ||||||||
Series 2009-A, Cl. A, 4.60%, 9/15/15 | 465,000 | 480,395 | ||||||
Series 2009-C, Cl. A, 2.36%, 5/15/14 | 490,000 | 490,212 | ||||||
Total Asset-Backed Securities (Cost $23,874,687) | 20,421,741 | |||||||
Mortgage-Backed Obligations—70.8% | ||||||||
Government Agency—59.3% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—50.7% | ||||||||
Federal Home Loan Bank, Mtg.-Backed Obligations, Series 5G-2012, Cl. 1, 4.97%, 2/24/12 | 389,004 | 417,268 | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 8/15/33-12/15/34 | 3,049,625 | 3,242,259 | ||||||
5.50%, 9/1/39 | 1,780,114 | 1,912,621 | ||||||
6%, 5/15/18-10/15/29 | 3,979,122 | 4,376,424 | ||||||
6.50%, 4/15/18-4/1/34 | 831,785 | 917,710 | ||||||
7%, 8/15/16-10/1/37 | 515,539 | 572,560 | ||||||
7%, 10/1/314 | 509,407 | 579,912 | ||||||
8%, 4/1/16 | 277,413 | 303,710 | ||||||
9%, 8/1/22-5/1/25 | 89,351 | 100,061 | ||||||
10.50%, 11/14/20 | 4,060 | 4,666 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 151, Cl. F, 9%, 5/15/21 | 20,304 | 22,565 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 66,805 | 74,324 | ||||||
Series 2006-11, Cl. PS, 23.294%, 3/25/362 | 501,083 | 713,059 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 8,419 | 9,344 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 | 23,284 | 24,149 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 795,154 | 839,674 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 | 69,630 | 74,962 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 9,454 | 10,445 | ||||||
Series 2066, Cl. Z, 6.50%, 6/15/28 | 1,324,070 | 1,452,892 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 776,055 | 851,574 | ||||||
Series 2220, Cl. PD, 8%, 3/15/30 | 3,377 | 3,799 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 236,159 | 260,230 | ||||||
Series 2435, Cl. EQ, 6%, 5/15/31 | 117 | 117 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,132,786 | 1,260,960 | ||||||
Series 2470, Cl. LF, 1.35%, 2/15/322 | 10,628 | 10,826 | ||||||
Series 2500, Cl. FD, 0.85%, 3/15/322 | 197,222 | 198,245 | ||||||
Series 2526, Cl. FE, 0.75%, 6/15/292 | 310,769 | 312,114 | ||||||
Series 2538, Cl. F, 0.95%, 12/15/322 | 1,553,682 | 1,561,327 | ||||||
Series 2551, Cl. FD, 0.75%, 1/15/332 | 213,672 | 214,265 | ||||||
Series 2638, Cl. KG, 4%, 11/1/27 | 1,867,882 | 1,904,547 | ||||||
Series 2648, Cl. JE, 3%, 2/1/30 | 878,582 | 887,701 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 | 541,813 | 554,074 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17 | 547,276 | 562,084 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 | 130,000 | 141,178 | ||||||
Series 2890, Cl. PE, 5%, 11/1/34 | 130,000 | 140,988 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 326,613 | 337,011 | ||||||
Series 2911, Cl. CU, 5%, 2/1/28 | 761,248 | 785,345 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28 | 322,843 | 331,848 |
7 | OPPENHEIMER CORE BOND FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Series 2936, Cl. PE, 5%, 2/1/35 | $ | 69,000 | $ | 74,781 | ||||
Series 2939, Cl. PE, 5%, 2/15/35 | 247,000 | 267,466 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 | 183,222 | 187,156 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 575,854 | 596,569 | ||||||
Series 3025, Cl. SJ, 23.468%, 8/15/352 | 101,728 | 144,612 | ||||||
Series 3033, Cl. UD, 5.50%, 10/1/30 | 820,000 | 856,157 | ||||||
Series 3035, Cl. DM, 5.50%, 11/15/25 | 55 | 55 | ||||||
Series 3061, Cl. MB, 5.50%, 5/1/30 | 360,000 | 376,535 | ||||||
Series 3094, Cl. HS, 23.101%, 6/15/342 | 288,977 | 363,241 | ||||||
Series 3157, Cl. MC, 5.50%, 2/1/26 | 776,735 | 779,893 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 | 393,858 | 407,041 | ||||||
Series 3279, Cl. PH, 6%, 2/1/27 | 607,628 | 609,867 | ||||||
Series 3291, Cl. NA, 5.50%, 10/1/27 | 203,367 | 202,706 | ||||||
Series 3306, Cl. PA, 5.50%, 10/1/27 | 608,965 | 621,570 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 341,852 | 349,925 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 205, Cl. IO, 8.153%, 9/1/295 | 25,756 | 6,546 | ||||||
Series 206, Cl. IO, 9.225%, 12/1/295 | 317,800 | 84,937 | ||||||
Series 2074, Cl. S, 54.761%, 7/17/285 | 5,600 | 1,153 | ||||||
Series 2079, Cl. S, 64.803%, 7/17/285 | 9,345 | 1,981 | ||||||
Series 2130, Cl. SC, 52.016%, 3/15/295 | 379,691 | 60,546 | ||||||
Series 224, Cl. IO, 2.644%, 3/1/335 | 606,645 | 123,143 | ||||||
Series 243, Cl. 6, 2.265%, 12/15/325 | 396,424 | 77,534 | ||||||
Series 2526, Cl. SE, 40.734%, 6/15/295 | 14,035 | 2,441 | ||||||
Series 2527, Cl. SG, 29.914%, 2/15/325 | 1,000,953 | 33,169 | ||||||
Series 2531, Cl. ST, 34.86%, 2/15/305 | 337,739 | 12,223 | ||||||
Series 2796, Cl. SD, 66.268%, 7/15/265 | 608,568 | 103,266 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/335 | 492,461 | 46,254 | ||||||
Series 2819, Cl. S, 50.281%, 6/15/345 | 118,175 | 21,773 | ||||||
Series 2920, Cl. S, 68.589%, 1/15/355 | 2,233,077 | 309,402 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/255 | 2,382,827 | 290,089 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/355 | 131,985 | 20,192 | ||||||
Series 3045, Cl. DI, 37.135%, 10/15/355 | 1,446,833 | 187,957 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/265 | 360,211 | 37,752 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.448%, 6/1/266 | 140,684 | 124,971 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 7/1/257 | 2,750,000 | 2,901,679 | ||||||
5%, 2/25/22-7/25/22 | 26,616 | 28,444 | ||||||
5%, 7/1/25-8/1/407 | 6,209,000 | 6,569,536 | ||||||
5.305%, 10/1/36 | 287,346 | 301,988 | ||||||
5.50%, 7/1/25-8/1/407 | 15,725,000 | 16,855,312 | ||||||
6%, 7/1/25-6/1/357 | 7,831,202 | 8,524,647 | ||||||
6.50%, 3/25/11-1/1/34 | 1,470,064 | 1,603,949 | ||||||
6.50%, 8/25/174 | 252,320 | 275,403 | ||||||
6.50%, 8/1/39-7/1/407 | 2,816,000 | 3,079,353 | ||||||
7%, 11/1/17-7/25/35 | 820,298 | 889,692 | ||||||
7.50%, 1/1/33 | 14,653 | 16,694 | ||||||
8.50%, 7/1/32 | 41,760 | 47,253 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1989-17, Cl. E, 10.40%, 4/25/19 | 20,421 | 23,601 | ||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 | 782,998 | 874,055 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | 667,851 | 737,568 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 348,489 | 389,700 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 517,370 | 571,636 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 34,466 | 37,392 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 39,436 | 43,466 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 | 1,021,005 | 1,141,183 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 17,319 | 18,846 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 3,964,000 | 4,402,772 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,975,000 | 2,133,644 | ||||||
Trust 2004-81, Cl. KC, 4.50%, 4/1/17 | 383,226 | 392,666 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 932,484 | 961,148 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 1,160,000 | 1,273,746 | ||||||
Trust 2005-117, Cl. LA, 5.50%, 12/25/27 | 38,062 | 38,292 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 720,140 | 745,867 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 279,440 | 289,668 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 250,733 | 260,567 | ||||||
Trust 2005-57, Cl. PA, 5.50%, 5/1/27 | 160,553 | 160,646 | ||||||
Trust 2006-110, Cl. PW, 5.50%, 5/25/28 | 76,862 | 78,954 | ||||||
Trust 2006-46, Cl. SW, 22.926%, 6/25/362 | 380,752 | 520,509 | ||||||
Trust 2006-50, Cl. KS, 22.927%, 6/25/362 | 696,591 | 915,336 | ||||||
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 | 657,812 | 670,700 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 47.183%, 11/18/315 | 40,917 | 6,781 | ||||||
Trust 2001-63, Cl. SD, 38.391%, 12/18/315 | 12,592 | 2,107 | ||||||
Trust 2001-65, Cl. S, 44.505%, 11/25/315 | 1,026,593 | 169,853 | ||||||
Trust 2001-68, Cl. SC, 30.409%, 11/25/315 | 8,688 | 1,460 | ||||||
Trust 2001-81, Cl. S, 36.053%, 1/25/325 | 273,618 | 45,180 | ||||||
Trust 2002-28, Cl. SA, 37.641%, 4/25/325 | 6,971 | 1,047 | ||||||
Trust 2002-38, Cl. SO, 53.913%, 4/25/325 | 16,250 | 2,247 | ||||||
Trust 2002-39, Cl. SD, 40.872%, 3/18/325 | 10,745 | 1,820 | ||||||
Trust 2002-47, Cl. NS, 33.172%, 4/25/325 | 693,692 | 114,418 | ||||||
Trust 2002-48, Cl. S, 35.324%, 7/25/325 | 11,732 | 1,923 | ||||||
Trust 2002-51, Cl. S, 33.46%, 8/25/325 | 636,811 | 105,256 | ||||||
Trust 2002-52, Cl. SD, 37.75%, 9/25/325 | 756,252 | 128,861 | ||||||
Trust 2002-52, Cl. SL, 35.595%, 9/25/325 | 7,205 | 1,172 | ||||||
Trust 2002-53, Cl. SK, 38.599%, 4/25/325 | 37,438 | 6,422 | ||||||
Trust 2002-56, Cl. SN, 37.867%, 7/25/325 | 15,997 | 2,643 | ||||||
Trust 2002-60, Cl. SM, 44.055%, 8/25/325 | 138,399 | 17,649 | ||||||
Trust 2002-7, Cl. SK, 45.405%, 1/25/325 | 65,556 | 8,973 | ||||||
Trust 2002-77, Cl. BS, 39.244%, 12/18/325 | 86,006 | 13,562 | ||||||
Trust 2002-77, Cl. IS, 47.821%, 12/18/325 | 27,685 | 4,218 | ||||||
Trust 2002-77, Cl. JS, 36.053%, 12/18/325 | 141,473 | 22,882 | ||||||
Trust 2002-77, Cl. SA, 36.522%, 12/18/325 | 132,347 | 20,606 | ||||||
Trust 2002-77, Cl. SH, 45.136%, 12/18/325 | 355,515 | 60,345 | ||||||
Trust 2002-84, Cl. SA, 45.398%, 12/25/325 | 914,739 | 144,896 | ||||||
Trust 2002-9, Cl. MS, 34.363%, 3/25/325 | 13,427 | 2,291 | ||||||
Trust 2002-90, Cl. SN, 45.875%, 8/25/325 | 71,199 | 8,960 | ||||||
Trust 2002-90, Cl. SY, 48.756%, 9/25/325 | 45,781 | 5,862 | ||||||
Trust 2003-26, Cl. DI, 4.897%, 4/25/335 | 24,414 | 4,302 | ||||||
Trust 2003-33, Cl. SP, 51.634%, 5/25/335 | 986,710 | 160,544 |
8 | OPPENHEIMER CORE BOND FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 2003-4, Cl. S, 43.308%, 2/25/335 | $ | 652,220 | $ | 114,016 | ||||
Trust 2003-89, Cl. XS, 48.082%, 11/25/325 | 655,517 | 66,546 | ||||||
Trust 2004-54, Cl. DS, 49.151%, 11/25/305 | 549,292 | 84,011 | ||||||
Trust 2005-14, Cl. SE, 37.401%, 3/25/355 | 438,287 | 50,923 | ||||||
Trust 2005-40, Cl. SA, 61.701%, 5/25/355 | 1,219,646 | 173,460 | ||||||
Trust 2005-40, Cl. SB, 78.076%, 5/25/355 | 58,587 | 9,089 | ||||||
Trust 2005-6, Cl. SE, 79.252%, 2/25/355 | 1,723,567 | 225,741 | ||||||
Trust 2005-71, Cl. SA, 68.263%, 8/25/255 | 1,572,122 | 206,449 | ||||||
Trust 2005-87, Cl. SG, 93.865%, 10/25/355 | 3,422,501 | 415,615 | ||||||
Trust 2006-60, Cl. DI, 35.92%, 4/25/355 | 316,624 | 34,663 | ||||||
Trust 2009-106, Cl. SA, 19.282%, 1/25/405 | 1,134,032 | 124,917 | ||||||
Trust 221, Cl. 2, 24.764%, 5/1/235 | 9,461 | 1,903 | ||||||
Trust 222, Cl. 2, 18.887%, 6/1/235 | 1,119,487 | 221,234 | ||||||
Trust 252, Cl. 2, 25.232%, 11/1/235 | 941,536 | 198,736 | ||||||
Trust 294, Cl. 2, 9.644%, 2/1/285 | 103,872 | 25,763 | ||||||
Trust 301, Cl. 2, 1.268%, 4/1/295 | 12,627 | 2,815 | ||||||
Trust 303, Cl. IO, 0.85%, 11/1/295 | 157,885 | 42,819 | ||||||
Trust 320, Cl. 2, 7.56%, 4/1/325 | 731,992 | 162,968 | ||||||
Trust 321, Cl. 2, 0.863%, 4/1/325 | 2,394,303 | 491,165 | ||||||
Trust 324, Cl. 2, 0.501%, 7/1/325 | 25,575 | 5,948 | ||||||
Trust 331, Cl. 5, 4.829%, 2/1/335 | 35,078 | 5,585 | ||||||
Trust 331, Cl. 9, 0%, 2/1/335,8 | 599,553 | 96,890 | ||||||
Trust 334, Cl. 12, 7.899%, 2/1/335 | 61,891 | 9,642 | ||||||
Trust 334, Cl. 17, 8.107%, 2/1/335 | 417,865 | 72,010 | ||||||
Trust 339, Cl. 12, 0.595%, 7/1/335 | 823,738 | 119,320 | ||||||
Trust 339, Cl. 7, 1.488%, 7/1/335 | 2,100,616 | 330,996 | ||||||
Trust 343, Cl. 13, 0%, 9/1/335,8 | 735,162 | 108,552 | ||||||
Trust 343, Cl. 18, 0%, 5/1/345,8 | 217,402 | 34,244 | ||||||
Trust 345, Cl. 9, 2.541%, 1/1/345 | 1,009,527 | 152,236 | ||||||
Trust 351, Cl. 10, 0%, 4/1/345,8 | 300,190 | 42,415 | ||||||
Trust 351, Cl. 8, 0%, 4/1/345,8 | 468,886 | 64,061 | ||||||
Trust 356, Cl. 10, 0%, 6/1/355,8 | 401,062 | 53,667 | ||||||
Trust 356, Cl. 12, 0.481%, 2/1/355 | 201,677 | 25,692 | ||||||
Trust 362, Cl. 12, 1.39%, 8/1/355 | 1,250,613 | 199,654 | ||||||
Trust 362, Cl. 13, 1.477%, 8/1/355 | 689,188 | 109,845 | ||||||
Trust 364, Cl. 15, 0%, 9/1/355,8 | 44,124 | 6,375 | ||||||
Trust 364, Cl. 16, 2.205%, 9/1/355 | 851,801 | 132,868 | ||||||
Trust 365, Cl. 16, 2.085%, 3/1/365 | 1,280,466 | 190,878 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.017%, 9/25/236 | 342,632 | 319,405 | ||||||
96,925,049 | ||||||||
GNMA/Guaranteed—8.6% | ||||||||
Government National Mortgage Assn.: | ||||||||
4.50%, 7/1/407 | 12,380,000 | 12,898,413 | ||||||
5%, 7/1/407 | 2,760,000 | 2,940,264 | ||||||
7%, 12/29/23-3/15/26 | 32,403 | 36,687 | ||||||
8.50%, 8/1/17-12/15/17 | 131,964 | 144,956 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2000-7, Cl. Z, 8%, 1/16/30 | 39,756 | 43,895 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 1999-32, Cl. ZB, 8%, 9/16/29 | 90,384 | 103,138 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 51.457%, 7/16/285 | 19,201 | 4,108 | ||||||
Series 2001-21, Cl. SB, 80.441%, 1/16/275 | 711,180 | 113,064 | ||||||
Series 2002-15, Cl. SM, 68.255%, 2/16/325 | 732,066 | 123,682 | ||||||
Series 2004-11, Cl. SM, 59.253%, 1/17/305 | 538,542 | 104,207 | ||||||
16,512,414 | ||||||||
Non-Agency—11.5% | ||||||||
Commercial—8.8% | ||||||||
Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.251%, 4/14/295 | 8,193,281 | 298,832 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-1, Cl. AM, 5.421%, 9/1/45 | 3,070,000 | 2,711,855 | ||||||
Series 2007-1, Cl. A4, 5.451%, 1/1/17 | 710,000 | 720,248 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/241,5,8 | 6,022,648 | 271,629 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 80,000 | 66,208 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.297%, 12/1/492 | 895,000 | 750,569 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 380,000 | 391,376 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 585,646 | 545,938 |
9 | OPPENHEIMER CORE BOND FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | $ | 235,460 | $ | 171,854 | ||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.081%, 11/1/372 | 493,007 | 390,086 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | 8,913 | 9,043 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/161 | 605,000 | 625,870 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.887%, 5/25/352 | 619,891 | 455,737 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 | 1,110,000 | 1,044,026 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 3,950,000 | 3,950,033 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 | 797,158 | 644,727 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 | 465,000 | 478,360 | ||||||
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/305,8 | 3,728,275 | 98,721 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/241 | 178,029 | 140,341 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 1,113,542 | 1,072,291 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A5, Mtg. Pass-Through Certificates, Series 2005-A5, Cl. A9, 2.751%, 6/1/352 | 626,012 | 553,152 | ||||||
Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.60%, 6/17/112,3 | 340,000 | 337,025 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0%, 5/18/325,8 | 52,410,438 | 250,370 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 7/1/17 | 520,000 | 523,329 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.866%, 2/1/352 | 366,040 | 332,347 | ||||||
16,833,967 | ||||||||
Manufactured Housing—1.2% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 4.807%, 3/25/362 | 2,737,632 | 2,304,788 | ||||||
Multifamily—0.7% | ||||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 | 640,000 | 667,508 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 2.80%, 2/1/352 | 113,756 | 112,117 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.043%, 3/25/362 | 636,177 | 571,138 | ||||||
1,350,763 | ||||||||
Other—0.0% | ||||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 43.737%, 10/23/175 | 1,137 | 143 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 4.457%, 10/23/176 | 1,576 | 1,552 | ||||||
1,695 | ||||||||
Residential—0.8% | ||||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 40,000 | 30,343 |
10 | OPPENHEIMER CORE BOND FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 | $ | 24,440 | $ | 24,252 | ||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 6.066%, 10/25/362 | 62,138 | 56,896 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 346,719 | 348,938 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 70,414 | 42,475 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 3,426 | 3,236 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 29,339 | 18,787 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 3 A1, 2.469%, 5/1/342 | 268,509 | 248,767 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 5.338%, 2/1/372 | 70,078 | 51,829 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.737%, 7/1/372 | 637,581 | 429,423 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.998%, 9/1/342 | 299,708 | 284,881 | ||||||
1,539,827 | ||||||||
Total Mortgage-Backed Obligations (Cost $132,471,530) | 135,468,503 | |||||||
U.S. Government Obligations—1.7% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
2.875%, 2/9/15 | 855,000 | 892,016 | ||||||
5%, 2/16/17 | 295,000 | 337,371 | ||||||
5.25%, 4/18/16 | 515,000 | 592,361 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
2.375%, 7/28/15 | 750,000 | 759,048 | ||||||
4.875%, 12/15/16 | 240,000 | 271,802 | ||||||
5%, 3/15/16 | 320,000 | 364,524 | ||||||
Total U.S. Government Obligations (Cost $3,129,227) | 3,217,122 | |||||||
Corporate Bonds and Notes—37.1% | ||||||||
Consumer Discretionary—5.9% | ||||||||
Auto Components—0.3% | ||||||||
Lear Corp., 8.125% Sr. Unsec. Nts., 3/15/20 | 470,000 | 473,525 | ||||||
Automobiles—0.7% | ||||||||
DaimlerChrysler North America Holding Corp./Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 | 455,000 | 509,679 | ||||||
Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 | 880,000 | 890,916 | ||||||
1,400,595 | ||||||||
Diversified Consumer Services—0.3% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 480,000 | 478,800 | ||||||
Hotels, Restaurants & Leisure—0.5% | ||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/151 | 468,000 | 489,033 | ||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 | 530,000 | 558,333 | ||||||
1,047,366 | ||||||||
Household Durables—0.4% | ||||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 | 690,000 | 768,955 | ||||||
Leisure Equipment & Products—0.5% | ||||||||
Mattel, Inc.: | ||||||||
5.625% Sr. Unsec. Nts., 3/15/13 | 395,000 | 423,342 | ||||||
6.125% Sr. Unsec. Nts., 6/15/11 | 455,000 | 473,156 | ||||||
896,498 | ||||||||
Media—2.4% | ||||||||
CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 | 425,000 | 535,910 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 290,000 | 401,274 | ||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 | 870,000 | 946,159 | ||||||
DISH DBS Corp., 7.875% Sr. Unsec. Nts., 9/1/19 | 405,000 | 423,225 | ||||||
Grupo Televisa SA, 6.625% Sr. Unsec. Bonds, 1/15/40 | 393,000 | 412,252 |
11 | OPPENHEIMER CORE BOND FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Media Continued | ||||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 | $ | 430,000 | $ | 470,850 | ||||
Time Warner Cable, Inc., 6.75% Sr. Unsec. Unsub. Nts., 6/15/39 | 67,000 | 74,424 | ||||||
Time Warner Cos., Inc., 9.125% Debs., 1/15/13 | 320,000 | 372,742 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 176,000 | 219,489 | ||||||
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 | 280,000 | 325,407 | ||||||
Virgin Media Secured Finance plc, 6.50% Sr. Sec. Nts., 1/15/181 | 475,000 | 469,063 | ||||||
4,650,795 | ||||||||
Multiline Retail—0.2% | ||||||||
J.C. Penney Co., Inc. (Holding Co.), 7.40% Nts., 4/1/37 | 455,000 | 457,275 | ||||||
Specialty Retail—0.6% | ||||||||
Limited Brands, Inc., 7% Sr. Unsec. Unsub. Nts., 5/1/20 | 464,000 | 469,800 | ||||||
Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 | 680,000 | 710,780 | ||||||
1,180,580 | ||||||||
Consumer Staples—2.0% | ||||||||
Beverages—0.7% | ||||||||
Anheuser-Busch InBev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/191 | 710,000 | 863,724 | ||||||
Constellation Brands, Inc., 8.375% Sr. Nts., 12/15/14 | 445,000 | 476,150 | ||||||
1,339,874 | ||||||||
Food & Staples Retailing—0.2% | ||||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 250,000 | 343,004 | ||||||
Food Products—0.5% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 210,000 | 222,045 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 200,000 | 239,378 | ||||||
Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 | 420,000 | 444,904 | ||||||
906,327 | ||||||||
Tobacco—0.6% | ||||||||
Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 | 705,000 | 894,687 | ||||||
Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 | 270,000 | 279,225 | ||||||
1,173,912 | ||||||||
Energy—4.1% | ||||||||
Energy Equipment & Services—0.5% | ||||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 | 550,000 | 590,980 | ||||||
Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 | 320,000 | 291,180 | ||||||
Weatherford International, Inc., 6.625% Sr. Unsec. Unsub. Nts., Series B, 11/15/11 | 81,000 | 85,659 | ||||||
967,819 | ||||||||
Oil, Gas & Consumable Fuels—3.6% | ||||||||
DCP Midstream LLC, 9.75% Sr. Unsec. Unsub. Nts., 3/15/191 | 185,000 | 238,497 | ||||||
Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 | 425,000 | 428,128 | ||||||
El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 | 490,000 | 515,725 | ||||||
Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 | 192,000 | 197,131 | ||||||
Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 | 515,000 | 530,583 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 840,000 | 899,406 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 155,000 | 162,504 | ||||||
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 | 450,000 | 455,625 | ||||||
Pipeline Funding Co. LLC, 7.50% Sr. Sec. Nts., 1/15/301 | 325,000 | 353,322 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/141 | 270,000 | 289,398 | ||||||
Rockies Express Pipeline LLC: | ||||||||
3.90% Sr. Unsec. Unsub. Nts., 4/15/151 | 393,000 | 380,392 | ||||||
5.625% Sr. Unsec. Unsub. Nts., 4/15/201 | 315,000 | 300,376 | ||||||
Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18 | 463,000 | 494,253 | ||||||
Williams Cos., Inc. (The) Credit Linked Certificates Trust V, 6.375% Sr. Unsec. Nts., 10/1/101 | 345,000 | 348,014 | ||||||
Williams Partners LP/Williams Partners Finance Corp., 7.25% Sr. Unsec. Nts., 2/1/17 | 435,000 | 494,816 | ||||||
Woodside Finance Ltd., 4.50% Nts., 11/10/141 | 695,000 | 709,812 | ||||||
6,797,982 |
12 | OPPENHEIMER CORE BOND FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Financials—12.6% | ||||||||
Capital Markets—1.4% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/191 | $ | 728,000 | $ | 753,063 | ||||
Discover Bank, 7% Sub. Nts., 4/15/20 | 475,000 | 480,802 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 505,000 | 454,957 | ||||||
Goldman Sachs Group, Inc. (The), 5.375% Sr. Unsec. Unsub. Nts., 3/15/20 | 475,000 | 470,583 | ||||||
Morgan Stanley: | ||||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 215,000 | 213,671 | ||||||
7.30% Sr. Unsec. Nts., 5/13/19 | 193,000 | 208,033 | ||||||
2,581,109 | ||||||||
Commercial Banks—3.8% | ||||||||
Barclays Bank plc, 6.278% Perpetual Bonds9 | 1,060,000 | 797,650 | ||||||
City National Capital Trust I, 9.625% Jr. Sub. Bonds, 2/1/40 | 490,000 | 517,744 | ||||||
Comerica Capital Trust II, 6.576% Bonds, 2/20/372 | 551,000 | 468,350 | ||||||
Fifth Third Bancorp, 8.25% Sub. Nts., 3/1/38 | 229,000 | 257,788 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 | 710,000 | 591,075 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/352 | 890,000 | 756,500 | ||||||
Key Bank NA, 5.80% Unsec. Sub. Nts., 7/1/14 | 295,000 | 315,336 | ||||||
Lloyds TSB Bank plc, 5.80% Nts., 1/13/201 | 849,000 | 803,545 | ||||||
Regions Financial Corp., 5.75% Sr. Unsec. Unsub. Nts., 6/15/15 | 850,000 | 845,881 | ||||||
Sanwa Bank Ltd. (The), 7.40% Sub. Nts., 6/15/11 | 465,000 | 486,868 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K9 | 1,415,000 | 1,464,525 | ||||||
7,305,262 | ||||||||
Consumer Finance—0.6% | ||||||||
Capital One Capital IV: | ||||||||
6.745% Sub. Bonds, 2/17/372 | 560,000 | 473,200 | ||||||
8.875% Jr. Sub. Nts., 5/15/40 | 320,000 | 336,177 | ||||||
SLM Corp., 8% Sr. Nts., 3/25/20 | 471,000 | 414,634 | ||||||
1,224,011 | ||||||||
Diversified Financial Services—2.3% | ||||||||
Citigroup, Inc., 6.01% Sr. Unsec. Nts., 1/15/15 | 1,500,000 | 1,575,501 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 19 | 1,640,000 | 1,695,922 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 1,025,000 | 1,100,841 | ||||||
4,372,264 | ||||||||
Insurance—3.7% | ||||||||
American International Group, Inc., 5.05% Sr. Unsec. Nts., 10/1/15 | 910,000 | 840,613 | ||||||
AXA SA, 6.463% Jr. Unsec. Sub. Perpetual Bonds1,9 | 170,000 | 134,088 | ||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 | 660,000 | 701,656 | ||||||
Genworth Financial, Inc., 8.625% Sr. Unsec. Unsub. Nts., 12/15/16 | 775,000 | 827,902 | ||||||
Hartford Financial Services Group, Inc. (The): | ||||||||
5.25% Sr. Unsec. Nts., 10/15/11 | 465,000 | 481,503 | ||||||
6.625% Sr. Unsec. Unsub. Nts., 3/30/40 | 350,000 | 326,411 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/131 | 620,000 | 614,805 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 | 1,000,000 | 760,000 | ||||||
Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 | 455,000 | 458,297 | ||||||
Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/101 | 455,000 | 457,412 | ||||||
Prudential Financial, Inc., 6.625% Sr. Unsec. Bonds, 6/21/40 | 322,000 | 329,203 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds1,9 | 911,000 | 751,575 | ||||||
ZFS Finance USA Trust IV, 5.875% Sub. Bonds, 5/9/321 | 532,000 | 472,161 | ||||||
7,155,626 | ||||||||
Real Estate Investment Trusts—0.8% | ||||||||
AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 | 202,000 | 212,195 | ||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 | 237,000 | 244,992 | ||||||
Liberty Property LP, 7.25% Sr. Unsec. Unsub. Nts., 3/15/11 | 465,000 | 479,791 | ||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 | 180,000 | 187,718 | ||||||
ProLogis, 7.625% Sr. Unsec. Nts., 8/15/14 | 410,000 | 435,661 | ||||||
1,560,357 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Health Care—1.7% | ||||||||
Biotechnology—0.2% | ||||||||
Genzyme Corp., 5% Sr. Nts., 6/15/201 | $ | 480,000 | $ | 495,751 | ||||
Health Care Equipment & Supplies—0.1% | ||||||||
Covidien International Finance SA, 2.80% Sr. Unsec. Nts., 6/15/15 | 202,000 | 204,329 | ||||||
Health Care Providers & Services—0.5% | ||||||||
HCA, Inc., 8.50% Sr. Sec. Nts., 4/15/19 | 445,000 | 473,925 | ||||||
WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 | 435,000 | 443,548 | ||||||
917,473 | ||||||||
Life Sciences Tools & Services—0.9% | ||||||||
Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 | 827,000 | 851,827 | ||||||
Life Technologies Corp., 6% Sr. Nts., 3/1/20 | 803,000 | 871,828 | ||||||
1,723,655 | ||||||||
Industrials—2.9% | ||||||||
Aerospace & Defense—0.6% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 483,000 | 475,755 | ||||||
Meccanica Holdings USA, Inc., 7.375% Sr. Unsec. Unsub. Nts., 7/15/391 | 690,000 | 742,436 | ||||||
1,218,191 | ||||||||
Commercial Services & Supplies—0.9% | ||||||||
Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 | 375,000 | 449,770 | ||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 465,000 | 484,763 | ||||||
R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 | 455,000 | 468,498 | ||||||
Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 | 295,000 | 311,254 | ||||||
1,714,285 | ||||||||
Electrical Equipment—0.3% | ||||||||
Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 | 475,000 | 527,914 | ||||||
Industrial Conglomerates—0.8% | ||||||||
General Electric Capital Corp.: | ||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 | 415,000 | 431,979 | ||||||
5.50% Sr. Unsec. Nts., 1/8/20 | 515,000 | 545,644 | ||||||
Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 | 400,000 | 481,744 | ||||||
1,459,367 | ||||||||
Machinery—0.3% | ||||||||
Pall Corp., 5% Nts., 6/15/20 | 160,000 | 166,418 | ||||||
SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 | 510,000 | 526,575 | ||||||
692,993 | ||||||||
Information Technology—0.7% | ||||||||
Communications Equipment—0.3% | ||||||||
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 | 440,000 | 472,460 | ||||||
Electronic Equipment & Instruments—0.4% | ||||||||
Agilent Technologies, Inc., 5.50% Sr. Unsec. Unsub. Nts., 9/14/15 | 759,000 | 818,257 | ||||||
Materials—2.5% | ||||||||
Chemicals—0.5% | ||||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 | 440,000 | 484,000 | ||||||
CF Industries, Inc., 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 | 464,000 | 473,280 | ||||||
957,280 | ||||||||
Containers & Packaging—0.5% | ||||||||
Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 | 480,000 | 504,600 | ||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/171 | 445,000 | 466,020 | ||||||
970,620 | ||||||||
Metals & Mining—1.5% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 700,000 | 771,000 | ||||||
Teck Resources Ltd., 10.75% Sr. Sec. Nts., 5/15/19 | 670,000 | 822,187 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 | 78,000 | 83,767 | ||||||
Vale Overseas Ltd., 6.875% Sr. Unsec. Nts., 11/10/39 | 495,000 | 520,601 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 245,000 | 258,625 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 347,000 | 376,082 | ||||||
2,832,262 | ||||||||
Telecommunication Services—2.9% | ||||||||
Diversified Telecommunication Services—2.6% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 447,000 | 487,784 | ||||||
British Telecommunications plc, 9.625% Bonds, 12/15/30 | 295,000 | 361,466 | ||||||
Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 | 440,000 | 478,956 | ||||||
New Communications Holdings, Inc., 8.25% Sr. Nts., 4/15/171 | 485,000 | 489,244 |
14 | OPPENHEIMER CORE BOND FUND/VA
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Principal | ||||||||
Amount | Value | |||||||
Diversified Telecommunication Services Continued | ||||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 | $ | 452,000 | $ | 485,900 | ||||
Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 | 880,000 | 886,565 | ||||||
Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 | 420,000 | 425,274 | ||||||
Telus Corp., 8% Nts., 6/1/11 | 483,000 | 512,172 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 292,000 | 323,599 | ||||||
Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 530,000 | 536,625 | ||||||
4,987,585 | ||||||||
Wireless Telecommunication Services—0.3% | ||||||||
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 | 360,000 | 403,200 | ||||||
Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 | 179,000 | 191,089 | ||||||
594,289 | ||||||||
Utilities—1.8% | ||||||||
Electric Utilities—0.7% | ||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/121 | 350,000 | 382,540 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 | 286,000 | 284,428 | ||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/191 | 492,000 | 624,440 | ||||||
1,291,408 | ||||||||
Energy Traders—0.3% | ||||||||
Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 | 589,000 | 668,255 | ||||||
Multi-Utilities—0.8% | ||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 | 485,000 | 464,275 | ||||||
NiSource Finance Corp., 10.75% Sr. Unsec. Nts., 3/15/16 | 595,000 | 763,706 | ||||||
Sempra Energy, 9.80% Sr. Unsec. Nts., 2/15/19 | 190,000 | 252,900 | ||||||
1,480,881 | ||||||||
Total Corporate Bonds and Notes (Cost $69,052,054) | 71,109,191 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/1010 (Cost $14,872) | 5,408 | — | ||||||
Shares | ||||||||
Investment Companies—8.4% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%11,12 | 488,561 | 488,561 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%11,13 | 15,546,778 | 15,546,778 | ||||||
Total Investment Companies (Cost $16,035,339) | 16,035,339 | |||||||
Total Investments, at Value (Cost $244,577,709) | 128.7 | % | 246,251,896 | |||||
Liabilities in Excess of Other Assets | (28.7 | ) | (54,876,191 | ) | ||||
Net Assets | 100.0 | % | $ | 191,375,705 | ||||
Footnotes to Statement of Investments
1. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $16,748,006 or 8.75% of the Fund’s net assets as of June 30, 2010. | |
2. | Represents the current interest rate for a variable or increasing rate security. | |
3. | Restricted security. The aggregate value of restricted securities as of June 30, 2010 was $705,805, which represents 0.37% of the Fund’s net assets. See Note 6 of accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 | 2/5/01 | $ | 208,624 | $ | 208,704 | $ | 80 | |||||||||
Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.60%, 6/17/11 | 1/11/10 | 336,059 | 337,025 | 966 | ||||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 | 2/23/99-7/27/99 | 3,294,258 | 160,076 | (3,134,182 | ) | |||||||||||
$ | 3,838,941 | $ | 705,805 | $ | (3,133,136 | ) | ||||||||||
15 | OPPENHEIMER CORE BOND FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
4. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $643,668. 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 $8,165,105 or 4.27% of the Fund’s net assets as of June 30, 2010. | |
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 $445,928 or 0.23% of the Fund’s net assets as of June 30, 2010. | |
7. | When-issued security or delayed delivery to be delivered and settled after June 30, 2010. See Note 1 of accompanying Notes. | |
8. | The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. | |
9. | 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. | |
10. | Non-income producing security. | |
11. | Rate shown is the 7-day yield as of June 30, 2010. | |
12. | Interest rate is less than 0.0005%. | |
13. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
OFI Liquid Assets Fund, LLC | — | 1,252,854 | 1,252,854 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 23,853,396 | 37,500,482 | 45,807,100 | 15,546,778 |
Value | Income | |||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 24 | a | |||
Oppenheimer Institutional Money Market Fund, Cl. E | 15,546,778 | 14,156 | ||||||
$ | 15,546,778 | $ | 14,180 | |||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. |
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—significant 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, 2010 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 | $ | — | $ | 20,213,037 | $ | 208,704 | $ | 20,421,741 | ||||||||
Mortgage-Backed Obligations | — | 135,468,503 | — | 135,468,503 | ||||||||||||
U.S. Government Obligations | — | 3,217,122 | — | 3,217,122 | ||||||||||||
Corporate Bonds and Notes | — | 71,109,191 | — | 71,109,191 | ||||||||||||
Rights, Warrants and Certificates | — | — | — | — | ||||||||||||
Investment Companies | 16,035,339 | — | — | 16,035,339 | ||||||||||||
Total Investments, at Value | 16,035,339 | 230,007,853 | 208,704 | 246,251,896 |
16 | OPPENHEIMER CORE BOND FUND/VA
Table of Contents
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table Continued | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | $ | — | $ | 28,845 | $ | — | $ | 28,845 | ||||||||
Futures margins | 76,360 | — | — | 76,360 | ||||||||||||
Total Assets | $ | 16,111,699 | $ | 230,036,698 | $ | 208,704 | $ | 246,357,101 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Depreciated swaps, at value | $ | — | $ | (37,286 | ) | $ | — | $ | (37,286 | ) | ||||||
Futures margins | (1,449 | ) | — | — | (1,449 | ) | ||||||||||
Total Liabilities | $ | (1,449 | ) | $ | (37,286 | ) | $ | — | $ | (38,735 | ) | |||||
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 methodologies, if any, during the reporting period.
Futures Contracts as of June 30, 2010 are as follows:
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 171 | 9/21/10 | $ | 21,802,500 | $ | 605,547 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 104 | 9/30/10 | 22,758,125 | (72,654 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 24 | 9/30/10 | 2,840,438 | (38,138 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 79 | 9/21/10 | 9,681,203 | 94,157 | |||||||||||||||
$ | 588,912 | |||||||||||||||||||
Credit Default Swap Contracts as of June 30, 2010 are as follows:
Buy/Sell | Notional | Unrealized | ||||||||||||||||||||
Reference Entity/ | Credit | Amount | Pay/Receive | Termination | Appreciation | |||||||||||||||||
Swap Counterparty | Protection | (000’s) | Fixed Rate | Date | Value | (Depreciation) | ||||||||||||||||
Vale Inco Ltd.: | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | $ | 1,030 | 0.70 | % | 3/20/17 | $ | 12,341 | $ | 12,341 | ||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,015 | 0.63 | 3/20/17 | 16,504 | 16,504 | ||||||||||||||||
Total | 2,045 | 28,845 | 28,845 | |||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,030 | 1.17 | 3/20/17 | (16,578 | ) | (16,578 | ) | ||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,015 | 1.10 | 3/20/17 | (20,708 | ) | (20,708 | ) | ||||||||||||||
Total | 2,045 | (37,286 | ) | (37,286 | ) | |||||||||||||||||
Grand Total Buys | 28,845 | 28,845 | ||||||||||||||||||||
Grand Total Sells | (37,286 | ) | (37,286 | ) | ||||||||||||||||||
Total Credit Default Swaps | $ | (8,441 | ) | $ | (8,441 | ) | ||||||||||||||||
17 | OPPENHEIMER CORE BOND FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
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 | $ | 2,045,000 | $ | — | 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. |
The following table aggregates, as of period end, 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 Summary as of June 30, 2010 is as follows:
Swap Type from Fund | Notional | |||||||||||
Swap Counterparty | Perspective | Amount (000’s) | Value | |||||||||
Morgan Stanley Capital Services, Inc.: | ||||||||||||
Credit Default Buy Protection | $ | 2,045 | $ | 28,845 | ||||||||
Credit Default Sell Protection | 2,045 | (37,286 | ) | |||||||||
Total Swaps | $ | (8,441 | ) | |||||||||
See accompanying Notes to Financial Statements.
18 | OPPENHEIMER CORE BOND FUND/VA
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $229,030,931) | $ | 230,705,118 | ||
Affiliated companies (cost $15,546,778) | 15,546,778 | |||
246,251,896 | ||||
Appreciated swaps, at value (upfront premiums $0) | 28,845 | |||
Receivables and other assets: | ||||
Investments sold (including $37,005,923 sold on a when-issued or delayed delivery basis) | 37,802,752 | |||
Interest, dividends and principal paydowns | 1,689,814 | |||
Futures margins | 76,360 | |||
Other | 18,671 | |||
Total assets | 285,868,338 | |||
Liabilities | ||||
Depreciated swaps, at value (upfront premiums $0) | 37,286 | |||
Payables and other liabilities: | ||||
Investments purchased (including $90,416,258 purchased on a when-issued or delayed delivery basis) | 91,388,418 | |||
Shares of beneficial interest redeemed | 2,954,167 | |||
Distribution and service plan fees | 35,299 | |||
Shareholder communications | 27,264 | |||
Transfer and shareholder servicing agent fees | 15,885 | |||
Trustees’ compensation | 12,758 | |||
Futures margins | 1,449 | |||
Other | 20,107 | |||
Total liabilities | 94,492,633 | |||
Net Assets | $ | 191,375,705 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 25,812 | ||
Additional paid-in capital | 303,422,987 | |||
Accumulated net investment income | 5,794,182 | |||
Accumulated net realized loss on investments | (120,121,933 | ) | ||
Net unrealized appreciation on investments | 2,254,657 | |||
Net Assets | $ | 191,375,705 | ||
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 $135,887,981 and 18,279,157 shares of beneficial interest outstanding) | $ | 7.43 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $55,487,724 and 7,533,020 shares of beneficial interest outstanding) | $ | 7.37 |
See accompanying Notes to Financial Statements.
19 | OPPENHEIMER CORE BOND FUND/VA
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010
Investment Income | ||||
Interest (net of foreign withholding taxes of $372) | $ | 5,589,872 | ||
Fee income on when-issued securities | 856,832 | |||
Dividends: | ||||
Unaffiliated companies | 5 | |||
Affiliated companies | 14,156 | |||
Income from investment of securities lending cash collateral, net—affiliated companies | 24 | |||
Total investment income | 6,460,889 | |||
Expenses | ||||
Management fees | 575,715 | |||
Distribution and service plan fees—Service shares | 70,269 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 67,827 | |||
Service shares | 28,124 | |||
Shareholder communications: | ||||
Non-Service shares | 18,768 | |||
Service shares | 7,774 | |||
Trustees’ compensation | 8,169 | |||
Custodian fees and expenses | 4,146 | |||
Other | 30,006 | |||
Total expenses | 810,798 | |||
Less waivers and reimbursements of expenses | (108,233 | ) | ||
Net expenses | 702,565 | |||
Net Investment Income | 5,758,324 | |||
Realized and Unrealized Gain | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies | 4,314,052 | |||
Closing and expiration of futures contracts | 722,446 | |||
Swap contracts | 4,859 | |||
Net realized gain | 5,041,357 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 1,233,637 | |||
Futures contracts | 1,327,956 | |||
Swap contracts | 57,546 | |||
Net change in unrealized appreciation/depreciation | 2,619,139 | |||
Net Increase in Net Assets Resulting from Operations | $ | 13,418,820 | ||
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 5,758,324 | $ | 13,959,437 | ||||
Net realized gain (loss) | 5,041,357 | (69,315,102 | ) | |||||
Net change in unrealized appreciation/depreciation | 2,619,139 | 69,885,948 | ||||||
Net increase in net assets resulting from operations | 13,418,820 | 14,530,283 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (2,543,053 | ) | — | |||||
Service shares | (932,463 | ) | — | |||||
(3,475,516 | ) | — | ||||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (8,708,583 | ) | (29,962,563 | ) | ||||
Service shares | (4,172,933 | ) | (9,685,378 | ) | ||||
(12,881,516 | ) | (39,647,941 | ) | |||||
Net Assets | ||||||||
Total decrease | (2,938,212 | ) | (25,117,658 | ) | ||||
Beginning of period | 194,313,917 | 219,431,575 | ||||||
End of period (including accumulated net investment income of $5,794,182 and $3,511,374, respectively) | $ | 191,375,705 | $ | 194,313,917 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.07 | $ | 6.45 | $ | 11.06 | $ | 11.16 | $ | 11.19 | $ | 11.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .22 | .48 | .66 | .55 | .53 | .51 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .28 | .14 | (4.82 | ) | (.08 | ) | .03 | (.23 | ) | |||||||||||||||
Total from investment operations | .50 | .62 | (4.16 | ) | .47 | .56 | .28 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.14 | ) | — | (.45 | ) | (.57 | ) | (.59 | ) | (.59 | ) | |||||||||||||
Net asset value, end of period | $ | 7.43 | $ | 7.07 | $ | 6.45 | $ | 11.06 | $ | 11.16 | $ | 11.19 | ||||||||||||
Total Return, at Net Asset Value2 | 7.09 | % | 9.61 | % | (39.05 | )% | 4.39 | % | 5.28 | % | 2.59 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 135,888 | $ | 137,597 | $ | 156,339 | $ | 325,661 | $ | 367,106 | $ | 430,642 | ||||||||||||
Average net assets (in thousands) | $ | 136,780 | $ | 137,631 | $ | 271,355 | $ | 345,723 | $ | 391,750 | $ | 466,033 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 6.07 | % | 7.40 | % | 6.76 | % | 5.07 | % | 4.83 | % | 4.56 | % | ||||||||||||
Total expenses | 0.77 | %4 | 0.75 | %4 | 0.63 | %4 | 0.68 | %4 | 0.77 | %4 | 0.76 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.66 | % | 0.61 | % | 0.62 | % | 0.68 | % | 0.77 | % | 0.76 | % | ||||||||||||
Portfolio turnover rate5 | 49 | % | 143 | % | 51 | % | 89 | % | 114 | % | 111 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.78 | % | ||
Year Ended December 31, 2009 | 0.76 | % | ||
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, 2010 | $ | 416,224,092 | $ | 424,765,364 | ||||
Year Ended December 31, 2009 | $ | 977,840,247 | $ | 1,009,549,121 | ||||
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 |
See accompanying Notes to Financial Statements.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 6.99 | $ | 6.41 | $ | 10.98 | $ | 11.10 | $ | 11.15 | $ | 11.47 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .21 | .46 | .63 | .52 | .49 | .47 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .29 | .12 | (4.77 | ) | (.08 | ) | .03 | (.22 | ) | |||||||||||||||
Total from investment operations | .50 | .58 | (4.14 | ) | .44 | .52 | .25 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | — | (.43 | ) | (.56 | ) | (.57 | ) | (.57 | ) | |||||||||||||
Net asset value, end of period | $ | 7.37 | $ | 6.99 | $ | 6.41 | $ | 10.98 | $ | 11.10 | $ | 11.15 | ||||||||||||
Total Return, at Net Asset Value2 | 7.21 | % | 9.05 | % | (39.07 | )% | 4.09 | % | 4.93 | % | 2.33 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 55,488 | $ | 56,717 | $ | 63,093 | $ | 103,542 | $ | 41,191 | $ | 11,110 | ||||||||||||
Average net assets (in thousands) | $ | 56,715 | $ | 52,648 | $ | 101,597 | $ | 70,116 | $ | 21,265 | $ | 7,213 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 5.82 | % | 7.16 | % | 6.55 | % | 4.85 | % | 4.56 | % | 4.29 | % | ||||||||||||
Total expenses | 1.02 | %4 | 1.01 | %4 | 0.88 | %4 | 0.92 | %4 | 1.06 | %4 | 1.03 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.91 | % | 0.86 | % | 0.87 | % | 0.92 | % | 1.06 | % | 1.03 | % | ||||||||||||
Portfolio turnover rate5 | 49 | % | 143 | % | 51 | % | 89 | % | 114 | % | 111 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 1.03 | % | ||
Year Ended December 31, 2009 | 1.02 | % | ||
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, 2010 | $ | 416,224,092 | $ | 424,765,364 | ||||
Year Ended December 31, 2009 | $ | 977,840,247 | $ | 1,009,549,121 | ||||
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 |
See accompanying Notes to Financial Statements.
23 | OPPENHEIMER CORE BOND FUND/VA
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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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
24 | OPPENHEIMER CORE BOND FUND/VA
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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 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, 2010, 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 | $ | 90,416,258 | ||
Sold securities | 37,005,923 |
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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
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. Shares of IMMF are valued at their net asset value per share. 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. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF’s expenses, including its management fee of 0.08%.
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.
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
26 | OPPENHEIMER CORE BOND FUND/VA
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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, 2009, the Fund did not utilize any of capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes post-October losses of $446,132 and unused capital loss carryforwards as follows:
Expiring | ||||
2010 | $ | 29,885,554 | ||
2013 | 226,262 | |||
2014 | 6,107,275 | |||
2015 | 1,245,459 | |||
2016 | 12,777,851 | |||
2017 | 75,069,850 | |||
Total | $ | 125,312,251 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $120,717,026 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $5,041,357 of 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, 2010 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 | $ | 244,683,066 | ||
Federal tax cost of other investments | 5,296,229 | |||
Total federal tax cost | $ | 249,979,295 | ||
Gross unrealized appreciation | $ | 9,086,300 | ||
Gross unrealized depreciation | (6,936,999 | ) | ||
Net unrealized appreciation | $ | 2,149,301 | ||
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.
27 | OPPENHEIMER CORE BOND FUND/VA
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 508,035 | $ | 3,681,440 | 1,228,549 | $ | 7,870,664 | ||||||||||
Dividends and/or distributions reinvested | 357,673 | 2,543,053 | — | — | ||||||||||||
Redeemed | (2,059,976 | ) | (14,933,076 | ) | (5,976,436 | ) | (37,833,227 | ) | ||||||||
Net decrease | (1,194,268 | ) | $ | (8,708,583 | ) | (4,747,887 | ) | $ | (29,962,563 | ) | ||||||
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Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Service Shares | ||||||||||||||||
Sold | 700,898 | $ | 5,070,607 | 1,841,099 | $ | 11,758,361 | ||||||||||
Dividends and/or distributions reinvested | 132,264 | 932,463 | — | — | ||||||||||||
Redeemed | (1,408,553 | ) | (10,176,003 | ) | (3,581,065 | ) | (21,443,739 | ) | ||||||||
Net decrease | (575,391 | ) | $ | (4,172,933 | ) | (1,739,966 | ) | $ | (9,685,378 | ) | ||||||
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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 75,101,037 | $ | 70,022,531 | ||||
U.S. government and government agency obligations | 5,205,122 | 5,726,216 | ||||||
To Be Announced (TBA) mortgage-related securities | 416,224,092 | 424,765,364 |
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $96,623 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 0.25% of the daily 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 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, 2010, the Manager waived fees and/or reimbursed the Fund $10,825 and $4,459 for Non-Service and Service shares, respectively.
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. This voluntary waiver will be applied after all other waivers and/or reimbursements. During the six months ended June 30, 2010, the Manager waived $85,957.
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, 2010, the Manager waived fees and/or reimbursed the Fund $6,992 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer 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.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.
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.
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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, 2010, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $28,845, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. 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 certain positions in swaps, over-the-counter options, swaptions, 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 certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. As of June 30, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $8,441 for which collateral was not posted by the Fund. Securities held in collateralized accounts to cover these liabilities are noted in the Statement of Investments, if applicable. If a contingent feature would have been triggered as of June 30, 2010, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities; securities posted as collateral, if any, are reported on the Statement of Investments.
Valuations of derivative instruments as of June 30, 2010 are as follows:
Derivatives not | Asset Derivatives | Liability Derivatives | ||||||||||
Accounted for as | Statement of Assets | Statement of Assets | ||||||||||
Hedging Instruments | and Liabilities Location | Value | and Liabilities Location | Value | ||||||||
Credit contracts | Appreciated swaps, at value | $ | 28,845 | Depreciated swaps, at value | $ | 37,286 | ||||||
Interest rate contracts | Futures margins | 76,360 | * | Futures margins | 1,449 | * | ||||||
Total | $ | 105,205 | $ | 38,735 | ||||||||
* | 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. |
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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 Derivatives | ||||||||||||
Derivatives not | ||||||||||||
Accounted for as | Closing and expiration | |||||||||||
Hedging Instruments | of futures contracts | Swap contracts | Total | |||||||||
Credit contracts | $ | — | $ | 4,859 | $ | 4,859 | ||||||
Interest rate contracts | 722,446 | — | 722,446 | |||||||||
Total | $ | 722,446 | $ | 4,859 | $ | 727,305 | ||||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||
Derivatives not | ||||||||||||
Accounted for as | ||||||||||||
Hedging Instruments | Futures contracts | Swap contracts | Total | |||||||||
Credit contracts | $ | — | $ | 57,546 | $ | 57,546 | ||||||
Interest rate contracts | 1,327,956 | — | 1,327,956 | |||||||||
Total | $ | 1,327,956 | $ | 57,546 | $ | 1,385,502 | ||||||
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.
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 values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on
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swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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.
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 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 with the intent 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.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
6. Restricted Securities
As of June 30, 2010, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
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, 2010, 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 the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
9. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff ”). Those suits 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,
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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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Krishna Memani, Vice President and Portfolio Manager | ||
Peter A. Strzalkowski, Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved. |
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June 30, 2010 Oppenheimer Global Securities Fund/VA A Series of Oppenheimer Variable Account Funds Semiannual Report SEMIANNUAL REPORT Fund Performance Discussion Listing of Top Holdings Listing of Investments Financia Statements |
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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.
Portfolio Manager: Rajeev Bhaman
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
For the 6-Month Period Ended 6/30/10
Non-Service Shares | –7.69 | % | ||
Service Shares | –7.79 | |||
Class 3 Shares | –7.68 | |||
Class 4 Shares | –7.79 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 15.01 | % | 2.06 | % | 2.03 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (7/13/00) | ||||||||||
Service Shares | 14.68 | % | 1.80 | % | 1.59 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/03) | ||||||||||
Class 3 Shares | 15.01 | % | 2.06 | % | 9.28 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/3/04) | ||||||||||
Class 4 Shares | 14.70 | % | 1.80 | % | 3.92 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Non-Service Shares | 0.75 | % | ||
Service Shares | 1.00 | |||
Class 3 | 0.75 | |||
Class 4 | 1.00 |
Regional Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of investments.
Top Ten Common Stock Holdings | ||||
Telefonaktiebolaget LM Ericsson, B Shares | 4.7 | % | ||
Siemens AG | 2.7 | |||
Credit Suisse Group AG | 2.2 | |||
Intuit, Inc. | 2.0 | |||
eBay, Inc. | 2.0 | |||
Infosys Technologies Ltd. | 1.9 | |||
Juniper Networks, Inc. | 1.9 | |||
McDonald’s Corp. | 1.8 | |||
LVMH Moet Hennessy Louis Vuitton SA | 1.8 | |||
SAP AG | 1.7 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, 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.
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FUND PERFORMANCE DISCUSSION
The Fund’s Non-Service shares declined by 7.69% for the six-month period ended June 30, 2010, outperforming its benchmark, the MSCI World Index (the “Index”), which fell by 9.84% over the same time-span. Overall, the Fund outperformed in seven of ten sectors versus the Index for the period.
The investment strategy of Oppenheimer Global Securities Fund/VA is consistent and unchanging. We build a long-term portfolio from the bottom-up, investing solely in companies that we believe are capable of superior and sustainable growth throughout the business cycle, that have strong returns on invested capital, and that demonstrate good cash flow characteristics. Most of the companies we invest in are self-financing. We strive to buy these companies when they are out of favor.
We tend to be benchmark agnostic and our bottom-up approach drives our sector and geographic allocations. We most often find companies with the characteristics that we seek in three sectors: information technology, industrials and consumer discretionary, where we typically maintain heavy overweight positions versus the Index. These three sectors make up approximately 60% of the Fund as opposed to roughly one-third of the Index. It is encouraging to report that these were the three sectors that during the reporting period were the greatest positive contributors to performance.
In information technology, Telefonaktiebolaget LM Ericsson (“Ericsson”), our largest holding at period end, was again our best performer. There were other notable successes in the sector, including Intuit, Inc., Infosys Technologies Ltd. and Altera Corp., which were all among the Fund’s top five performers. Within industrials, Assa Abloy AB, Siemens AG and Koninklijke (Royal) Philips Electronics NV all contributed and in consumer discretionary McDonald’s Corp., Sirius XM Radio, Inc. (which we exited) and LVMH Moet Hennessy Louis Vuitton SA led the way.
The three sectors that underperformed for the Fund were financials, consumer staples and health care. It was a difficult period for a number of our financials holdings, including Credit Suisse Group AG, Société Générale SA and the U.K.’s Prudential plc, all of which we believe have very strong franchises and excellent long-term prospects. No stock in consumer staples was especially weak, but a number of our U.K. holdings took profits after very strong performances in 2009, which can cause a temporary decline in the price of a security. Examples included Tesco plc, Unilever plc and Reckitt Benckiser Group plc. We exited our position in Reckitt Benckiser Group by period end.
As we moved through the first six months of 2010, we saw very strong swings in investor sentiment. While global economic data showed that growth generally accelerated during the reporting period and many company earnings reports exceeded market expectations, the global equity markets reacted negatively to heightened awareness of perceived risk in the marketplace, in particular sovereign debt risk. While the International Monetary Fund in July 2010 increased its forecasts for world growth, all the leading indicators have started to decline, raising genuine fears about a double-dip recession.
World growth appears to be stuttering. Tightening in many emerging markets is already beginning to slow these economies back to more sustainable growth rates and stimulus packages are being withdrawn or curtailed in many countries. Much of Europe, which generates about a third of world Gross Domestic Product, has embarked on severe austerity packages. In the final six weeks of the reporting period, we saw the markets correct due to the growing fear of a global double-dip recession.
We have also written before about our belief that much of the European financial sector is undercapitalized. The results from the latest round of stress tests for European banks, announced after the reporting period on July 23, have come under criticism for failing to be sufficiently robust, particularly as they concern European banks’ exposure to sovereign debt, which could have a negative impact on the markets. But all is not gloom and doom. Cost cutting and productivity gains are generating a lot of momentum for earnings growth at a time when equities are at historically low valuations. European markets trade at little more than ten times consensus earnings and the S&P 500 at a little over twelve times.
The Fund’s bottom-up 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 focus particularly on those companies that we believe have some sort of sustainable competitive advantage. We are also contrarians in terms of acquiring stocks, seeking to buy them when they are out of fashion and neglected. We look 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.
3 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
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FUND PERFORMANCE DISCUSSION
The Fund underwent a few structural changes during the reporting period. We increased our exposure to financials by around 2%, with the acquisition of quality companies in Europe, Japan and the U.S. Our weighting in consumer staples declined by a similar amount, largely as a result of the takeover of Cadbury plc by Kraft Foods, Inc. At the country level, the U.S., Japan and Spain have become a larger proportion of the Fund while the U.K. and France have been reduced. At period end, we remained overweight versus the Index in information technology, industrials and consumer discretionary. We finished the period underweight in energy, materials, telecommunication services, utilities, and also in financials.
At the end of the reporting period, we had approximately 38% 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 was to Japan, followed by Germany, Sweden, the United Kingdom, France and Switzerland. Just under 10% of the Fund was invested in emerging markets, roughly the same weighting as at the start of the year.
As Sir Winston Churchill once said, “A pessimist sees the difficulty in every opportunity; an optimist sees the opportunity in every difficulty.” At period end, we feel optimistic in regard to the Fund, which we strive to make a ‘Fund for All Seasons’ by investing in undervalued growth companies that we believe have demonstrated their ability to not only withstand but to prosper in stormy market conditions.
It is important to remember that investing in foreign securities may involve special risks (such as currency fluctuations and political uncertainties) and may have greater expense and volatility. Investments in emerging and developing markets may also be especially volatile.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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 GLOBAL SECURITIES FUND/VA
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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, 2010.
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
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FUND EXPENSES Continued
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 923.10 | $ | 3.63 | ||||||
Service shares | 1,000.00 | 922.10 | 4.83 | |||||||||
Class 3 | 1,000.00 | 923.20 | 3.63 | |||||||||
Class 4 | 1,000.00 | 922.10 | 4.83 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.03 | 3.82 | |||||||||
Service shares | 1,000.00 | 1,019.79 | 5.07 | |||||||||
Class 3 | 1,000.00 | 1,021.03 | 3.82 | |||||||||
Class 4 | 1,000.00 | 1,019.79 | 5.07 |
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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.76 | % | ||
Service shares | 1.01 | |||
Class 3 | 0.76 | |||
Class 4 | 1.01 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Shares | Value | |||||||
Common Stocks—98.4% | ||||||||
Consumer Discretionary—15.6% | ||||||||
Automobiles—1.2% | ||||||||
Bayerische Motoren Werke (BMW) AG | 190,234 | $ | 9,219,675 | |||||
Bayerische Motoren Werke (BMW) AG, Preference | 548,452 | 19,120,438 | ||||||
28,340,113 | ||||||||
Hotels, Restaurants & Leisure—3.8% | ||||||||
Carnival Corp. | 1,224,426 | 37,026,642 | ||||||
Lottomatica SpA | 320,000 | 4,123,054 | ||||||
McDonald’s Corp. | 632,800 | 41,682,536 | ||||||
Shuffle Master, Inc.1 | 616,100 | 4,934,961 | ||||||
87,767,193 | ||||||||
Household Durables—1.6% | ||||||||
Sony Corp. | 1,369,500 | 36,453,592 | ||||||
Media—3.3% | ||||||||
Grupo Televisa SA, Sponsored GDR | 1,358,076 | 23,644,103 | ||||||
Walt Disney Co. (The) | 1,252,600 | 39,456,900 | ||||||
Wire & Wireless India Ltd.1 | 2,281,600 | 774,090 | ||||||
Zee Entertainment Enterprises Ltd. | 1,968,410 | 12,795,757 | ||||||
76,670,850 | ||||||||
Specialty Retail—2.7% | ||||||||
Industria de Diseno Textil SA | 537,500 | 30,484,550 | ||||||
Tiffany & Co. | 858,880 | 32,560,141 | ||||||
63,044,691 | ||||||||
Textiles, Apparel & Luxury Goods—3.0% | ||||||||
Bulgari SpA | 1,801,478 | 12,917,542 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 376,660 | 41,028,784 | ||||||
Tod’s SpA | 275,057 | 17,340,766 | ||||||
71,287,092 | ||||||||
Consumer Staples—9.4% | ||||||||
Beverages—3.1% | ||||||||
Companhia de Bebidas das Americas, Sponsored ADR, Preference | 205,615 | 20,769,171 | ||||||
Fomento Economico Mexicano SA de CV, UBD | 7,208,000 | 31,154,847 | ||||||
Grupo Modelo SA de CV, Series C | 3,904,900 | 19,323,640 | ||||||
71,247,658 | ||||||||
Food & Staples Retailing—2.4% | ||||||||
Shinsegae Department Store Co. | 5,762 | 2,487,306 | ||||||
Tesco plc | 3,515,785 | 19,795,519 | ||||||
Wal-Mart Stores, Inc. | 695,200 | 33,418,264 | ||||||
55,701,089 | ||||||||
Food Products—2.4% | ||||||||
Nestle SA | 549,858 | 26,530,634 | ||||||
Unilever plc | 1,126,403 | 30,019,985 | ||||||
56,550,619 | ||||||||
Household Products—1.5% | ||||||||
Colgate-Palmolive Co. | 442,000 | 34,811,920 | ||||||
Energy—3.6% | ||||||||
Energy Equipment & Services—1.9% | ||||||||
Technip SA | 438,300 | 24,955,969 | ||||||
Transocean Ltd.1 | 399,272 | 18,498,272 | ||||||
43,454,241 | ||||||||
Oil, Gas & Consumable Fuels—1.7% | ||||||||
Husky Energy, Inc. | 475,030 | 11,262,747 | ||||||
Total SA | 626,900 | 27,899,929 | ||||||
39,162,676 | ||||||||
Financials—16.3% | ||||||||
Capital Markets—4.6% | ||||||||
3i Group plc | 2,576,148 | 10,153,068 | ||||||
Credit Suisse Group AG | 1,388,580 | 52,188,055 | ||||||
Goldman Sachs Group, Inc. (The) | 148,900 | 19,546,103 | ||||||
UBS AG1 | 1,923,477 | 25,496,768 | ||||||
107,383,994 | ||||||||
Commercial Banks—3.8% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 2,267,500 | 23,392,680 | ||||||
HSBC Holdings plc | 3,566,173 | 32,669,398 | ||||||
Societe Generale SA, Cl. A | 320,542 | 13,039,270 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 692,800 | 19,558,222 | ||||||
88,659,570 | ||||||||
Consumer Finance—1.2% | ||||||||
SLM Corp.1 | 2,707,950 | 28,135,601 | ||||||
Diversified Financial Services—1.0% | ||||||||
Investor AB, B Shares | 1,475,254 | 23,876,850 | ||||||
Insurance—5.7% | ||||||||
AFLAC, Inc. | 679,100 | 28,977,197 | ||||||
Allianz SE | 305,932 | 30,292,667 | ||||||
Dai-ichi Life Insurance Co. | 11,242 | 15,460,466 | ||||||
Fidelity National Financial, Inc., Cl. A | 942,400 | 12,241,776 | ||||||
Prudential plc | 2,877,897 | 21,570,120 | ||||||
XL Capital Ltd., Cl. A | 1,518,900 | 24,317,589 | ||||||
132,859,815 |
7 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Health Care—6.8% | ||||||||
Biotechnology—2.0% | ||||||||
Amylin Pharmaceuticals, Inc.1 | 743,188 | $ | 13,971,934 | |||||
Basilea Pharmaceutica AG1 | 30,862 | 1,710,797 | ||||||
Dendreon Corp.1 | 232,300 | 7,510,259 | ||||||
InterMune, Inc.1 | 306,180 | 2,862,783 | ||||||
Regeneron Pharmaceuticals, Inc.1 | 197,602 | 4,410,477 | ||||||
Seattle Genetics, Inc.1 | 682,655 | 8,185,033 | ||||||
Theravance, Inc.1 | 569,100 | 7,153,587 | ||||||
45,804,870 | ||||||||
Health Care Equipment & Supplies—0.5% | ||||||||
Zimmer Holdings, Inc.1 | 225,900 | 12,209,895 | ||||||
Health Care Providers & Services—2.4% | ||||||||
Aetna, Inc. | 1,013,500 | 26,736,130 | ||||||
WellPoint, Inc.1 | 598,535 | 29,286,318 | ||||||
56,022,448 | ||||||||
Pharmaceuticals—1.9% | ||||||||
Bayer AG | 87,291 | 4,859,830 | ||||||
Mitsubishi Tanabe Pharma Corp. | 777,000 | 11,833,228 | ||||||
Roche Holding AG | 204,482 | 28,080,207 | ||||||
44,773,265 | ||||||||
Industrials—15.0% | ||||||||
Aerospace & Defense—3.5% | ||||||||
Empresa Brasileira de Aeronautica SA, ADR | 889,483 | 18,634,669 | ||||||
European Aeronautic Defense & Space Co.1 | 1,386,180 | 28,285,364 | ||||||
Lockheed Martin Corp. | 185,500 | 13,819,750 | ||||||
Raytheon Co. | 440,000 | 21,291,600 | ||||||
82,031,383 | ||||||||
Air Freight & Logistics—0.8% | ||||||||
TNT NV | 739,827 | 18,646,831 | ||||||
Building Products—1.7% | ||||||||
Assa Abloy AB, Cl. B | 1,962,985 | 39,152,085 | ||||||
Commercial Services & Supplies—0.8% | ||||||||
Secom Co. Ltd. | 403,900 | 17,933,902 | ||||||
Electrical Equipment—1.8% | ||||||||
Emerson Electric Co. | 455,000 | 19,878,950 | ||||||
Nidec Corp. | 173,900 | 14,564,821 | ||||||
Prysmian SpA | 588,400 | 8,452,736 | ||||||
42,896,507 | ||||||||
Industrial Conglomerates—5.8% | ||||||||
3M Co. | 483,200 | 38,167,968 | ||||||
Koninklijke (Royal) Philips Electronics NV | 1,160,800 | 34,600,472 | ||||||
Siemens AG | 689,224 | 61,809,985 | ||||||
134,578,425 | ||||||||
Machinery—0.6% | ||||||||
Fanuc Ltd. | 130,300 | 14,618,363 | ||||||
Information Technology—28.5% | ||||||||
Communications Equipment—6.5% | ||||||||
Juniper Networks, Inc.1 | 1,903,500 | 43,437,870 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 9,826,089 | 109,401,664 | ||||||
152,839,534 | ||||||||
Electronic Equipment & Instruments—4.7% | ||||||||
Corning, Inc. | 1,651,720 | 26,675,278 | ||||||
Hoya Corp. | 1,035,000 | 21,977,103 | ||||||
Keyence Corp. | 95,274 | 21,916,702 | ||||||
Kyocera Corp. | 161,800 | 13,065,951 | ||||||
Murata Manufacturing Co. Ltd. | 529,800 | 25,233,259 | ||||||
108,868,293 | ||||||||
Internet Software & Services—2.0% | ||||||||
eBay, Inc.1 | 2,349,900 | 46,081,539 | ||||||
IT Services—3.3% | ||||||||
Automatic Data Processing, Inc. | 813,300 | 32,743,458 | ||||||
Infosys Technologies Ltd. | 728,026 | 43,507,862 | ||||||
76,251,320 | ||||||||
Semiconductors & Semiconductor Equipment—4.7% | ||||||||
Altera Corp. | 1,631,300 | 40,472,553 | ||||||
Maxim Integrated Products, Inc. | 1,342,265 | 22,456,093 | ||||||
MediaTek, Inc. | 1,597,696 | 22,283,105 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 13,575,184 | 25,384,248 | ||||||
110,595,999 | ||||||||
Software—7.3% | ||||||||
Adobe Systems, Inc.1 | 973,963 | 25,741,842 | ||||||
Intuit, Inc.1 | 1,340,400 | 46,605,708 | ||||||
Microsoft Corp. | 1,685,700 | 38,787,957 | ||||||
Nintendo Co. Ltd. | 60,600 | 17,652,557 | ||||||
SAP AG | 912,028 | 40,477,230 | ||||||
169,265,294 | ||||||||
Materials—0.5% | ||||||||
Chemicals—0.5% | ||||||||
Linde AG | 120,238 | 12,623,875 |
8 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
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Shares | Value | |||||||
Telecommunication Services—2.0% | ||||||||
Wireless Telecommunication Services—2.0% | ||||||||
KDDI Corp. | 5,211 | $ | 24,752,761 | |||||
Vodafone Group plc | 10,901,402 | 22,590,089 | ||||||
47,342,850 | ||||||||
Utilities—0.7% | ||||||||
Electric Utilities—0.7% | ||||||||
Fortum OYJ | 786,400 | 17,311,997 | ||||||
Total Common Stocks (Cost $2,182,237,415) | 2,295,256,239 | |||||||
Investment Companies—1.2% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,3 | 681,390 | 681,390 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%2,4 | 26,788,020 | 26,788,020 | ||||||
Total Investment Companies (Cost $27,469,410) | 27,469,410 | |||||||
Total Investments, at Value (Cost $2,209,706,825) | 99.6 | % | 2,322,725,649 | |||||
Other Assets Net of Liabilities | 0.4 | 9,424,897 | ||||||
Net Assets | 100.0 | % | $ | 2,332,150,546 | ||||
Footnotes to Statement of Investments | ||
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2010. | |
3. | Interest rate is less than 0.0005%. | |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 30,907,869 | 192,045,558 | 196,165,407 | 26,788,020 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 26,788,020 | $ | 32,584 |
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—significant 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, 2010 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 | $ | 179,305,283 | $ | 184,258,248 | $ | — | $ | 363,563,531 | ||||||||
Consumer Staples | 139,477,842 | 78,833,444 | — | 218,311,286 | ||||||||||||
Energy | 29,761,019 | 52,855,898 | — | 82,616,917 | ||||||||||||
Financials | 113,218,266 | 267,697,564 | — | 380,915,830 | ||||||||||||
Health Care | 112,326,416 | 46,484,062 | — | 158,810,478 | ||||||||||||
Industrials | 111,792,937 | 238,064,559 | — | 349,857,496 | ||||||||||||
Information Technology | 323,002,298 | 340,899,681 | — | 663,901,979 | ||||||||||||
Materials | — | 12,623,875 | — | 12,623,875 | ||||||||||||
Telecommunication Services | — | 47,342,850 | — | 47,342,850 | ||||||||||||
Utilities | — | 17,311,997 | — | 17,311,997 | ||||||||||||
Investment Companies | 27,469,410 | — | — | 27,469,410 | ||||||||||||
Total Investments, at Value | 1,036,353,471 | 1,286,372,178 | — | 2,322,725,649 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | — | 108 | — | 108 | ||||||||||||
Total Assets | $ | 1,036,353,471 | $ | 1,286,372,286 | $ | — | $ | 2,322,725,757 | ||||||||
9 | OPPENHEIMER GLOBAL SECURITIES FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
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.
The table below shows the significant transfers between Level 1 and Level 2. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
Transfers out of | Transfers into | |||||||
Level 1 | * | Level 2 | * | |||||
Assets Table | ||||||||
Investments, at Value: | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $ | (101,320,486 | ) | $ | 101,320,486 | |||
Consumer Staples | (17,874,490 | ) | 17,874,490 | |||||
Health Care | (50,066,419 | ) | 50,066,419 | |||||
Industrials | (57,350,877 | ) | 57,350,877 | |||||
Information Technology | (160,239,161 | ) | 160,239,161 | |||||
Materials | (7,143,664 | ) | 7,143,664 | |||||
Telecommunication Services | (24,532,360 | ) | 24,532,360 | |||||
Total Assets | $ | (418,527,457 | ) | $ | 418,527,457 | |||
* | Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund’s assets were valued but after the close of the securities’ respective exchanges. |
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 methodologies, if any, during the reporting period.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||
United States | $ | 887,246,705 | 38.2 | % | ||||
Japan | 255,020,927 | 11.0 | ||||||
Germany | 178,403,700 | 7.7 | ||||||
Sweden | 172,430,599 | 7.4 | ||||||
United Kingdom | 136,798,179 | 5.9 | ||||||
France | 135,209,316 | 5.8 | ||||||
Switzerland | 134,006,461 | 5.8 | ||||||
Mexico | 74,122,590 | 3.2 | ||||||
India | 57,077,709 | 2.5 | ||||||
Spain | 53,877,230 | 2.3 | ||||||
The Netherlands | 53,247,303 | 2.3 | ||||||
Taiwan | 47,667,353 | 2.1 | ||||||
Italy | 42,834,098 | 1.8 | ||||||
Brazil | 39,403,840 | 1.7 | ||||||
Cayman Islands | 24,317,589 | 1.0 | ||||||
Finland | 17,311,997 | 0.7 | ||||||
Canada | 11,262,747 | 0.5 | ||||||
Korea, Republic of South | 2,487,306 | 0.1 | ||||||
Total | $ | 2,322,725,649 | 100.0 | % | ||||
Foreign Currency Exchange Contracts as of June 30, 2010 are as follows:
Contract Amount | Expiration | Unrealized | ||||||||||||||||||
Counterparty/Contract Description | Buy/Sell | (000’s) | Date | Value | Appreciation | |||||||||||||||
UBS Investment Bank | ||||||||||||||||||||
Japanese Yen (JPY) | Buy | 13,261 | JPY | 7/2/10 | $ | 149,985 | $ | 108 |
See accompanying Notes to Financial Statements.
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $2,182,918,805) | $ | 2,295,937,629 | ||
Affiliated companies (cost $26,788,020) | 26,788,020 | |||
2,322,725,649 | ||||
Unrealized appreciation on foreign currency exchange contracts | 108 | |||
Receivables and other assets: | ||||
Shares of beneficial interest sold | 4,777,597 | |||
Interest and dividends | 4,728,436 | |||
Investments sold | 2,701,212 | |||
Other | 75,727 | |||
Total assets | 2,335,008,729 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 1,481,170 | |||
Distribution and service plan fees | 644,473 | |||
Shareholder communications | 247,938 | |||
Transfer and shareholder servicing agent fees | 199,926 | |||
Investments purchased | 149,985 | |||
Trustees’ compensation | 40,640 | |||
Other | 94,051 | |||
Total liabilities | 2,858,183 | |||
Net Assets | $ | 2,332,150,546 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 96,944 | ||
Additional paid-in capital | 2,252,982,725 | |||
Accumulated net investment income | 17,036,775 | |||
Accumulated net realized loss on investments and foreign currency transactions | (51,127,075 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 113,161,177 | |||
Net Assets | $ | 2,332,150,546 | ||
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 $1,197,338,517 and 49,646,400 shares of beneficial interest outstanding) | $ | 24.12 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $890,788,931 and 37,210,613 shares of beneficial interest outstanding) | $ | 23.94 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $175,560,698 and 7,231,207 shares of beneficial interest outstanding) | $ | 24.28 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $68,462,400 and 2,855,489 shares of beneficial interest outstanding) | $ | 23.98 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $3,424,421) | $ | 32,810,410 | ||
Affiliated companies | 32,584 | |||
Interest | 43,419 | |||
Total investment income | 32,886,413 | |||
Expenses | ||||
Management fees | 8,142,967 | |||
Distribution and service plan fees: | ||||
Service shares | 1,209,093 | |||
Class 4 shares | 94,950 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 664,830 | |||
Service shares | 485,665 | |||
Class 3 shares | 99,249 | |||
Class 4 shares | 37,978 | |||
Shareholder communications: | ||||
Non-Service shares | 68,302 | |||
Service shares | 49,746 | |||
Class 3 shares | 10,216 | |||
Class 4 shares | 3,900 | |||
Custodian fees and expenses | 147,843 | |||
Trustees’ compensation | 29,312 | |||
Other | 69,668 | |||
Total expenses | 11,113,719 | |||
Less waivers and reimbursements of expenses | (16,369 | ) | ||
Net expenses | 11,097,350 | |||
Net Investment Income | 21,789,063 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies (net of foreign capital gains tax of $264,531) | 53,947,138 | |||
Foreign currency transactions | 5,524,590 | |||
Net realized gain | 59,471,728 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (182,670,419 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (94,193,586 | ) | ||
Net change in unrealized appreciation/depreciation | (276,864,005 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (195,603,214 | ) | |
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | ||||||||
Ended | Year Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 21,789,063 | $ | 31,953,433 | ||||
Net realized gain (loss) | 59,471,728 | (65,102,360 | ) | |||||
Net change in unrealized appreciation/depreciation | (276,864,005 | ) | 806,598,818 | |||||
Net increase (decrease) in net assets resulting from operations | (195,603,214 | ) | 773,449,891 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (19,240,136 | ) | (27,800,589 | ) | ||||
Service shares | (12,039,643 | ) | (16,163,769 | ) | ||||
Class 3 shares | (2,863,873 | ) | (4,130,611 | ) | ||||
Class 4 shares | (934,492 | ) | (1,262,683 | ) | ||||
(35,078,144 | ) | (49,357,652 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | — | (26,507,538 | ) | |||||
Service shares | — | (17,924,453 | ) | |||||
Class 3 shares | — | (3,946,570 | ) | |||||
Class 4 shares | — | (1,437,851 | ) | |||||
— | (49,816,412 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (48,580,057 | ) | (140,936,466 | ) | ||||
Service shares | (1,939,125 | ) | (37,527,816 | ) | ||||
Class 3 shares | (13,332,752 | ) | (22,954,318 | ) | ||||
Class 4 shares | (2,796,713 | ) | (4,666,393 | ) | ||||
(66,648,647 | ) | (206,084,993 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (297,330,005 | ) | 468,190,834 | |||||
Beginning of period | 2,629,480,551 | 2,161,289,717 | ||||||
End of period (including accumulated net investment income of $17,036,775 and $30,325,856, respectively) | $ | 2,332,150,546 | $ | 2,629,480,551 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.50 | $ | 20.21 | $ | 36.60 | $ | 36.79 | $ | 33.38 | $ | 29.51 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .23 | .33 | .55 | .45 | .43 | .32 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.23 | ) | 6.94 | (14.46 | ) | 1.69 | 5.20 | 3.85 | ||||||||||||||||
Total from investment operations | (2.00 | ) | 7.27 | (13.91 | ) | 2.14 | 5.63 | 4.17 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.50 | ) | (.46 | ) | (.50 | ) | (.36 | ) | (.30 | ) | ||||||||||||
Distributions from net realized gain | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.38 | ) | (.98 | ) | (2.48 | ) | (2.33 | ) | (2.22 | ) | (.30 | ) | ||||||||||||
Net asset value, end of period | $ | 24.12 | $ | 26.50 | $ | 20.21 | $ | 36.60 | $ | 36.79 | $ | 33.38 | ||||||||||||
Total Return, at Net Asset Value2 | (7.69 | )% | 39.77 | % | (40.19 | )% | 6.32 | % | 17.69 | % | 14.31 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,197,339 | $ | 1,364,597 | $ | 1,150,113 | $ | 2,193,638 | $ | 2,297,315 | $ | 2,124,413 | ||||||||||||
Average net assets (in thousands) | $ | 1,339,829 | $ | 1,206,240 | $ | 1,679,720 | $ | 2,302,726 | $ | 2,189,511 | $ | 2,123,523 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.79 | % | 1.51 | % | 1.95 | % | 1.21 | % | 1.27 | % | 1.08 | % | ||||||||||||
Total expenses | 0.76 | %4 | 0.75 | %4 | 0.65 | %4 | 0.65 | %4 | 0.66 | %4 | 0.67 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | 0.66 | % | 0.67 | % | ||||||||||||
Portfolio turnover rate | 9 | % | 11 | % | 19 | % | 18 | % | 21 | % | 35 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.76 | % | ||
Year Ended December 31, 2009 | 0.75 | % | ||
Year Ended December 31, 2008 | 0.65 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
See accompanying Notes to Financial Statements.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.28 | $ | 20.02 | $ | 36.27 | $ | 36.49 | $ | 33.16 | $ | 29.33 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .20 | .27 | .47 | .33 | .33 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.22 | ) | 6.90 | (14.32 | ) | 1.72 | 5.16 | 3.84 | ||||||||||||||||
Total from investment operations | (2.02 | ) | 7.17 | (13.85 | ) | 2.05 | 5.49 | 4.08 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.32 | ) | (.43 | ) | (.38 | ) | (.44 | ) | (.30 | ) | (.25 | ) | ||||||||||||
Distributions from net realized gain | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.32 | ) | (.91 | ) | (2.40 | ) | (2.27 | ) | (2.16 | ) | (.25 | ) | ||||||||||||
Net asset value, end of period | $ | 23.94 | $ | 26.28 | $ | 20.02 | $ | 36.27 | $ | 36.49 | $ | 33.16 | ||||||||||||
Total Return, at Net Asset Value2 | (7.79 | )% | 39.36 | % | (40.33 | )% | 6.08 | % | 17.36 | % | 14.06 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 890,789 | $ | 980,485 | $ | 772,107 | $ | 1,300,989 | $ | 983,558 | $ | 557,284 | ||||||||||||
Average net assets (in thousands) | $ | 978,756 | $ | 830,887 | $ | 1,051,239 | $ | 1,180,656 | $ | 750,499 | $ | 413,849 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.55 | % | 1.23 | % | 1.70 | % | 0.91 | % | 0.98 | % | 0.79 | % | ||||||||||||
Total expenses | 1.01 | %4 | 1.00 | %4 | 0.90 | %4 | 0.89 | %4 | 0.91 | %4 | 0.92 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.01 | % | 1.00 | % | 0.90 | % | 0.89 | % | 0.91 | % | 0.92 | % | ||||||||||||
Portfolio turnover rate | 9 | % | 11 | % | 19 | % | 18 | % | 21 | % | 35 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 1.01 | % | ||
Year Ended December 31, 2009 | 1.00 | % | ||
Year Ended December 31, 2008 | 0.90 | % | ||
Year Ended December 31, 2007 | 0.89 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Class 3 Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.67 | $ | 20.34 | $ | 36.82 | $ | 36.99 | $ | 33.55 | $ | 29.65 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .24 | .33 | .56 | .45 | .43 | .32 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.25 | ) | 6.98 | (14.56 | ) | 1.71 | 5.23 | 3.88 | ||||||||||||||||
Total from investment operations | (2.01 | ) | 7.31 | (14.00 | ) | 2.16 | 5.66 | 4.20 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.50 | ) | (.46 | ) | (.50 | ) | (.36 | ) | (.30 | ) | ||||||||||||
Distributions from net realized gain | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.38 | ) | (.98 | ) | (2.48 | ) | (2.33 | ) | (2.22 | ) | (.30 | ) | ||||||||||||
Net asset value, end of period | $ | 24.28 | $ | 26.67 | $ | 20.34 | $ | 36.82 | $ | 36.99 | $ | 33.55 | ||||||||||||
Total Return, at Net Asset Value2 | (7.68 | )% | 39.70 | % | (40.19 | )% | 6.34 | % | 17.69 | % | 14.34 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 175,561 | $ | 206,356 | $ | 175,971 | $ | 361,621 | $ | 395,901 | $ | 346,064 | ||||||||||||
Average net assets (in thousands) | $ | 200,018 | $ | 182,553 | $ | 269,650 | $ | 391,270 | $ | 369,406 | $ | 296,252 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.78 | % | 1.49 | % | 1.95 | % | 1.22 | % | 1.26 | % | 1.06 | % | ||||||||||||
Total expenses | 0.76 | %4 | 0.75 | %4 | 0.65 | %4 | 0.65 | %4 | 0.66 | %4 | 0.67 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | 0.66 | % | 0.67 | % | ||||||||||||
Portfolio turnover rate | 9 | % | 11 | % | 19 | % | 18 | % | 21 | % | 35 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.76 | % | ||
Year Ended December 31, 2009 | 0.75 | % | ||
Year Ended December 31, 2008 | 0.65 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
See accompanying Notes to Financial Statements.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Class 4 Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.32 | $ | 20.03 | $ | 36.28 | $ | 36.49 | $ | 33.15 | $ | 29.35 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .20 | .27 | .47 | .34 | .34 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.22 | ) | 6.92 | (14.34 | ) | 1.70 | 5.16 | 3.84 | ||||||||||||||||
Total from investment operations | (2.02 | ) | 7.19 | (13.87 | ) | 2.04 | 5.50 | 4.08 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.32 | ) | (.42 | ) | (.36 | ) | (.42 | ) | (.30 | ) | (.28 | ) | ||||||||||||
Distributions from net realized gain | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.32 | ) | (.90 | ) | (2.38 | ) | (2.25 | ) | (2.16 | ) | (.28 | ) | ||||||||||||
Net asset value, end of period | $ | 23.98 | $ | 26.32 | $ | 20.03 | $ | 36.28 | $ | 36.49 | $ | 33.15 | ||||||||||||
Total Return, at Net Asset Value2 | (7.79 | )% | 39.38 | % | (40.35 | )% | 6.06 | % | 17.40 | % | 14.05 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 68,462 | $ | 78,043 | $ | 63,099 | $ | 123,542 | $ | 114,232 | $ | 90,604 | ||||||||||||
Average net assets (in thousands) | $ | 76,537 | $ | 66,965 | $ | 93,909 | $ | 122,385 | $ | 100,973 | $ | 61,380 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.54 | % | 1.22 | % | 1.69 | % | 0.93 | % | 1.00 | % | 0.79 | % | ||||||||||||
Total expenses | 1.01 | %4 | 1.00 | %4 | 0.91 | %4 | 0.90 | %4 | 0.91 | %4 | 0.93 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.01 | % | 1.00 | % | 0.91 | % | 0.90 | % | 0.91 | % | 0.93 | % | ||||||||||||
Portfolio turnover rate | 9 | % | 11 | % | 19 | % | 18 | % | 21 | % | 35 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 1.01 | % | ||
Year Ended December 31, 2009 | 1.00 | % | ||
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.90 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
See accompanying Notes to Financial Statements.
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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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
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“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.
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.
There have been no significant changes to the fair valuation methodologies of the Fund 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. Shares of IMMF are valued at their net asset value per share. 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.
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.
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
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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, 2009, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes post-October foreign currency losses of $77,800 and unused capital loss carryforward as follows:
Expiring | ||||
2017 | $ | 79,199,153 |
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $19,805,225 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $59,471,728 of 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, 2010 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 | $ | 2,241,595,666 | ||
Gross unrealized appreciation | $ | 328,795,574 | ||
Gross unrealized depreciation | (247,498,072 | ) | ||
Net unrealized appreciation | $ | 81,297,502 | ||
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.
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.
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,775,941 | $ | 46,882,685 | 4,700,539 | $ | 96,201,259 | ||||||||||
Dividends and/or distributions reinvested | 719,257 | 19,240,136 | 3,644,841 | 54,308,127 | ||||||||||||
Redeemed | (4,350,007 | ) | (114,702,878 | ) | (13,740,529 | ) | (291,445,852 | ) | ||||||||
Net decrease | (1,854,809 | ) | $ | (48,580,057 | ) | (5,395,149 | ) | $ | (140,936,466 | ) | ||||||
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Shares of Beneficial Interest Continued
Six Months Ended June 30, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Service Shares | ||||||||||||||||
Sold | 2,051,331 | $ | 53,940,393 | 2,545,715 | $ | 56,464,839 | ||||||||||
Dividends and/or distributions reinvested | 453,129 | 12,039,643 | 2,301,703 | 34,088,222 | ||||||||||||
Redeemed | (2,601,469 | ) | (67,919,161 | ) | (6,110,959 | ) | (128,080,877 | ) | ||||||||
Net decrease | (97,009 | ) | $ | (1,939,125 | ) | (1,263,541 | ) | $ | (37,527,816 | ) | ||||||
Class 3 Shares | ||||||||||||||||
Sold | 116,061 | $ | 3,126,005 | 250,961 | $ | 5,397,159 | ||||||||||
Dividends and/or distributions reinvested | 106,385 | 2,863,873 | 538,120 | 8,077,181 | ||||||||||||
Redeemed | (728,614 | ) | (19,322,630 | )1 | (1,702,099 | ) | (36,428,658 | )2 | ||||||||
Net decrease | (506,168 | ) | $ | (13,332,752 | ) | (913,018 | ) | $ | (22,954,318 | ) | ||||||
Class 4 Shares | ||||||||||||||||
Sold | 40,967 | $ | 1,095,341 | 131,734 | $ | 2,846,292 | ||||||||||
Dividends and/or distributions reinvested | 35,118 | 934,492 | 181,977 | 2,700,534 | ||||||||||||
Redeemed | (185,983 | ) | (4,826,546 | )1 | (497,765 | ) | (10,213,219 | )2 | ||||||||
Net decrease | (109,898 | ) | $ | (2,796,713 | ) | (184,054 | ) | $ | (4,666,393 | ) | ||||||
1. | Net of redemption fees of $5,288 and $2,698 for Class 3 and Class 4, respectively. | |
2. | Net of redemption fees of $5,426 and $4,411 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, for the six months ended June 30, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 222,842,845 | $ | 308,083,368 |
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $1,310,978 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 0.25% of the daily 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
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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. 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.
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, 2010, the Manager waived fees and/or reimbursed the Fund $16,369 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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, if any, 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. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
7. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
7. Pending Litigation Continued
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff “). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Rajeev Bhaman, Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved.
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June 30, 2010 Oppenheimer High Income Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Fund Performance Discussion Listing of Top Holdings Listing of Investments Financial Statements |
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OPPENHEIMER HIGH INCOME FUND/VA
Fund Objective. The Fund seeks a high level of current income from investment in high-yield, fixed-income securities.
Portfolio Manager: Joseph Welsh
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
For the 6-Month Period Ended 6/30/10
Non-Service Shares | 2.96 | % | Class 3 | 2.90 | % | |||||||
Service Shares | 2.68 | Class 4 | 2.63 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 21.34 | % | –21.08 | % | –8.74 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/01) | ||||||||||
Service Shares | 22.35 | % | –21.07 | % | –9.67 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/07) | ||||||||||
Class 3 | 22.61 | % | N/A | –34.20 | % | |||||||
Class 4 | 22.06 | % | N/A | –34.08 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.96 | % | 0.59 | % | ||||
Service Shares | 1.23 | 0.82 | ||||||
Class 3 | 0.99 | 0.55 | ||||||
Class 4 | 1.21 | 0.82 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
Credit Allocation
NRSRO-Rated | Manager-Rated | Total | ||||||||||
AAA | 6.4 | % | — | % | 6.4 | % | ||||||
BBB | 0.5 | — | 0.5 | |||||||||
BB | 8.4 | — | 8.4 | |||||||||
B | 48.2 | 1.0 | 49.2 | |||||||||
CCC | 27.2 | — | 27.2 | |||||||||
CC | 0.5 | — | 0.5 | |||||||||
C | — | 0.6 | 0.6 | |||||||||
D | 1.4 | 1.0 | 2.4 | |||||||||
92.6 | 2.6 | 95.2 | ||||||||||
Not Rated | 4.8 | |||||||||||
Total | 100.0 | % |
Percentages are as of June 30, 2010, are subject to change and are dollar-weighted based on the market value of the Fund’s securities and derivatives. The Fund’s investment adviser, OppenheimerFunds, Inc. (“OFI”), determines the “Credit Allocation” of the Fund’s securities and derivatives using ratings by “Nationally Recognized Statistical Rating Organizations” (“NRSROs”), such as Standard & Poor’s Corporation (“S&P”). If two or more NRSROs have assigned a rating to a security, the highest rating is used. For securities rated only by an NRSRO other than S&P, OFI converts that rating to the equivalent S&P credit rating. OFI may use its own credit analysis to assign ratings to securities not rated by an NRSRO using rating denominations similar to those of S&P. Securities issued or guaranteed by the U.S. government or an agency or instrumentality thereof are assigned a credit rating equal to the sovereign credit rating assigned to the U.S. by S&P. A similar process is used for securities issued or guaranteed by a foreign sovereign or supranational entity. Fund assets invested in Oppenheimer Institutional Money Market Fund are assigned the Fund’s S&P rating, which is currently AAA. More information about securities ratings is contained in the Fund’s Statement of Additional Information.
Corporate Bonds & Notes—Top Ten Industries
Oil, Gas & Consumable Fuels | 8.2 | % | ||
Media | 7.1 | |||
Hotels, Restaurants & Leisure | 5.4 | |||
Diversified Telecommunication Services | 5.1 | |||
Paper & Forest Products | 4.1 | |||
Health Care Providers & Services | 3.9 | |||
Wireless Telecommunication Services | 3.7 | |||
Chemicals | 2.9 | |||
Airlines | 2.8 | |||
Aerospace & Defense | 2.6 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
2 | OPPENHEIMER HIGH INCOME FUND/VA
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FUND PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, Oppenheimer High Income Fund/VA’s Non-Service shares returned 2.96%, compared to the BofA Merrill Lynch High Yield Master Index, which returned 4.83%.
An economic recovery that began in 2009 continued during the first half of 2010 as manufacturing activity increased, housing markets appeared to stabilize and corporate earnings rebounded. The economic expansion was sparked, in part, by historically low short-term interest rates from the Federal Reserve Board and a massive stimulus program adopted by the Federal Government. Improving economic conditions helped lift the prices of higher yielding fixed-income securities in the first quarter of 2010, including mortgage-backed securities, asset-backed securities and high yield corporate bonds.
Investor sentiment changed sharply in the second quarter, however, when a number of global developments threatened the recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures. Meanwhile, surging property values in China sparked inflation fears, and investors worried that higher short-term interest rates and tighter lending restrictions might damage a primary engine of the global rebound. The United States also encountered greater economic uncertainty when retail sales, employment and housing indicators sent mixed signals regarding the future of the domestic recovery.
As a result, higher yielding sectors of the bond market lost value, giving back many of the reporting period’s previous gains, while traditionally defensive U.S. Government securities generally rallied. The resulting increased market volatility somewhat spooked high yield corporate issuers as second quarter new issuance fell significantly from the first quarter. In spite of this drop, issuance for the entire first half of 2010 was robust, and still put the market on pace to surpass last year’s record of $180 billion. The yield spread between high yield corporate bonds and U.S. Treasuries, one measure of the risk premium in the market, increased during the second quarter. The reversal of the risk appetite that had lasted over the past several quarters was also evident as bonds rated BB outperformed CCC-rated securities during this time.
For the reporting period, the Fund received positive contributions from its exposure to aerospace & defense, broadcasting, and housing-related securities. In terms of detractors from performance, the Fund’s exposure to transportation, financials, gaming-leisure and containers & packaging-related securities negatively impacted performance during the period.
As of June 30, 2010, the Fund’s largest overweights relative to the benchmark were in paper & forest products, containers & packaging, aerospace & defense, and broadcasting-related securities. We believe that these industries should perform well as, in our opinion, they offer attractive valuations. Meanwhile, the Fund was least exposed on a relative basis to financials, metals & mining and utilities related-securities.
While the stellar high yield rally of 2009 slowed considerably during the reporting period, we are still ultimately positive on the high yield space. Although the overshoot in spread widening that occurred at the end of 2008 and early 2009 has been corrected for the most part, spreads are still consistent with coming out of a “normal” recession. While economic data largely continues to improve, unemployment, housing, and the eventual removal of government support programs may hinder growth. As a result, we feel that outperformance for the rest of 2010 may be achieved through specific credit selection. This type of environment should play well to our fundamental, value-oriented process that evaluates market opportunities on a security-by-security basis.
3 | OPPENHEIMER HIGH INCOME FUND/VA
Table of Contents
FUND PERFORMANCE DISCUSSION
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 may invest in below-investment-grade (“junk”) bonds, which are more at risk of default and are subject to liquidity risk. Mortgage-related securities have greater potential for loss when interest rates rise. The Fund also invests in derivative instruments, investments whose values depend on the performance of an underlying security, asset, interest rate, index or currency and 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 and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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 HIGH INCOME FUND/VA
Table of Contents
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, 2010.
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 HIGH INCOME FUND/VA
Table of Contents
FUND EXPENSES Continued
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,029.60 | $ | 3.12 | ||||||
Service shares | 1,000.00 | 1,026.80 | 4.43 | |||||||||
Class 3 | 1,000.00 | 1,029.00 | 3.12 | |||||||||
Class 4 | 1,000.00 | 1,026.30 | 4.43 | |||||||||
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 | |||||||||
Class 3 | 1,000.00 | 1,021.72 | 3.11 | |||||||||
Class 4 | 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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service Shares | 0.62 | % | ||
Service shares | 0.88 | |||
Class 3 | 0.62 | |||
Class 4 | 0.88 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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 HIGH INCOME FUND/VA
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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Corporate Bonds and Notes—87.0% | ||||||||
Consumer Discretionary—20.4% | ||||||||
Auto Components—1.3% | ||||||||
Allison Transmission, Inc., 11% Sr. Nts., 11/1/151 | $ | 1,030,000 | $ | 1,084,075 | ||||
Visteon Corp.: | ||||||||
7% Sr. Unsec. Nts., 3/10/142,3 | 425,000 | 465,375 | ||||||
8.25% Sr. Unsec. Nts., 8/1/102,3 | 45,000 | 49,275 | ||||||
1,598,725 | ||||||||
Diversified Consumer Services—0.3% | ||||||||
StoneMor Operating LLC/Cornerstone Family Service of West Virginia, Inc./Osiris Holdings of Maryland Subsidiary, Inc., 10.25% Sr. Nts., 12/1/171 | 340,000 | 346,800 | ||||||
Hotels, Restaurants & Leisure—5.4% | ||||||||
CCM Merger, Inc., 8% Unsec. Nts., 8/1/131 | 410,000 | 377,200 | ||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/161 | 350,000 | 347,813 | ||||||
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/131,2,3 | 1,155,000 | 79,406 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 1,123,000 | 926,475 | ||||||
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 | 685,000 | 619,925 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 455,000 | 473,200 | ||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/151,2 | 1,505,000 | 237,038 | ||||||
MGM Mirage, Inc.: | ||||||||
5.875% Sr. Nts., 2/27/14 | 430,000 | 342,925 | ||||||
6.75% Sr. Unsec. Nts., 4/1/13 | 965,000 | 866,088 | ||||||
Mohegan Tribal Gaming Authority: | ||||||||
6.125% Sr. Unsec. Sub. Nts., 2/15/13 | 280,000 | 228,200 | ||||||
8% Sr. Sub. Nts., 4/1/12 | 595,000 | 522,113 | ||||||
11.50% Sr. Sec. Nts., 11/1/171 | 675,000 | 671,625 | ||||||
Pinnacle Entertainment, Inc.: | ||||||||
8.625% Sr. Nts., 8/1/171 | 110,000 | 113,850 | ||||||
8.75% Sr. Sub. Nts., 5/15/201 | 235,000 | 218,844 | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/142,3 | 2,595,000 | 32,438 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 750,000 | 761,250 | ||||||
6,818,390 | ||||||||
Household Durables—1.7% | ||||||||
Beazer Homes USA, Inc., 6.875% Sr. Unsec. Nts., 7/15/15 | 345,000 | 304,463 | ||||||
K. Hovnanian Enterprises, Inc.: | ||||||||
7.75% Sr. Unsec. Sub. Nts., 5/15/13 | 285,000 | 249,375 | ||||||
8.875% Sr. Sub. Nts., 4/1/12 | 705,000 | 655,650 | ||||||
Libbey Glass, Inc., 10% Sr. Sec. Nts., 2/15/154 | 445,000 | 462,800 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Luxembourg SA, 8.50% Sr. Nts., 5/15/181 | 480,000 | 473,400 | ||||||
2,145,688 | ||||||||
Leisure Equipment & Products—1.7% | ||||||||
Colt Defense LLC/Colt Finance Corp., 8.75% Sr. Unsec. Nts., 11/15/171 | 500,000 | 398,750 | ||||||
Eastman Kodak Co., 9.75% Sr. Sec. Nts., 3/1/181 | 995,000 | 985,050 | ||||||
Easton-Bell Sports, Inc., 9.75% Sr. Sec. Nts., 12/1/161 | 715,000 | 743,600 | ||||||
2,127,400 | ||||||||
Media—7.1% | ||||||||
American Media Operations, Inc.: | ||||||||
5.895% Sr. Unsec. Nts., 5/1/131,5 | 1,936 | 1,268 | ||||||
9.17% Sr. Sub. Nts., 11/1/131,5 | 2,366,977 | 1,550,370 | ||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 368,000 | 326,600 | ||||||
Cengage Learning Acquisitions, Inc., 13.25% Sr. Sub. Nts., 7/15/151 | 355,000 | 331,925 | ||||||
Charter Communications, Inc., 13.50% Sr. Nts., 11/30/16 | 828,694 | 969,572 | ||||||
Clear Channel Communications, Inc.: | ||||||||
4.40% Sr. Unsec. Unsub. Nts., 5/15/11 | 95,000 | 90,725 | ||||||
6.25% Nts., 3/15/11 | 620,000 | 599,850 | ||||||
10.75% Sr. Unsec. Unsub. Nts., 8/1/16 | 745,000 | 527,088 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/151 | 1,245,000 | 1,213,875 | ||||||
Marquee Holdings, Inc., 9.505% Sr. Nts., 8/15/146 | 310,000 | 256,525 | ||||||
Media General, Inc., 11.75% Sr. Sec. Nts., 2/15/171 | 745,000 | 759,900 | ||||||
MediaNews Group, Inc.: | ||||||||
6.375% Sr. Sub. Nts., 4/1/142 | 1,460,000 | 146 | ||||||
6.875% Sr. Unsec. Sub. Nts., 10/1/132,3 | 2,510,000 | 251 | ||||||
Nexstar Broadcasting, Inc., 8.875% Sr. Sec. Nts., 4/15/171 | 180,000 | 181,800 | ||||||
Radio One, Inc., 6.375% Sr. Unsec. Sub. Nts., 2/15/13 | 140,000 | 119,700 | ||||||
Reader’s Digest Association, Inc., 9.50% Sr. Sec. Nts., 2/15/171,6 | 355,000 | 355,888 | ||||||
TL Acquisitions, Inc., 10.50% Sr. Nts., 1/15/151 | 825,000 | 771,375 |
7 | OPPENHEIMER HIGH INCOME FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Media Continued | ||||||||
Umbrella Acquisition, Inc., 9.135% Sr. Unsec. Unsub. Nts., 3/15/151,5 | $ | 711,688 | $ | 596,039 | ||||
WMG Holdings Corp., 9.50% Sr. Unsec. Nts., 12/15/14 | 360,000 | 360,000 | ||||||
9,012,897 | ||||||||
Multiline Retail—1.2% | ||||||||
Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 | 935,000 | 923,313 | ||||||
Neiman Marcus Group, Inc. (The): | ||||||||
9% Sr. Unsec. Nts., 10/15/15 | 315,000 | 317,363 | ||||||
10.375% Sr. Unsec. Sub. Nts., 10/15/15 | 310,000 | 316,975 | ||||||
1,557,651 | ||||||||
Specialty Retail—1.7% | ||||||||
Burlington Coat Factory Warehouse Corp., 11.125% Sr. Unsec. Nts., 4/15/14 | 1,195,000 | 1,242,800 | ||||||
Toys R Us, Inc., 7.375% Sr. Unsec. Unsub. Bonds, 10/15/18 | 1,005,000 | 949,725 | ||||||
2,192,525 | ||||||||
Consumer Staples—3.9% | ||||||||
Food & Staples Retailing—1.3% | ||||||||
Pantry, Inc. (The), 7.75% Sr. Unsec. Sub. Nts., 2/15/14 | 355,000 | 344,350 | ||||||
Real Time Data Co., 11% Nts., 5/31/092,3,4,5 | 476,601 | — | ||||||
Rite Aid Corp., 7.50% Sr. Sec. Nts., 3/1/17 | 925,000 | 823,250 | ||||||
Susser Holdings LLC/Susser Finance Corp., 8.50% Sr. Nts., 5/15/161 | 515,000 | 517,575 | ||||||
1,685,175 | ||||||||
Food Products—2.4% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/161 | 665,000 | 686,613 | ||||||
ASG Consolidated LLC, 13.65% Sr. Nts., 5/15/171,5 | 540,000 | 490,050 | ||||||
JBS USA LLC/JBS USA Finance, Inc., 11.625% Sr. Nts., 5/1/14 | 590,000 | 664,488 | ||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 | 720,000 | 754,200 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/151 | 380,000 | 366,700 | ||||||
2,962,051 | ||||||||
Household Products—0.2% | ||||||||
Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/181 | 225,000 | 232,313 | ||||||
Energy—10.1% | ||||||||
Energy Equipment & Services—1.9% | ||||||||
Gibson Energy ULC/GEP Midstream Finance Corp., 10% Sr. Unsec. Nts., 1/15/18 | 305,000 | 291,275 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec Nts., 5/1/171 | 935,000 | 902,275 | ||||||
North American Energy Alliance LLC, 10.875% Sr. Sec. Nts., 6/1/161 | 650,000 | 672,750 | ||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/171 | 545,000 | 555,900 | ||||||
2,422,200 | ||||||||
Oil, Gas & Consumable Fuels—8.2% | ||||||||
Alon Refining Krotz Springs, Inc., 13.50% Sr. Sec. Nts., 10/15/14 | 555,000 | 538,350 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Nts., 12/1/171 | 670,000 | 673,350 | ||||||
Atlas Energy Resources LLC, 10.75% Sr. Unsec. Nts., 2/1/18 | 970,000 | 1,039,113 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 | 555,000 | 513,375 | ||||||
Bill Barrett Corp., 9.875% Sr. Nts., 7/15/16 | 585,000 | 623,025 | ||||||
Chaparral Energy, Inc., 8.875% Sr. Unsec. Nts., 2/1/17 | 615,000 | 568,875 | ||||||
Chesapeake Energy Corp., 6.625% Sr. Unsec. Nts., 1/15/16 | 340,000 | 347,225 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Nts., 12/15/171 | 535,000 | 532,325 | ||||||
CONSOL Energy, Inc., 8.25% Sr. Nts., 4/1/201 | 315,000 | 329,963 | ||||||
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875% Sr. Unsec. Nts., 2/15/18 | 195,000 | 195,731 | ||||||
Linn Energy LLC, 8.625% Sr. Unsec. Nts., 4/15/201 | 645,000 | 663,544 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/151 | 1,035,000 | 1,035,000 | ||||||
Penn Virginia Resource Partners LP, 8.25% Sr. Unsec. Unsub. Nts., 4/15/18 | 235,000 | 232,063 | ||||||
Petrohawk Energy Corp., 10.50% Sr. Unsec. Nts., 8/1/14 | 520,000 | 561,600 | ||||||
Quicksilver Resources, Inc.: | ||||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 115,000 | 114,138 | ||||||
9.125% Sr. Unsec. Nts., 8/15/19 | 235,000 | 239,700 | ||||||
11.75% Sr. Nts., 1/1/16 | 615,000 | 681,113 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 95,000 | 99,631 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Nts., 1/15/201 | 560,000 | 534,800 |
8 | OPPENHEIMER HIGH INCOME FUND/VA
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Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
SandRidge Energy, Inc.: Continued | ||||||||
9.875% Sr. Unsec. Nts., 5/15/161 | $ | 565,000 | $ | 576,300 | ||||
Western Refining, Inc., 11.25% Sr. Sec. Nts., 6/15/171 | 305,000 | 279,075 | ||||||
10,378,296 | ||||||||
Financials—5.5% | ||||||||
Capital Markets—2.4% | ||||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 300,000 | 263,250 | ||||||
E*TRADE Financial Corp., 12.50% Sr. Unsec. Unsub. Nts., 11/30/175 | 335,000 | 357,613 | ||||||
Graham Packaging Co. LP, 9.875% Sr. Unsec. Sub. Nts., 10/15/14 | 980,000 | 1,006,950 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., 10.875% Sr. Nts., 4/1/151 | 1,725,000 | 1,362,750 | ||||||
2,990,563 | ||||||||
Commercial Banks—0.5% | ||||||||
CIT Group, Inc., 7% Sr. Sec. Bonds, 5/1/17 | 720,000 | 651,600 | ||||||
Consumer Finance—0.6% | ||||||||
SLM Corp., 8.45% Sr. Unsec. Nts., Series A, 6/15/18 | 660,000 | 610,348 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/151 | 185,000 | 193,325 | ||||||
803,673 | ||||||||
Insurance—1.5% | ||||||||
American General Finance, 6.90% Nts., Series J, 12/15/17 | 535,000 | 428,669 | ||||||
International Lease Finance Corp.: | ||||||||
5.875% Unsec. Unsub. Nts., 5/1/13 | 710,000 | 658,525 | ||||||
8.625% Sr. Nts., 9/15/151 | 410,000 | 389,500 | ||||||
Multiplan, Inc., 10.375% Sr. Sub. Nts., 4/15/161 | 400,000 | 412,000 | ||||||
1,888,694 | ||||||||
Real Estate Management & Development—0.5% | ||||||||
Realogy Corp., 10.50% Sr. Unsec. Nts., 4/15/14 | 700,000 | 596,750 | ||||||
Health Care—5.7% | ||||||||
Health Care Equipment & Supplies—1.0% | ||||||||
Biomet, Inc., 10.375% Sr. Unsec. Nts., 10/15/175 | 460,000 | 496,800 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 385,000 | 378,263 | ||||||
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/155 | 350,000 | 346,500 | ||||||
1,221,563 | ||||||||
Health Care Providers & Services—3.9% | ||||||||
Apria Healthcare Group, Inc., 12.375% Sr. Sec. Nts., 11/1/141 | 555,000 | 595,238 | ||||||
Capella Healthcare, Inc., 9.25% Sr. Unsec. Nts., 7/1/171 | 95,000 | 96,188 | ||||||
Catalent Pharma Solutions, Inc., 8.956% Sr. Unsec. Nts., 4/15/155 | 495,151 | 474,107 | ||||||
Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 | 445,000 | 460,019 | ||||||
HCA, Inc., 6.375% Nts., 1/15/15 | 380,000 | 356,725 | ||||||
HEALTHSOUTH Corp., 10.75% Sr. Unsec. Nts., 6/15/16 | 565,000 | 613,025 | ||||||
OnCure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/171 | 235,000 | 221,488 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Sub. Nts., 4/15/171 | 310,000 | 299,150 | ||||||
Rural/Metro Corp., 0%/12.75% Sr. Unsec. Nts., 3/15/167 | 680,000 | 719,950 | ||||||
US Oncology Holdings, Inc., 6.643% Sr. Unsec. Nts., 3/15/125,6 | 620,000 | 579,700 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 475,000 | 458,375 | ||||||
4,873,965 | ||||||||
Health Care Technology—0.2% | ||||||||
Merge Healthcare, Inc., 11.75% Sr. Sec. Nts., 5/1/151 | 320,000 | 316,800 | ||||||
Pharmaceuticals—0.6% | ||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 715,000 | 754,325 | ||||||
Industrials—13.3% | ||||||||
Aerospace & Defense—2.6% | ||||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/171,8 | 485,000 | 488,638 | ||||||
Hawker Beechcraft Acquisition Co. LLC, 8.50% Sr. Unsec. Nts., 4/1/15 | 1,435,000 | 1,156,969 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/181 | 895,000 | 917,375 | ||||||
Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 | 730,000 | 733,650 | ||||||
3,296,632 | ||||||||
Airlines—2.8% | ||||||||
American Airlines, Inc., 10.50% Sr. Sec. Nts., 10/15/121 | 735,000 | 766,238 | ||||||
Delta Air Lines, Inc.: | ||||||||
9.50% Sr. Sec. Nts., 9/15/141 | 160,000 | 168,800 | ||||||
12.25% Sr. Sec. Nts., 3/15/151 | 1,140,000 | 1,222,650 |
9 | OPPENHEIMER HIGH INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Airlines Continued | ||||||||
United Air Lines, Inc.: | ||||||||
9.875% Sr. Sec. 1st Lien Nts., 8/1/134 | $ | 585,000 | $ | 602,550 | ||||
12% Sr. Sec. 2nd Lien Nts., 11/1/134 | 760,000 | 794,200 | ||||||
3,554,438 | ||||||||
Building Products—1.8% | ||||||||
AMH Holdings, Inc., 11.25% Sr. Unsec. Nts., 3/1/14 | 1,285,000 | 1,317,125 | ||||||
Goodman Global Group, Inc., 11.841% Sr. Nts., 12/15/141,9 | 820,000 | 504,300 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Sub. Nts., 7/15/141 | 485,000 | 493,488 | ||||||
2,314,913 | ||||||||
Commercial Services & Supplies—1.0% | ||||||||
ACCO Brands Corp., 10.625% Sr. Sec. Nts., 3/15/15 | 270,000 | 294,300 | ||||||
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/052,3 | 200,000 | — | ||||||
West Corp., 9.50% Sr. Unsec. Nts., 10/15/14 | 895,000 | 903,950 | ||||||
1,198,250 | ||||||||
Machinery—1.5% | ||||||||
ArvinMeritor, Inc., 10.625% Sr. Unsec. Nts., 3/15/18 | 770,000 | 820,050 | ||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/161 | 480,000 | 469,200 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 635,000 | 590,550 | ||||||
1,879,800 | ||||||||
Marine—0.6% | ||||||||
Marquette Transportation Co., 10.875% Sr. Sec. Nts., 1/15/171 | 725,000 | 714,125 | ||||||
Professional Services—0.8% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/151 | 855,000 | 816,525 | ||||||
Trans Union LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/181 | 150,000 | 156,000 | ||||||
972,525 | ||||||||
Road & Rail—1.3% | ||||||||
Avis Budget Car Rental LLC: | ||||||||
7.625% Sr. Unsec. Unsub. Nts., 5/15/14 | 445,000 | 430,538 | ||||||
9.625% Sr. Nts., 3/15/181 | 65,000 | 65,975 | ||||||
Hertz Corp., 10.50% Sr. Unsec. Sub. Nts., 1/1/16 | 210,000 | 218,925 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/151 | 1,020,000 | 935,850 | ||||||
1,651,288 | ||||||||
Trading Companies & Distributors—0.9% | ||||||||
Ashtead Capital, Inc., 9% Nts., 8/15/161 | 220,000 | 216,700 | ||||||
Ashtead Holdings plc, 8.625% Sr. Sec. Nts., 8/1/151 | 215,000 | 213,925 | ||||||
United Rentals North America, Inc.: | ||||||||
7% Sr. Unsec. Unsub. Nts., 2/15/14 | 495,000 | 467,775 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 12/15/19 | 275,000 | 278,438 | ||||||
1,176,838 | ||||||||
Information Technology—6.4% | ||||||||
Electronic Equipment & Instruments—1.7% | ||||||||
RBS Global, Inc./Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 | 1,050,000 | 1,099,875 | ||||||
Sanmina-SCI Corp., 8.125% Sr. Sub. Nts., 3/1/16 | 1,010,000 | 999,900 | ||||||
2,099,775 | ||||||||
Internet Software & Services—0.5% | ||||||||
Bankrate, Inc., 11.75% Sr. Sec. Nts., 7/15/154,8 | 370,000 | 371,850 | ||||||
Telcordia Technologies, Inc., 11% Sr. Sec. Nts., 5/1/181 | 340,000 | 324,700 | ||||||
696,550 | ||||||||
IT Services—2.4% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | 440,000 | 399,300 | ||||||
First Data Corp., 9.875% Sr. Unsec. Nts., 9/24/15 | 1,360,000 | 1,040,400 | ||||||
SunGard Data Systems, Inc.: | ||||||||
10.25% Sr. Unsec. Sub. Nts., 8/15/15 | 1,202,000 | 1,247,075 | ||||||
10.625% Sr. Unsec. Unsub. Nts., 5/15/15 | 300,000 | 322,125 | ||||||
3,008,900 | ||||||||
Semiconductors & Semiconductor Equipment—1.8% | ||||||||
Freescale Semiconductor, Inc.: | ||||||||
8.875% Sr. Unsec. Nts., 12/15/14 | 660,000 | 605,550 | ||||||
9.25% Sr. Sec. Nts., 4/15/181 | 620,000 | 615,350 | ||||||
NXP BV/NXP Funding LLC: | ||||||||
7.875% Sr. Sec. Nts., 10/18/14 | 640,000 | 590,400 | ||||||
9.50% Sr. Unsec. Unsub. Nts., 10/15/15 | 625,000 | 525,000 | ||||||
2,336,300 | ||||||||
Materials—10.5% | ||||||||
Chemicals—2.9% | ||||||||
Hexion US Finance Corp./Hexion Nova Scota Finance ULC: | ||||||||
8.875% Sr. Sec. Nts., 2/1/18 | 1,025,000 | 930,188 | ||||||
9.75% Sr. Sec. Nts., 11/15/14 | 445,000 | 422,750 | ||||||
Huntsman International LLC: | ||||||||
7.375% Sr. Unsub. Nts., 1/1/15 | 405,000 | 380,700 | ||||||
8.625% Sr. Sub. Nts., 3/15/201 | 350,000 | 324,625 |
10 | OPPENHEIMER HIGH INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Chemicals Continued | ||||||||
Lyondell Chemical Co., 11% Sr. Sec. Nts., 5/1/18 | $ | 629,345 | $ | 678,119 | ||||
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 | 1,010,000 | 896,375 | ||||||
3,632,757 | ||||||||
Containers & Packaging—2.4% | ||||||||
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 | 1,070,000 | 1,035,225 | ||||||
Graphic Packing International, Inc., 9.50% Sr. Unsec. Unsub. Nts., 6/15/17 | 890,000 | 934,500 | ||||||
Jefferson Smurfit Corp.: | ||||||||
7.50% Sr. Unsec. Unsub. Nts., 6/1/132,3 | 205,000 | 159,900 | ||||||
8.25% Sr. Unsec. Nts., 10/1/122,3 | 595,000 | 468,563 | ||||||
Smurfit-Stone Container Corp., 8% Sr. Unsec. Unsub. Nts., 3/15/172,3 | 395,000 | 307,113 | ||||||
Stone Container Corp., 8.375% Sr. Nts., 7/1/122,3 | 205,000 | 160,413 | ||||||
3,065,714 | ||||||||
Metals & Mining—1.1% | ||||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/151 | 485,000 | 412,250 | ||||||
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/156 | 345,000 | 334,650 | ||||||
United Maritime LLC/United Maritime Group Finance Corp., 11.75% Sr. Sec. Nts., 6/15/151 | 610,000 | 579,500 | ||||||
1,326,400 | ||||||||
Paper & Forest Products—4.1% | ||||||||
Abitibi-Consolidated Co. of Canada: | ||||||||
6% Sr. Unsec. Unsub. Nts., 6/20/132,3 | 445,000 | 65,638 | ||||||
7.75% Sr. Unsec. Bonds, 8/1/302,3 | 415,000 | 61,213 | ||||||
8.375% Sr. Unsec. Sub. Nts., 4/1/152,3 | 445,000 | 65,638 | ||||||
Abitibi-Consolidated, Inc., 8.85% Unsec. Bonds, 8/1/302,3 | 220,000 | 32,450 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/151 | 1,265,000 | 1,201,750 | ||||||
Bowater Pulp & Paper Canada, Inc., 10.60% Sr. Unsec. Nts., 1/15/112,3 | 315,000 | 88,200 | ||||||
Bowater, Inc.: | ||||||||
6.50% Sr. Unsec. Nts., 6/15/132,3 | 725,000 | 242,875 | ||||||
9% Sr. Unsec. Nts., 8/1/092,3 | 185,000 | 61,975 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/161 | 647,000 | 511,130 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14 | 1,580,000 | 1,441,750 | ||||||
Verso Paper Holdings LLC: | ||||||||
9.125% Sr. Sec. Nts., 8/1/14 | 540,000 | 518,400 | ||||||
11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 1,055,000 | 904,663 | ||||||
5,195,682 | ||||||||
Telecommunication Services—8.8% | ||||||||
Diversified Telecommunication Services—5.1% | ||||||||
Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 | 340,000 | 331,500 | ||||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | 305,000 | 286,700 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 325,000 | 296,563 | ||||||
Global Crossing Ltd., 12% Sr. Sec. Nts., 9/15/151 | 510,000 | 543,150 | ||||||
Intelsat Bermuda Ltd., 11.25% Sr. Unsec. Nts., 2/4/17 | 615,000 | 625,763 | ||||||
Intelsat Jackson Holdings SA, 11.25% Sr. Unsec. Nts., 6/15/16 | 320,000 | 342,400 | ||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/161 | 900,000 | 868,500 | ||||||
Level 3 Financing, Inc., 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 | 970,000 | 885,125 | ||||||
New Communications Holdings, Inc., 8.50% Sr. Nts., 4/15/201 | 675,000 | 680,063 | ||||||
PAETEC Holding Corp., 9.50% Sr. Unsec. Unsub. Nts., 7/15/15 | 1,230,000 | 1,202,325 | ||||||
Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 310,000 | 313,875 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/102,3 | 1,000,000 | 1 | ||||||
6,375,965 | ||||||||
Wireless Telecommunication Services—3.7% | ||||||||
Clearwire Communications LLC/Clearwire Finance, Inc., 12% Sr. Sec. Nts., 12/1/151 | 865,000 | 861,756 | ||||||
Cricket Communications, Inc., 9.375% Sr. Unsec. Nts., 11/1/14 | 1,210,000 | 1,234,200 | ||||||
MetroPCS Wireless, Inc., 9.25% Sr. Unsec. Nts., 11/1/14 | 1,220,000 | 1,262,700 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 525,000 | 501,375 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 560,000 | 537,600 | ||||||
Sprint Nextel Corp., 8.375% Sr. Unsec. Unsub. Nts., 8/15/17 | 305,000 | 306,525 | ||||||
Teligent, Inc., 11.50% Sr. Nts., 12/1/082,3 | 400,000 | — | ||||||
4,704,156 |
11 | OPPENHEIMER HIGH INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Utilities—2.4% | ||||||||
Electric Utilities—1.0% | ||||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | $ | 1,180,000 | $ | 761,100 | ||||
Energy Future Holdings Corp., 10.875% Sr. Unsec. Nts., 11/1/17 | 250,000 | 186,250 | ||||||
Texas Competitive Electric Holdings Co. LLC, 10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 510,000 | 339,150 | ||||||
1,286,500 | ||||||||
Energy Traders—1.4% | ||||||||
Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 | 370,000 | 294,613 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/201 | 460,000 | 460,000 | ||||||
NRG Energy, Inc.: | ||||||||
7.375% Sr. Nts., 1/15/17 | 335,000 | 332,488 | ||||||
7.375% Sr. Nts., 2/1/16 | 325,000 | 324,188 | ||||||
Reliant Energy, Inc., 7.625% Sr. Unsec. Unsub. Nts., 6/15/14 | 345,000 | 341,550 | ||||||
1,752,839 | ||||||||
Total Corporate Bonds and Notes (Cost $116,469,638) | 109,818,391 |
Shares | ||||||||
Preferred Stocks—1.5% | ||||||||
Ally Financial, Inc., 7%, Non-Vtg.1,3 | 766 | 595,445 | ||||||
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.3,5 | 13,764 | — | ||||||
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.3 | 8,000 | — | ||||||
Greektown Holdings LLC, Preferred Stock3 | 11,550 | 1,305,150 | ||||||
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.3,5 | 342 | — | ||||||
Total Preferred Stocks (Cost $2,837,419) | 1,900,595 | |||||||
Common Stocks—1.8% | ||||||||
American Media, Inc.3,4 | 9,424 | 1 | ||||||
Charter Communications, Inc., Cl. A3 | 40,830 | 1,441,299 | ||||||
Dana Holding Corp.3 | 27,080 | 270,800 | ||||||
Global Aviation Holdings, Inc.3 | 3 | 3,000 | ||||||
Orbcomm, Inc.3 | 1,127 | 2,051 | ||||||
Solutia, Inc.3 | 20,596 | 269,808 | ||||||
Sprint Nextel Corp.3 | 55,547 | 235,519 | ||||||
Total Common Stocks (Cost$2,017,563) | 2,222,478 |
Units | Value | |||||||
Rights, Warrants and Certificates—0.0% | ||||||||
ASG Consolidated LLC/American Seafoods Group Wts., Strike Price $0.01, Exp. 5/15/181,3 | 540 | $ | 40,770 | |||||
Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/113 | 570 | 6 | ||||||
Total Rights, Warrants and Certificates (Cost $8,239) | 40,776 |
Principal | ||||||||
Amount | ||||||||
Loan Participations—3.1% | ||||||||
American Capital, Sr. Sec. Credit Facilities Revolving Term Loan, 6.75%, 5/16/126,8 | $ | 740,000 | 738,150 | |||||
CIT Group, Inc., Sr. Sec. Credit Facilities Expansion Term Loan, Tranche 2A, 9.50%, 1/18/126 | 786,576 | 806,240 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan: | ||||||||
Tranche 3L, 3.195%, 10/19/155,6,8 | 345,100 | 172,895 | ||||||
Tranche B, 3.195%, 10/19/155,6 | 901,153 | 451,477 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/20/15 | 1,195,000 | 1,245,168 | ||||||
Six Flags, Inc., Sr. Sec. Credit Facilities 2nd Lien Exit Term Loan, 9.25%, 10/8/166 | 520,000 | 518,700 | ||||||
Total Loan Participations (Cost $3,813,026) | 3,932,630 |
Shares | ||||||||
Investment Companies—6.4% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%10,11 | 27,717 | 27,717 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%10,12 | 8,103,834 | 8,103,834 | ||||||
Total Investment Companies (Cost $8,131,551) | 8,131,551 | |||||||
Total Investments, at Value (Cost $133,277,436) | 99.8 | % | 126,046,421 | |||||
Other Assets Net of Liabilities | 0.2 | 217,531 | ||||||
Net Assets | 100.0 | % | $ | 126,263,952 | ||||
12 | OPPENHEIMER HIGH INCOME FUND/VA
Table of Contents
Footnotes to Statement of Investments
1. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $40,943,641 or 32.43% of the Fund’s net assets as of June 30, 2010. | |
2. | Issue is in default. See Note 1 of accompanying Notes. | |
3. | Non-income producing security. | |
4. | Restricted security. The aggregate value of restricted securities as of June 30, 2010 was $2,231,401, which represents 1.77% of the Fund’s net assets. |
See Note 6 of accompanying Notes. Information concerning restricted securities is as follows:
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
American Media, Inc. | 2/2/09 | $ | 208,776 | $ | 1 | $ | (208,775 | ) | ||||||||
Bankrate, Inc., 11.75% Sr. Sec. Nts., 7/15/15 | 6/29/10 | 366,585 | 371,850 | 5,265 | ||||||||||||
Libbey Glass, Inc., 10% Sr. Sec. Nts., 2/15/15 | 1/28/10 | 436,989 | 462,800 | 25,811 | ||||||||||||
Real Time Data Co., 11% Nts., 5/31/09 | 6/30/99-5/31/01 | 365,810 | — | (365,810 | ) | |||||||||||
United Air Lines, Inc., 9.875% Sr. Sec. 1st Lien Nts., 8/1/13 | 3/3/10-4/28/10 | 595,232 | 602,550 | 7,318 | ||||||||||||
United Air Lines, Inc., 12% Sr. Sec. 2nd Lien Nts., 11/1/13 | 1/28/10-4/28/10 | 753,647 | 794,200 | 40,553 | ||||||||||||
$ | 2,727,039 | $ | 2,231,401 | $ | (495,638 | ) | ||||||||||
5. | Interest or dividend is paid-in-kind, when applicable. | |
6. | Represents the current interest rate for a variable or increasing rate security. | |
7. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
8. | When-issued security or delayed delivery to be delivered and settled after June 30, 2010. See Note 1 of accompanying Notes. | |
9. | Zero coupon bond reflects effective yield on the date of purchase. | |
10. | Rate shown is the 7-day yield as of June 30, 2010. | |
11. | Interest rate is less than 0.0005%. | |
12. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 2,092,310 | 62,189,519 | 56,177,995 | 8,103,834 |
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 8,103,834 | $ | 6,294 |
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—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
13 | OPPENHEIMER HIGH INCOME FUND/VA
Table of Contents
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, 2010 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: | ||||||||||||||||
Corporate Bonds and Notes | $ | — | $ | 109,729,793 | $ | 88,598 | $ | 109,818,391 | ||||||||
Preferred Stocks | — | 1,900,595 | — | 1,900,595 | ||||||||||||
Common Stocks | 2,219,477 | 1 | 3,000 | 2,222,478 | ||||||||||||
Rights, Warrants and Certificates | — | 40,770 | 6 | 40,776 | ||||||||||||
Loan Participations | — | 3,932,630 | — | 3,932,630 | ||||||||||||
Investment Companies | 8,131,551 | — | — | 8,131,551 | ||||||||||||
Total Assets | $ | 10,351,028 | $ | 115,603,789 | $ | 91,604 | $ | 126,046,421 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Depreciated swaps, at value | $ | — | $ | (35,423 | ) | $ | — | $ | (35,423 | ) | ||||||
Total Liabilities | $ | — | $ | (35,423 | ) | $ | — | $ | (35,423 | ) | ||||||
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 methodologies, if any, during the reporting period.
Credit Default Swap Contracts as of June 30, 2010 are as follows:
Buy/Sell | Notional | Upfront | ||||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Pay/Receive | Termination | Payment | Unrealized | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Fixed Rate | Date | Received/Paid | Value | Depreciation | |||||||||||||||||||||
CDX North America | ||||||||||||||||||||||||||||
High Yield Index, Series 13 | ||||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | $ | 1,980 | 5 | % | 12/20/14 | $ | 13,234 | $ | (35,423 | ) | $ | 22,189 | |||||||||||||||
Total | 1,980 | 13,234 | (35,423 | ) | 22,189 | |||||||||||||||||||||||
Grand Total Buys | — | — | — | |||||||||||||||||||||||||
Grand Total Sells | 13,234 | (35,423 | ) | 22,189 | ||||||||||||||||||||||||
Total Credit Default Swaps | $ | 13,234 | $ | (35,423 | ) | $ | 22,189 | |||||||||||||||||||||
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 | Amount | Reference Asset | |||||||||
on which the Fund Sold Protection | Protection (Undiscounted) | Recoverable* | Rating Range** | |||||||||
Non-Investment Grade Corporate Debt Indexes | $ | 1,980,000 | $ | — | B+ |
* | 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. |
See accompanying Notes to Financial Statements.
14 | OPPENHEIMER HIGH INCOME FUND/VA
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $125,173,602) | $ | 117,942,587 | ||
Affiliated companies (cost $8,103,834) | 8,103,834 | |||
126,046,421 | ||||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 2,619,269 | |||
Investments sold (including $278,066 sold on a when-issued or delayed delivery basis) | 695,046 | |||
Other | 11,766 | |||
Total assets | 129,372,502 | |||
Liabilities | ||||
Depreciated swaps, at value (upfront payments received $13,234) | 35,423 | |||
Payables and other liabilities: | ||||
Investments purchased (including $1,851,151 purchased on a when-issued or delayed delivery basis) | 2,332,698 | |||
Shares of beneficial interest redeemed | 609,204 | |||
Distribution and service plan fees | 43,986 | |||
Shareholder communications | 42,770 | |||
Transfer and shareholder servicing agent fees | 10,431 | |||
Trustees’ compensation | 9,639 | |||
Other | 24,399 | |||
Total liabilities | 3,108,550 | |||
Net Assets | $ | 126,263,952 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 65,917 | ||
Additional paid-in capital | 409,848,343 | |||
Accumulated net investment income | 7,934,131 | |||
Accumulated net realized loss on investments | (284,331,235 | ) | ||
Net unrealized depreciation on investments | (7,253,204 | ) | ||
Net Assets | $ | 126,263,952 | ||
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 $53,311,941 and 27,945,970 shares of beneficial interest outstanding) | $ | 1.91 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $61,413,044 and 32,006,624 shares of beneficial interest outstanding) | $ | 1.92 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $4,583,994 and 2,385,839 shares of beneficial interest outstanding) | $ | 1.92 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $6,954,973 and 3,578,795 shares of beneficial interest outstanding) | $ | 1.94 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010 | ||||
Investment Income | ||||
Interest | $ | 6,671,598 | ||
Dividends: | ||||
Unaffiliated companies | 46 | |||
Affiliated companies | 6,294 | |||
Total investment income | 6,677,938 | |||
Expenses | ||||
Management fees | 503,204 | |||
Distribution and service plan fees: | ||||
Service shares | 79,405 | |||
Class 4 shares | 8,455 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 29,504 | |||
Service shares | 31,779 | |||
Class 3 shares | 2,425 | |||
Class 4 shares | 3,385 | |||
Shareholder communications: | ||||
Non-Service shares | 16,074 | |||
Service shares | 17,165 | |||
Class 3 shares | 1,328 | |||
Class 4 shares | 1,836 | |||
Trustees’ compensation | 5,516 | |||
Custodian fees and expenses | 3,657 | |||
Other | 28,456 | |||
Total expenses | 732,189 | |||
Less waivers and reimbursements of expenses | (229,346 | ) | ||
Net expenses | 502,843 | |||
Net Investment Income | 6,175,095 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 5,834,477 | |||
Swap contracts | (912,875 | ) | ||
Net realized gain | 4,921,602 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (8,397,464 | ) | ||
Swap contracts | 794,513 | |||
Net change in unrealized appreciation/depreciation | (7,602,951 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 3,493,746 | ||
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 6,175,095 | $ | 13,178,458 | ||||
Net realized gain (loss) | 4,921,602 | (120,834,824 | ) | |||||
Net change in unrealized appreciation/depreciation | (7,602,951 | ) | 134,090,272 | |||||
Net increase in net assets resulting from operations | 3,493,746 | 26,433,906 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (3,674,586 | ) | — | |||||
Service shares | (3,877,767 | ) | — | |||||
Class 3 shares | (304,126 | ) | — | |||||
Class 4 shares | (385,856 | ) | — | |||||
(8,242,335 | ) | — | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (11,952,482 | ) | (54,571,861 | ) | ||||
Service shares | (832,830 | ) | 7,675,335 | |||||
Class 3 shares | 87,653 | 2,128,095 | ||||||
Class 4 shares | 94,286 | 1,786,116 | ||||||
(12,603,373 | ) | (42,982,315 | ) | |||||
Net Assets | ||||||||
Total decrease | (17,351,962 | ) | (16,548,409 | ) | ||||
Beginning of period | 143,615,914 | 160,164,323 | ||||||
End of period (including accumulated net investment income of $7,934,131 and $10,001,371, respectively) | $ | 126,263,952 | $ | 143,615,914 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.98 | $ | 1.58 | $ | 7.95 | $ | 8.55 | $ | 8.44 | $ | 8.80 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .09 | .17 | .54 | .57 | .58 | .57 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.03 | ) | .23 | (6.44 | ) | (.56 | ) | .17 | (.37 | ) | ||||||||||||||
Total from investment operations | .06 | .40 | (5.90 | ) | .01 | .75 | .20 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.13 | ) | — | (.47 | ) | (.61 | ) | (.64 | ) | (.56 | ) | |||||||||||||
Net asset value, end of period | $ | 1.91 | $ | 1.98 | $ | 1.58 | $ | 7.95 | $ | 8.55 | $ | 8.44 | ||||||||||||
Total Return, at Net Asset Value2 | 2.96 | % | 25.32 | % | (78.67 | )% | (0.10 | )% | 9.42 | % | 2.31 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 53,312 | $ | 67,385 | $ | 111,040 | $ | 294,819 | $ | 361,445 | $ | 384,726 | ||||||||||||
Average net assets (in thousands) | $ | 59,463 | $ | 71,782 | $ | 211,186 | $ | 335,702 | $ | 365,154 | $ | 444,477 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 9.35 | % | 9.78 | % | 9.30 | % | 6.96 | % | 7.05 | % | 6.79 | % | ||||||||||||
Total expenses | 0.96 | %4 | 0.94 | %4 | 0.80 | %4 | 0.75 | %4 | 0.74 | %4 | 0.75 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.62 | % | 0.57 | % | 0.78 | % | 0.74 | % | 0.74 | % | 0.75 | % | ||||||||||||
Portfolio turnover rate | 69 | % | 128 | % | 53 | %5 | 67 | %5 | 57 | % | 64 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.96 | % | ||
Year Ended December 31, 2009 | 0.96 | % | ||
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.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.99 | $ | 1.58 | $ | 7.89 | $ | 8.50 | $ | 8.39 | $ | 8.76 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .09 | .16 | .54 | .55 | .56 | .55 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.04 | ) | .25 | (6.40 | ) | (.57 | ) | .17 | (.38 | ) | ||||||||||||||
Total from investment operations | .05 | .41 | (5.86 | ) | (.02 | ) | .73 | .17 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | — | (.45 | ) | (.59 | ) | (.62 | ) | (.54 | ) | |||||||||||||
Net asset value, end of period | $ | 1.92 | $ | 1.99 | $ | 1.58 | $ | 7.89 | $ | 8.50 | $ | 8.39 | ||||||||||||
Total Return, at Net Asset Value2 | 2.68 | % | 25.95 | % | (78.57 | )% | (0.47 | )% | 9.23 | % | 2.01 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 61,413 | $ | 64,440 | $ | 43,375 | $ | 157,333 | $ | 173,299 | $ | 155,617 | ||||||||||||
Average net assets (in thousands) | $ | 64,037 | $ | 54,202 | $ | 116,236 | $ | 169,569 | $ | 160,703 | $ | 141,287 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 9.09 | % | 9.60 | % | 9.13 | % | 6.71 | % | 6.80 | % | 6.54 | % | ||||||||||||
Total expenses | 1.21 | %4 | 1.21 | %4 | 1.05 | %4 | 1.01 | %4 | 1.00 | %4 | 1.00 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.88 | % | 0.80 | % | 1.03 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate | 69 | % | 128 | % | 53 | %5 | 67 | %5 | 57 | % | 64 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 1.21 | % | ||
Year Ended December 31, 2009 | 1.23 | % | ||
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.
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FINANCIAL HIGHLIGHTS Continued
Six Months | ||||||||||||||||
Ended | ||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||
Class 3 Shares | (Unaudited) | 2009 | 2008 | 20071 | ||||||||||||
Per Share Operating Data | ||||||||||||||||
Net asset value, beginning of period | $ | 1.99 | $ | 1.57 | $ | 7.98 | $ | 8.26 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income2 | .09 | .17 | .56 | .37 | ||||||||||||
Net realized and unrealized gain (loss) | (.03 | ) | .25 | (6.50 | ) | (.65 | ) | |||||||||
Total from investment operations | .06 | .42 | (5.94 | ) | (.28 | ) | ||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||
Dividends from net investment income | (.13 | ) | — | (.47 | ) | — | ||||||||||
Net asset value, end of period | $ | 1.92 | $ | 1.99 | $ | 1.57 | $ | 7.98 | ||||||||
Total Return, at Net Asset Value3 | 2.90 | % | 26.75 | % | (78.89 | )% | (3.39 | )% | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,584 | $ | 4,684 | $ | 1,582 | $ | 4,921 | ||||||||
Average net assets (in thousands) | $ | 4,887 | $ | 3,568 | $ | 5,292 | $ | 3,750 | ||||||||
Ratios to average net assets:4 | ||||||||||||||||
Net investment income | 9.34 | % | 9.86 | % | 9.29 | % | 6.90 | % | ||||||||
Total expenses5 | 0.96 | % | 0.97 | % | 0.80 | % | 0.76 | % | ||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.62 | % | 0.53 | % | 0.78 | % | 0.75 | % | ||||||||
Portfolio turnover rate | 69 | % | 128 | % | 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 initial 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, 2010 | 0.96 | % | ||
Year Ended December 31, 2009 | 0.99 | % | ||
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.
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Six Months | ||||||||||||||||
Ended | ||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||
Class 4 Shares | (Unaudited) | 2009 | 2008 | 20071 | ||||||||||||
Per Share Operating Data | ||||||||||||||||
Net asset value, beginning of period | $ | 2.01 | $ | 1.59 | $ | 7.97 | $ | 8.26 | ||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income2 | .09 | .16 | .54 | .36 | ||||||||||||
Net realized and unrealized gain (loss) | (.04 | ) | .26 | (6.46 | ) | (.65 | ) | |||||||||
Total from investment operations | .05 | .42 | (5.92 | ) | (.29 | ) | ||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||
Dividends from net investment income | (.12 | ) | — | (.46 | ) | — | ||||||||||
Net asset value, end of period | $ | 1.94 | $ | 2.01 | $ | 1.59 | $ | 7.97 | ||||||||
Total Return, at Net Asset Value3 | 2.63 | % | 26.42 | % | (78.63 | )% | (3.51 | )% | ||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,955 | $ | 7,107 | $ | 4,167 | $ | 9,476 | ||||||||
Average net assets (in thousands) | $ | 6,821 | $ | 6,285 | $ | 10,658 | $ | 7,201 | ||||||||
Ratios to average net assets:4 | ||||||||||||||||
Net investment income | 9.08 | % | 9.62 | % | 9.00 | % | 6.61 | % | ||||||||
Total expenses5 | 1.21 | % | 1.19 | % | 1.07 | % | 1.05 | % | ||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.88 | % | 0.80 | % | 1.05 | % | 1.04 | % | ||||||||
Portfolio turnover rate | 69 | % | 128 | % | 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 initial 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, 2010 | 1.21 | % | ||
Year Ended December 31, 2009 | 1.21 | % | ||
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.
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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 from investment in high-yield, fixed-income securities. The Fund’s investment adviser is Oppenheimer Funds, 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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
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“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.
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.
There have been no significant changes to the fair valuation methodologies of the Fund 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 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, 2010, 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 | $ | 1,851,151 | ||
Sold securities | 278,066 |
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. Information concerning securities in default as of June 30, 2010 is as follows:
Cost | $ | 10,880,403 | ||
Market Value | $ | 2,577,908 | ||
Market Value as a % of Net Assets | 2.04 | % |
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. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management
23 | OPPENHEIMER HIGH INCOME FUND/VA
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
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, 2009, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes post-October losses of $1,460,947 and unused capital loss carryforwards as follows:
Expiring | ||||
2010 | $ | 56,061,391 | ||
2011 | 8,529,303 | |||
2012 | 128,504 | |||
2016 | 48,495,519 | |||
2017 | 173,559,649 | |||
Total | $ | 286,774,366 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $283,313,711 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $4,921,602 of 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, 2010 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 | $ | 134,385,876 | ||
Federal tax cost of other investments | (13,234 | ) | ||
Total federal tax cost | $ | 134,372,642 | ||
Gross unrealized appreciation | $ | 5,149,677 | ||
Gross unrealized depreciation | (13,511,321 | ) | ||
Net unrealized depreciation | $ | (8,361,644 | ) | |
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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.
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 5,635,444 | $ | 11,025,016 | 20,776,611 | $ | 33,067,312 | ||||||||||
Dividends and/or distributions reinvested | 1,954,567 | 3,674,586 | — | — | ||||||||||||
Redeemed | (13,651,237 | ) | (26,652,084 | ) | (56,972,656 | ) | (87,639,173 | ) | ||||||||
Net decrease | (6,061,226 | ) | $ | (11,952,482 | ) | (36,196,045 | ) | $ | (54,571,861 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 1,274,964 | $ | 2,514,342 | 10,597,049 | $ | 17,230,535 | ||||||||||
Dividends and/or distributions reinvested | 2,040,930 | 3,877,767 | — | — | ||||||||||||
Redeemed | (3,697,206 | ) | (7,224,939 | ) | (5,702,302 | ) | (9,555,200 | ) | ||||||||
Net increase (decrease) | (381,312 | ) | $ | (832,830 | ) | 4,894,747 | $ | 7,675,335 | ||||||||
Class 3 Shares | ||||||||||||||||
Sold | 933,887 | $ | 1,832,497 | 2,785,296 | $ | 4,527,494 | ||||||||||
Dividends and/or distributions reinvested | 160,066 | 304,126 | — | — | ||||||||||||
Redeemed | (1,057,303 | ) | (2,048,970 | )1 | (1,445,037 | ) | (2,399,399 | )2 | ||||||||
Net increase | 36,650 | $ | 87,653 | 1,340,259 | $ | 2,128,095 | ||||||||||
Class 4 Shares | ||||||||||||||||
Sold | 1,014,605 | $ | 2,016,858 | 3,615,090 | $ | 5,889,866 | ||||||||||
Dividends and/or distributions reinvested | 200,967 | 385,856 | — | — | ||||||||||||
Redeemed | (1,170,012 | ) | (2,308,428 | )1 | (2,698,668 | ) | (4,103,750 | )2 | ||||||||
Net increase | 45,560 | $ | 94,286 | 916,422 | $ | 1,786,116 | ||||||||||
1. | Net of redemption fees of $1,628 and $9,184 for Class 3 and Class 4 shares, respectively. | |
2. | Net of redemption fees of $3,548 and $4,585 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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 71,346,758 | $ | 84,286,287 |
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 |
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Transfer Agent Fees. OppenheimerFunds Services (“OFS”), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $68,797 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 0.25% of the daily 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. From April 1, 2009 through March 31, 2010, the Manager agreed to voluntarily waive its advisory fee by 0.26% of the Fund’s average annual net assets. This voluntary waiver was applied after all other waivers and/or reimbursements. During the six months ended June 30, 2010, the Manager waived $87,865.
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, 2010, the Manager waived fees and/or reimbursed the Fund $61,017, $65,228, $5,014, and $6,942 for Non-Service, Service, Class 3 and Class 4 shares, respectively.
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, 2010, the Manager waived fees and/or reimbursed the Fund $3,280 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.
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. 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 certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty.
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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 certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.
As of June 30, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $35,423 for which collateral was not posted by the Fund. Securities held in collateralized accounts to cover these liabilities are noted in the Statement of Investments, if applicable. If a contingent feature would have been triggered as of June 30, 2010, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities; securities posted as collateral, if any, are reported on the Statement of Investments.
Valuations of derivative instruments as of June 30, 2010 are as follows:
Liability Derivatives | ||||||
Derivatives not | Statement of | |||||
Accounted for as | Assets and | |||||
Hedging Instruments | Liabilities Location | Value | ||||
Credit contracts | Depreciated swaps, at value | $ | 35,423 |
The effect of derivative instruments on the Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives
Derivatives not | ||||
Accounted for as | ||||
Hedging Instruments | Swap contracts | |||
Credit contracts | $ | (912,875 | ) |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives
Derivatives not | ||||
Accounted for as | ||||
Hedging Instruments | Swap contracts | |||
Credit contracts | $ | 794,513 |
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 values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. The unrealized appreciation
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
(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.
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.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
6. Restricted Securities
As of June 30, 2010, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
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7. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
8. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff ”). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Joseph Welsh, Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved.
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OPPENHEIMER MAIN STREET FUND®/VA
Fund Objective. Oppenheimer Main Street® Fund/VA seeks high total return from equity and debt securities.
Portfolio Managers: Manind Govil and Benjamin Ram
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
For the 6-Month Period Ended 6/30/10
Non-Service Shares | –7.08 | % | ||
Service Shares | –7.22 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 11.28% | –1.27% | –1.49% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (7/13/00) | ||||||||||
Service Shares | 11.00% | –1.52% | –2.01% |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Non-Service Shares | 0.78 | % | ||
Service Shares | 1.03 |
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.
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings
Apple, Inc. | 4.4 | % | ||
Philip Morris International, Inc. | 4.3 | |||
Occidental Petroleum Corp. | 3.4 | |||
Chevron Corp. | 3.2 | |||
McDonald’s Corp. | 3.1 | |||
CIT Group, Inc. | 3.0 | |||
Wells Fargo & Co. | 2.8 | |||
General Mills, Inc. | 2.8 | |||
eBay, Inc. | 2.6 | |||
Ford Motor Co. | 2.6 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
2 | OPPENHEIMER MAIN STREET FUND/VA
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FUND PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, Oppenheimer Main Street Fund/VA’s Non-Service shares produced a return of –7.08%, lower than its benchmark, the S&P 500 Index, which returned –6.64%, but higher than the –7.79% return of the Lipper VA Large-Cap Core Funds Index. The Fund’s sector allocation strategy generally proved supportive of relative performance, but its stock selection strategy fell short of market averages in the utilities and information technology sectors. During the reporting period, we believe performance was negatively impacted by macroeconomic concerns and what we view as exaggerated fears of a double dip recession. In our opinion, the losses experienced during the reporting period represent a temporary pause, and the markets will continue on a long-term, upward trend.
Economic and Market Overview
The first half of 2010 saw a continuation of the economic recovery that began in 2009. Improving manufacturing activity and a rebound in corporate earnings helped bolster the confidence of consumers, businesses and investors, adding a degree of support to the economic expansion. However, the rebound proved to be more sluggish than most previous recoveries, as stubbornly high unemployment and ongoing weakness in housing markets produced headwinds that constrained the pace of economic growth. Nonetheless, improved investor sentiment helped sustain a stock market rally through the first four months of the year. As it was in 2009, the rally was led by smaller, more speculative stocks that had been severely beaten down during the recession and financial crisis.
The investment climate changed significantly in May, when a number of developments appeared to threaten the global economic recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures. Meanwhile, robust economic growth in China seemed to spark local inflationary pressures, particularly in urban property markets. The Chinese government raised short-term interest rates and adopted other measures intended to forestall an acceleration of inflation, but global investors grew concerned that these measures might choke off regional economic growth, which has been a key driver of the global recovery. Finally, economic concerns intensified in the United States, where employment gains have remained relatively modest, real estate markets have continued to struggle and consumers have been reluctant to spend. Consequently, stock prices fell sharply in May and June, giving back all of their previous 2010 gains and ending the reporting period lower than where they began. Large, high quality companies that had lagged during the rally generally held up better than market averages during May and June.
Fund Strategy
Market volatility in May and June dampened Fund returns for the reporting period, but we continued our focus on adding value through a combination of quantitative and fundamental research into high-quality companies. We favor stocks that, in our judgment, fall into one of three categories: 1) sustainable competitive advantages; 2) strong execution; and 3) opportunistic trades. Fund holdings that we believe have sustainable competitive advantages include electronics innovator Apple, Inc., our largest holding at period end, which gained considerable value amid the successful launch of the popular iPad device. In our “strong execution” category, cable television operator Time Warner Cable, Inc. advanced from an attractive valuation at the start of the year due to favorable results from a sound business plan. Under our third category, successful opportunistic trades during the period included Hyatt Hotels Corp., which we purchased at its initial public offering at what we regarded as a substantial discount to its intrinsic value. Other winners during the first half of 2010 included McDonald’s Corp., which enjoyed improved store traffic despite a soft retail environment. Trash hauler Republic Services, Inc. also fared well when strong pricing helped boost earnings above analysts’ expectations.
3 | OPPENHEIMER MAIN STREET FUND/VA
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FUND PERFORMANCE DISCUSSION
These positive contributors to the Fund’s relative performance were outweighed by a handful of disappointments in the utilities and information technology sectors. Among utilities, power producer The AES Corp. declined when a strengthening U.S. dollar dampened profits from international operations, and investors reacted negatively to a discounted sale of stock to an overseas investor. In the information technology sector, mobile telephony software developer QUALCOMM, Inc. also was hurt by adverse changes in currency exchange rates, as well as concerns regarding the sustainability of licensing revenues in an increasingly bifurcated handset market. In other areas, financial giant Wells Fargo & Co. declined due to macroeconomic concerns despite strong operations. Similarly, custodial bank State Street Corp. proved sensitive to faltering capital markets as well as shortfalls in its foreign exchange and securities lending businesses. Although Ford Motor Co. has gained market share and returned to profitability, its stock suffered when economic worries intensified. Overweights to these aforementioned securities detracted from relative Fund performance.
As of midyear, we believe that recent bouts of economic and market weakness represent a pause in a longer-term, upward trend. We expect economic fears to abate during the second half of the year as the subpar recovery remains intact. In this sluggish environment, we believe that investors will gravitate toward high-quality companies with a demonstrable ability to manage their businesses more effectively than their rivals. Indeed, we anticipate a stock picker’s market in which winners are rewarded and laggards are punished. Such an environment may be particularly well suited to our fundamentally driven, bottom-up investment approach.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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
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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, 2010.
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, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 929.20 | $ | 3.74 | ||||||
Service Shares | 1,000.00 | 927.80 | 4.89 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,020.93 | 3.92 | |||||||||
Service Shares | 1,000.00 | 1,019.74 | 5.12 |
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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service Shares | 0.78 | % | ||
Service Shares | 1.02 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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 FUND/VA
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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Shares | Value | |||||||
Common Stocks—98.6% | ||||||||
Consumer Discretionary—14.5% | ||||||||
Automobiles—2.6% | ||||||||
Ford Motor Co.1 | 3,838,100 | $ | 38,688,048 | |||||
Diversified Consumer Services—0.4% | ||||||||
H&R Block, Inc. | 385,734 | 6,052,166 | ||||||
Hotels, Restaurants & Leisure—4.5% | ||||||||
Hyatt Hotels Corp., Cl. A1 | 586,120 | 21,739,191 | ||||||
McDonald’s Corp. | 719,416 | 47,387,932 | ||||||
69,127,123 | ||||||||
Media—4.1% | ||||||||
McGraw-Hill Cos., Inc. (The) | 997,601 | 28,072,492 | ||||||
Time Warner Cable, Inc. | 440,614 | 22,947,177 | ||||||
Washington Post Co. (The), Cl. B | 27,098 | 11,123,187 | ||||||
62,142,856 | ||||||||
Specialty Retail—2.9% | ||||||||
AutoZone, Inc.1 | 87,300 | 16,868,106 | ||||||
Best Buy Co., Inc. | 785,971 | 26,612,978 | ||||||
43,481,084 | ||||||||
Consumer Staples—10.6% | ||||||||
Food Products—5.0% | ||||||||
General Mills, Inc. | 1,181,250 | 41,958,000 | ||||||
Mead Johnson Nutrition Co., Cl. A | 467,212 | 23,416,665 | ||||||
Unilever NV, NY Shares | 381,600 | 10,425,312 | ||||||
75,799,977 | ||||||||
Household Products—1.3% | ||||||||
Colgate-Palmolive Co. | 234,964 | 18,505,765 | ||||||
Tobacco—4.3% | ||||||||
Philip Morris International, Inc. | 1,423,499 | 65,253,194 | ||||||
Energy—9.9% | ||||||||
Oil, Gas & Consumable Fuels—9.9% | ||||||||
Chevron Corp. | 714,929 | 48,515,082 | ||||||
Enterprise Products Partners LP | 566,070 | 20,021,896 | ||||||
Noble Energy, Inc. | 251,800 | 15,191,094 | ||||||
Occidental Petroleum Corp. | 662,200 | 51,088,730 | ||||||
Plains All American Pipeline LP | 264,911 | 15,550,276 | ||||||
150,367,078 | ||||||||
Financials—15.2% | ||||||||
Capital Markets—2.7% | ||||||||
Goldman Sachs Group, Inc. (The) | 116,200 | 15,253,574 | ||||||
State Street Corp. | 760,492 | 25,719,839 | ||||||
40,973,413 | ||||||||
Commercial Banks—5.8% | ||||||||
CIT Group, Inc.1 | 1,336,400 | 45,250,504 | ||||||
Wells Fargo & Co. | 1,665,900 | 42,647,040 | ||||||
87,897,544 | ||||||||
Consumer Finance—2.0% | ||||||||
American Express Co. | 735,570 | 29,202,129 | ||||||
Diversified Financial Services—2.6% | ||||||||
Citigroup, Inc.1 | 8,675,500 | 32,619,880 | ||||||
Leucadia National Corp.1 | 356,292 | 6,951,257 | ||||||
39,571,137 | ||||||||
Insurance—2.1% | ||||||||
AFLAC, Inc. | 378,500 | 16,150,595 | ||||||
Progressive Corp. | 822,100 | 15,389,712 | ||||||
31,540,307 | ||||||||
Health Care—12.6% | ||||||||
Biotechnology—2.0% | ||||||||
Celgene Corp.1 | 421,152 | 21,402,945 | ||||||
Human Genome Sciences, Inc.1 | 389,800 | 8,832,868 | ||||||
30,235,813 | ||||||||
Health Care Equipment & Supplies—1.7% | ||||||||
Covidien plc | 109,427 | 4,396,777 | ||||||
Medtronic, Inc. | 588,200 | 21,334,014 | ||||||
25,730,791 | ||||||||
Health Care Providers & Services—2.3% | ||||||||
Express Scripts, Inc.1 | 189,100 | 8,891,482 | ||||||
WellPoint, Inc.1 | 509,700 | 24,939,621 | ||||||
33,831,103 | ||||||||
Pharmaceuticals—6.6% | ||||||||
Abbott Laboratories | 764,180 | 35,748,340 | ||||||
Merck & Co., Inc. | 1,105,198 | 38,648,774 | ||||||
Perrigo Co. | 72,200 | 4,264,854 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | 409,100 | 21,269,109 | ||||||
99,931,077 | ||||||||
Industrials—12.5% | ||||||||
Aerospace & Defense—3.0% | ||||||||
Boeing Co. (The) | 316,700 | 19,872,925 | ||||||
Precision Castparts Corp. | 241,900 | 24,896,348 | ||||||
44,769,273 | ||||||||
Air Freight & Logistics—1.2% | ||||||||
United Parcel Service, Inc., Cl. B | 307,300 | 17,482,297 |
6 | OPPENHEIMER MAIN STREET FUND/VA
Table of Contents
Shares | Value | |||||||
Commercial Services & Supplies—2.4% | ||||||||
Republic Services, Inc. | 1,202,464 | $ | 35,749,255 | |||||
Construction & Engineering—1.0% | ||||||||
KBR, Inc. | 782,254 | 15,911,046 | ||||||
Industrial Conglomerates—3.5% | ||||||||
General Electric Co. | 1,194,800 | 17,229,016 | ||||||
Tyco International Ltd. | 1,007,350 | 35,488,941 | ||||||
52,717,957 | ||||||||
Professional Services—1.4% | ||||||||
Verisk Analytics, Inc., Cl. A1 | 698,080 | 20,872,592 | ||||||
Information Technology—16.8% | ||||||||
Communications Equipment—2.2% | ||||||||
QUALCOMM, Inc. | 1,029,531 | 33,809,798 | ||||||
Computers & Peripherals—4.4% | ||||||||
Apple, Inc.1 | 266,682 | 67,078,523 | ||||||
Internet Software & Services—4.5% | ||||||||
eBay, Inc.1 | 2,021,305 | 39,637,791 | ||||||
Google, Inc., Cl. A1 | 64,170 | 28,552,442 | ||||||
68,190,233 | ||||||||
IT Services—1.9% | ||||||||
Accenture plc, Cl. A | 62,380 | 2,410,987 | ||||||
Hewitt Associates, Inc.1 | 381,203 | 13,136,255 | ||||||
Western Union Co. | 859,389 | 12,813,490 | ||||||
28,360,732 | ||||||||
Software—3.8% | ||||||||
Adobe Systems, Inc.1 | 260,676 | 6,889,667 | ||||||
Check Point Software Technologies Ltd.1 | 656,480 | 19,353,030 | ||||||
Microsoft Corp. | 1,353,857 | 31,152,250 | ||||||
57,394,947 | ||||||||
Materials—1.4% | ||||||||
Chemicals—1.4% | ||||||||
Praxair, Inc. | 280,400 | 21,307,596 | ||||||
Telecommunication Services—1.9% | ||||||||
Wireless Telecommunication Services—1.9% | ||||||||
America Movil SAB de CV, ADR, Series L | 599,396 | 28,471,310 | ||||||
Utilities—3.2% | ||||||||
Energy Traders—2.5% | ||||||||
AES Corp. (The)1 | 4,106,600 | 37,944,984 | ||||||
Multi-Utilities—0.7% | ||||||||
Public Service Enterprise Group, Inc. | 345,287 | 10,817,842 | ||||||
Total Common Stocks (Cost $1,410,254,106) | 1,489,208,990 | |||||||
Investment Companies—0.9% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,3 | 53,561 | 53,561 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%2,4 | 13,275,228 | 13,275,228 | ||||||
Total Investment Companies (Cost $13,328,789) | 13,328,789 | |||||||
Total Investments, at Value (Cost $1,423,582,895) | 99.5 | % | 1,502,537,779 | |||||
Other Assets Net of Liabilities | 0.5 | 6,929,871 | ||||||
Net Assets | 100.0 | % | $ | 1,509,467,650 | ||||
Footnotes to Statement of Investments | ||
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2010. | |
3. | Interest rate is less than 0.0005%. | |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 2,607,806 | 244,960,068 | 234,292,646 | 13,275,228 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 13,275,228 | $ | 14,809 |
7 | OPPENHEIMER MAIN STREET FUND/VA
Table of Contents
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—significant 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, 2010 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 | $ | 219,491,277 | $ | — | $ | — | $ | 219,491,277 | ||||||||
Consumer Staples | 159,558,936 | — | — | 159,558,936 | ||||||||||||
Energy | 150,367,078 | — | — | 150,367,078 | ||||||||||||
Financials | 229,184,530 | — | — | 229,184,530 | ||||||||||||
Health Care | 189,728,784 | — | — | 189,728,784 | ||||||||||||
Industrials | 187,502,420 | — | — | 187,502,420 | ||||||||||||
Information Technology | 254,834,233 | — | — | 254,834,233 | ||||||||||||
Materials | 21,307,596 | — | — | 21,307,596 | ||||||||||||
Telecommunication Services | 28,471,310 | — | — | 28,471,310 | ||||||||||||
Utilities | 48,762,826 | — | — | 48,762,826 | ||||||||||||
Investment Companies | 13,328,789 | — | — | 13,328,789 | ||||||||||||
Total Assets | $ | 1,502,537,779 | $ | — | $ | — | $ | 1,502,537,779 | ||||||||
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 methodologies, if any, during the reporting period.
See accompanying Notes to Financial Statements.
8 | OPPENHEIMER MAIN STREET FUND/VA
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,410,307,667) | $ | 1,489,262,551 | ||
Affiliated companies (cost $13,275,228) | 13,275,228 | |||
1,502,537,779 | ||||
Receivables and other assets: | ||||
Investments sold | 5,014,233 | |||
Dividends | 2,212,574 | |||
Shares of beneficial interest sold | 1,787,208 | |||
Other | 43,458 | |||
Total assets | 1,511,595,252 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 1,002,419 | |||
Distribution and service plan fees | 732,327 | |||
Shareholder communications | 213,608 | |||
Transfer and shareholder servicing agent fees | 130,800 | |||
Trustees’ compensation | 25,446 | |||
Other | 23,002 | |||
Total liabilities | 2,127,602 | |||
Net Assets | $ | 1,509,467,650 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 90,808 | ||
Additional paid-in capital | 1,918,990,696 | |||
Accumulated net investment income | 6,949,268 | |||
Accumulated net realized loss on investments | (495,518,006 | ) | ||
Net unrealized appreciation on investments | 78,954,884 | |||
Net Assets | $ | 1,509,467,650 | ||
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 $407,282,099 and 24,373,745 shares of beneficial interest outstanding) | $ | 16.71 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,102,185,551 and 66,434,437 shares of beneficial interest outstanding) | $ | 16.59 |
See accompanying Notes to Financial Statements.
9 | OPPENHEIMER MAIN STREET FUND/VA
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010 | ||||
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $45,288) | $ | 13,894,928 | ||
Affiliated companies | 14,809 | |||
Interest | 124 | |||
Total investment income | 13,909,861 | |||
Expenses | ||||
Management fees | 5,384,138 | |||
Distribution and service plan fees—Service shares | 1,470,901 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 230,632 | |||
Service shares | 597,291 | |||
Shareholder communications: | ||||
Non-Service shares | 34,006 | |||
Service shares | 87,136 | |||
Trustees’ compensation | 31,207 | |||
Custodian fees and expenses | 4,806 | |||
Other | 56,729 | |||
Total expenses | 7,896,846 | |||
Less waivers and reimbursements of expenses | (18,219 | ) | ||
Net expenses | 7,878,627 | |||
Net Investment Income | 6,031,234 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 63,843,059 | |||
Net change in unrealized appreciation/depreciation on investments | (182,877,378 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (113,003,085 | ) | |
See accompanying Notes to Financial Statements.
10 | OPPENHEIMER MAIN STREET FUND/VA
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 6,031,234 | $ | 17,132,592 | ||||
Net realized gain (loss) | 63,843,059 | (277,476,159 | ) | |||||
Net change in unrealized appreciation/depreciation | (182,877,378 | ) | 638,505,737 | |||||
Net increase (decrease) in net assets resulting from operations | (113,003,085 | ) | 378,162,170 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (5,119,114 | ) | (8,430,011 | ) | ||||
Service shares | (11,011,249 | ) | (16,363,358 | ) | ||||
(16,130,363 | ) | (24,793,369 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (31,230,986 | ) | (56,849,676 | ) | ||||
Service shares | 40,984,838 | (120,134,918 | ) | |||||
9,753,852 | (176,984,594 | ) | ||||||
Net Assets | ||||||||
Total increase (decrease) | (119,379,596 | ) | 176,384,207 | |||||
Beginning of period | 1,628,847,246 | 1,452,463,039 | ||||||
End of period (including accumulated net investment income of $6,949,268 and $17,048,397, respectively) | $ | 1,509,467,650 | $ | 1,628,847,246 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.18 | $ | 14.56 | $ | 25.61 | $ | 24.78 | $ | 21.79 | $ | 20.84 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .08 | .21 | .29 | .33 | .27 | .26 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.35 | ) | 3.71 | (9.64 | ) | .75 | 2.98 | .97 | ||||||||||||||||
Total from investment operations | (1.27 | ) | 3.92 | (9.35 | ) | 1.08 | 3.25 | 1.23 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.20 | ) | (.30 | ) | (.32 | ) | (.25 | ) | (.26 | ) | (.28 | ) | ||||||||||||
Distributions from net realized gain | — | — | (1.38 | ) | — | — | — | |||||||||||||||||
Total dividends and/or distributions to shareholders | (.20 | ) | (.30 | ) | (1.70 | ) | (.25 | ) | (.26 | ) | (.28 | ) | ||||||||||||
Net asset value, end of period | $ | 16.71 | $ | 18.18 | $ | 14.56 | $ | 25.61 | $ | 24.78 | $ | 21.79 | ||||||||||||
Total Return, at Net Asset Value2 | (7.08 | )% | 28.29 | % | (38.47 | )% | 4.43 | % | 15.03 | % | 5.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 407,282 | $ | 474,637 | $ | 432,360 | $ | 907,727 | $ | 1,046,146 | $ | 1,121,476 | ||||||||||||
Average net assets (in thousands) | $ | 464,899 | $ | 430,517 | $ | 670,994 | $ | 1,006,655 | $ | 1,054,522 | $ | 1,156,299 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.90 | % | 1.35 | % | 1.42 | % | 1.28 | % | 1.19 | % | 1.26 | % | ||||||||||||
Total expenses | 0.78 | %4 | 0.78 | %4 | 0.66 | %4 | 0.65 | %4 | 0.66 | %4 | 0.67 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.78 | % | 0.78 | % | 0.66 | % | 0.65 | % | 0.66 | % | 0.67 | % | ||||||||||||
Portfolio turnover rate | 29 | % | 128 | % | 132 | % | 111 | % | 100 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.78 | % | ||
Year Ended December 31, 2009 | 0.78 | % | ||
Year Ended December 31, 2008 | 0.66 | % | ||
Year Ended December 31, 2007 | 0.65 | % | ||
Year Ended December 31, 2006 | 0.66 | % |
See accompanying Notes to Financial Statements.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.04 | $ | 14.42 | $ | 25.38 | $ | 24.58 | $ | 21.63 | $ | 20.70 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .06 | .17 | .24 | .26 | .22 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.35 | ) | 3.70 | (9.56 | ) | .75 | 2.95 | .96 | ||||||||||||||||
Total from investment operations | (1.29 | ) | 3.87 | (9.32 | ) | 1.01 | 3.17 | 1.17 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.25 | ) | (.26 | ) | (.21 | ) | (.22 | ) | (.24 | ) | ||||||||||||
Distributions from net realized gain | — | — | (1.38 | ) | — | — | — | |||||||||||||||||
Total dividends and/or distributions to shareholders | (.16 | ) | (.25 | ) | (1.64 | ) | (.21 | ) | (.22 | ) | (.24 | ) | ||||||||||||
Net asset value, end of period | $ | 16.59 | $ | 18.04 | $ | 14.42 | $ | 25.38 | $ | 24.58 | $ | 21.63 | ||||||||||||
Total Return, at Net Asset Value2 | (7.22 | )% | 27.99 | % | (38.63 | )% | 4.15 | % | 14.76 | % | 5.74 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,102,186 | $ | 1,154,210 | $ | 1,020,103 | $ | 1,464,690 | $ | 1,099,293 | $ | 598,348 | ||||||||||||
Average net assets (in thousands) | $ | 1,204,019 | $ | 1,029,909 | $ | 1,268,430 | $ | 1,315,488 | $ | 810,181 | $ | 462,272 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.66 | % | 1.10 | % | 1.20 | % | 1.03 | % | 0.95 | % | 1.02 | % | ||||||||||||
Total expenses | 1.02 | %4 | 1.03 | %4 | 0.91 | %4 | 0.90 | %4 | 0.91 | %4 | 0.91 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.02 | % | 1.03 | % | 0.91 | % | 0.90 | % | 0.91 | % | 0.91 | % | ||||||||||||
Portfolio turnover rate | 29 | % | 128 | % | 132 | % | 111 | % | 100 | % | 88 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 1.02 | % | ||
Year Ended December 31, 2009 | 1.03 | % | ||
Year Ended December 31, 2008 | 0.91 | % | ||
Year Ended December 31, 2007 | 0.90 | % | ||
Year Ended December 31, 2006 | 0.91 | % |
See accompanying Notes to Financial Statements.
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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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
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
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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. Shares of IMMF are valued at their net asset value per share. 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.
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.
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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
During the fiscal year ended December 31, 2009, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes unused capital loss carryforwards as follows:
Expiring | ||||
2016 | $ | 217,993,206 | ||
2017 | 332,180,451 | |||
Total | $ | 550,173,657 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $486,330,598 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $63,843,059 of 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, 2010 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 | $ | 1,433,085,452 | ||
Gross unrealized appreciation | $ | 153,182,744 | ||
Gross unrealized depreciation | (83,730,417 | ) | ||
Net unrealized appreciation | $ | 69,452,327 | ||
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
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,471,678 | $ | 27,054,741 | 2,817,732 | $ | 41,817,781 | ||||||||||
Dividends and/or distributions reinvested | 279,275 | 5,119,114 | 776,960 | 8,430,011 | ||||||||||||
Redeemed | (3,481,773 | ) | (63,404,841 | ) | (7,176,221 | ) | (107,097,468 | ) | ||||||||
Net decrease | (1,730,820 | ) | $ | (31,230,986 | ) | (3,581,529 | ) | $ | (56,849,676 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 6,347,046 | $ | 111,962,622 | 8,552,121 | $ | 117,291,434 | ||||||||||
Dividends and/or distributions reinvested | 604,681 | 11,011,249 | 1,515,498 | 16,352,225 | ||||||||||||
Redeemed | (4,503,414 | ) | (81,989,033 | ) | (16,800,298 | ) | (253,778,577 | ) | ||||||||
Net increase (decrease) | 2,448,313 | $ | 40,984,838 | (6,732,679 | ) | $ | (120,134,918 | ) | ||||||||
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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 471,296,989 | $ | 475,923,385 |
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $836,217 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 0.25% of the daily 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 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, 2010, the Manager waived and/or reimbursed the Fund $2,971 and $7,176 for Non-Service and Service shares, respectively.
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, 2010, the Manager waived fees and/or reimbursed the Fund $8,072 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
5. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
6. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
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In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Manind Govil, Vice President and Portfolio Manager | ||
Benjamin Ram, Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved. |
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June 30, 2010 Oppenheimer Main Street Small Cap Fund®/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMI ANNUAL REPORT Fund Performance Discussion Listing of Top Holdings Listing of Investments Financial Statements |
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OPPENHEIMER MAIN STREET SMALL CAP FUND®/VA
Fund Objective. The Fund seeks capital appreciation.
Portfolio Managers: Matthew P. Ziehl and Raman Vardharaj
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
For the 6-Month Period Ended 6/30/10
Non-Service Shares | –1.33 | % | ||
Service Shares | –1.42 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 19.60% | 0.91% | 2.86% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (7/16/01) | ||||||||||
Service Shares | 19.31% | 0.67% | 5.11% |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.91% | 0.82% | ||||||
Service Shares | 1.15 | 1.07 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings | ||||
Tractor Supply Co. | 1.2 | % | ||
Holly Corp. | 1.1 | |||
BE Aerospace, Inc. | 1.1 | |||
TIBCO Software, Inc. | 1.0 | |||
Blue Coat Systems, Inc. | 1.0 | |||
Old Dominion Freight Line, Inc. | 1.0 | |||
Health Management Associates, Inc., Cl. A | 0.9 | |||
Phillips/Van Heusen Corp. | 0.9 | |||
Bally Technologies, Inc. | 0.9 | |||
Mid-America Apartment Communities, Inc. | 0.8 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
2 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
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FUND PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, Oppenheimer Main Street Small Cap Fund/VA’s Non-Service shares produced a return of –1.33%, higher than its benchmark, the Russell 2000 Index, which returned –1.95%. The Fund also produced a higher return than the Lipper VA Small-Cap Core Funds Index, which returned –2.16%. The Fund’s stock selection strategy proved effective in the health care, energy and consumer discretionary sectors, supporting the Fund’s relative performance in a volatile market environment. Market volatility in May and June dampened Fund returns for the reporting period, but we continued our focus on adding value through a combination of quantitative and fundamental research into high-quality, small-cap companies.
Economic and Market Overview
The first half of 2010 saw a continuation of the economic recovery that began in 2009. Improving manufacturing activity and a rebound in corporate earnings helped bolster the confidence of consumers, businesses and investors, adding a degree of support to the economic expansion. However, the rebound proved to be more sluggish than most previous recoveries, as stubbornly high unemployment and ongoing weakness in housing markets produced headwinds that constrained the pace of economic growth. Nonetheless, improved investor sentiment helped sustain a stock market rally through the first four months of the year. As it was in 2009, the rally was led by lower quality, speculative stocks that had been severely beaten down during the recession and financial crisis.
The investment climate changed significantly in May, when a number of developments appeared to threaten the global economic recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to similar fiscal pressures. Meanwhile, robust economic growth in China seemed to spark local inflationary pressures, particularly in urban property markets. The Chinese government raised short-term interest rates and adopted other measures intended to forestall an acceleration of inflation, but investors grew concerned that these measures might choke off regional economic growth, which has been a key driver of the global recovery. Finally, economic concerns intensified in the United States, where employment gains have remained relatively modest, real estate markets have continued to struggle and consumers have been reluctant to spend. Consequently, stock prices fell sharply in May and June, giving back all of their previous 2010 gains and ending the reporting period lower than where they began. Higher quality companies with consistent earnings growth, which had lagged during the rally, generally held up better than market averages during May and June.
Fund Strategy
While the Fund lost value in the May/June market correction, our stock selection strategy supported relative performance during the turbulent reporting period. Generally sector-neutral allocations enabled us to focus on adding value through a combination of quantitative and fundamental research into individual small-cap companies. Our security selection strategy identified a number of above-average performers in the health care sector. Our analyses led us to companies such as SXC Health Solutions Corp., a pharmacy benefits management company that won several new contracts during the reporting period. The resolution of the debate surrounding federal health care reform legislation, which is projected to increase the number of insured, also benefited the stock. Among smaller drug developers, Salix Pharmaceuticals Ltd. benefited from new uses for an existing drug, as a medicine used to treat travelers’ diarrhea is undergoing tests as a treatment for irritable bowel syndrome, a far larger market.
Among energy stocks, the Fund’s preference for exploration-and-production companies over oil services providers helped it participate more fully in a stronger segment of the market sector, especially in the aftermath of the Gulf oil spill. MarkWest Energy Partners LP, a natural gas processor, fared particularly well during the reporting period. In the consumer discretionary sector, apparel retailer Children’s Place Retail Stores, Inc., produced better financial results when a new management team improved operations. In other market sectors, business solutions provider TIBCO Software, Inc. achieved strong sales despite the softening macroeconomic environment.
3 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
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FUND PERFORMANCE DISCUSSION
Successes in these areas were offset to a degree by disappointments in others. Within the information technology sector, security software developer Blue Coat Systems, Inc., which missed revenue targets due to a depreciating euro and sluggishness in its European market, hurt results. The Fund’s investments in the financials sector proved to be too defensive, as we avoided real estate investment trusts and commercial banks that we regarded as overly exposed to troubled U.S. real estate markets. While the health care sector was the greatest contributor to the Fund’s relative performance overall, it contained two significant laggards. Genetic testing laboratory Genoptix, Inc. missed its earnings targets due to operational issues, and biotechnology firm InterMune, Inc. was surprised by a regulatory decision to require new clinical trials for a new respiratory medicine. We exited our positions in both Genoptix and InterMune by period end.
Finally, during the reporting period we established a number of positions in small-cap companies that we regard as opportunistic investments. These include mortgage insurance providers Radian Group, Inc. and MGIC Investment Corp., both of which recapitalized their balance sheets and appear poised to prosper as real estate markets stabilize. Similarly, luxury hotel manager Strategic Hotels & Resorts, Inc. has deleveraged and repaired its balance sheet, positioning it for higher quality growth.
As of midyear, we believe that recent bouts of economic and market weakness represent a pause in a longer-term, upward trend. We expect economic fears to abate during the second half of the year as the subpar recovery remains intact. In this sluggish environment, we believe that investors will gravitate toward higher-quality companies with a demonstrable ability to manage their businesses more effectively than their rivals. Indeed, we anticipate a stock picker’s market in which steady earners are rewarded and laggards are punished. Such an environment may be particularly well suited to our bottom-up investment approach.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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
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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, 2010.
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, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 986.70 | $ | 3.95 | ||||||
Service shares | 1,000.00 | 985.80 | 5.18 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,020.83 | 4.02 | |||||||||
Service shares | 1,000.00 | 1,019.59 | 5.27 |
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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Shares | Value | |||||||
Common Stocks—96.6% | ||||||||
Consumer Discretionary—14.4% | ||||||||
Auto Components—0.5% | ||||||||
Cooper Tire & Rubber Co. | 42,420 | $ | 827,190 | |||||
Dana Holding Corp.1 | 262,300 | 2,623,000 | ||||||
Standard Motor Products, Inc. | 28,980 | 233,869 | ||||||
3,684,059 | ||||||||
Diversified Consumer Services—1.5% | ||||||||
Bridgepoint Education, Inc.1 | 24,300 | 384,183 | ||||||
Capella Education Co.1 | 64,680 | 5,261,718 | ||||||
Career Education Corp.1 | 23,930 | 550,869 | ||||||
Corinthian Colleges, Inc.1 | 53,800 | 529,930 | ||||||
CPI Corp. | 6,600 | 147,972 | ||||||
Education Management Corp.1 | 148,023 | 2,257,351 | ||||||
Hillenbrand, Inc. | 16,050 | 343,310 | ||||||
Lincoln Educational Services Corp.1 | 20,440 | 420,860 | ||||||
Pre-Paid Legal Services, Inc.1 | 15,821 | 719,697 | ||||||
10,615,890 | ||||||||
Hotels, Restaurants & Leisure—3.0% | ||||||||
AFC Enterprises, Inc.1 | 30,332 | 276,021 | ||||||
Ambassadors Group, Inc. | 29,320 | 331,023 | ||||||
Ameristar Casinos, Inc. | 117,929 | 1,776,011 | ||||||
Bally Technologies, Inc.1 | 201,630 | 6,530,796 | ||||||
Biglari Holdings, Inc.1 | 650 | 186,485 | ||||||
Bob Evans Farms, Inc. | 6,600 | 162,492 | ||||||
Brinker International, Inc. | 30,000 | 433,800 | ||||||
Carrols Restaurant Group, Inc.1 | 28,060 | 128,234 | ||||||
CEC Entertainment, Inc.1 | 44,689 | 1,575,734 | ||||||
Cheesecake Factory, Inc. (The)1 | 21,970 | 489,052 | ||||||
Chipotle Mexican Grill, Inc., Cl. A1 | 16,690 | 2,283,359 | ||||||
International Speedway Corp., Cl. A | 6,830 | 175,941 | ||||||
Jack in the Box, Inc.1 | 226,347 | 4,402,449 | ||||||
P.F. Chang’s China Bistro, Inc. | 23,140 | 917,501 | ||||||
Papa John’s International, Inc.1 | 54,488 | 1,259,763 | ||||||
Ruby Tuesday, Inc.1 | 36,900 | 313,650 | ||||||
Speedway Motorsports, Inc. | 29,819 | 404,346 | ||||||
21,646,657 | ||||||||
Household Durables—0.6% | ||||||||
American Greetings Corp., Cl. A | 27,960 | 524,530 | ||||||
Blyth, Inc. | 30,487 | 1,038,692 | ||||||
CSS Industries, Inc. | 10,210 | 168,465 | ||||||
Helen of Troy Ltd.1 | 17,840 | 393,550 | ||||||
Kid Brands, Inc.1 | 36,410 | 255,962 | ||||||
La-Z-Boy, Inc.1 | 45,900 | 341,037 | ||||||
National Presto Industries, Inc. | 13,091 | 1,215,630 | ||||||
3,937,866 | ||||||||
Leisure Equipment & Products—0.9% | ||||||||
JAKKS Pacific, Inc.1 | 27,000 | 388,260 | ||||||
Polaris Industries, Inc. | 13,690 | 747,748 | ||||||
Pool Corp. | 175,330 | 3,843,234 | ||||||
Smith & Wesson Holding Corp.1 | 32,750 | 133,948 | ||||||
Sport Supply Group, Inc. | 21,050 | 283,333 | ||||||
Sturm, Ruger & Co., Inc. | 70,350 | 1,008,116 | ||||||
6,404,639 | ||||||||
Media—1.1% | ||||||||
Entercom Communications Corp.1 | 24,140 | 212,915 | ||||||
Gannett Co., Inc. | 35,770 | 481,464 | ||||||
Harte-Hanks, Inc. | 61,665 | 644,399 | ||||||
Imax Corp.1 | 189,400 | 2,765,240 | ||||||
Journal Communications, Inc.1 | 47,330 | 187,900 | ||||||
Lee Enterprises, Inc.1 | 124,400 | 319,708 | ||||||
National CineMedia, Inc. | 17,750 | 295,715 | ||||||
New York Times Co. (The), Cl. A1 | 41,500 | 358,975 | ||||||
Scholastic Corp. | 37,240 | 898,229 | ||||||
Sinclair Broadcast Group, Inc., Cl. A1 | 126,053 | 734,889 | ||||||
Valassis Communications, Inc.1 | 10,600 | 336,232 | ||||||
Wiley (John) & Sons, Inc., Cl. A | 22,030 | 851,900 | ||||||
8,087,566 | ||||||||
Multiline Retail—0.3% | ||||||||
Big Lots, Inc.1 | 43,997 | 1,411,864 | ||||||
Dillard’s, Inc., Cl. A | 21,200 | 455,800 | ||||||
Tuesday Morning Corp.1 | 130,600 | 521,094 | ||||||
2,388,758 | ||||||||
Specialty Retail—4.2% | ||||||||
Aeropostale, Inc.1 | 59,215 | 1,695,918 | ||||||
AnnTaylor Stores Corp.1 | 7,800 | 126,906 | ||||||
Big 5 Sporting Goods Corp. | 9,465 | 124,370 | ||||||
Books-A-Million, Inc. | 21,050 | 126,721 | ||||||
Brown Shoe Co., Inc. | 22,300 | 338,514 | ||||||
Buckle, Inc. (The) | 5,400 | 175,068 | ||||||
Cabela’s, Inc.1 | 49,993 | 706,901 | ||||||
Cato Corp., Cl. A | 77,699 | 1,710,932 | ||||||
Children’s Place Retail Stores, Inc.1 | 128,630 | 5,662,293 | ||||||
Collective Brands, Inc.1 | 18,300 | 289,140 |
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Shares | Value | |||||||
Specialty Retail Continued | ||||||||
Dress Barn, Inc. (The)1 | 43,794 | $ | 1,042,735 | |||||
DSW, Inc., Cl. A1 | 22,300 | 500,858 | ||||||
Finish Line, Inc. (The), Cl. A | 72,900 | 1,015,497 | ||||||
Gymboree Corp.1 | 32,548 | 1,390,125 | ||||||
Jo-Ann Stores, Inc.1 | 32,650 | 1,224,702 | ||||||
Jos. A. Banks Clothiers, Inc.1 | 14,570 | 786,634 | ||||||
Kirkland’s, Inc.1 | 84,073 | 1,418,732 | ||||||
RadioShack Corp. | 6,130 | 119,596 | ||||||
Rent-A-Center, Inc.1 | 78,360 | 1,587,574 | ||||||
Select Comfort Corp.1 | 19,600 | 171,500 | ||||||
Signet Jewelers Ltd.1 | 24,220 | 666,050 | ||||||
Stage Stores, Inc. | 96,049 | 1,025,803 | ||||||
Tractor Supply Co. | 140,180 | 8,546,775 | ||||||
30,453,344 | ||||||||
Textiles, Apparel & Luxury Goods—2.3% | ||||||||
Carter’s, Inc.1 | 45,100 | 1,183,875 | ||||||
Deckers Outdoor Corp.1 | 8,360 | 1,194,393 | ||||||
Fossil, Inc.1 | 93,117 | 3,231,160 | ||||||
Jones Apparel Group, Inc. | 18,900 | 299,565 | ||||||
Perry Ellis International, Inc.1 | 30,009 | 606,182 | ||||||
Phillips/Van Heusen Corp. | 144,730 | 6,696,657 | ||||||
Steven Madden Ltd.1 | 9,580 | 301,962 | ||||||
Timberland Co., Cl. A1 | 69,985 | 1,130,258 | ||||||
UniFirst Corp. | 15,294 | 673,242 | ||||||
Warnaco Group, Inc. (The)1 | 27,900 | 1,008,306 | ||||||
16,325,600 | ||||||||
Consumer Staples—2.7% | ||||||||
Beverages—0.1% | ||||||||
Cott Corp.1 | 93,660 | 545,101 | ||||||
Food & Staples Retailing—0.1% | ||||||||
Andersons, Inc. (The) | 5,800 | 189,022 | ||||||
Nash Finch Co. | 8,870 | 302,999 | ||||||
492,021 | ||||||||
Food Products—1.9% | ||||||||
Cal-Maine Foods, Inc. | 19,150 | 611,460 | ||||||
Darling International, Inc.1 | 98,380 | 738,834 | ||||||
Del Monte Foods Co. | 41,100 | 591,429 | ||||||
Flowers Foods, Inc. | 212,027 | 5,179,820 | ||||||
Fresh Del Monte Produce, Inc.1 | 18,158 | 367,518 | ||||||
Lancaster Colony Corp. | 14,250 | 760,380 | ||||||
Overhill Farms, Inc.1 | 33,740 | 198,729 | ||||||
Sanderson Farms, Inc. | 12,400 | 629,176 | ||||||
TreeHouse Foods, Inc.1 | 97,456 | 4,449,841 | ||||||
13,527,187 | ||||||||
Household Products—0.2% | ||||||||
Central Garden & Pet Co., Cl. A1 | 123,424 | 1,107,113 | ||||||
Personal Products—0.3% | ||||||||
China Sky One Medical, Inc.1 | 13,100 | 147,244 | ||||||
Herbalife Ltd. | 36,090 | 1,661,945 | ||||||
Prestige Brands Holdings, Inc.1 | 80,140 | 567,391 | ||||||
2,376,580 | ||||||||
Tobacco—0.1% | ||||||||
Alliance One International, Inc.1 | 84,170 | 299,645 | ||||||
Universal Corp. | 20,225 | 802,528 | ||||||
1,102,173 | ||||||||
Energy—4.3% | ||||||||
Energy Equipment & Services—1.3% | ||||||||
Acergy SA, Sponsored ADR | 104,523 | 1,545,895 | ||||||
Bolt Technology Corp.1 | 19,400 | 169,750 | ||||||
Cal Dive International, Inc.1 | 106,660 | 623,961 | ||||||
Compagnie Generale de Geophysique-Veritas, Sponsored ADR1 | 38,520 | 685,271 | ||||||
Complete Production Services, Inc.1 | 59,630 | 852,709 | ||||||
Gulfmark Offshore, Inc., Cl. A1 | 21,996 | 576,295 | ||||||
Matrix Service Co.1 | 41,963 | 390,676 | ||||||
Oil States International, Inc.1 | 43,340 | 1,715,397 | ||||||
Rowan Cos., Inc.1 | 14,090 | 309,135 | ||||||
T-3 Energy Services, Inc.1 | 35,470 | 989,613 | ||||||
Tetra Technologies, Inc.1 | 49,300 | 447,644 | ||||||
TGC Industries, Inc.1 | 47,020 | 142,471 | ||||||
Tidewater, Inc. | 2,532 | 98,039 | ||||||
Unit Corp.1 | 14,100 | 572,319 | ||||||
9,119,175 | ||||||||
Oil, Gas & Consumable Fuels—3.0% | ||||||||
Bill Barrett Corp.1 | 13,800 | 424,626 | ||||||
Callon Petroleum Co.1 | 34,200 | 215,460 | ||||||
China Integrated Energy, Inc.1 | 28,060 | 232,898 | ||||||
China North East Petroleum Holdings Ltd.1 | 67,400 | 317,252 | ||||||
Cloud Peak Energy, Inc.1 | 49,100 | 651,066 | ||||||
Contango Oil & Gas Co.1 | 7,400 | 331,150 | ||||||
CVR Energy, Inc.1 | 92,144 | 692,923 | ||||||
Dominion Resources Black Warrior Trust | 14,240 | 159,630 | ||||||
Gran Tierra Energy, Inc.1 | 33,500 | 166,160 | ||||||
Gulfport Energy Corp.1 | 51,580 | 611,739 | ||||||
Holly Corp. | 290,890 | 7,731,856 | ||||||
MarkWest Energy Partners LP | 133,978 | 4,383,760 | ||||||
PAA Natural Gas Storage LP1 | 98,800 | 2,354,404 | ||||||
Pengrowth Energy Trust | 39,860 | 365,118 |
7 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
PetroQuest Energy, Inc.1 | 32,200 | $ | 217,672 | |||||
PrimeEnergy Corp.1 | 5,544 | 109,439 | ||||||
Provident Energy Trust | 33,230 | 228,290 | ||||||
Ship Finance International Ltd. | 15,343 | 274,333 | ||||||
SM Energy Co. | 1,500 | 60,240 | ||||||
Stone Energy Corp.1 | 13,310 | 148,540 | ||||||
Teekay Offshore Partners LP | 15,600 | 342,420 | ||||||
Teekay Tankers Ltd., Cl. A | 65,406 | 727,969 | ||||||
VAALCO Energy, Inc. | 59,380 | 332,528 | ||||||
W&T Offshore, Inc. | 40,300 | 381,238 | ||||||
World Fuel Services Corp. | 4,360 | 113,098 | ||||||
21,573,809 | ||||||||
Financials—19.9% | ||||||||
Capital Markets—2.3% | ||||||||
American Capital Ltd.1 | 143,600 | 692,152 | ||||||
BGC Partners, Inc., Cl. A | 79,420 | 405,836 | ||||||
Calamos Asset Management, Inc., Cl. A | 14,100 | 130,848 | ||||||
Fifth Street Finance Corp. | 202,490 | 2,233,465 | ||||||
Gladstone Investment Corp. | 43,220 | 251,973 | ||||||
Investment Technology Group, Inc.1 | 17,130 | 275,108 | ||||||
Knight Capital Group, Inc., Cl. A1 | 215,626 | 2,973,483 | ||||||
LaBranche & Co., Inc.1 | 76,800 | 328,704 | ||||||
MF Global Holdings Ltd.1 | 544,104 | 3,106,834 | ||||||
optionsXpress Holdings, Inc.1 | 185,490 | 2,919,613 | ||||||
Rodman & Renshaw Capital Group, Inc.1 | 108,520 | 310,367 | ||||||
Stifel Financial Corp.1 | 53,400 | 2,317,026 | ||||||
Triangle Capital Corp. | 17,120 | 243,446 | ||||||
W.P. Carey & Co. LLC | 21,460 | 593,154 | ||||||
16,782,009 | ||||||||
Commercial Banks—3.2% | ||||||||
Alliance Financial Corp. | 8,360 | 232,408 | ||||||
Banco Latinoamericano de Exportaciones SA, Cl. E | 65,400 | 816,846 | ||||||
Banco Macro SA, ADR | 30,395 | 895,133 | ||||||
Bancolombia SA, Sponsored ADR | 20,100 | 1,007,613 | ||||||
BBVA Banco Frances SA, ADR | 31,513 | 199,162 | ||||||
CapitalSource, Inc. | 400,820 | 1,907,903 | ||||||
Century Bancorp, Inc., Cl. A | 9,290 | 204,752 | ||||||
City Holding Co. | 12,100 | 337,348 | ||||||
First Midwest Bancorp, Inc. | 184,960 | 2,249,114 | ||||||
FirstMerit Corp. | 109,530 | 1,876,249 | ||||||
Hancock Holding Co. | 95,750 | 3,194,220 | ||||||
IBERIABANK Corp. | 79,692 | 4,102,544 | ||||||
International Bancshares Corp. | 47,419 | 791,423 | ||||||
National Bankshares, Inc. | 7,107 | 172,203 | ||||||
Northrim BanCorp, Inc. | 13,000 | 201,240 | ||||||
Synovus Financial Corp. | 973,300 | 2,472,182 | ||||||
Westamerica Bancorporation | 40,520 | 2,128,110 | ||||||
22,788,450 | ||||||||
Consumer Finance—1.1% | ||||||||
Advance America Cash Advance Centers, Inc. | 153,890 | 635,566 | ||||||
Cash America International, Inc. | 47,407 | 1,624,638 | ||||||
Credit Acceptance Corp.1 | 8,500 | 414,545 | ||||||
EZCORP, Inc., Cl. A1 | 86,840 | 1,610,882 | ||||||
First Cash Financial Services, Inc.1 | 60,992 | 1,329,626 | ||||||
Nelnet, Inc., Cl. A | 66,886 | 1,289,562 | ||||||
Student Loan Corp. (The) | 8,410 | 202,513 | ||||||
World Acceptance Corp.1 | 31,058 | 1,189,832 | ||||||
8,297,164 | ||||||||
Diversified Financial Services—1.1% | ||||||||
Encore Capital Group, Inc.1 | 35,820 | 738,250 | ||||||
Life Partners Holdings, Inc. | 50,647 | 1,036,238 | ||||||
MSCI, Inc., Cl. A1 | 194,340 | 5,324,916 | ||||||
PHH Corp.1 | 34,100 | 649,264 | ||||||
7,748,668 | ||||||||
Insurance—5.1% | ||||||||
Allied World Assurance Holdings Ltd. | 24,001 | 1,089,165 | ||||||
Alterra Capital Holdings Ltd. | 34,700 | 651,666 | ||||||
American Equity Investment Life Holding Co. | 71,500 | 737,880 | ||||||
American Physicians Capital, Inc. | 28,625 | 883,081 | ||||||
American Physicians Service Group, Inc. | 7,750 | 189,488 | ||||||
American Safety Insurance Holdings Ltd.1 | 13,730 | 215,836 | ||||||
Amerisafe, Inc.1 | 43,158 | 757,423 | ||||||
AmTrust Financial Services, Inc. | 80,408 | 968,112 | ||||||
Argo Group International Holdings Ltd. | 30,420 | 930,548 | ||||||
Aspen Insurance Holdings Ltd. | 49,210 | 1,217,455 | ||||||
CNA Surety Corp.1 | 43,626 | 701,070 | ||||||
CNO Financial Group, Inc.1 | 220,030 | 1,089,149 | ||||||
EMC Insurance Group, Inc. | 9,600 | 210,528 | ||||||
Employers Holdings, Inc. | 37,820 | 557,089 | ||||||
Endurance Specialty Holdings Ltd. | 40,820 | 1,531,975 | ||||||
Enstar Group Ltd.1 | 11,960 | 794,622 | ||||||
FBL Financial Group, Inc., Cl. A | 32,600 | 684,600 | ||||||
First Mercury Financial Corp. | 42,613 | 450,846 | ||||||
Flagstone Reinsurance Holdings SA | 72,930 | 789,103 |
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Shares | Value | |||||||
Insurance Continued | ||||||||
FPIC Insurance Group, Inc.1 | 30,250 | $ | 775,913 | |||||
Greenlight Capital Re Ltd., Cl. A1 | 44,540 | 1,121,963 | ||||||
Hanover Insurance Group, Inc. | 108,920 | 4,738,020 | ||||||
Harleysville Group, Inc. | 17,610 | 546,438 | ||||||
Horace Mann Educators Corp. | 55,719 | 852,501 | ||||||
Infinity Property & Casualty Corp. | 33,364 | 1,540,750 | ||||||
Meadowbrook Insurance Group, Inc. | 50,300 | 434,089 | ||||||
Mercer Insurance Group, Inc. | 11,550 | 195,426 | ||||||
Mercury General Corp. | 18,200 | 754,208 | ||||||
Montpelier Re Holdings Ltd. | 71,360 | 1,065,405 | ||||||
National Interstate Corp. | 8,360 | 165,695 | ||||||
National Western Life Insurance Co., Cl. A | 2,270 | 346,765 | ||||||
Navigators Group, Inc. (The)1 | 10,100 | 415,413 | ||||||
OneBeacon Insurance Group Ltd. | 44,390 | 635,665 | ||||||
Platinum Underwriters Holdings Ltd. | 41,950 | 1,522,366 | ||||||
ProAssurance Corp.1 | 29,472 | 1,672,831 | ||||||
RLI Corp. | 3,500 | 183,785 | ||||||
Safety Insurance Group, Inc. | 35,389 | 1,310,101 | ||||||
Selective Insurance Group, Inc. | 14,600 | 216,956 | ||||||
StanCorp Financial Group, Inc. | 31,612 | 1,281,550 | ||||||
Symetra Financial Corp. | 45,300 | 543,600 | ||||||
Unitrin, Inc. | 56,870 | 1,455,872 | ||||||
Validus Holdings Ltd. | 17,312 | 422,759 | ||||||
36,647,707 | ||||||||
Real Estate Investment Trusts—5.6% | ||||||||
Associated Estates Realty Corp. | 33,370 | 432,142 | ||||||
Brandywine Realty Trust | 9,500 | 102,125 | ||||||
BRE Properties, Inc., Cl. A | 4,500 | 166,185 | ||||||
CBL & Associates Properties, Inc. | 74,560 | 927,526 | ||||||
Chatham Lodging Trust1 | 52,000 | 929,240 | ||||||
Digital Realty Trust, Inc. | 95,270 | 5,495,174 | ||||||
Equity Lifestyle Properties, Inc. | 13,520 | 652,070 | ||||||
Essex Property Trust, Inc. | 4,100 | 399,914 | ||||||
Extra Space Storage, Inc. | 33,900 | 471,210 | ||||||
Hatteras Financial Corp. | 131,800 | 3,666,676 | ||||||
Home Properties of New York, Inc. | 14,150 | 637,741 | ||||||
Hospitality Properties Trust | 37,520 | 791,672 | ||||||
iStar Financial, Inc.1 | 358,200 | 1,597,572 | ||||||
LaSalle Hotel Properties | 180,510 | 3,713,091 | ||||||
LTC Properties, Inc. | 40,310 | 978,324 | ||||||
Mid-America Apartment Communities, Inc. | 116,909 | 6,017,306 | ||||||
National Health Investors, Inc. | 22,841 | 880,749 | ||||||
Pennsylvania Real Estate Investment Trust | 47,100 | 575,562 | ||||||
Potlatch Corp. | 3,810 | 136,131 | ||||||
PS Business Parks, Inc. | 17,700 | 987,306 | ||||||
Saul Centers, Inc. | 1,700 | 69,071 | ||||||
Starwood Property Trust, Inc. | 105,780 | 1,792,971 | ||||||
Strategic Hotels & Resorts, Inc.1 | 465,500 | 2,043,545 | ||||||
Tanger Factory Outlet Centers, Inc. | 113,650 | 4,702,837 | ||||||
Taubman Centers, Inc. | 19,300 | 726,259 | ||||||
Walter Investment Management Corp. | 71,380 | 1,167,063 | ||||||
40,059,462 | ||||||||
Real Estate Management & Development—0.2% | ||||||||
Altisource Portfolio Solutions SA1 | 34,280 | 848,087 | ||||||
Forestar Group, Inc.1 | 35,510 | 637,760 | ||||||
1,485,847 | ||||||||
Thrifts & Mortgage Finance—1.3% | ||||||||
BofI Holding, Inc.1 | 13,000 | 183,560 | ||||||
Federal Agricultural Mortgage Corp., Non-Vtg. | 30,500 | 427,915 | ||||||
First Defiance Financial Corp. | 25,990 | 232,351 | ||||||
First Niagara Financial Group, Inc. | 162,580 | 2,037,127 | ||||||
MGIC Investment Corp.1 | 359,300 | 2,475,577 | ||||||
Northwest Bancshares, Inc. | 173,590 | 1,991,077 | ||||||
Ocwen Financial Corp.1 | 16,200 | 165,078 | ||||||
Radian Group, Inc. | 252,400 | 1,827,376 | ||||||
9,340,061 | ||||||||
Health Care—14.4% | ||||||||
Biotechnology—1.3% | ||||||||
Acorda Therapeutics, Inc.1 | 57,750 | 1,796,603 | ||||||
Cubist Pharmaceuticals, Inc.1 | 58,900 | 1,213,340 | ||||||
Emergent Biosolutions, Inc.1 | 11,800 | 192,812 | ||||||
Indevus Pharmaceuticals, Inc.1 | 2,500 | 25 | ||||||
Martek Biosciences Corp.1 | 74,937 | 1,776,756 | ||||||
PDL BioPharma, Inc. | 177,062 | 995,088 | ||||||
Savient Pharmaceuticals, Inc.1 | 255,395 | 3,217,977 | ||||||
Sinovac Biotech Ltd.1 | 42,569 | 197,094 | ||||||
Vanda Pharmaceuticals, Inc.1 | 21,300 | 140,793 | ||||||
9,530,488 | ||||||||
Health Care Equipment & Supplies—3.9% | ||||||||
American Medical Systems Holdings, Inc.1 | 40,560 | 897,187 | ||||||
Atrion Corp. | 3,638 | 491,312 | ||||||
Dexcom, Inc.1 | 98,620 | 1,140,047 | ||||||
Greatbatch, Inc.1 | 112,590 | 2,511,883 | ||||||
Hill-Rom Holdings, Inc. | 20,927 | 636,809 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Health Care Equipment & Supplies Continued | ||||||||
Immucor, Inc.1 | 1,800 | $ | 34,290 | |||||
Integra LifeSciences Holdings1 | 87,910 | 3,252,670 | ||||||
Invacare Corp. | 52,001 | 1,078,501 | ||||||
Kensey Nash Corp.1 | 29,958 | 710,304 | ||||||
Kinetic Concepts, Inc.1 | 34,934 | 1,275,440 | ||||||
Merit Medical Systems, Inc.1 | 93,810 | 1,507,527 | ||||||
Natus Medical, Inc.1 | 106,010 | 1,726,903 | ||||||
NuVasive, Inc.1 | 54,510 | 1,932,925 | ||||||
Orthofix International NV1 | 70,290 | 2,252,795 | ||||||
Quidel Corp.1 | 44,770 | 568,131 | ||||||
Sirona Dental Systems, Inc.1 | 13,970 | 486,715 | ||||||
Steris Corp. | 30,710 | 954,467 | ||||||
Symmetry Medical, Inc.1 | 37,970 | 400,204 | ||||||
Thoratec Corp.1 | 71,500 | 3,055,195 | ||||||
Utah Medical Products, Inc. | 7,320 | 182,561 | ||||||
Volcano Corp.1 | 124,240 | 2,710,917 | ||||||
Young Innovations, Inc. | 8,050 | 226,608 | ||||||
28,033,391 | ||||||||
Health Care Providers & Services—4.8% | ||||||||
Allied Healthcare International, Inc.1 | 71,950 | 166,924 | ||||||
Almost Family, Inc.1 | 10,400 | 363,272 | ||||||
Amedisys, Inc.1 | 25,210 | 1,108,484 | ||||||
America Service Group, Inc. | 31,260 | 537,672 | ||||||
AMERIGROUP Corp.1 | 17,600 | 571,648 | ||||||
AMN Healthcare Services, Inc.1 | 43,096 | 322,358 | ||||||
AmSurg Corp.1 | 64,590 | 1,150,994 | ||||||
Centene Corp.1 | 64,812 | 1,393,458 | ||||||
Chemed Corp. | 14,900 | 814,136 | ||||||
Community Health Systems, Inc.1 | 8,382 | 283,395 | ||||||
Continucare Corp.1 | 68,700 | 230,145 | ||||||
CorVel Corp.1 | 4,750 | 160,503 | ||||||
Emergency Medical Services LP, Cl. A1 | 24,020 | 1,177,701 | ||||||
Ensign Group, Inc. (The) | 13,410 | 221,533 | ||||||
Gentiva Health Services, Inc.1 | 44,986 | 1,215,072 | ||||||
Hanger Orthopedic Group, Inc.1 | 11,400 | 204,744 | ||||||
Health Management Associates, Inc., Cl. A1 | 862,140 | 6,698,828 | ||||||
HEALTHSOUTH Corp.1 | 26,710 | 499,744 | ||||||
Healthspring, Inc.1 | 62,888 | 975,393 | ||||||
Healthways, Inc.1 | 31,791 | 378,949 | ||||||
HMS Holdings Corp.1 | 72,020 | 3,904,924 | ||||||
Kindred Healthcare, Inc.1 | 21,500 | 276,060 | ||||||
LHC Group, Inc.1 | 41,910 | 1,163,003 | ||||||
LifePoint Hospitals, Inc.1 | 17,071 | 536,029 | ||||||
Lincare Holdings, Inc.1 | 58,536 | 1,903,005 | ||||||
Magellan Health Services, Inc.1 | 36,570 | 1,328,222 | ||||||
MEDNAX, Inc.1 | 11,540 | 641,739 | ||||||
Metropolitan Health Networks, Inc.1 | 97,690 | 364,384 | ||||||
Molina Healthcare, Inc.1 | 49,436 | 1,423,757 | ||||||
Nighthawk Radiology Holdings, Inc.1 | 73,970 | 191,582 | ||||||
NovaMed, Inc.1 | 16,060 | 133,298 | ||||||
PharMerica Corp.1 | 53,743 | 787,872 | ||||||
Providence Service Corp.1 | 11,100 | 155,400 | ||||||
PSS World Medical, Inc.1 | 1,370 | 28,976 | ||||||
Res-Care, Inc.1 | 36,042 | 348,166 | ||||||
Sun Healthcare Group, Inc.1 | 89,960 | 726,877 | ||||||
Triple-S Management Corp., Cl. B1 | 38,582 | 715,696 | ||||||
U.S. Physical Therapy, Inc.1 | 28,975 | 489,098 | ||||||
Universal American Corp.1 | 39,400 | 567,360 | ||||||
Universal Health Services, Inc., Cl. B | 8,042 | 306,802 | ||||||
VCA Antech, Inc.1 | 16,996 | 420,821 | ||||||
34,888,024 | ||||||||
Health Care Technology—1.6% | ||||||||
Eclipsys Corp.1 | 166,300 | 2,966,792 | ||||||
MedAssets, Inc.1 | 121,550 | 2,805,374 | ||||||
SXC Health Solutions Corp.1 | 76,370 | 5,594,103 | ||||||
11,366,269 | ||||||||
Life Sciences Tools & Services—0.5% | ||||||||
Bruker Corp.1 | 72,950 | 887,072 | ||||||
Cambrex Corp.1 | 77,570 | 244,346 | ||||||
eResearch Technology, Inc.1 | 94,120 | 741,666 | ||||||
Harvard Bioscience, Inc.1 | 56,220 | 200,143 | ||||||
ICON plc, Sponsored ADR1 | 36,100 | 1,042,929 | ||||||
Kendle International, Inc.1 | 10,690 | 123,149 | ||||||
MDS, Inc.1 | 39,500 | 332,985 | ||||||
3,572,290 | ||||||||
Pharmaceuticals—2.3% | ||||||||
Biovail Corp. | 55,790 | 1,073,400 | ||||||
Cardiome Pharma Corp.1 | 50,100 | 408,315 | ||||||
Endo Pharmaceuticals Holdings, Inc.1 | 36,902 | 805,202 | ||||||
Hi-Tech Pharmacal Co., Inc.1 | 17,800 | 407,798 | ||||||
Impax Laboratories, Inc.1 | 19,000 | 362,140 | ||||||
King Pharmaceuticals, Inc.1 | 80,878 | 613,864 | ||||||
Medicis Pharmaceutical Corp., Cl. A | 24,286 | 531,378 | ||||||
Par Pharmaceutical Cos., Inc.1 | 33,920 | 880,563 | ||||||
Perrigo Co. | 46,660 | 2,756,206 | ||||||
Questcor Pharmaceuticals, Inc.1 | 172,888 | 1,765,186 |
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Shares | Value | |||||||
Pharmaceuticals Continued | ||||||||
Salix Pharmaceuticals Ltd.1 | 123,930 | $ | 4,836,988 | |||||
Valeant Pharmaceuticals International, Inc.1 | 25,180 | 1,316,662 | ||||||
ViroPharma, Inc.1 | 50,800 | 569,468 | ||||||
16,327,170 | ||||||||
Industrials—14.9% | ||||||||
Aerospace & Defense—1.8% | ||||||||
AAR Corp.1 | 16,700 | 279,558 | ||||||
BE Aerospace, Inc.1 | 303,718 | 7,723,549 | ||||||
Ceradyne, Inc.1 | 57,310 | 1,224,715 | ||||||
Cubic Corp. | 28,900 | 1,051,382 | ||||||
Gencorp, Inc.1 | 108,130 | 473,609 | ||||||
Teledyne Technologies, Inc.1 | 2,700 | 104,166 | ||||||
Triumph Group, Inc. | 28,960 | 1,929,605 | ||||||
12,786,584 | ||||||||
Air Freight & Logistics—0.8% | ||||||||
Atlas Air Worldwide Holdings, Inc.1 | 15,270 | 725,325 | ||||||
Hub Group, Inc., Cl. A1 | 177,590 | 5,329,476 | ||||||
6,054,801 | ||||||||
Airlines—0.3% | ||||||||
Alaska Air Group, Inc.1 | 10,000 | 449,500 | ||||||
Allegiant Travel Co. | 22,390 | 955,829 | ||||||
Hawaiian Holdings, Inc.1 | 135,838 | 702,282 | ||||||
Pinnacle Airlines Corp.1 | 29,410 | 159,990 | ||||||
UAL Corp.1 | 6,500 | 133,640 | ||||||
2,401,241 | ||||||||
Building Products—0.4% | ||||||||
Aaon, Inc. | 32,565 | 759,090 | ||||||
Ameron International Corp. | 8,234 | 496,757 | ||||||
Apogee Enterprises, Inc. | 51,434 | 557,030 | ||||||
Gibraltar Industries, Inc.1 | 29,190 | 294,819 | ||||||
Quanex Building Products Corp. | 1,900 | 32,851 | ||||||
Smith (A.O.) Corp. | 19,480 | 938,741 | ||||||
3,079,288 | ||||||||
Commercial Services & Supplies—1.6% | ||||||||
American Reprographics Co.1 | 85,396 | 745,507 | ||||||
ATC Technology Corp.1 | 54,063 | 871,496 | ||||||
Consolidated Graphics, Inc.1 | 18,220 | 787,833 | ||||||
Courier Corp. | 2,914 | 35,580 | ||||||
Deluxe Corp. | 89,346 | 1,675,238 | ||||||
Ennis, Inc. | 36,050 | 541,111 | ||||||
G&K Services, Inc., Cl. A | 28,780 | 594,307 | ||||||
M&F Worldwide Corp.1 | 18,842 | 510,618 | ||||||
R.R. Donnelley & Sons Co. | 58,040 | 950,115 | ||||||
United Stationers, Inc.1 | 6,900 | 375,843 | ||||||
Waste Connections, Inc.1 | 118,710 | 4,141,792 | ||||||
11,229,440 | ||||||||
Construction & Engineering—1.3% | ||||||||
Baker (Michael) Corp.1 | 20,813 | 726,374 | ||||||
Chicago Bridge & Iron Co. NV1 | 35,400 | 665,874 | ||||||
Comfort Systems USA, Inc. | 100,862 | 974,327 | ||||||
Dycom Industries, Inc.1 | 136,470 | 1,166,819 | ||||||
EMCOR Group, Inc.1 | 52,260 | 1,210,864 | ||||||
Great Lakes Dredge & Dock Co. | 29,200 | 175,200 | ||||||
Layne Christensen Co.1 | 6,500 | 157,755 | ||||||
Sterling Construction Co., Inc.1 | 23,930 | 309,654 | ||||||
Tutor Perini Corp.1 | 230,373 | 3,796,547 | ||||||
9,183,414 | ||||||||
Electrical Equipment—2.1% | ||||||||
AZZ, Inc. | 30,330 | 1,115,234 | ||||||
China Sunergy Co. Ltd., ADR1 | 162,610 | 582,144 | ||||||
EnerSys, Inc.1 | 56,428 | 1,205,866 | ||||||
Franklin Electric Co., Inc. | 6,100 | 175,802 | ||||||
Fushi Copperweld, Inc.1 | 34,600 | 283,028 | ||||||
Generac Holdings, Inc.1 | 154,600 | 2,165,946 | ||||||
General Cable Corp.1 | 17,800 | 474,370 | ||||||
GT Solar International, Inc.1 | 169,590 | 949,704 | ||||||
Harbin Electric, Inc.1 | 27,540 | 458,541 | ||||||
Hubbell, Inc., Cl. B | 28,530 | 1,132,356 | ||||||
JA Solar Holdings Co. Ltd., ADS1 | 77,700 | 361,305 | ||||||
Jinpan International Ltd. | 57,998 | 879,250 | ||||||
Powell Industries, Inc.1 | 39,610 | 1,082,937 | ||||||
Regal-Beloit Corp. | 53,880 | 3,005,426 | ||||||
Thomas & Betts Corp.1 | 38,579 | 1,338,691 | ||||||
Woodward Governor Co. | 3,800 | 97,014 | ||||||
15,307,614 | ||||||||
Industrial Conglomerates—0.5% | ||||||||
Carlisle Cos., Inc. | 42,990 | 1,553,229 | ||||||
Seaboard Corp. | 220 | 332,200 | ||||||
Standex International Corp. | 6,700 | 169,845 | ||||||
Tredegar Corp. | 77,481 | 1,264,490 | ||||||
3,319,764 | ||||||||
Machinery—3.0% | ||||||||
Alamo Group, Inc. | 7,700 | 167,090 | ||||||
Altra Holdings, Inc.1 | 27,367 | 356,318 | ||||||
American Railcar Industries, Inc.1 | 19,290 | 233,023 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Machinery Continued | ||||||||
China Yuchai International Ltd. | 21,200 | $ | 326,692 | |||||
Colfax Corp.1 | 103,814 | 1,080,704 | ||||||
Crane Co. | 3,300 | 99,693 | ||||||
Duoyuan Printing, Inc.1 | 21,000 | 162,120 | ||||||
EnPro Industries, Inc.1 | 102,143 | 2,875,325 | ||||||
Freightcar America, Inc. | 64,560 | 1,460,347 | ||||||
Gardner Denver, Inc. | 100,506 | 4,481,563 | ||||||
Harsco Corp. | 10,140 | 238,290 | ||||||
Lincoln Electric Holdings, Inc. | 4,741 | 241,744 | ||||||
Lindsay Manufacturing Co. | 5,100 | 161,619 | ||||||
NACCO Industries, Inc., Cl. A | 2,335 | 207,255 | ||||||
Oshkosh Corp.1 | 26,610 | 829,168 | ||||||
Terex Corp.1 | 85,700 | 1,606,018 | ||||||
Timken Co. | 32,830 | 853,252 | ||||||
Toro Co. (The) | 31,700 | 1,557,104 | ||||||
Valmont Industries, Inc. | 7,700 | 559,482 | ||||||
Wabtec Corp. | 88,860 | 3,544,625 | ||||||
Watts Water Technologies, Inc., Cl. A | 19,300 | 553,138 | ||||||
21,594,570 | ||||||||
Marine—0.4% | ||||||||
Diana Shipping, Inc.1 | 49,040 | 552,190 | ||||||
Excel Maritime Carriers Ltd.1 | 90,900 | 465,408 | ||||||
Kirby Corp.1 | 14,400 | 550,800 | ||||||
Paragon Shipping, Inc., Cl. A | 84,600 | 302,868 | ||||||
Safe Bulkers, Inc. | 101,770 | 715,443 | ||||||
2,586,709 | ||||||||
Professional Services—0.7% | ||||||||
Dolan Co. (The)1 | 17,600 | 195,712 | ||||||
GP Strategies Corp.1 | 27,640 | 200,666 | ||||||
Korn-Ferry International1 | 55,540 | 772,006 | ||||||
Resources Connection, Inc.1 | 119,947 | 1,631,279 | ||||||
School Specialty, Inc.1 | 76,130 | 1,375,669 | ||||||
TrueBlue, Inc.1 | 80,336 | 898,960 | ||||||
5,074,292 | ||||||||
Road & Rail—1.6% | ||||||||
Avis Budget Group, Inc.1 | 137,630 | 1,351,527 | ||||||
Dollar Thrifty Automotive Group, Inc.1 | 19,920 | 848,791 | ||||||
Genesee & Wyoming, Inc., Cl. A1 | 55,031 | 2,053,207 | ||||||
Old Dominion Freight Line, Inc.1 | 201,450 | 7,078,953 | ||||||
11,332,478 | ||||||||
Trading Companies & Distributors—0.4% | ||||||||
Aircastle Ltd. | 42,600 | 334,410 | ||||||
Applied Industrial Technologies, Inc. | 14,600 | 369,672 | ||||||
DXP Enterprises, Inc.1 | 15,597 | 244,093 | ||||||
Fly Leasing Ltd., ADR | 16,900 | 174,070 | ||||||
Interline Brands, Inc.1 | 23,730 | 410,292 | ||||||
TAL International Group, Inc. | 41,800 | 939,246 | ||||||
WESCO International, Inc.1 | 22,537 | 758,821 | ||||||
3,230,604 | ||||||||
Information Technology—18.2% | ||||||||
Communications Equipment—2.9% | ||||||||
ADC Telecommunications, Inc.1 | 49,500 | 366,795 | ||||||
Arris Group, Inc.1 | 467,870 | 4,767,595 | ||||||
Black Box Corp. | 27,165 | 757,632 | ||||||
Blue Coat Systems, Inc.1 | 347,248 | 7,094,277 | ||||||
CommScope, Inc.1 | 5,500 | 130,735 | ||||||
Comtech Telecommunications Corp.1 | 150,610 | 4,507,757 | ||||||
InterDigital, Inc.1 | 26,100 | 644,409 | ||||||
Ituran Location & Control Ltd. | 15,641 | 234,459 | ||||||
Oplink Communications, Inc.1 | 16,974 | 243,237 | ||||||
Plantronics, Inc. | 43,114 | 1,233,060 | ||||||
Sierra Wireless, Inc.1 | 80,030 | 532,200 | ||||||
20,512,156 | ||||||||
Computers & Peripherals—0.9% | ||||||||
China Digital TV Holding Co. Ltd., ADR1 | 33,830 | 184,712 | ||||||
Diebold, Inc. | 6,500 | 177,125 | ||||||
QLogic Corp.1 | 69,540 | 1,155,755 | ||||||
Quantum Corp.1 | 63,600 | 119,568 | ||||||
Rimage Corp.1 | 12,180 | 192,809 | ||||||
Synaptics, Inc.1 | 167,350 | 4,602,125 | ||||||
6,432,094 | ||||||||
Electronic Equipment & Instruments—1.3% | ||||||||
Anixter International, Inc.1 | 18,250 | 777,450 | ||||||
AVX Corp. | 53,000 | 679,460 | ||||||
Bell Microproducts, Inc.1 | 7,300 | 50,954 | ||||||
Benchmark Electronics, Inc.1 | 38,639 | 612,428 | ||||||
Brightpoint, Inc.1 | 75,000 | 525,000 | ||||||
Celestica, Inc.1 | 47,200 | 380,432 | ||||||
Checkpoint Systems, Inc.1 | 17,700 | 307,272 | ||||||
CTS Corp. | 17,500 | 161,700 | ||||||
Insight Enterprises, Inc.1 | 88,266 | 1,161,581 | ||||||
Multi-Fineline Electronix, Inc.1 | 46,702 | 1,165,682 | ||||||
Sanmina-SCI Corp.1 | 11,800 | 160,598 | ||||||
Smart Modular Technologies, Inc.1 | 29,600 | 173,160 | ||||||
Spectrum Control, Inc.1 | 25,790 | 360,544 | ||||||
Tech Data Corp.1 | 40,768 | 1,452,156 |
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Shares | Value | |||||||
Electronic Equipment & Instruments Continued | ||||||||
TTM Technologies, Inc.1 | 90,770 | $ | 862,315 | |||||
Vishay Intertechnology, Inc.1 | 87,500 | 677,250 | ||||||
9,507,982 | ||||||||
Internet Software & Services—1.8% | ||||||||
Ancestry.com, Inc.1 | 44,800 | 789,376 | ||||||
AOL, Inc.1 | 8,600 | 178,794 | ||||||
EarthLink, Inc. | 184,708 | 1,470,276 | ||||||
GigaMedia Ltd.1 | 76,200 | 181,356 | ||||||
j2 Global Communications, Inc.1 | 207,915 | 4,540,864 | ||||||
Perficient, Inc.1 | 23,820 | 212,236 | ||||||
Saba Software, Inc.1 | 51,990 | 267,749 | ||||||
Sohu.com, Inc.1 | 13,040 | 535,814 | ||||||
United Online, Inc. | 117,472 | 676,639 | ||||||
ValueClick, Inc.1 | 125,610 | 1,342,771 | ||||||
VistaPrint NV1 | 62,733 | 2,979,190 | ||||||
Web.com Group, Inc.1 | 16,280 | 58,445 | ||||||
13,233,510 | ||||||||
IT Services—3.2% | ||||||||
Acxiom Corp.1 | 79,950 | 1,174,466 | ||||||
Broadridge Financial Solutions, Inc. | 76,528 | 1,457,858 | ||||||
CACI International, Inc., Cl. A1 | 93,370 | 3,966,358 | ||||||
Cass Information Systems, Inc. | 2,230 | 76,378 | ||||||
Convergys Corp.1 | 69,427 | 681,079 | ||||||
CSG Systems International, Inc.1 | 68,831 | 1,261,672 | ||||||
DST Systems, Inc. | 31,034 | 1,121,569 | ||||||
Euronet Worldwide, Inc.1 | 2,700 | 34,533 | ||||||
Forrester Research, Inc.1 | 16,010 | 484,463 | ||||||
Gartner, Inc.1 | 11,410 | 265,283 | ||||||
Global Cash Access, Inc.1 | 115,285 | 831,205 | ||||||
iGate Corp. | 31,616 | 405,317 | ||||||
ManTech International Corp.1 | 2,400 | 102,168 | ||||||
Maximus, Inc. | 12,800 | 740,736 | ||||||
Ness Technologies, Inc.1 | 76,440 | 329,456 | ||||||
NeuStar, Inc., Cl. A1 | 225,408 | 4,647,913 | ||||||
Patni Computer Systems Ltd., ADR | 47,140 | 1,076,206 | ||||||
Satyam Computer Services Ltd., ADR1 | 160,720 | 826,101 | ||||||
Syntel, Inc. | 13,738 | 466,405 | ||||||
TeleTech Holdings, Inc.1 | 94,316 | 1,215,733 | ||||||
TNS, Inc.1 | 25,960 | 452,742 | ||||||
Unisys Corp.1 | 23,300 | 430,817 | ||||||
VeriFone Systems, Inc.1 | 20,400 | 386,172 | ||||||
Virtusa Corp.1 | 75,100 | 700,683 | ||||||
23,135,313 | ||||||||
Office Electronics—0.0% | ||||||||
Zebra Technologies Corp., Cl. A1 | 4,100 | 104,017 | ||||||
Semiconductors & Semiconductor Equipment—3.7% | ||||||||
Amkor Technology, Inc.1 | 86,320 | 475,623 | ||||||
Atheros Communications, Inc.1 | 162,200 | 4,466,988 | ||||||
Cabot Microelectronics Corp.1 | 16,000 | 553,440 | ||||||
Fairchild Semiconductor International, Inc., Cl. A1 | 55,500 | 466,755 | ||||||
Himax Technologies, Inc., ADR1 | 180,850 | 526,274 | ||||||
Integrated Silicon Solution, Inc.1 | 54,900 | 413,946 | ||||||
Intersil Corp., Cl. A | 11,100 | 134,421 | ||||||
Lattice Semiconductor Corp.1 | 111,500 | 483,910 | ||||||
Micrel, Inc. | 75,917 | 772,835 | ||||||
Microsemi Corp.1 | 16,500 | 241,395 | ||||||
Netlogic Microsystems, Inc.1 | 157,400 | 4,281,280 | ||||||
PMC-Sierra, Inc.1 | 9,100 | 68,432 | ||||||
RF Micro Devices, Inc.1 | 37,600 | 147,016 | ||||||
Semtech Corp.1 | 245,409 | 4,017,345 | ||||||
Sigma Designs, Inc.1 | 48,670 | 487,187 | ||||||
Silicon Motion Technology Corp., ADR1 | 32,607 | 168,578 | ||||||
Skyworks Solutions, Inc.1 | 222,730 | 3,739,637 | ||||||
Teradyne, Inc.1 | 33,200 | 323,700 | ||||||
Tessera Technologies, Inc.1 | 39,259 | 630,107 | ||||||
Varian Semiconductor Equipment Associates, Inc.1 | 133,729 | 3,832,673 | ||||||
26,231,542 | ||||||||
Software—4.4% | ||||||||
Actuate Corp.1 | 111,160 | 494,662 | ||||||
Blackboard, Inc.1 | 115,860 | 4,325,054 | ||||||
Changyou.com Ltd., ADR1 | 6,290 | 162,659 | ||||||
Compuware Corp.1 | 160,158 | 1,278,061 | ||||||
Concur Technologies, Inc.1 | 59,150 | 2,524,522 | ||||||
Double-Take Software, Inc.1 | 27,700 | 290,573 | ||||||
FactSet Research Systems, Inc. | 73,752 | 4,940,646 | ||||||
Fair Isaac Corp. | 75,231 | 1,639,283 | ||||||
Giant Interactive Group, Inc., ADR | 65,700 | 452,016 | ||||||
Henry (Jack) & Associates, Inc. | 24,704 | 589,932 | ||||||
JDA Software Group, Inc.1 | 11,326 | 248,945 | ||||||
Manhattan Associates, Inc.1 | 55,055 | 1,516,765 | ||||||
MICROS Systems, Inc.1 | 11,720 | 373,516 | ||||||
MicroStrategy, Inc., Cl. A1 | 18,756 | 1,408,388 | ||||||
Monotype Imaging Holdings, Inc.1 | 25,890 | 233,269 | ||||||
Net 1 UEPS Technologies, Inc.1 | 89,480 | 1,199,927 | ||||||
NetScout Systems, Inc.1 | 11,000 | 156,420 | ||||||
Perfect World Co. Ltd.1 | 25,960 | 571,380 | ||||||
Pervasive Software, Inc.1 | 37,650 | 186,744 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Software Continued | ||||||||
Quest Software, Inc.1 | 71,830 | $ | 1,295,813 | |||||
TIBCO Software, Inc.1 | 600,110 | 7,237,327 | ||||||
Websense, Inc.1 | 37,390 | 706,671 | ||||||
31,832,573 | ||||||||
Materials—4.7% | ||||||||
Chemicals—1.8% | ||||||||
Ashland, Inc. | 25,599 | 1,188,306 | ||||||
Cytec Industries, Inc. | 75,731 | 3,028,483 | ||||||
Hawkins, Inc. | 25,780 | 620,782 | ||||||
Innophos Holdings, Inc. | 68,170 | 1,777,874 | ||||||
Innospec, Inc.1 | 14,440 | 135,447 | ||||||
KMG Chemicals, Inc. | 16,710 | 239,956 | ||||||
Koppers Holdings, Inc. | 4,136 | 92,977 | ||||||
Minerals Technologies, Inc. | 23,684 | 1,125,937 | ||||||
NewMarket Corp. | 8,040 | 702,053 | ||||||
OM Group, Inc.1 | 22,600 | 539,236 | ||||||
Omnova Solutions, Inc.1 | 63,230 | 493,826 | ||||||
PolyOne Corp.1 | 96,550 | 812,951 | ||||||
Schulman (A.), Inc. | 51,600 | 978,336 | ||||||
Stepan Co. | 8,150 | 557,705 | ||||||
W.R. Grace & Co.1 | 35,810 | 753,442 | ||||||
13,047,311 | ||||||||
Construction Materials—0.6% | ||||||||
Eagle Materials, Inc. | 160,680 | 4,166,432 | ||||||
Containers & Packaging—1.0% | ||||||||
Boise, Inc.1 | 84,480 | 463,795 | ||||||
Myers Industries, Inc. | 61,580 | 498,182 | ||||||
Packaging Corp. of America | 232,220 | 5,113,484 | ||||||
Rock-Tenn Co., Cl. A | 24,959 | 1,239,714 | ||||||
7,315,175 | ||||||||
Metals & Mining—0.9% | ||||||||
Century Aluminum Co.1 | 85,710 | 756,819 | ||||||
Compass Minerals International, Inc. | 69,730 | 4,900,624 | ||||||
Mesabi Trust | 13,690 | 238,069 | ||||||
Redcorp Ventures Ltd., Legend Shares1,2 | 666,400 | 3,130 | ||||||
Worthington Industries, Inc. | 26,400 | 339,504 | ||||||
6,238,146 | ||||||||
Paper & Forest Products—0.4% | ||||||||
Buckeye Technologies, Inc.1 | 82,410 | 819,980 | ||||||
Clearwater Paper Corp.1 | 13,780 | 754,593 | ||||||
Domtar Corp. | 6,850 | 336,678 | ||||||
Glatfelter | 55,600 | 603,260 | ||||||
KapStone Paper & Packing Corp.1 | 52,410 | 583,847 | ||||||
3,098,358 | ||||||||
Telecommunication Services—0.5% | ||||||||
Diversified Telecommunication Services—0.3% | ||||||||
Cincinnati Bell, Inc.1 | 427,172 | 1,285,788 | ||||||
Hickory Tech Corp. | 24,450 | 165,038 | ||||||
Nortel Inversora SA, Sponsored ADR1 | 13,830 | 263,185 | ||||||
1,714,011 | ||||||||
Wireless Telecommunication Services—0.2% | ||||||||
NTELOS Holdings Corp. | 31,258 | 537,638 | ||||||
USA Mobility, Inc. | 79,112 | 1,022,127 | ||||||
1,559,765 | ||||||||
Utilities—2.6% | ||||||||
Electric Utilities—0.8% | ||||||||
Companhia Paranaense de Energia-Copel, Sponsored ADR | 76,251 | 1,574,583 | ||||||
El Paso Electric Co.1 | 44,380 | 858,753 | ||||||
Empresa Distribuidora y Comercializadora Norte SA, ADR1 | 28,270 | 180,363 | ||||||
UniSource Energy Corp. | 5,100 | 153,918 | ||||||
Westar Energy, Inc. | 125,280 | 2,707,301 | ||||||
5,474,918 | ||||||||
Energy Traders—0.2% | ||||||||
Calpine Corp.1 | 9,100 | 115,752 | ||||||
Mirant Corp.1 | 83,860 | 885,562 | ||||||
1,001,314 | ||||||||
Gas Utilities—0.7% | ||||||||
AGL Resources, Inc. | 23,340 | 836,039 | ||||||
Atmos Energy Corp. | 41,840 | 1,131,354 | ||||||
Laclede Group, Inc. (The) | 17,190 | 569,505 | ||||||
Nicor, Inc. | 19,980 | 809,190 | ||||||
Southwest Gas Corp. | 45,800 | 1,351,100 | ||||||
WGL Holdings, Inc. | 9,800 | 333,494 | ||||||
5,030,682 | ||||||||
Multi-Utilities—0.5% | ||||||||
Avista Corp. | 17,490 | 341,580 | ||||||
Integrys Energy Group, Inc. | 12,100 | 529,254 | ||||||
NorthWestern Corp. | 105,585 | 2,766,327 | ||||||
3,637,161 | ||||||||
Water Utilities—0.4% | ||||||||
Aqua America, Inc. | 176,990 | 3,129,158 | ||||||
Total Common Stocks (Cost $620,345,834) | 693,836,955 | |||||||
Investment Companies—3.4% | ||||||||
Apollo Investment Corp. | 83,170 | 775,976 | ||||||
Ares Capital Corp. | 383,848 | 4,809,615 |
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Shares | Value | |||||||
Investment Companies Continued | ||||||||
BlackRock Kelso Capital Corp. | 92,070 | $ | 908,731 | |||||
Gladstone Capital Corp. | 70,358 | 760,570 | ||||||
Hercules Technology Growth Capital, Inc. | 54,877 | 505,417 | ||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%3,4 | 65,648 | 65,648 | ||||||
MCG Capital Corp. | 97,870 | 472,712 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%3,5 | 14,812,893 | 14,812,893 | ||||||
PennantPark Investment Corp. | 64,378 | 614,810 | ||||||
TICC Capital Corp. | 50,270 | 422,268 | ||||||
Total Investment Companies (Cost $23,799,877) | 24,148,640 | |||||||
Total Investments, at Value (Cost $644,145,711) | 100.0 | % | 717,985,595 | |||||
Other Assets Net of Liabilities | 0.0 | 339,739 | ||||||
Net Assets | 100.0 | % | $ | 718,325,334 | ||||
Footnotes to Statement of Investments
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 $3,130 or less than 0.005% of the Fund’s net assets as of June 30, 2010. | |
3. | Rate shown is the 7-day yield as of June 30, 2010. | |
4. | Interest rate is less than 0.0005%. | |
5. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 6,595,140 | 98,175,092 | 89,957,339 | 14,812,893 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 14,812,893 | $ | 8,796 |
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—significant 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, 2010 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 | $ | 103,544,379 | $ | — | $ | — | $ | 103,544,379 | ||||||||
Consumer Staples | 19,150,175 | — | — | 19,150,175 | ||||||||||||
Energy | 30,375,732 | 317,252 | — | 30,692,984 | ||||||||||||
Financials | 143,149,368 | — | — | 143,149,368 | ||||||||||||
Health Care | 103,717,607 | — | 25 | 103,717,632 | ||||||||||||
Industrials | 107,180,799 | — | — | 107,180,799 | ||||||||||||
Information Technology | 130,989,187 | — | — | 130,989,187 | ||||||||||||
Materials | 33,862,292 | — | 3,130 | 33,865,422 | ||||||||||||
Telecommunication Services | 3,273,776 | — | — | 3,273,776 | ||||||||||||
Utilities | 18,273,233 | — | — | 18,273,233 | ||||||||||||
Investment Companies | 24,148,640 | — | — | 24,148,640 | ||||||||||||
Total Assets | $ | 717,665,188 | $ | 317,252 | $ | 3,155 | $ | 717,985,595 | ||||||||
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STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
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 methodologies, if any, during the reporting period.
See accompanying Notes to Financial Statements.
16 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $629,332,818) | $ | 703,172,702 | ||
Affiliated companies (cost $14,812,893) | 14,812,893 | |||
717,985,595 | ||||
Receivables and other assets: | ||||
Investments sold | 2,391,430 | |||
Dividends | 661,234 | |||
Shares of beneficial interest sold | 419,587 | |||
Other | 18,355 | |||
Total assets | 721,476,201 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 1,756,782 | |||
Shares of beneficial interest redeemed | 638,268 | |||
Distribution and service plan fees | 433,053 | |||
Shareholder communications | 222,751 | |||
Transfer and shareholder servicing agent fees | 61,912 | |||
Trustees’ compensation | 10,152 | |||
Other | 27,949 | |||
Total liabilities | 3,150,867 | |||
Net Assets | $ | 718,325,334 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 51,200 | ||
Additional paid-in capital | 886,487,166 | |||
Accumulated net investment income | 1,126,983 | |||
Accumulated net realized loss on investments | (243,179,899 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 73,839,884 | |||
Net Assets | $ | 718,325,334 | ||
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 $85,724,261 and 6,069,658 shares of beneficial interest outstanding) | $ | 14.12 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $632,601,073 and 45,130,495 shares of beneficial interest outstanding) | $ | 14.02 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $17,334) | $ | 5,065,220 | ||
Affiliated companies | 8,796 | |||
Interest | 57 | |||
Total investment income | 5,074,073 | |||
Expenses | ||||
Management fees | 2,708,483 | |||
Distribution and service plan fees—Service shares | 844,254 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 43,660 | |||
Service shares | 339,979 | |||
Shareholder communications: | ||||
Non-Service shares | 16,446 | |||
Service shares | 128,416 | |||
Trustees’ compensation | 16,714 | |||
Custodian fees and expenses | 2,142 | |||
Other | 37,675 | |||
Total expenses | 4,137,769 | |||
Less waivers and reimbursements of expenses | (219,199 | ) | ||
Net expenses | 3,918,570 | |||
Net Investment Income | 1,155,503 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 24,592,800 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (34,900,577 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (8,989 | ) | ||
Net change in unrealized appreciation/depreciation | (34,909,566 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (9,161,263 | ) | |
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 1,155,503 | $ | 3,381,265 | ||||
Net realized gain (loss) | 24,592,800 | (133,188,329 | ) | |||||
Net change in unrealized appreciation/depreciation | (34,909,566 | ) | 346,221,405 | |||||
Net increase (decrease) in net assets resulting from operations | (9,161,263 | ) | 216,414,341 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (548,102 | ) | (605,525 | ) | ||||
Service shares | (2,854,368 | ) | (4,276,612 | ) | ||||
(3,402,470 | ) | (4,882,137 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 5,602,313 | 894,228 | ||||||
Service shares | (18,874,512 | ) | (78,387,647 | ) | ||||
(13,272,199 | ) | (77,493,419 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (25,835,932 | ) | 134,038,785 | |||||
Beginning of period | 744,161,266 | 610,122,481 | ||||||
End of period (including accumulated net investment income of $1,126,983 and $3,373,950, respectively) | $ | 718,325,334 | $ | 744,161,266 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.40 | $ | 10.65 | $ | 18.20 | $ | 19.15 | $ | 17.18 | $ | 16.05 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .04 | .08 | .12 | .09 | .08 | .04 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (.23 | ) | 3.78 | (6.73 | ) | (.30 | ) | 2.46 | 1.51 | |||||||||||||||
Total from investment operations | (.19 | ) | 3.86 | (6.61 | ) | (.21 | ) | 2.54 | 1.55 | |||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.11 | ) | (.08 | ) | (.06 | ) | (.03 | ) | — | |||||||||||||
Distributions from net realized gain | — | — | (.86 | ) | (.68 | ) | (.54 | ) | (.42 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.09 | ) | (.11 | ) | (.94 | ) | (.74 | ) | (.57 | ) | (.42 | ) | ||||||||||||
Net asset value, end of period | $ | 14.12 | $ | 14.40 | $ | 10.65 | $ | 18.20 | $ | 19.15 | $ | 17.18 | ||||||||||||
Total Return, at Net Asset Value2 | (1.33 | )% | 37.20 | % | (37.83 | )% | (1.21 | )% | 15.00 | % | 9.92 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 85,724 | $ | 81,814 | $ | 58,478 | $ | 93,939 | $ | 81,405 | $ | 44,820 | ||||||||||||
Average net assets (in thousands) | $ | 88,023 | $ | 69,585 | $ | 80,406 | $ | 94,815 | $ | 62,659 | $ | 39,708 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.52 | % | 0.71 | % | 0.80 | % | 0.48 | % | 0.46 | % | 0.23 | % | ||||||||||||
Total expenses | 0.86 | %4 | 0.91 | %4 | 0.75 | %4 | 0.73 | %4 | 0.77 | %4 | 0.81 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.82 | % | 0.75 | % | 0.73 | % | 0.77 | % | 0.81 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 140 | % | 130 | % | 115 | % | 110 | % | 110 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 0.86 | % | ||
Year Ended December 31, 2009 | 0.91 | % | ||
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.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.28 | $ | 10.54 | $ | 18.03 | $ | 18.98 | $ | 17.06 | $ | 15.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .02 | .05 | .08 | .05 | .04 | — | 2 | |||||||||||||||||
Net realized and unrealized gain (loss) | (.22 | ) | 3.76 | (6.67 | ) | (.29 | ) | 2.42 | 1.51 | |||||||||||||||
Total from investment operations | (.20 | ) | 3.81 | (6.59 | ) | (.24 | ) | 2.46 | 1.51 | |||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.06 | ) | (.07 | ) | (.04 | ) | (.03 | ) | — | 2 | — | |||||||||||||
Distributions from net realized gain | — | — | (.86 | ) | (.68 | ) | (.54 | ) | (.42 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.06 | ) | (.07 | ) | (.90 | ) | (.71 | ) | (.54 | ) | (.42 | ) | ||||||||||||
Net asset value, end of period | $ | 14.02 | $ | 14.28 | $ | 10.54 | $ | 18.03 | $ | 18.98 | $ | 17.06 | ||||||||||||
Total Return, at Net Asset Value3 | (1.42 | )% | 36.88 | % | (38.00 | )% | (1.39 | )% | 14.66 | % | 9.71 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 632,601 | $ | 662,347 | $ | 551,644 | $ | 821,642 | $ | 636,430 | $ | 314,868 | ||||||||||||
Average net assets (in thousands) | $ | 685,481 | $ | 612,651 | $ | 769,150 | $ | 766,102 | $ | 479,456 | $ | 221,324 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 0.27 | % | 0.47 | % | 0.52 | % | 0.23 | % | 0.23 | % | 0.02 | % | ||||||||||||
Total expenses | 1.11 | %5 | 1.15 | %5 | 0.99 | %5 | 0.97 | %5 | 1.00 | %5 | 1.04 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.07 | % | 0.99 | % | 0.97 | % | 1.00 | % | 1.04 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 140 | % | 130 | % | 115 | % | 110 | % | 110 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an initial 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, 2010 | 1.11 | % | ||
Year Ended December 31, 2009 | 1.15 | % | ||
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.
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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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
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
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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. Shares of IMMF are valued at their net asset value per share. 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.
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.
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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
During the fiscal year ended December 31, 2009, the Fund did not utilize any capital loss carryforward. As of December 31, 2009, the Fund had available for federal income tax purposes unused capital loss carryforwards as follows:
Expiring | ||||
2016 | $ | 91,876,720 | ||
2017 | 161,793,274 | |||
Total | $ | 253,669,994 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $229,077,194 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $24,592,800 of 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, 2010 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 | $ | 658,953,173 | ||
Gross unrealized appreciation | $ | 94,378,779 | ||
Gross unrealized depreciation | (35,346,357 | ) | ||
Net unrealized appreciation | $ | 59,032,422 | ||
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,
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,502,585 | $ | 22,494,391 | 3,169,215 | $ | 36,433,519 | ||||||||||
Dividends and/or distributions reinvested | 36,202 | 548,102 | 83,752 | 605,525 | ||||||||||||
Redeemed | (1,150,578 | ) | (17,440,180 | ) | (3,063,138 | ) | (36,144,816 | ) | ||||||||
Net increase | 388,209 | $ | 5,602,313 | 189,829 | $ | 894,228 | ||||||||||
Service Shares | ||||||||||||||||
Sold | 3,160,458 | $ | 47,815,476 | 14,093,981 | $ | 149,861,179 | ||||||||||
Dividends and/or distributions reinvested | 189,911 | 2,854,368 | 592,905 | 4,262,989 | ||||||||||||
Redeemed | (4,603,861 | ) | (69,544,356 | ) | (20,638,747 | ) | (232,511,815 | ) | ||||||||
Net decrease | (1,253,492 | ) | $ | (18,874,512 | ) | (5,951,861 | ) | $ | (78,387,647 | ) | ||||||
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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 204,626,728 | $ | 229,758,765 |
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $383,641 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 0.25% of the daily 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 would 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, 2010, the Manager waived fees and/or reimbursed the Fund $25,008 and $189,661 for Non-Service and Service shares, respectively.
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, 2010, the Manager waived fees and/or reimbursed the Fund $4,530 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
5. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
6. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits raise claims under federal securities laws alleging that, among other things, the disclosure documents of the respective Defendant Fund contained misrepresentations and
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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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff”). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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OPPENHEIMER MAIN STREET 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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Matthew P. Ziehl, Vice President and Portfolio Manager | ||
Raman Vardharaj, Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved.
Table of Contents
June 30, 2010 Oppenheimer Money Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMI ANNUAL REPORT Fund Performance Discussion Listing of Investments Financial Statements |
Table of Contents
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. The Fund is a money market fund.
Current Yield
For the 7-Day Period Ended 6/30/10
0.04%
For the 6-Month Period Ended 6/30/10
0.04%
The performance data quoted represents past performance, which does not guarantee future results. Yields are annualized and 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 waiver that can be terminated after one year from the date of the current prospectus, Fund performance would have been less.
Narrative by Carol Wolf and Christopher Proctor1, Portfolio Managers
During the six-month reporting period ended June 30, 2010, the Fund produced a 0.04% yield without and with compounding. As of June 30, the Fund’s 7-day yield, without and with compounding, was also 0.04%.
Like its peers, the Fund generated relatively little current income during the reporting period as the Federal Reserve Board (the “Fed”) maintained short-term interest rates in a historically low range of 0% to 0.25%. However, the Fund continued to provide the benefits of liquidity and preservation of capital amid bouts of heightened market volatility stemming from renewed global economic concerns, a subpar U.S. economic recovery and significant changes to the regulatory environment in which money market funds operate.
Economic and Market Environment
The U.S. economy continued to expand over the first half of 2010 as manufacturing activity generally improved and a degree of confidence was restored among consumers, businesses and investors. However, the U.S. recovery has remained milder than historical averages, primarily due to headwinds stemming from a stubbornly high unemployment rate, persistent weakness in housing markets and severe fiscal challenges confronting many states and municipalities.
Faced with a fragile recovery, the Fed left unchanged the aggressively accommodative monetary policy it had established at the bottom of the recession, which helped the United States rank among the developed world’s more robust economies during the reporting period. In contrast, as it has been for many years, Japan remained mired in economic weakness stemming in part from systemic imbalances in its banking system. Europe also stumbled economically, as the regional economy was weighed down by the excessive debt burdens carried by some members of the European Union, most notably Greece. In China, evidence of rising inflationary pressures led to concerns that inflation-fighting measures might choke off growth in the region, which has served as primary support for the global economic recovery. These worries led to heightened volatility in the global stock and bond markets during the last two months of the reporting period.
Given these developments, we saw only modest improvement in the fundamentals of U.S. short-term credit markets during the reporting period. The Fed’s low target for the federal funds rate served as an anchor for yields of money market instruments, which typically offered annualized returns of little more than zero percent. In addition, yield differences along the market’s maturity spectrum remained relatively narrow, and most money market funds maintained weighted average maturities that were longer than historical averages.
1. | Effective May 19, 2010. |
2 | OPPENHEIMER MONEY FUND/VA
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The Fed and U.S. Government removed some of the market support they put in place during the 2008 credit crisis. For example, in March 2010, the Fed ended its massive purchases of U.S. Government securities, including mortgage-backed securities. The credit markets appeared to absorb the end of these programs without significant problems. Still, the Fed has repeatedly stated that it intends to maintain low short-term interest rates “for an extended period,” and, at period end, we continue to believe that short-term rates will remain low by historical standards.
Portfolio Strategy
As we have for some time, we maintained a defensive investment posture over the first half of 2010. Due to narrow yield spreads and low interest rates among money market instruments, it made little sense to incur the incremental credit risks associated with corporate maturities.
Moreover, we continued to focus on money market instruments that meet our stringent credit-quality standards. In light of our emphasis on seeking safety and liquidity, the Fund held less commercial paper and more U.S. Government securities than we consider usual. In addition, we found some opportunities meeting our criteria among taxable short-term securities issued by states and municipalities.
During the reporting period, the U.S. Securities and Exchange Commission (“SEC”) adopted new regulations governing money market funds. Among other provisions, the new rules have increased most funds’ minimum liquidity standards. Although the Fund historically has been managed conservatively, we made several adjustments to its composition during the spring of 2010 to bring it fully into compliance with the new regulations. These changes had relatively little impact on the Fund’s yield.
We are awaiting further changes to regulatory requirements that could influence the economic recovery and credit markets. Shortly after the reporting period came to a close, Congress passed a major financial reform bill, the implementation of which may affect how the Fed conducts monetary policy. The SEC is also considering additional changes to money market regulations potentially later this year.
In light of ongoing economic and regulatory uncertainty, we currently intend to retain the Fund’s conservative investment posture. After all, seeking liquidity and preserving capital are the foundation of what makes Oppenheimer Money Fund/VA part of The Right Way to Invest.
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 and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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.
3 | OPPENHEIMER MONEY FUND/VA
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FUND EXPENSES
Fund Expenses. As a shareholder of the Fund, you incur ongoing costs, including management 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, 2010.
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 | ||||||||||
January 1, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
$ | 1,000.00 | $ | 1,000.20 | $ | 1.64 | |||||||
Hypothetical (5% return before expenses) | ||||||||||||
1,000.00 | 1,023.16 | 1.66 |
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, 2010 is as follows:
Expense Ratio | ||
0.33% |
The expense ratio reflects voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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.
4 | OPPENHEIMER MONEY FUND/VA
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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Certificates of Deposit—18.5% | ||||||||
Yankee Certificates of Deposit—18.5% | ||||||||
Bank of Nova Scotia, Houston TX, 0.35%, 8/5/10 | $ | 3,000,000 | $ | 3,000,000 | ||||
BNP Paribas, New York, 0.54%, 9/3/10 | 900,000 | 900,000 | ||||||
National Australia Bank, New York, 0.45%, 11/24/101 | 1,600,000 | 1,600,000 | ||||||
Nordea Bank Finland plc, New York: | ||||||||
0.68%, 12/16/10 | 3,000,000 | 3,000,000 | ||||||
0.71%, 12/6/10 | 3,000,000 | 3,000,127 | ||||||
Rabobank Nederland NV, New York: | ||||||||
0.42%, 5/12/111 | 3,000,000 | 3,000,000 | ||||||
0.447%, 6/27/111 | 2,000,000 | 2,000,000 | ||||||
0.72%, 7/26/10 | 2,000,000 | 2,000,000 | ||||||
Royal Bank of Canada, New York, 0.35%, 10/1/101 | 2,000,000 | 2,000,000 | ||||||
Toronto Dominion Bank, New York, 0.26%, 8/5/10 | 3,000,000 | 3,000,000 | ||||||
Westpac Banking Corp., New York: | ||||||||
0.18%, 10/12/101 | 2,000,000 | 2,000,000 | ||||||
0.381%, 10/7/101 | 3,500,000 | 3,500,000 | ||||||
0.451%, 12/7/101 | 2,000,000 | 2,000,000 | ||||||
Total Certificates of Deposit (Cost $31,000,127) | 31,000,127 | |||||||
Direct Bank Obligations—4.5% | ||||||||
Credit Agricole North America, Inc., 0.42%, 7/27/10 | 4,000,000 | 3,998,787 | ||||||
Northern Trust Co., Grand Cayman, 0.02%, 7/1/10 | 3,500,000 | 3,500,000 | ||||||
Total Direct Bank Obligations (Cost $7,498,787) | 7,498,787 | |||||||
Short-Term Notes—65.7% | ||||||||
Capital Markets—4.1% | ||||||||
BNP Paribas Finance, Inc.: | ||||||||
0.40%, 8/11/10 | 1,000,000 | 999,544 | ||||||
0.59%, 9/17/10 | 3,500,000 | 3,495,526 | ||||||
0.60%, 9/24/10 | 2,400,000 | 2,396,600 | ||||||
6,891,670 | ||||||||
Commercial Banks—11.8% | ||||||||
Barclays US Funding LLC, 0.42%, 8/17/10 | 2,800,000 | 2,798,465 | ||||||
Commonwealth Bank of Australia, 0.28%, 7/9/102 | 2,700,000 | 2,699,832 | ||||||
ING Funding LLC: | ||||||||
0.30%, 7/14/10 | 2,000,000 | 1,999,783 | ||||||
0.31%, 7/16/10 | 500,000 | 499,935 | ||||||
0.32%, 7/22/10 | 2,000,000 | 1,999,627 | ||||||
National Australia Funding (Delaware), Inc.: | ||||||||
0.28%, 7/8/102 | 1,350,000 | 1,349,927 | ||||||
0.305%, 7/19/102 | 5,000,000 | 4,999,238 | ||||||
Nordea North America, Inc., 0.60%, 11/19/10 | 1,000,000 | 997,650 | ||||||
Toronto Dominion Holdings (U.S.A.), Inc., 0.26%, 7/30/102 | 2,500,000 | 2,499,476 | ||||||
19,843,933 | ||||||||
Diversified Financial Services—1.3% | ||||||||
General Electric Capital Services, 0.43%, 9/27/10 | 2,100,000 | 2,097,793 | ||||||
Insurance—1.8% | ||||||||
United of Omaha Life Insurance Co.: | ||||||||
0.654%, 12/29/101 | 2,000,000 | 2,000,000 | ||||||
0.654%, 12/29/101 | 1,000,000 | 1,000,000 | ||||||
3,000,000 | ||||||||
Leasing & Factoring—4.8% | ||||||||
Toyota Motor Credit Corp.: | ||||||||
0.50%, 8/6/10 | 3,500,000 | 3,498,250 | ||||||
0.50%, 8/10/10 | 2,000,000 | 1,998,889 | ||||||
0.53%, 8/16/10 | 1,500,000 | 1,498,984 | ||||||
0.54%, 8/20/10 | 1,000,000 | 999,250 | ||||||
7,995,373 | ||||||||
Municipal—14.8% | ||||||||
Allegheny Cnty., PA Industrial Development Authority Bonds, Union Electric Steel Corp., Series 1997, 0.35%, 7/1/101 | 2,316,000 | 2,316,000 | ||||||
Chicago, IL Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 1998, 0.47%, 7/1/101 | 1,335,000 | 1,335,000 | ||||||
Health Care Revenue Bonds, SFO Associates Project, Series 1994, 0.39%, 7/1/101 | 2,200,000 | 2,200,000 | ||||||
IL Finance Authority Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 2005, 0.47%, 7/1/101 | 1,440,000 | 1,440,000 | ||||||
Laurel Grocery Project Nts., Series 1999, 0.65%, 7/1/101 | 1,235,000 | 1,235,000 | ||||||
Manassas, VA Industrial Development Authority Bonds, Aurora Flight Science, Series 2005, 0.40%, 7/1/101 | 985,000 | 985,000 | ||||||
Miami-Dade Cnty., FL Industrial Development Authority Bonds, Airbus Service Co., Inc. Project, Series 98, 0.39%, 7/1/101 | 1,000,000 | 1,000,000 |
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STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Municipal Continued | ||||||||
Putnam Cnty., WV Solid Waste Disposal Revenue Bonds, FMC Corp., Series 1991, 0.52%, 8/1/101 | $ | 1,730,000 | $ | 1,730,000 | ||||
San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, Series 2008, 0.40%, 7/1/101 | 3,500,000 | 3,500,000 | ||||||
SC Jobs-Economic Development Authority Bonds, Abraham Industries LLC Project, Series 1999, 0.37%, 7/1/101 | 1,650,000 | 1,650,000 | ||||||
SC Jobs-Economic Development Authority Revenue Bonds, JM Steel Corp. Project, Series 1999, 0.48%, 7/1/101 | 385,000 | 385,000 | ||||||
Valdosta-Lowndes Cnty., GA Industrial Authority, Steeda Autosports, Inc. Project, Series 2008, 0.40%, 7/1/101 | 945,000 | 945,000 | ||||||
Vigo Cnty., IN Economic Development Revenue Bonds, Republic Services, Inc. Project, Series 03, 0.29%, 7/1/101 | 5,000,000 | 5,000,000 | ||||||
Wright Brothers, Inc. Nts., Series 2005, 0.65%, 7/1/101 | 985,000 | 985,000 | ||||||
24,706,000 | ||||||||
Receivables Finance—12.1% | ||||||||
Barton Capital Corp., 0.36%, 7/6/102 | 2,900,000 | 2,899,855 | ||||||
Fairway Finance Corp., 0.47%, 9/8/102 | 2,500,000 | 2,497,748 | ||||||
Gemini Securitization Corp.: | ||||||||
0.35%, 7/9/102 | 2,100,000 | 2,099,837 | ||||||
0.35%, 7/15/102 | 2,000,000 | 1,999,728 | ||||||
Jupiter Securitization Co. LLC: | ||||||||
0.32%, 7/12/102 | 4,000,000 | 3,999,609 | ||||||
0.40%, 8/3/102 | 2,000,000 | 1,999,267 | ||||||
Old Line Funding Corp.: | ||||||||
0.30%, 7/7/102 | 3,000,000 | 2,999,870 | ||||||
0.43%, 8/9/102 | 1,800,000 | 1,799,162 | ||||||
20,295,076 | ||||||||
Special Purpose Financial—15.0% | ||||||||
Crown Point Capital Co.: | ||||||||
0.45%, 7/8/10 | 4,800,000 | 4,799,580 | ||||||
0.50%, 8/9/10 | 2,000,000 | 1,998,917 | ||||||
FCAR Owner Trust I, 0.38%, 7/22/10 | 3,000,000 | 2,999,335 | ||||||
Govco, Inc., 0.01%, 7/1/102 | 7,800,000 | 7,800,000 | ||||||
Lexington Parker Capital Co. LLC: | ||||||||
0.45%, 7/13/102 | 2,100,000 | 2,099,685 | ||||||
0.50%, 8/2/102 | 1,900,000 | 1,899,156 | ||||||
0.50%, 8/4/102 | 1,600,000 | 1,599,244 | ||||||
0.50%, 8/13/102 | 2,000,000 | 1,998,806 | ||||||
25,194,723 | ||||||||
Total Short-Term Notes (Cost $110,024,568) | 110,024,568 | |||||||
U.S. Government Obligations—3.5% | ||||||||
U.S. Treasury Nts.: | ||||||||
0.875%, 2/28/11-4/30/11 | 3,800,000 | 3,812,098 | ||||||
4.875%, 7/31/11 | 1,000,000 | 1,048,237 | ||||||
5.125%, 6/30/11 | 1,000,000 | 1,046,447 | ||||||
Total U.S. Government Obligations (Cost $5,906,782) | 5,906,782 | |||||||
U.S. Government Agencies—4.8% | ||||||||
Federal Home Loan Bank: | ||||||||
0.50%, 10/29/10 | 3,000,000 | 3,000,000 | ||||||
0.61%, 5/16/11 | 2,000,000 | 2,000,000 | ||||||
0.75%, 6/21/11 | 2,000,000 | 2,000,000 | ||||||
3.125%, 11/12/10 | 1,000,000 | 1,009,470 | ||||||
Total U.S. Government Agencies (Cost $8,009,470) | 8,009,470 | |||||||
Total Investments, at Value (Cost $162,439,734) | 97.0 | % | 162,439,734 | |||||
Other Assets Net of Liabilities | 3.0 | 5,097,183 | ||||||
Net Assets | 100.0 | % | $ | 167,536,917 | ||||
6 | OPPENHEIMER MONEY FUND/VA
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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. | Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $47,240,440 or 28.20% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. |
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—significant 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, 2010 based on valuation input level:
Level 2— | Level 3— | |||||||||||||||
Level 1— | Other Significant | Significant | ||||||||||||||
Unadjusted | Observable | Unobservable | ||||||||||||||
Quoted Prices | Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Certificates of Deposit | $ | — | $ | 31,000,127 | $ | — | $ | 31,000,127 | ||||||||
Direct Bank Obligations | — | 7,498,787 | — | 7,498,787 | ||||||||||||
Short-Term Notes | — | 110,024,568 | — | 110,024,568 | ||||||||||||
U.S. Government Obligations | — | 5,906,782 | — | 5,906,782 | ||||||||||||
U.S. Government Agencies | — | 8,009,470 | — | 8,009,470 | ||||||||||||
Total Assets | $ | — | $ | 162,439,734 | $ | — | $ | 162,439,734 | ||||||||
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 methodologies, if any, during the reporting period.
See accompanying Notes to Financial Statements.
7 | OPPENHEIMER MONEY FUND/VA
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010 | ||||
Assets | ||||
Investments, at value (cost $162,439,734)—see accompanying statement of investments | $ | 162,439,734 | ||
Cash | 4,316,973 | |||
Receivables and other assets: | ||||
Shares of beneficial interest sold | 772,175 | |||
Interest | 85,319 | |||
Other | 8,505 | |||
Total assets | 167,622,706 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 42,162 | |||
Transfer and shareholder servicing agent fees | 13,516 | |||
Legal, auditing and other professional fees | 10,837 | |||
Shareholder communications | 9,723 | |||
Trustees’ compensation | 5,059 | |||
Dividends | 1,606 | |||
Other | 2,886 | |||
Total liabilities | 85,789 | |||
Net Assets | $ | 167,536,917 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 167,527 | ||
Additional paid-in capital | 167,385,541 | |||
Accumulated net investment loss | (25,496 | ) | ||
Accumulated net realized gain on investments | 9,345 | |||
Net Assets—applicable to 167,526,980 shares of beneficial interest outstanding | $ | 167,536,917 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share | $ | 1.00 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010 | ||||
Investment Income | ||||
Interest | $ | 285,453 | ||
Expenses | ||||
Management fees | 383,302 | |||
Transfer and shareholder servicing agent fees | 85,177 | |||
Shareholder communications | 12,640 | |||
Trustees’ compensation | 9,080 | |||
Custodian fees and expenses | 1,068 | |||
Other | 22,783 | |||
Total expenses | 514,050 | |||
Less waivers and reimbursements of expenses | (234,563 | ) | ||
Net expenses | 279,487 | |||
Net Investment Income | 5,966 | |||
Net Realized Gain on Investments | 58 | |||
Net Increase in Net Assets Resulting from Operations | $ | 6,024 | ||
See accompanying Notes to Financial Statements.
9 | OPPENHEIMER MONEY FUND/VA
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 5,966 | $ | 765,680 | ||||
Net realized gain | 58 | 10,354 | ||||||
Net increase in net assets resulting from operations | 6,024 | 776,034 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income | (31,462 | ) | (765,999 | ) | ||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions | (13,392,326 | ) | (62,411,738 | ) | ||||
Net Assets | ||||||||
Total decrease | (13,417,764 | ) | (62,401,703 | ) | ||||
Beginning of period | 180,954,681 | 243,356,384 | ||||||
End of period (including accumulated net investment loss of $25,496 for the six months ended June 30, 2010) | $ | 167,536,917 | $ | 180,954,681 | ||||
See accompanying Notes to Financial Statements.
10 | OPPENHEIMER MONEY FUND/VA
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||||||
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 | — | 2 | .03 | .05 | .05 | .03 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | 2 | — | 2 | (.03 | ) | (.05 | ) | (.05 | ) | (.03 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | — | 2 | — | 2 | — | ||||||||||||||||
Total dividends and/or distributions to shareholders | — | 2 | — | 2 | (.03 | ) | (.05 | ) | (.05 | ) | (.03 | ) | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total Return3 | 0.02 | % | 0.32 | % | 2.78 | % | 4.98 | % | 4.71 | % | 2.86 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 167,537 | $ | 180,955 | $ | 243,356 | $ | 189,749 | $ | 171,521 | $ | 173,162 | ||||||||||||
Average net assets (in thousands) | $ | 171,690 | $ | 218,079 | $ | 212,564 | $ | 181,271 | $ | 171,118 | $ | 186,453 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 0.01 | % | 0.35 | % | 2.72 | % | 4.86 | % | 4.61 | % | 2.80 | % | ||||||||||||
Total expenses | 0.60 | % | 0.57 | % | 0.50 | % | 0.50 | % | 0.49 | % | 0.48 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.33 | % | 0.48 | % | 0.50 | % | 0.50 | % | 0.49 | % | 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 initial 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.
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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 is a Money Market Fund. 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.
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 significant 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.
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.
There have been no significant changes to the fair valuation methodologies of the Fund during the period.
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.
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
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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 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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold | 35,519,239 | $ | 35,519,239 | 66,197,591 | $ | 66,197,591 | ||||||||||
Dividends and/or distributions reinvested | 30,431 | 30,431 | 765,999 | 765,999 | ||||||||||||
Redeemed | (48,941,996 | ) | (48,941,996 | ) | (129,375,328 | ) | (129,375,328 | ) | ||||||||
Net decrease | (13,392,326 | ) | $ | (13,392,326 | ) | (62,411,738 | ) | $ | (62,411,738 | ) | ||||||
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 |
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. 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. The Fund pays OFS fees at an annual rate of 0.10% of its daily net assets. For the six months ended June 30, 2010, the Fund paid $87,232 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. During the six months ended June 30, 2010, the Manager waived fees and/or reimbursed the Fund $234,042.
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%. During the six months ended June 30, 2010, the Manager waived fees and/or reimbursed the Fund $521.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
4. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
5. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff ”). Those suits 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
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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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Carol E. Wolf, Vice President and Portfolio Manager | ||
Christopher Proctor, Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved.
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June 30, 2010 Oppenheimer Global Strategic Income Semiannual Fund/VA* Report A Series of Oppenheimer Variable Account Funds S E M I A N N UA L R E P O RT Fund Performance Discussion Listing of Top Holdings Listing of Investments Financial Statements *Prior to April 30, 2010, the Fund’s name was “Oppenheimer Strategic Bond Fund/VA.” |
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OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Fund Objective. The Fund seeks a high level of current income principally derived from interest on debt securities.
Portfolio Managers: Arthur Steinmetz, Krishna Memani, Joseph Welsh and Caleb Wong
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
Non-Service Shares | 5.28 | % | ||
Service Shares | 5.07 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 17.97 | % | 5.03 | % | 6.60 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (3/19/01) | ||||||||||
Service Shares | 17.53 | % | 4.76 | % | 6.38 | % |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.68 | % | 0.65 | % | ||||
Service Shares | 0.93 | 0.90 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
Portfolio Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of investments.
Corporate Bonds & Notes—Top Ten Industries
Oil, Gas & Consumable Fuels | 4.3 | % | ||
Media | 1.9 | |||
Commercial Banks | 1.6 | |||
Hotels, Restaurants & Leisure | 1.5 | |||
Diversified Telecommunication Services | 1.5 | |||
Electric Utilities | 1.4 | |||
Wireless Telecommunication Services | 1.1 | |||
Paper & Forest Products | 1.0 | |||
Energy Traders | 1.0 | |||
Chemicals | 1.0 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
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FUND PERFORMANCE DISCUSSION
For the six-month period ended June 30, 2010, Oppenheimer Global Strategic Income Fund/VA’s Non-Service shares provided a return of 5.28%. In comparison, the Citigroup World Government Bond Index (the “Index”) provided a return –1.04% for the reporting period, while the Barclays Capital U.S. Aggregate Bond Index returned 5.33%.
We attribute the Fund’s outperformance versus the Index to our security selection strategy in a volatile market environment. The Fund particularly benefited from its holdings of emerging-markets bonds and mortgage-backed securities, while its positions in high yield bonds and international currencies fared less well.
Economic and Market Overview
A global economic recovery persisted during the first half of 2010 as manufacturing activity increased, housing markets appeared to stabilize and robust industrial demand from the emerging markets lifted commodity prices. The economic rebound was sparked, in part, by historically low short-term interest rates from the world’s central banks and massive stimulus programs adopted by various governments. Improving economic conditions helped lift the prices of higher yielding fixed-income securities in the first quarter of 2010, including emerging-markets debt and high yield corporate bonds.
Investor sentiment changed sharply, however, when a number of developments threatened the global recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures. Meanwhile, surging property values in China sparked inflation fears, and investors worried that higher short-term interest rates and tighter lending restrictions might damage a primary engine of the global rebound. These developments caused the euro and other currencies to decline relative to the U.S. dollar.
The United States also encountered greater economic uncertainty when retail sales, employment and housing indicators sent mixed signals regarding the strength and sustainability of the domestic economic recovery. As a result, higher yielding sectors of the bond market lost value, giving back many of the reporting period’s previous gains, while traditionally defensive U.S. Government securities generally rallied.
Portfolio Strategy
Because we had identified attractive values in depressed markets in the wake of the recession and financial crisis, the Fund proved well positioned for the bond market rally early in the reporting period. In the Fund’s international bond portfolio, we maintained overweight exposure versus the Index to emerging markets that we regarded as likely to benefit from resurgent global growth and investors’ pursuit of competitive yields, such as Brazil and Mexico. These emerging-markets positions proved to be among the main drivers of the Fund’s strong relative performance during the reporting period. By the same token, the Fund benefited from an underweight position in the sovereign bonds of developed markets, which helped it avoid the full brunt of weakness stemming from slower growth in those regions. However, the Fund’s exposure to some foreign currencies, in part through the use of currency swaps, hurt its relative performance when the U.S. dollar strengthened.
We established an overweight position in high yield corporate bonds early in the reporting period to increase the Fund’s sensitivity to the recovering economy. We focused on bonds with CCC credit ratings, which we deemed attractively valued compared to other rating tiers. However, these investments suffered in the market correction late in May and June, and they detracted mildly from the Fund’s relative performance for the reporting period overall.
Finally, among U.S. Government securities, a focus on mortgage-backed securities guaranteed by U.S. Government agencies was a key contributor to relative performance. These securities produced strong returns, particularly when newly risk-averse investors sought refuge among traditional safe havens. The Fund also benefited from positions in high-quality non-agency mortgage-backed securities.
We maintained the Fund’s interest-rate strategies in a generally market-neutral position, which we achieved through the use of futures contracts. This positioning effectively served as a hedge against credit risk, as short-term interest rates tend to fall and long-term rates generally rise when credit conditions deteriorate.
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FUND PERFORMANCE DISCUSSION
In light of renewed economic concerns and low inflation, we expect most central banks, including the Federal Reserve Board, to refrain from raising short-term interest rates anytime soon. Therefore, we have maintained the Fund’s multi-sector emphasis on emerging-markets debt, high yield bonds and mortgage-backed securities. Although we are aware that the bulk of the bond market’s gains for the current cycle are probably behind us, we believe that still-attractive valuations and the higher yields these securities provide will serve the Fund well in a low interest-rate environment. Indeed, identifying areas of the global bond market with the greatest potential under prevailing and expected market conditions is at the heart of what makes Oppenheimer Global Strategic Income Fund/VA part of The Right Way to Invest.
Please remember that bonds are exposed to credit and interest rate risks (when interest rates rise, bond/fund prices generally fall). The Fund may invest in foreign securities, which entail special risks (such as currency fluctuations and political factors) and may have higher expenses and volatility. The Fund also invests in derivative instruments, investments whose values depend on the performance of an underlying security, asset, interest rate, index or currency and entail potentially higher volatility and risk of loss compared to traditional stock or bond investments. The Fund may invest in below-investment-grade (“junk”) bonds, which are more at risk of default and are subject to liquidity risk. Diversification does not guarantee profit or protect against loss.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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.
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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, 2010.
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, 2010 | June 30, 2010 | June 30, 2010 | |||||||||
Actual | ||||||||||||
Non-Service Shares | $1,000.00 | $1,052.80 | $3.47 | |||||||||
Service Shares | 1,000.00 | 1,050.70 | 4.74 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.42 | 3.41 | |||||||||
Service Shares | 1,000.00 | 1,020.18 | 4.67 |
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 Oppenheimer Institutional Money Market Fund, based on the 6-month period ended June 30, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service Shares | 0.68 | % | ||
Service Shares | 0.93 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—1.5% | ||||||||
Ally Master Owner Trust 2010-2, Asset-Backed Certificates, Series 2010-2, Cl. A4, 1%, 5/15/15 | $ | 115,000 | $ | 115,644 | ||||
AmeriCredit Prime Automobile Receivables Trust 2007-1, Automobile Receivable Nts., Series 2007-1, Cl. D, 5.62%, 9/8/14 | 1,319,000 | 1,323,040 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivable Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 480,000 | 479,669 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.827%, 5/25/341 | 924,857 | 815,228 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.447%, 9/25/361 | 380,267 | 141,434 | ||||||
Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A4, 1.94%, 6/15/17 | 60,000 | 60,457 | ||||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2010-A1, Cl. A1, 0.65%, 9/15/151 | 1,140,000 | 1,137,728 | ||||||
BMW Vehicle Owner Trust 2010-A, Asset-Backed Nts., Series 2010-A, Cl. A3, 1.39%, 4/25/14 | 850,000 | 855,470 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 | 262,000 | 272,172 | ||||||
Capital One Auto Finance Trust, Automobile Receivables, Series 2006-C, Cl. A4, 0.38%, 5/15/131 | 882,545 | 876,805 | ||||||
CarMax Auto Owner Trust 2010-2, Asset-Backed Certificates, Series 2010-2, Cl. A3, 1.41%, 2/16/152 | 100,000 | 99,998 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.447%, 10/25/361 | 152,702 | 150,763 | ||||||
CNH Equipment Trust, Asset-Backed Certificates: | ||||||||
Series 2009-B, Cl. A3, 2.97%, 3/15/13 | 1,072,855 | 1,083,077 | ||||||
Series 2010-A, Cl. A2, 0.81%, 3/25/15 | 1,400,000 | 1,399,753 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/361 | 1,275,798 | 1,024,127 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/361 | 173,774 | 139,400 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.467%, 6/25/471 | 1,050,000 | 885,022 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | ||||||||
Series 2005-G, Cl. 2A, 0.58%, 12/15/351 | 204,626 | 77,756 | ||||||
Series 2006-H, Cl. 2A1A, 0.50%, 11/15/361 | 74,637 | 19,700 | ||||||
Discover Card Master Trust, Credit Card Receivables, Series 2009-A1, Cl. A1, 1.65%, 12/15/141 | 1,130,000 | 1,148,979 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/253,4 | 1,820,063 | — | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.437%, 7/25/361 | 434,853 | 419,127 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.457%, 7/7/361 | 135,842 | 123,514 | ||||||
First Franklin Mortgage Loan Trust 2006-FFA, Mtg. Pass-Through Certificates, Series 2006-FFA, Cl. A3, 0.467%, 9/25/361 | 861,001 | 116,718 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A, 1.04%, 3/15/135 | 1,035,000 | 1,036,159 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts.: | ||||||||
Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 674,200 | 675,628 | ||||||
Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 1,635,000 | 1,662,984 | ||||||
GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 | 1,140,000 | 1,185,431 |
6 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 | $ | 1,046,000 | $ | 396,037 | ||||
Home Equity Mortgage Trust 2006-5, Mtg. Pass-Through Certificates, Series 2006-5, Cl. A1, 5.50%, 1/25/37 | 407,813 | 53,054 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.608%, 1/20/351 | 199,794 | 188,196 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.458%, 3/20/361 | 285,610 | 283,010 | ||||||
Hyundai Auto Receivables Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 1.50%, 10/15/14 | 625,000 | 628,711 | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: | ||||||||
Series 2007-1A, Cl. B, 2.088%, 8/15/221,4 | 7,870,000 | 4,328,500 | ||||||
Series 2007-1A, Cl. C, 3.388%, 8/15/221,4 | 5,270,000 | 2,529,600 | ||||||
Series 2007-1A, Cl. D, 5.388%, 8/15/221,4 | 5,270,000 | 2,318,800 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.447%, 8/25/361 | 1,284,836 | 426,102 | ||||||
Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.41%, 12/15/131 | 1,119,289 | 1,114,231 | ||||||
National City Credit Card Master Note Trust, Asset-Backed Nts., Series 2005-1, Cl. A, 0.40%, 8/15/121 | 590,000 | 589,737 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/291,4 | 66,744 | 3,170 | ||||||
Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.447%, 7/1/361 | 1,912,512 | 1,256,675 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/361 | 245,493 | 213,914 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.447%, 9/25/361 | 336,335 | 325,435 | ||||||
Securitized Asset-Backed Receivables LLC Trust 2007-BR2, Asset-Backed Securities, Series 2007-BR2, Cl. A2, 0.577%, 2/25/371 | 606,124 | 285,682 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.937%, 6/15/391 | 2,487,000 | 1,041,795 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 4.50%, 5/1/37 | 189,936 | 52,325 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 | 110,000 | 113,642 | ||||||
Total Asset-Backed Securities (Cost $46,670,289) | 33,474,399 | |||||||
Mortgage-Backed Obligations—15.1% | ||||||||
Government Agency—7.2% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—6.3% | ||||||||
Federal Home Loan | ||||||||
Mortgage Corp.: | ||||||||
5%, 8/15/33-9/15/33 | 3,106,356 | 3,302,574 | ||||||
5.50%, 9/1/39 | 1,937,728 | 2,081,968 | ||||||
6%, 5/15/18-10/15/29 | 1,204,942 | 1,323,823 | ||||||
6.50%, 3/15/18-8/15/32 | 2,563,983 | 2,838,326 | ||||||
7%, 10/1/31-10/1/37 | 688,132 | 770,557 | ||||||
7.50%, 4/25/36 | 928,828 | 1,062,261 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | 1,113,426 | 1,239,044 | ||||||
Series 151, Cl. F, 9%, 5/15/21 | 30,455 | 33,848 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 901,866 | 1,003,368 | ||||||
Series 1897, Cl. K, 7%, 9/15/26 | 2,025,902 | 2,289,634 | ||||||
Series 2006-11, Cl. PS, 23.294%, 3/25/361 | 580,451 | 826,002 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 706,803 | 746,377 | ||||||
Series 2106, Cl. FG, 0.80%, 12/15/281 | 1,461,933 | 1,467,404 | ||||||
Series 2122, Cl. F, 0.80%, 2/15/291 | 45,486 | 45,616 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 | 1,272,495 | 1,383,779 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 620,431 | 680,806 |
7 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | $ | 90,830 | $ | 100,088 | ||||
Series 2344, Cl. FP, 1.30%, 8/15/311 | 432,984 | 440,306 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | 382,757 | 419,515 | ||||||
Series 2412, Cl. GF, 1.30%, 2/15/321 | 908,385 | 925,015 | ||||||
Series 2435, Cl. EQ, 6%, 5/15/31 | 3,513 | 3,513 | ||||||
Series 2449, Cl. FL, 0.90%, 1/15/321 | 556,209 | 558,974 | ||||||
Series 2451, Cl. FD, 1.35%, 3/15/321 | 298,093 | 304,101 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 149,099 | 161,835 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,364,520 | 1,518,914 | ||||||
Series 2464, Cl. FI, 1.35%, 2/15/321 | 294,030 | 298,603 | ||||||
Series 2470, Cl. AF, 1.35%, 3/15/321 | 511,455 | 525,253 | ||||||
Series 2470, Cl. LF, 1.35%, 2/15/321 | 300,897 | 306,500 | ||||||
Series 2471, Cl. FD, 1.35%, 3/15/321 | 503,859 | 513,113 | ||||||
Series 2477, Cl. FZ, 0.90%, 6/15/311 | 1,145,520 | 1,150,927 | ||||||
Series 2500, Cl. FD, 0.85%, 3/15/321 | 33,124 | 33,296 | ||||||
Series 2517, Cl. GF, 1.35%, 2/15/321 | 261,614 | 266,457 | ||||||
Series 2526, Cl. FE, 0.75%, 6/15/291 | 68,670 | 68,967 | ||||||
Series 2551, Cl. FD, 0.75%, 1/15/331 | 33,057 | 33,149 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 | 3,843,000 | 4,189,860 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 | 6,037,000 | 6,556,093 | ||||||
Series 2857, Cl. MG, 5%, 9/1/34 | 2,045,000 | 2,221,489 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 1,467,925 | 1,514,656 | ||||||
Series 2947, Cl. HE, 5%, 3/1/35 | 1,650,000 | 1,786,754 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 1,354,951 | 1,403,692 | ||||||
Series 3025, Cl. SJ, 23.468%, 8/15/351 | 679,969 | 966,619 | ||||||
Series 3035, Cl. DM, 5.50%, 11/15/25 | 2,317 | 2,317 | ||||||
Series 3061, Cl. MB, 5.50%, 5/1/30 | 870,000 | 909,959 | ||||||
Series 3094, Cl. HS, 23.101%, 6/15/341 | 385,302 | 484,321 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 192, Cl. IO, 11.08%, 2/1/286 | 32,364 | 7,211 | ||||||
Series 205, Cl. IO, 8.14%, 9/1/296 | 159,121 | 40,443 | ||||||
Series 2074, Cl. S, 54.324%, 7/17/286 | 42,934 | 8,843 | ||||||
Series 2079, Cl. S, 64.625%, 7/17/286 | 70,262 | 14,892 | ||||||
Series 2136, Cl. SG, 87.029%, 3/15/296 | 1,943,949 | 314,698 | ||||||
Series 224, Cl. IO, 1.775%, 3/1/336 | 1,031,746 | 209,435 | ||||||
Series 2399, Cl. SG, 76.576%, 12/15/266 | 1,125,012 | 229,651 | ||||||
Series 243, Cl. 6, 2.258%, 12/15/326 | 481,373 | 94,148 | ||||||
Series 2437, Cl. SB, 80.908%, 4/15/326 | 3,145,408 | 550,989 | ||||||
Series 2526, Cl. SE, 39.616%, 6/15/296 | 86,213 | 14,996 | ||||||
Series 2802, Cl. AS, 99.999%, 4/15/336 | 644,889 | 60,571 | ||||||
Series 2920, Cl. S, 68.617%, 1/15/356 | 727,741 | 100,832 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/256 | 754,955 | 91,909 | ||||||
Series 3045, Cl. DI, 25.103%, 10/15/356 | 18,776,943 | 2,439,296 | ||||||
Series 3110, Cl. SL, 11.274%, 2/15/266 | 456,853 | 47,881 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 7/1/252 | 3,705,000 | 3,909,353 | ||||||
5%, 11/25/21-7/25/33 | 3,540,210 | 3,768,623 | ||||||
5%, 7/1/252 | 1,840,000 | 1,963,339 | ||||||
5.305%, 10/1/36 | 6,652,743 | 6,991,724 | ||||||
5.50%, 4/25/21-7/1/22 | 515,346 | 557,615 | ||||||
5.50%, 7/1/25-8/1/402 | 14,923,000 | 16,027,280 | ||||||
6%, 10/25/16-4/1/35 | 7,624,668 | 8,359,982 | ||||||
6%, 7/1/25-11/1/342 | 7,422,228 | 8,083,793 | ||||||
6.50%, 4/25/17-1/1/34 | 3,206,696 | 3,565,343 | ||||||
7%, 11/1/17-6/25/34 | 3,208,433 | 3,623,340 | ||||||
7.50%, 2/25/27-3/25/33 | 3,441,882 | 3,920,357 | ||||||
8.50%, 7/1/32 | 6,116 | 6,921 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 622,956 | 688,296 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 335,201 | 369,462 | ||||||
Trust 2001-69, Cl. PF, 1.347%, 12/25/311 | 676,687 | 692,505 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 745,382 | 833,024 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 469,352 | 510,725 | ||||||
Trust 2002-29, Cl. F, 1.347%, 4/25/321 | 337,864 | 345,623 | ||||||
Trust 2002-56, Cl. KW, 6%, 4/25/23 | 392,528 | 394,280 | ||||||
Trust 2002-60, Cl. FH, 1.347%, 8/25/321 | 678,238 | 691,432 | ||||||
Trust 2002-64, Cl. FJ, 1.347%, 4/25/321 | 104,039 | 106,462 | ||||||
Trust 2002-68, Cl. FH, 0.848%, 10/18/321 | 230,564 | 231,505 | ||||||
Trust 2002-84, Cl. FB, 1.347%, 12/25/321 | 1,363,747 | 1,396,077 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | 481,469 | 523,922 | ||||||
Trust 2002-9, Cl. PR, 6%, 3/25/17 | 589,536 | 641,517 | ||||||
Trust 2002-90, Cl. FH, 0.847%, 9/25/321 | 763,020 | 765,727 | ||||||
Trust 2003-11, Cl. FA, 1.347%, 9/25/321 | 1,363,778 | 1,396,109 | ||||||
Trust 2003-116, Cl. FA, 0.747%, 11/25/331 | 94,173 | 94,622 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,825,000 | 1,971,595 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 571,000 | 626,990 | ||||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,160,000 | 2,375,807 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 1,594,320 | 1,651,278 | ||||||
Trust 2005-25, Cl. PS, 26.632%, 4/25/351 | 605,164 | 816,146 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 560,000 | 617,259 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 480,000 | 512,568 | ||||||
Trust 2006-46, Cl. SW, 22.926%, 6/25/361 | 1,003,687 | 1,372,095 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 46.22%, 11/18/316 | 375,927 | 62,301 | ||||||
Trust 2001-63, Cl. SD, 37.62%, 12/18/316 | 90,435 | 15,133 | ||||||
Trust 2001-68, Cl. SC, 30.236%, 11/25/316 | 62,261 | 10,462 | ||||||
Trust 2001-81, Cl. S, 36.176%, 1/25/326 | 74,438 | 12,291 | ||||||
Trust 2002-28, Cl. SA, 37.448%, 4/25/326 | 44,287 | 6,649 | ||||||
Trust 2002-38, Cl. SO, 53.709%, 4/25/326 | 228,752 | 31,635 | ||||||
Trust 2002-48, Cl. S, 35.135%, 7/25/326 | 70,845 | 11,609 | ||||||
Trust 2002-52, Cl. SL, 35.475%, 9/25/326 | 44,502 | 7,240 | ||||||
Trust 2002-56, Cl. SN, 37.663%, 7/25/326 | 97,350 | 16,082 | ||||||
Trust 2002-77, Cl. IS, 47.037%, 12/18/326 | 389,725 | 59,372 | ||||||
Trust 2002-77, Cl. SH, 45.276%, 12/18/326 | 102,089 | 17,329 | ||||||
Trust 2002-9, Cl. MS, 34.236%, 3/25/326 | 94,350 | 16,102 | ||||||
Trust 2003-13, Cl. IO, 9.966%, 3/25/336 | 736,333 | 129,151 | ||||||
Trust 2003-26, Cl. DI, 5.04%, 4/25/336 | 495,133 | 87,256 | ||||||
Trust 2003-33, Cl. SP, 51.864%, 5/25/336 | 642,986 | 104,618 |
8 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 2003-38, Cl. SA, 40.324%, 3/25/236 | $ | 1,105,477 | $ | 137,806 | ||||
Trust 2003-4, Cl. S, 43.474%, 2/25/336 | 194,937 | 34,077 | ||||||
Trust 2004-56, Cl. SE, 15.228%, 10/25/336 | 2,701,941 | 429,874 | ||||||
Trust 2005-14, Cl. SE, 37.556%, 3/25/356 | 2,372,467 | 275,649 | ||||||
Trust 2005-40, Cl. SA, 61.939%, 5/25/356 | 1,986,395 | 282,509 | ||||||
Trust 2005-40, Cl. SB, 96.555%, 5/25/356 | 3,347,328 | 519,268 | ||||||
Trust 2005-63, Cl. SA, 79.082%, 10/25/316 | 148,323 | 21,387 | ||||||
Trust 2005-71, Cl. SA, 68.549%, 8/25/256 | 500,853 | 65,771 | ||||||
Trust 2005-87, Cl. SG, 84.861%, 10/25/356 | 2,665,157 | 323,647 | ||||||
Trust 2006-51, Cl. SA, 19.046%, 6/25/366 | 13,181,739 | 1,700,423 | ||||||
Trust 2006-60, Cl. DI, 36.094%, 4/25/356 | 2,233,255 | 244,487 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/366 | 2,026,520 | 383,027 | ||||||
Trust 2007-88, Cl. XI, 13.126%, 6/25/376 | 7,151,939 | 847,602 | ||||||
Trust 214, Cl. 2, 28.807%, 3/1/236 | 507,539 | 101,228 | ||||||
Trust 221, Cl. 2, 24.764%, 5/1/236 | 56,685 | 11,399 | ||||||
Trust 254, Cl. 2, 18.357%, 1/1/246 | 925,819 | 195,887 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/336 | 748,641 | 118,740 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/356 | 1,330,175 | 184,911 | ||||||
Trust 301, Cl. 2, 1.262%, 4/1/296 | 231,289 | 51,553 | ||||||
Trust 313, Cl. 2, 28.964%, 6/1/316 | 2,505,825 | 555,033 | ||||||
Trust 319, Cl. 2, 5.068%, 2/1/326 | 71,975 | 17,131 | ||||||
Trust 321, Cl. 2, 4.768%, 4/1/326 | 291,272 | 59,751 | ||||||
Trust 324, Cl. 2, 1.089%, 7/1/326 | 312,225 | 72,618 | ||||||
Trust 328, Cl. 2, 7.015%, 12/1/326 | 4,001,599 | 847,125 | ||||||
Trust 331, Cl. 5, 4.787%, 2/1/336 | 1,147,420 | 182,693 | ||||||
Trust 332, Cl. 2, 3.098%, 3/1/336 | 7,221,813 | 1,540,392 | ||||||
Trust 334, Cl. 12, 7.858%, 2/1/336 | 994,245 | 154,898 | ||||||
Trust 339, Cl. 15, 0%, 7/1/336,7 | 2,784,242 | 409,138 | ||||||
Trust 345, Cl. 9, 2.529%, 1/1/346 | 1,413,455 | 213,147 | ||||||
Trust 351, Cl. 10, 0%, 4/1/346,7 | 589,364 | 83,273 | ||||||
Trust 351, Cl. 8, 0%, 4/1/346,7 | 955,491 | 130,543 | ||||||
Trust 356, Cl. 10, 0%, 6/1/356,7 | 820,273 | 109,763 | ||||||
Trust 356, Cl. 12, 0.451%, 2/1/356 | 413,439 | 52,668 | ||||||
Trust 362, Cl. 12, 1.43%, 8/1/356 | 803,204 | 128,227 | ||||||
Trust 362, Cl. 13, 1.513%, 8/1/356 | 476,331 | 75,919 | ||||||
144,536,958 | ||||||||
GNMA/Guaranteed—0.9% | ||||||||
Government National Mortgage Assn.: | ||||||||
3.125%, 12/9/251 | 6,003 | 6,152 | ||||||
4.50%, 7/1/402 | 10,090,000 | 10,512,519 | ||||||
5%, 7/1/402 | 4,105,000 | 4,373,110 | ||||||
7%, 3/29/28-7/29/28 | 270,748 | 307,797 | ||||||
7.50%, 3/1/27 | 14,233 | 16,193 | ||||||
8%, 11/29/25-5/29/26 | 97,401 | 112,633 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 1,141,101 | 1,302,115 | ||||||
Series 2000-12,Cl. ZA, 8%, 2/16/30 | 2,616,261 | 2,888,905 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 51.01%, 7/16/286 | 144,168 | 30,846 | ||||||
Series 1998-6, Cl. SA, 68.894%, 3/16/286 | 88,425 | 17,600 | ||||||
Series 2001-21, Cl. SB, 81.971%, 1/16/276 | 665,802 | 105,850 | ||||||
Series 2006-47, Cl. SA, 72.684%, 8/16/366 | 3,117,703 | 425,428 | ||||||
20,099,148 | ||||||||
Non-Agency—7.9% | ||||||||
Commercial—3.3% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 | 4,159,386 | 3,270,562 | ||||||
Series 2008-1, Cl. AM, 6.416%, 2/10/511 | 3,415,000 | 2,592,945 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 3,740,000 | 3,095,233 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.381%, 12/20/351 | 190,748 | 148,598 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 2,170,000 | 2,234,965 | ||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.847%, 1/27/371,4 | 1,482,743 | 420,265 |
9 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AB2, Cl. A1, 5.888%, 6/25/36 | $ | 546,794 | $ | 519,021 | ||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 851,674 | 543,374 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 722,076 | 527,019 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.081%, 11/1/371 | 4,312,330 | 3,412,077 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | 380,568 | 386,145 | ||||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.11%, 5/15/301 | 1,567,000 | 1,573,457 | ||||||
Indymac Index Mortgage Loan Trust 2005-AR31, Mtg. Pass-Through Certificates, Series 2005-AR31, Cl. 2 A2, 5.102%, 1/1/361 | 366,090 | 31,734 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 | 6,400,000 | 5,485,342 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 | 5,682,000 | 5,898,521 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 4/1/13 | 1,405,000 | 1,411,372 | ||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 2,380,000 | 2,380,020 | ||||||
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 | 7,075,000 | 6,852,614 | ||||||
Series 2008-C2, Cl. AM, 6.797%, 2/1/511 | 4,990,000 | 2,927,158 | ||||||
JPMorgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 3A4, 5.679%, 4/1/361 | 2,220,411 | 661,764 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 5.754%, 1/1/371 | 612,266 | 517,369 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.324%, 4/11/411 | 2,610,000 | 2,158,937 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 | 113,459 | 24,106 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 319,365 | 307,534 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 | 8,500,000 | 7,211,163 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.243%, 4/25/351 | 132,518 | 26,424 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 909,420 | 550,402 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.829%, 2/1/371 | 11,890,487 | 9,221,659 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. AJ, 6.156%, 5/1/461 | 2,610,000 | 1,576,331 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.033%, 11/1/461 | 1,350,923 | 818,453 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 1.513%, 4/1/471 | 956,771 | 442,950 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.992%, 11/1/341 | 1,086,535 | 332,275 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.866%, 2/1/351 | 4,593,797 | 4,170,949 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A3, 2.98%, 4/25/361 | 2,958,808 | 2,744,510 | ||||||
74,475,248 | ||||||||
Manufactured Housing—0.1% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 4.807%, 3/25/361 | 1,460,070 | 1,229,220 |
10 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Multifamily—0.2% | ||||||||
Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 2.80%, 2/1/351 | $ | 1,036,931 | $ | 1,021,985 | ||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.043%, 3/25/361 | 4,151,055 | 3,726,677 | ||||||
4,748,662 | ||||||||
Residential—4.3% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 6.002%, 8/1/171 | 3,960,000 | 3,402,048 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 3.001%, 5/1/341 | 3,809,042 | 3,398,316 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 4.943%, 11/1/341 | 1,617,046 | 1,501,896 | ||||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 4.549%, 2/1/371 | 2,022,954 | 2,053,429 | ||||||
CHL Mortgage Pass-Through Trust 2005-31, Mtg. Pass-Through Certificates, Series 2005-31, Cl. 2A4, 5.362%, 1/1/361 | 1,214,002 | 302,978 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 2,110,000 | 1,600,606 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 1,286,507 | 1,142,990 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 3.765%, 6/1/471 | 2,574,155 | 1,725,334 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY4, Cl. 1A2, 5.92%, 9/1/471 | 3,059,967 | 474,573 | ||||||
Series 2007-HY4, Cl. 2A2, 6.096%, 11/1/371 | 654,075 | 126,704 | ||||||
Series 2007-HY4, Cl. 3A2, 6.216%, 11/1/371 | 752,087 | 127,342 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY5, Cl. 1A2, 5.811%, 9/1/371 | 3,479,820 | 800,043 | ||||||
Series 2007-HY5, Cl. 2A2, 5.852%, 9/1/371 | 870,216 | 136,460 | ||||||
Series 2007-HY5, Cl. 3A2, 6.073%, 9/1/371 | 2,342,772 | 480,118 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.954%, 5/1/351 | 3,186,561 | 2,726,225 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.164%, 8/1/351 | 6,287,628 | 4,464,156 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR1, Mtg. Pass-Through Certificates, Series 2006-AR1, Cl. 3 A2, 5.50%, 3/1/361 | 3,503,251 | 581,767 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 1 AB, 5.591%, 3/1/36 | 3,117,750 | 511,317 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | 5,700,000 | 4,668,423 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 | 2,116,558 | 1,789,809 | ||||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/37 | 11,965,535 | 7,686,397 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 2.878%, 5/1/341 | 2,967,937 | 2,510,788 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.34%, 11/1/351 | 3,922,711 | 3,242,217 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 2,081,219 | 1,868,997 |
11 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A3, 5.995%, 5/1/371 | $ | 1,411,505 | $ | 234,874 | ||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.374%, 9/11/451 | 10,430,000 | 8,514,795 | ||||||
Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 | 9,183 | 9,112 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 6.066%, 10/25/361 | 3,922,184 | 3,591,282 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 2,469,187 | 1,489,449 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 68,526 | 64,723 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 1,144,212 | 732,691 | ||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | 3,720,000 | 2,851,599 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | 5,349,203 | 4,218,306 | ||||||
RFMSI Series 2007-SA3, Mtg. Pass-Through Certificates, Series 2007-SA3, Cl. 2A2, 5.707%, 7/1/371 | 660,748 | 15,911 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 4.80%, 10/1/351 | 2,923,228 | 2,565,554 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.871%, 9/1/361 | 2,620,325 | 2,295,729 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 4A1, 5.338%, 2/1/371 | 16,342,186 | 12,086,596 | ||||||
Series 2007-HY1, Cl. 5A1, 5.636%, 2/1/371 | 9,785,529 | 7,008,198 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.737%, 7/1/371 | 2,639,928 | 1,778,043 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 2.997%, 10/1/351 | 1,825,958 | 1,695,590 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR10, Cl. 2A2, 5.493%, 7/1/361 | 1,946,584 | 207,411 | ||||||
Series 2006-AR10, Cl. 3A2, 2.973%, 7/1/361 | 726,443 | 263,733 | ||||||
Series 2006-AR10, Cl. 4A2, 5.487%, 7/1/361 | 2,746,551 | 578,654 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 4.42%, 4/1/361 | 2,050,509 | 1,736,663 | ||||||
99,261,846 | ||||||||
Total Mortgage-Backed Obligations (Cost $366,005,678) | 344,351,082 | |||||||
U.S. Government Obligations—1.8% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
5%, 2/16/17 | 5,000,000 | 5,718,160 | ||||||
5.125%, 11/17/17 | 4,000,000 | 4,618,492 | ||||||
Federal National Mortgage Assn. Nts., 4.375%, 10/15/158 | 4,000,000 | 4,431,356 | ||||||
Federal National Mortgage Assn. Sr. Unsec. Nts., 5.375%, 6/12/17 | 5,000,000 | 5,837,910 | ||||||
U.S. Treasury Bills, 0.144%, 7/8/109 | 16,800,000 | 16,799,543 | ||||||
U.S. Treasury Bonds: | ||||||||
STRIPS, 4.201%, 2/15/119,10 | 900,000 | 899,189 | ||||||
STRIPS, 4.833%, 2/15/119,10 | 2,116,000 | 1,875,766 | ||||||
Total U.S. Government | ||||||||
Obligations (Cost $39,579,720) | 40,180,416 |
12 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||||||
Amount | Value | |||||||||||
Foreign Government Obligations—22.3% | ||||||||||||
Argentina—0.7% | ||||||||||||
Argentina (Republic of) Bonds: | ||||||||||||
0.389%, 8/3/121 | $ | 2,634,375 | $ | 2,366,782 | ||||||||
2.50%, 12/31/381 | 4,480,000 | 1,629,600 | ||||||||||
Series GDP, 2.724%, 12/15/351 | 3,830,000 | 311,188 | ||||||||||
Series V, 7%, 3/28/11 | 2,090,000 | 2,060,624 | ||||||||||
Series VII, 7%, 9/12/13 | 755,000 | 655,361 | ||||||||||
Argentina (Republic of) Sr. Unsec. Nts., 7%, 10/3/15 | 11,080,000 | 8,707,341 | ||||||||||
15,730,896 | ||||||||||||
Australia—0.0% | ||||||||||||
Australia (Commonwealth of) Sr. Unsec. Bonds, Series 119, 6.50%, 4/15/15 | 1,060,000 | AUD | 951,895 | |||||||||
Austria—0.1% | ||||||||||||
Austria (Republic of) Unsub. Bonds, 4.15%, 3/15/375 | 1,270,000 | EUR | 1,643,864 | |||||||||
Belgium—0.1% | ||||||||||||
Belgium (Kingdom of) Bonds: | ||||||||||||
Series 44, 5%, 3/28/35 | 630,000 | EUR | 886,884 | |||||||||
Series 60, 4.25%, 3/28/41 | 1,970,000 | EUR | 2,449,368 | |||||||||
3,336,252 | ||||||||||||
Belize—0.0% | ||||||||||||
Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/291,4 | 830,000 | 618,350 | ||||||||||
Brazil—3.3% | ||||||||||||
Brazil (Federal Republic of) Bonds: | ||||||||||||
6%, 1/17/17 | 6,220,000 | 6,873,100 | ||||||||||
8%, 1/15/18 | 5,702,222 | 6,643,089 | ||||||||||
8.875%, 10/14/19 | 2,360,000 | 3,097,500 | ||||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||||||
9.762%, 1/1/12 | 14,506,000 | BRR | 7,815,986 | |||||||||
9.762%, 1/1/14 | 8,370,000 | BRR | 4,349,956 | |||||||||
9.762%, 1/1/17 | 53,823,000 | BRR | 26,949,847 | |||||||||
10%, 1/1/21 | 21,620,000 | BRR | 10,391,734 | |||||||||
11.377%, 5/15/45 | 6,470,000 | BRR | 6,636,412 | |||||||||
Brazil (Federal Republic of) Sr. Nts., 5.875%, 1/15/19 | 1,380,000 | 1,521,450 | ||||||||||
74,279,074 | ||||||||||||
Canada—0.2% | ||||||||||||
Canada (Government of) Nts.: | ||||||||||||
4%, 6/1/17 | 2,335,000 | CAD | 2,365,488 | |||||||||
4.25%, 6/1/18 | 765,000 | CAD | 787,478 | |||||||||
Ontario (Province of) Nts., 4.50%, 12/2/12 | 2,110,000 | CAD | 2,099,892 | |||||||||
5,252,858 | ||||||||||||
Colombia—0.8% | ||||||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/285 | 3,058,000,000 | COP | 1,869,684 | |||||||||
Colombia (Republic of) Bonds: | ||||||||||||
7.375%, 9/18/37 | 1,445,000 | 1,705,100 | ||||||||||
12%, 10/22/15 | 6,763,000,000 | COP | 4,587,690 | |||||||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | 1,980,000 | 2,326,500 | ||||||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | 3,050,000 | 3,103,375 | ||||||||||
Colombia (Republic of) Sr. Unsec. Unsub. Bonds, 7.75%, 4/14/21 | 4,866,000,000 | COP | 2,752,120 | |||||||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | 1,340,000 | 1,561,100 | ||||||||||
17,905,569 | ||||||||||||
Denmark—0.0% | ||||||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/17 | 5,025,000 | DKK | 917,803 | |||||||||
Dominican Republic—0.1% | ||||||||||||
Dominican Republic Bonds, 7.50%, 5/6/215 | 2,700,000 | 2,794,500 | ||||||||||
Egypt—1.0% | ||||||||||||
Egypt (The Arab Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||||||
5.75%, 4/29/205 | 1,800,000 | 1,824,750 | ||||||||||
6.875%, 4/30/405 | 1,900,000 | 1,862,000 | ||||||||||
Egypt (The Arab Republic of) Treasury Bills: | ||||||||||||
10.382%, 11/16/1010 | 7,150,000 | EGP | 1,206,776 | |||||||||
Series 91, 10.264%, 8/10/1010 | 3,550,000 | EGP | 617,071 | |||||||||
Series 182, 9.820%, 8/24/1010 | 7,700,000 | EGP | 1,333,245 | |||||||||
Series 182, 10.198%, 8/3/1010 | 7,325,000 | EGP | 1,274,783 | |||||||||
Series 182, 10.221%, 7/6/1010 | 8,000,000 | EGP | 1,403,448 | |||||||||
Series 182, 10.380%, 12/14/1010 | 12,000,000 | EGP | 2,012,654 | |||||||||
Series 182, 10.60%, 7/13/1010 | 24,550,000 | EGP | 4,300,582 | |||||||||
Series 273, 10.059%, 10/5/1010 | 11,900,000 | EGP | 2,036,319 | |||||||||
Series 273, 10.216%, 7/20/1010 | 11,150,000 | EGP | 1,945,769 | |||||||||
Series 364, 10.438%, 12/21/1010 | 3,600,000 | EGP | 602,191 | |||||||||
Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/125 | 14,680,000 | EGP | 2,596,577 | |||||||||
23,016,165 | ||||||||||||
Germany—0.6% | ||||||||||||
Germany (Federal Republic of) Bonds: | ||||||||||||
0.50%, 6/15/12 | 1,860,000 | EUR | 2,270,562 | |||||||||
3.50%, 7/4/19 | 2,800,000 | EUR | 3,708,072 | |||||||||
Series 07, 4.25%, 7/4/39 | 1,240,000 | EUR | 1,789,563 | |||||||||
Series 157, 2.25%, 4/10/15 | 4,740,000 | EUR | 6,008,142 | |||||||||
13,776,339 |
13 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Ghana—0.2% | ||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/175 | $ | 4,400,000 | $ | 4,653,000 | ||||
Greece—0.3% | ||||||||
Hellenic Republic Bonds, 4.30%, 3/20/12 | 2,655,000 | EUR | 2,981,323 | |||||
Hellenic Republic Sr. Unsec. Unsub. Bonds: | ||||||||
30 yr., 4.50%, 9/20/37 | 4,390,000 | EUR | 2,747,669 | |||||
30 yr., 4.60%, 9/20/40 | 1,750,000 | EUR | 1,105,670 | |||||
6,834,662 | ||||||||
Hungary—0.4% | ||||||||
Hungary (Republic of) Bonds: | ||||||||
Series 15/A, 8%, 2/12/15 | 696,000,000 | HUF | 3,055,967 | |||||
Series 17/B, 6.75%, 2/24/17 | 1,075,700,000 | HUF | 4,402,321 | |||||
Series 19/A, 6.50%, 6/24/19 | 675,000,000 | HUF | 2,667,195 | |||||
10,125,483 | ||||||||
Indonesia—1.1% | ||||||||
Indonesia (Republic of) Nts.: | ||||||||
6.875%, 1/17/185 | 5,800,000 | 6,597,500 | ||||||
7.25%, 4/20/155 | 2,055,000 | 2,363,250 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts.: | ||||||||
7.75%, 1/17/385 | 4,175,000 | 4,968,250 | ||||||
10.375%, 5/4/145 | 1,550,000 | 1,914,250 | ||||||
11.625%, 3/4/195 | 1,210,000 | 1,745,425 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds: | ||||||||
5.875%, 3/13/205 | 2,440,000 | 2,586,400 | ||||||
6.625% 2/17/375 | 580,000 | 614,800 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/355 | 3,720,000 | 4,733,700 | ||||||
25,523,575 | ||||||||
Israel—0.8% | ||||||||
Israel (State of) Bonds: | ||||||||
5%, 1/31/20 | 31,680,000 | ILS | 8,620,405 | |||||
6%, 2/28/19 | 29,640,000 | ILS | 8,597,660 | |||||
17,218,065 | ||||||||
Italy—0.5% | ||||||||
Italy (Republic of) Bonds: | ||||||||
4%, 9/1/20 | 1,700,000 | EUR | 2,077,403 | |||||
5%, 9/1/40 | 1,710,000 | EUR | 2,095,444 | |||||
Italy (Republic of) Treasury Bonds: | ||||||||
3.75%, 12/15/13 | 5,347,000 | EUR | 6,776,958 | |||||
5.25%, 8/1/11 | 810,000 | EUR | 1,028,067 | |||||
11,977,872 | ||||||||
Japan—2.1% | ||||||||
Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/292 | 831,000,000 | JPY | 9,883,106 | |||||
Japan (Government of) Sr. Unsec. Bonds: | ||||||||
2 yr., 0.20%, 1/15/122 | 912,000,000 | JPY | 10,323,213 | |||||
5 yr., 0.50%, 12/20/142 | 1,202,000,000 | JPY | 13,719,685 | |||||
10 yr., Series 308, 1.30%, 6/20/202 | 1,186,000,000 | JPY | 13,688,276 | |||||
47,614,280 | ||||||||
Korea, Republic of South—1.7% | ||||||||
Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds: | ||||||||
4.18%, 12/2/11 | 16,060,000,000 | KRW | 13,288,730 | |||||
Series 1202, 4.12%, 2/2/12 | 3,804,000,000 | KRW | 3,143,336 | |||||
Series 1204, 3.62%, 4/2/12 | 5,980,000,000 | KRW | 4,896,214 | |||||
Series 1206, 3.68%, 6/2/12 | 10,617,000,000 | KRW | 8,685,146 | |||||
Korea (Republic of) Treasury Bonds, Series 0475-1112, 4.75%, 12/10/11 | 9,180,000,000 | KRW | 7,654,551 | |||||
37,667,977 | ||||||||
Malaysia—0.4% | ||||||||
1Malaysia Sukuk Global Bhd Sr. Unsec. Unsub. Nts., 3.928%, 6/4/155 | 3,400,000 | 3,459,673 | ||||||
Malaysian (Government of) Bonds, Series 0110, 3.835%, 8/12/15 | 1,680,000 | MYR | 525,185 | |||||
Malaysian (Government of) Sr. Unsec. Bonds: | ||||||||
Series 3/03, 3.702%, 2/25/13 | 4,335,000 | MYR | 1,357,626 | |||||
Series 5/06, 3.718%, 6/15/12 | 1,150,000 | MYR | 360,079 | |||||
Series 0108, 3.461%, 7/31/13 | 765,000 | MYR | 237,790 | |||||
Series 0109, 2.509%, 8/27/12 | 1,525,000 | MYR | 465,875 | |||||
Series 0309, 2.711%, 2/14/12 | 4,405,000 | MYR | 1,356,363 | |||||
Series 0507, 3.70%, 5/15/13 | 1,915,000 | MYR | 599,565 | |||||
Series 0509, 3.21%, 5/31/13 | 2,015,000 | MYR | 622,407 | |||||
8,984,563 | ||||||||
Mexico—1.8% | ||||||||
United Mexican States Bonds: | ||||||||
5.625%, 1/15/17 | 4,170,000 | 4,597,425 | ||||||
Series M20, 7.50%, 6/3/271 | 129,280,000 | MXN | 10,093,057 | |||||
Series M10, 7.75%, 12/14/17 | 930,000 | MXN | 76,468 | |||||
Series M10, 8%, 12/17/15 | 44,000,000 | MXN | 3,666,652 | |||||
Series M10, 8.50%, 12/13/18 | 45,520,000 | MXN | 3,909,278 | |||||
Series M20, 10%, 12/5/24 | 181,400,000 | MXN | 17,548,029 | |||||
39,890,909 |
14 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Norway—0.0% | ||||||||
Norway (Kingdom of) Bonds, 6.50%, 5/15/13 | 2,040,000 | NOK | $ | 349,595 | ||||
Panama—0.3% | ||||||||
Panama (Republic of) Bonds: | ||||||||
7.25%, 3/15/15 | 3,120,000 | 3,627,000 | ||||||
8.875%, 9/30/27 | 110,000 | 147,125 | ||||||
9.375%, 4/1/29 | 1,100,000 | 1,529,000 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 1,175,000 | 1,377,688 | ||||||
6,680,813 | ||||||||
Peru—0.1% | ||||||||
Peru (Republic of) Bonds, 7.35%, 7/21/25 | 1,780,000 | 2,140,450 | ||||||
Peru (Republic of) Sr. Nts., 4.533%, 2/28/1610 | 363,871 | 302,231 | ||||||
2,442,681 | ||||||||
Philippines—0.2% | ||||||||
Philippines (Republic of the) Bonds, 8%, 1/15/16 | 910,000 | 1,106,742 | ||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 | 3,210,000 | 3,229,902 | ||||||
4,336,644 | ||||||||
Poland—0.0% | ||||||||
Poland (Republic of) Bonds, Series 0414, 5.75%, 4/25/14 | 2,720,000 | PLZ | 814,906 | |||||
South Africa—1.5% | ||||||||
South Africa (Republic of) Bonds: | ||||||||
5.50%, 3/9/20 | 1,900,000 | 1,973,625 | ||||||
Series R208, 6.75%, 3/31/21 | 37,540,000 | ZAR | 4,181,389 | |||||
Series R207, 7.25%, 1/15/20 | 127,220,000 | ZAR | 14,916,897 | |||||
Series R157, 13.50%, 9/15/15 | 77,470,000 | ZAR | 12,405,698 | |||||
33,477,609 | ||||||||
Spain—0.2% | ||||||||
Spain (Kingdom of) Bonds, 5.50%, 7/30/17 | 1,370,000 | EUR | 1,792,898 | |||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.10%, 7/30/18 | 1,960,000 | EUR | 2,330,832 | |||||
4,123,730 | ||||||||
Sweden—0.0% | ||||||||
Sweden (Kingdom of) Bonds, Series 1050, 3%, 7/12/16 | 4,880,000 | SEK | 649,616 | |||||
The Netherlands—0.1% | ||||||||
Netherlands (Kingdom of the) Bonds: | ||||||||
2.50%, 1/15/12 | 1,140,000 | EUR | 1,433,863 | |||||
4%, 1/15/37 | 1,055,000 | EUR | 1,438,868 | |||||
2,872,731 | ||||||||
Turkey—2.0% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.75%, 4/3/18 | 3,440,000 | 3,784,000 | ||||||
7%, 9/26/16 | 3,280,000 | 3,669,500 | ||||||
7%, 3/11/19 | 1,360,000 | 1,516,400 | ||||||
10.622%, 8/6/14 | 21,440,000 | TRY | 14,265,349 | |||||
10.672%, 5/11/1110 | 7,290,000 | TRY | 4,301,052 | |||||
16%, 3/7/121 | 5,345,000 | TRY | 3,755,526 | |||||
Series CPI, 13.909%, 8/14/131 | 6,930,000 | TRY | 6,304,076 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 | 1,780,000 | 2,042,550 | ||||||
Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 | 2,120,000 | 2,440,650 | ||||||
Turkey (Republic of) Unsec. Nts.: | ||||||||
6.75%, 5/30/40 | 1,150,000 | 1,158,625 | ||||||
7.25%, 3/5/38 | 1,180,000 | 1,271,450 | ||||||
44,509,178 | ||||||||
Ukraine—0.2% | ||||||||
Ukraine (Republic of) Sr. Unsec. Nts., 6.75%, 11/14/175 | 510,000 | 474,351 | ||||||
Ukraine (Republic of) Unsec. Bonds, 6.385%, 6/26/125 | 3,650,000 | 3,650,000 | ||||||
4,124,351 | ||||||||
United Arab Emirates—0.1% | ||||||||
Dubai DOF Sukuk Ltd. Sr. Unsec. Unsub. Nts., 6.396%, 11/3/14 | 1,520,000 | 1,453,500 | ||||||
United Kingdom—0.3% | ||||||||
United Kingdom Treasury Bonds: | ||||||||
2.25%, 3/7/14 | 1,420,000 | GBP | 2,168,802 | |||||
4.75%, 3/7/20 | 2,030,000 | GBP | 3,382,654 | |||||
4.75%, 12/7/38 | 1,397,000 | GBP | 2,291,149 | |||||
7,842,605 | ||||||||
Uruguay—0.4% | ||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 | 2,325,000 | 2,708,625 | ||||||
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 | 1,950,000 | 2,184,000 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 | 3,475,000 | 4,204,750 | ||||||
9,097,375 |
15 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Venezuela—0.7% | ||||||||
Venezuela (Republic of) Bonds: | ||||||||
9%, 5/7/23 | $ | 2,145,000 | $ | 1,340,625 | ||||
9.25%, 9/15/27 | 1,280,000 | 867,200 | ||||||
Venezuela (Republic of) Nts., 8.50%, 10/8/14 | 1,890,000 | 1,460,025 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts., 7.75%, 10/13/19 | 2,790,000 | 1,680,975 | ||||||
Venezuela (Republic of) Unsec. Bonds: | ||||||||
7%, 3/31/38 | 1,640,000 | 889,700 | ||||||
7.65%, 4/21/25 | 6,935,000 | 3,762,238 | ||||||
9.375%, 1/13/34 | 850,000 | 531,250 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/185 | 5,465,000 | 4,816,031 | ||||||
15,348,044 | ||||||||
Total Foreign Government Obligations (Cost $503,591,850) | 508,837,329 | |||||||
Loan Participations—2.6% | ||||||||
American Capital, Sr. Sec. Credit Facilities Revolving Term Loan, 6.75%, 5/16/121,2 | 5,735,000 | 5,720,663 | ||||||
Bayerische Hypo-und Vereinsbank AG for the City of Kiev, Ukraine Nts., 8.625%, 7/15/115 | 2,820,000 | 2,781,930 | ||||||
CIT Group, Inc., Sr. Sec. Credit Facilities Expansion Term Loan: | ||||||||
Tranche 2A, 9.50%, 1/18/121 | 4,413,501 | 4,262,731 | ||||||
Tranche 2A, 9.50%, 1/18/121,2 | 123,667 | 126,650 | ||||||
Credit Suisse First Boston International, Export-Import Bank of Ukraine, 7.65% Sr. Sec. Bonds, 9/7/11 | 700,000 | 696,500 | ||||||
Gaz Capital SA: | ||||||||
6.212% Sr. Unsec. Unsub. Nts., 11/22/165 | 1,910,000 | 1,936,358 | ||||||
7.288% Sr. Sec. Nts., 8/16/375 | 6,980,000 | 6,924,160 | ||||||
8.125% Nts., 7/31/145 | 1,530,000 | 1,673,514 | ||||||
8.146% Sr. Sec. Nts., 4/11/185 | 2,680,000 | 2,937,950 | ||||||
8.625% Sr. Sec. Nts., 4/28/345 | 1,680,000 | 1,934,184 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/195 | 4,400,000 | 5,082,000 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/20/15 | 5,395,000 | 5,621,590 | ||||||
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.75% Nts., 5/29/185 | 1,500,000 | 1,570,500 | ||||||
Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/135 | 3,790,000 | 4,069,513 | ||||||
TransCapitalInvest Ltd. for OJSC AK Transneft: | ||||||||
5.67% Sec. Bonds, 3/5/145 | 1,410,000 | 1,438,801 | ||||||
8.70% Sec. Nts., 8/7/185 | 750,000 | 876,765 | ||||||
UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/125 | 2,300,000 | 2,166,313 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/185 | 4,190,000 | 4,530,438 | ||||||
VTB Capital SA: | ||||||||
6.25% Sr. Nts., 6/30/355 | 1,110,000 | 1,110,000 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/155 | 2,350,000 | 2,361,750 | ||||||
6.875% Sr. Sec. Nts., 5/29/185 | 1,530,000 | 1,581,638 | ||||||
Total Loan Participations (Cost $57,254,042) | 59,403,948 | |||||||
Corporate Bonds and Notes—30.1% | ||||||||
Consumer Discretionary—5.6% | ||||||||
Auto Components—0.3% | ||||||||
Allison Transmission, Inc., 11% Sr. Nts., 11/1/155 | 4,525,000 | 4,762,563 | ||||||
Visteon Corp.: | ||||||||
7% Sr. Unsec. Nts., 3/10/143,11 | 1,875,000 | 2,053,125 | ||||||
8.25% Sr. Unsec. Nts., 8/1/103,11 | 580,000 | 635,100 | ||||||
7,450,788 | ||||||||
Automobiles—0.1% | ||||||||
Ford Motor Co., 7.45% Bonds, 7/16/31 | 3,550,000 | 3,221,625 | ||||||
Diversified Consumer Services—0.1% | ||||||||
StoneMor Operating LLC/Cornerstone Family Service of West Virginia, Inc./Osiris Holdings of Maryland Subsidiary, Inc., 10.25% Sr. Nts., 12/1/175 | 1,275,000 | 1,300,500 | ||||||
Hotels, Restaurants & Leisure—1.5% | ||||||||
CCM Merger, Inc., 8% Unsec. Nts., 8/1/135 | 1,810,000 | 1,665,200 | ||||||
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/133,5,11 | 4,560,000 | 313,500 | ||||||
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/155 | 2,150,000 | 2,182,250 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 4,077,000 | 3,363,525 | ||||||
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 | 2,890,000 | 2,615,450 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 2,500,000 | 2,600,000 | ||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/153,5 | 6,335,000 | 997,763 | ||||||
MGM Mirage, Inc.: | ||||||||
5.875% Sr. Nts., 2/27/14 | 1,885,000 | 1,503,288 | ||||||
6.75% Sr. Unsec. Nts., 4/1/13 | 4,290,000 | 3,850,275 |
16 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure Continued | ||||||||
Mohegan Tribal Gaming Authority: | ||||||||
6.125% Sr. Unsec. Sub. Nts., 2/15/13 | $ | 1,230,000 | $ | 1,002,450 | ||||
8% Sr. Sub. Nts., 4/1/12 | 2,630,000 | 2,307,825 | ||||||
11.50% Sr. Sec. Nts., 11/1/175 | 2,960,000 | 2,945,200 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | 1,185,000 | 1,223,513 | ||||||
Pinnacle Entertainment, Inc.: | ||||||||
8.625% Sr. Nts., 8/1/175 | 455,000 | 470,925 | ||||||
8.75% Sr. Sub. Nts., 5/15/205 | 1,030,000 | 959,188 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/083,5,11 | 250,000 | — | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/143,11 | 10,465,000 | 130,813 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 2,545,000 | 2,583,175 | ||||||
Wendy’s/Arby’s Restaurants LLC, 10% Sr. Unsec. Unsub. Nts., 7/15/16 | 4,060,000 | 4,242,700 | ||||||
34,957,040 | ||||||||
Household Durables—0.4% | ||||||||
Beazer Homes USA, Inc., 6.50% Sr. Unsec. Nts., 11/15/13 | 2,110,000 | 1,957,025 | ||||||
K. Hovnanian Enterprises, Inc.: | ||||||||
7.75% Sr. Unsec. Sub. Nts., 5/15/13 | 1,005,000 | 879,375 | ||||||
8.875% Sr. Sub. Nts., 4/1/12 | 3,325,000 | 3,092,250 | ||||||
Libbey Glass, Inc., 10% Sr. Sec. Nts., 2/15/154 | 3,820,000 | 3,972,800 | ||||||
9,901,450 | ||||||||
Leisure Equipment & Products—0.5% | ||||||||
Colt Defense LLC/Colt Finance Corp., 8.75% Sr. Unsec. Nts., 11/15/175 | 3,550,000 | 2,831,125 | ||||||
Eastman Kodak Co., 9.75% Sr. Sec. Nts., 3/1/185 | 8,170,000 | 8,088,300 | ||||||
10,919,425 | ||||||||
Media—1.9% | ||||||||
AMC Entertainment, Inc.: | ||||||||
8% Sr. Unsec. Sub. Nts., 3/1/14 | 2,190,000 | 2,118,825 | ||||||
11% Sr. Unsec. Unsub. Nts., 2/1/16 | 1,685,000 | 1,777,675 | ||||||
American Media Operations, Inc.: | ||||||||
5.895% Sr. Unsec. Nts., 5/1/135,12 | 322 | 211 | ||||||
9.17% Sr. Sub. Nts., 11/1/135,12 | 6,592,843 | 4,318,312 | ||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 2,720,000 | 2,414,000 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/175 | 1,365,000 | 1,366,706 | ||||||
Charter Communications, Inc., 13.50% Sr. Nts., 11/30/16 | 3,339,415 | 3,907,116 | ||||||
Clear Channel Communications, Inc.: | ||||||||
4.40% Sr. Unsec. Unsub. Nts., 5/15/11 | 485,000 | 463,175 | ||||||
6.25% Nts., 3/15/11 | 2,705,000 | 2,617,088 | ||||||
10.75% Sr. Unsec. Unsub. Nts., 8/1/16 | 3,610,000 | 2,554,075 | ||||||
Fisher Communications, Inc., 8.625% Sr. Unsec. Nts., 9/15/14 | 670,000 | 661,625 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/155 | 1,450,000 | 1,413,750 | ||||||
Marquee Holdings, Inc., 9.505% Sr. Nts., 8/15/141 | 1,615,000 | 1,336,413 | ||||||
Media General, Inc., 11.75% Sr. Sec. Nts., 2/15/175 | 3,415,000 | 3,483,300 | ||||||
MediaNews Group, Inc.: | ||||||||
6.375% Sr. Sub. Nts., 4/1/143 | 1,330,000 | 133 | ||||||
6.875% Sr. Unsec. Sub. Nts., 10/1/133,11 | 2,870,000 | 287 | ||||||
Radio One, Inc., 6.375% | ||||||||
Sr. Unsec. Sub. Nts., 2/15/13 | 705,000 | 602,775 | ||||||
Reader’s Digest Association, Inc., 9.50% Sr. Sec. Nts., 2/15/171,5 | 3,085,000 | 3,092,713 | ||||||
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 | 2,820,000 | 2,760,075 | ||||||
TL Acquisitions, Inc., 10.50% Sr. Nts., 1/15/155 | 5,145,000 | 4,810,575 | ||||||
Umbrella Acquisition, Inc., 9.135% Sr. Unsec. Unsub. Nts., 3/15/155,12 | 3,211,663 | 2,689,768 | ||||||
42,388,597 | ||||||||
Multiline Retail—0.2% | ||||||||
Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 | 3,980,000 | 3,930,250 | ||||||
Specialty Retail—0.6% | ||||||||
Burlington Coat Factory Warehouse Corp., 11.125% Sr. Unsec. Nts., 4/15/14 | 7,190,000 | 7,477,600 | ||||||
Toys R Us, Inc., 7.375% Sr. Unsec. Unsub. Bonds, 10/15/18 | 5,170,000 | 4,885,650 | ||||||
12,363,250 | ||||||||
Consumer Staples—0.8% | ||||||||
Beverages—0.1% | ||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/171 | 4,470,000 | BRR | 2,408,352 |
17 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Food & Staples Retailing—0.1% | ||||||||
Pantry, Inc. (The), 7.75% Sr. Unsec. Sub. Nts., 2/15/14 | $ | 1,805,000 | $ | 1,750,850 | ||||
Real Time Data Co., 11% Nts., 5/31/093,4,11,12 | 142,981 | — | ||||||
1,750,850 | ||||||||
Food Products—0.6% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/165 | 2,915,000 | 3,009,738 | ||||||
ASG Consolidated LLC, 13.65% Sr. Nts., 5/15/175,12 | 2,955,000 | 2,681,663 | ||||||
JBS USA LLC/JBS USA Finance, Inc., 11.625% Sr. Nts., 5/1/14 | 2,730,000 | 3,074,663 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/155 | 1,493,000 | 1,440,745 | ||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 | 4,225,000 | 4,425,688 | ||||||
14,632,497 | ||||||||
Energy—4.6% | ||||||||
Energy Equipment & Services—0.3% | ||||||||
Gibson Energy ULC/GEP Midstream Finance Corp., 10% Sr. Unsec. Nts., 1/15/18 | 2,120,000 | 2,024,600 | ||||||
North American Energy Alliance LLC, 10.875% Sr. Sec. Nts., 6/1/165 | 2,190,000 | 2,266,650 | ||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/175 | 2,250,000 | 2,295,000 | ||||||
6,586,250 | ||||||||
Oil, Gas & Consumable Fuels—4.3% | ||||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/155 | 1,500,000 | 1,492,500 | ||||||
Alon Refining Krotz Springs, Inc., 13.50% Sr. Sec. Nts., 10/15/14 | 2,490,000 | 2,415,300 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Nts., 12/1/175 | 3,075,000 | 3,090,375 | ||||||
Arch Coal, Inc., 8.75% Sr. Nts., 8/1/165 | 2,810,000 | 2,943,475 | ||||||
Atlas Energy Resources LLC, 10.75% Sr. Unsec. Nts., 2/1/18 | 4,650,000 | 4,981,313 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 | 2,285,000 | 2,113,625 | ||||||
Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 | 1,475,000 | 1,434,438 | ||||||
Bill Barrett Corp., 9.875% Sr. Nts., 7/15/16 | 2,365,000 | 2,518,725 | ||||||
Bumi Capital Pte Ltd., 12% Sr. Sec. Nts., 11/10/165 | 1,500,000 | 1,530,000 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Nts., 12/15/175 | 2,390,000 | 2,378,050 | ||||||
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875% Sr. Unsec. Nts., 2/15/18 | 1,285,000 | 1,289,819 | ||||||
Kazmunaigaz Finance Sub BV: | ||||||||
9.125% Nts., 7/2/185 | 3,580,000 | 4,125,950 | ||||||
11.75% Sr. Unsec. Nts., 1/23/155 | 15,100,000 | 18,554,880 | ||||||
KMG Finance Sub BV, 7% Sr. Unsec. Nts., 5/5/205 | 1,150,000 | 1,160,120 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/155 | 3,465,000 | 3,465,000 | ||||||
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 | 1,675,000 | 1,742,050 | ||||||
Pan American Energy LLC, 7.875% Sr. Unsec. Nts., 5/7/215 | 3,000,000 | 3,015,000 | ||||||
Pemex Project Funding Master Trust, 6.625% Sr. Unsec. Unsub. Nts., 6/15/38 | 1,510,000 | 1,548,147 | ||||||
Petrobras International Finance Co.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 | 1,120,000 | 1,134,561 | ||||||
5.875% Sr. Unsec. Nts., 3/1/18 | 680,000 | 703,803 | ||||||
7.875% Sr. Unsec. Nts., 3/15/19 | 3,040,000 | 3,496,353 | ||||||
Petrohawk Energy Corp., 10.50% Sr. Unsec. Nts., 8/1/14 | 2,615,000 | 2,824,200 | ||||||
Petroleos de Venezuela SA, 5.25% Sr. Unsec. Unsub. Nts., 4/12/17 | 860,000 | 462,250 | ||||||
Petroleos Mexicanos: | ||||||||
6% Sr. Unsec. Nts., 3/5/205 | 1,380,000 | 1,455,900 | ||||||
8% Unsec. Unsub. Nts., 5/3/19 | 2,580,000 | 3,083,100 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/195 | 4,330,000 | 4,957,850 | ||||||
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/115 | 710,016 | 708,758 | ||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/195 | 3,750,000 | 3,806,250 | ||||||
Quicksilver Resources, Inc.: | ||||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 515,000 | 511,138 | ||||||
9.125% Sr. Unsec. Nts., 8/15/19 | 1,050,000 | 1,071,000 | ||||||
11.75% Sr. Nts., 1/1/16 | 2,260,000 | 2,502,950 | ||||||
Range Resources Corp.: | ||||||||
7.50% Sr. Unsec. Unsub. Nts., 10/1/17 | 1,020,000 | 1,034,025 | ||||||
8% Sr. Unsec. Sub. Nts., 5/15/19 | 2,530,000 | 2,653,338 |
18 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Nts., 1/15/205 | $ | 2,925,000 | $ | 2,793,375 | ||||
9.875% Sr. Unsec. Nts., 5/15/165 | 1,900,000 | 1,938,000 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/145 | 1,201,464 | 1,243,515 | ||||||
Western Refining, Inc., 11.25% Sr. Sec. Nts., 6/15/175 | 2,545,000 | 2,328,675 | ||||||
98,507,808 | ||||||||
Financials—3.8% | ||||||||
Capital Markets—0.5% | ||||||||
Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/695 | 800,000 | 892,000 | ||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 1,230,000 | 1,079,325 | ||||||
E*TRADE Financial Corp., 12.50% Sr. Unsec. Unsub. Nts., 11/30/1712 | 1,505,000 | 1,606,588 | ||||||
FoxCo Acquisition Sub LLC, 13.375% Sr. Nts., 7/15/165 | 165,000 | 162,525 | ||||||
Graham Packaging Co. LP, 8.50% Sr. Nts., 1/1/175 | 2,250,000 | 2,227,500 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., 10.875% Sr. Nts., 4/1/155 | 5,060,000 | 3,997,400 | ||||||
9,965,338 | ||||||||
Commercial Banks—1.6% | ||||||||
Banco BMG SA: | ||||||||
9.15% Nts., 1/15/165 | 3,520,000 | 3,748,800 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/195 | 2,100,000 | 2,266,635 | ||||||
Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/211,5 | 1,510,000 | 1,487,350 | ||||||
Banco do Brasil SA, 8.50% Jr. Sub. Perpetual Bonds5,13 | 2,150,000 | 2,381,125 | ||||||
Banco Panamericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/205 | 2,700,000 | 2,889,000 | ||||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 2,125,000 | EUR | 2,687,183 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 1,454,000 | EUR | 1,789,025 | |||||
CIT Group, Inc., 7% Sr. Sec. Bonds, 5/1/17 | 3,165,000 | 2,864,325 | ||||||
HSBK Europe BV: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/175 | 710,000 | 667,400 | ||||||
9.25% Sr. Nts., 10/16/135 | 8,420,000 | 8,841,000 | ||||||
ICICI Bank Ltd.: | ||||||||
5.50% Sr. Unsec. Nts., 3/25/155 | 3,050,000 | 3,157,186 | ||||||
6.375% Bonds, 4/30/221,5 | 3,060,000 | 2,824,766 | ||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/043,5,11 | 90,000 | — | ||||||
Salisbury International Investments Ltd., 4.455% Sec. Nts., Series 2006-003, Tranche E, 7/20/111,5 | 1,100,000 | 1,014,200 | ||||||
36,617,995 | ||||||||
Consumer Finance—0.1% | ||||||||
JSC Astana Finance, 9.16% Nts., 3/14/123,11 | 7,200,000 | 1,800,000 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/155 | 830,000 | 867,350 | ||||||
2,667,350 | ||||||||
Diversified Financial Services—0.7% | ||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/264 | 5,344,092 | 4,275,274 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 440,000 | EUR | 556,730 | |||||
Banco Invex SA, 28.469% Mtg.-Backed Certificates, Series 062U, 3/13/341 | 4,830,734 | MXN | 1,300,063 | |||||
Cloverie plc, 4.789% Sec. Nts., Series 2005-93, 12/20/101 | 1,100,000 | 1,057,540 | ||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 | 4,410,000 | 4,090,275 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
7.59% Sec. Nts., 8/26/354 | 5,808,600 | MXN | 404,285 | |||||
26.924% Mtg.-Backed Certificates, Series 06U, 9/25/351 | 2,026,835 | MXN | 358,593 | |||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/975,14 | 6,360,000 | 3,472,916 | ||||||
TNK-BP Finance SA, 7.25% Sr. Unsec. Unsub. Bonds, 2/2/205 | 900,000 | 903,420 | ||||||
16,419,096 | ||||||||
Insurance—0.6% | ||||||||
American General Finance, 6.90% Nts., Series J, 12/15/17 | 3,375,000 | 2,704,219 | ||||||
International Lease Finance Corp., 5.875% Unsec. Unsub. Nts., 5/1/13 | 7,600,000 | 7,049,000 | ||||||
Multiplan, Inc., 10.375% Sr. Sub. Nts., 4/15/165 | 3,975,000 | 4,094,250 | ||||||
13,847,469 | ||||||||
Real Estate Management & Development—0.0% | ||||||||
Wallace Theatre Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/131,5 | 665,000 | 667,494 |
19 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Thrifts & Mortgage Finance—0.3% | ||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/164 | $ | 1,370,000 | $ | 1,308,350 | ||||
WM Covered Bond Program: | ||||||||
3.875% Sec. Nts., Series 1, 9/27/11 | 454,000 | EUR | 569,605 | |||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 2,805,000 | EUR | 3,547,586 | |||||
4.375% Sec. Nts., 5/19/14 | 305,000 | EUR | 395,180 | |||||
5,820,721 | ||||||||
Health Care—1.3% | ||||||||
Health Care Equipment & Supplies—0.4% | ||||||||
Accellent, Inc., 10.50% Sr. Unsec. Sub. Nts., 12/1/13 | 3,340,000 | 3,306,600 | ||||||
Biomet, Inc., 11.625% Sr. Unsec. Sub. Nts., 10/15/17 | 1,911,000 | 2,078,213 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 1,630,000 | 1,601,475 | ||||||
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/1512 | 1,390,000 | 1,376,100 | ||||||
8,362,388 | ||||||||
Health Care Providers & Services—0.9% | ||||||||
Apria Healthcare Group, Inc.: | ||||||||
11.25% Sr. Sec. Nts., 11/1/145 | 1,535,000 | 1,642,450 | ||||||
12.375% Sr. Sec. Nts., 11/1/145 | 3,070,000 | 3,292,575 | ||||||
Capella Healthcare, Inc., 9.25% Sr. Unsec. Nts., 7/1/175 | 405,000 | 410,063 | ||||||
Catalent Pharma Solutions, Inc., 8.956% Sr. Unsec. Nts., 4/15/1512 | 2,603,400 | 2,492,756 | ||||||
Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 | 1,995,000 | 2,062,331 | ||||||
HCA, Inc., 6.375% Nts., 1/15/15 | 2,260,000 | 2,121,575 | ||||||
HEALTHSOUTH Corp., 10.75% Sr. Unsec. Nts., 6/15/16 | 2,475,000 | 2,685,375 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Sub. Nts., 4/15/175 | 1,395,000 | 1,346,175 | ||||||
US Oncology Holdings, Inc., 6.643% Sr. Unsec. Nts., 3/15/121,12 | 1,872,000 | 1,750,320 | ||||||
US Oncology, Inc., 9.125% Sr. Sec. Nts., 8/15/17 | 1,305,000 | 1,347,413 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 2,455,000 | 2,369,075 | ||||||
21,520,108 | ||||||||
Industrials—3.8% | ||||||||
Aerospace & Defense—0.5% | ||||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/172,5 | 2,110,000 | 2,125,825 | ||||||
Hawker Beechcraft Acquisition Co. LLC, 8.50% Sr. Unsec. Nts., 4/1/15 | 7,305,000 | 5,889,656 | ||||||
Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 | 3,195,000 | 3,210,975 | ||||||
11,226,456 | ||||||||
Airlines—0.8% | ||||||||
American Airlines, Inc., 10.50% Sr. Sec. Nts., 10/15/125 | 6,105,000 | 6,364,463 | ||||||
Delta Air Lines, Inc.: | ||||||||
9.50% Sr. Sec. Nts., 9/15/145 | 700,000 | 738,500 | ||||||
12.25% Sr. Sec. Nts., 3/15/155 | 5,010,000 | 5,373,225 | ||||||
United Air Lines, Inc.: | ||||||||
9.875% Sr. Sec. 1st Lien Nts., 8/1/134 | 2,575,000 | 2,652,250 | ||||||
12% Sr. Sec. 2nd Lien Nts., 11/1/134 | 3,345,000 | 3,495,525 | ||||||
18,623,963 | ||||||||
Building Products—0.6% | ||||||||
AMH Holdings, Inc., 11.25% Sr. Unsec. Nts., 3/1/14 | 5,255,000 | 5,386,375 | ||||||
Goodman Global Group, Inc., 11.843% Sr. Nts., 12/15/145,10 | 4,155,000 | 2,555,325 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Sub. Nts., 7/15/145 | 5,065,000 | 5,153,638 | ||||||
13,095,338 | ||||||||
Commercial Services & Supplies—0.3% | ||||||||
ACCO Brands Corp., 10.625% Sr. Sec. Nts., 3/15/15 | 1,365,000 | 1,487,850 | ||||||
West Corp., 9.50% Sr. Unsec. Nts., 10/15/14 | 5,815,000 | 5,873,150 | ||||||
7,361,000 | ||||||||
Construction & Engineering—0.3% | ||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/245 | 3,957,817 | 4,393,177 | ||||||
Odebrecht Finance Ltd.: | ||||||||
7% Sr. Unsec. Nts., 4/21/205 | 780,000 | 796,536 | ||||||
9.625% Sr. Unsec. Nts., 4/9/145 | 770,000 | 900,900 | ||||||
6,090,613 | ||||||||
Machinery—0.4% | ||||||||
ArvinMeritor, Inc., 10.625% Sr. Unsec. Nts., 3/15/18 | 2,580,000 | 2,747,700 | ||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/165 | 2,470,000 | 2,414,425 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 4,275,000 | 3,975,750 | ||||||
9,137,875 | ||||||||
Marine—0.2% | ||||||||
Marquette Transportation Co., 10.875% Sr. Sec. Nts., 1/15/175 | 4,400,000 | 4,334,000 |
20 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Marine Continued | ||||||||
Navios Maritime Holdings, Inc., 8.875% Nts., 11/1/175 | $ | 1,240,000 | $ | 1,255,500 | ||||
5,589,500 | ||||||||
Professional Services—0.2% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/155 | 3,515,000 | 3,356,825 | ||||||
Trans Union LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/185 | 660,000 | 686,400 | ||||||
4,043,225 | ||||||||
Road & Rail—0.3% | ||||||||
Avis Budget Car Rental LLC: | ||||||||
7.625% Sr. Unsec. Unsub. Nts., 5/15/14 | 2,015,000 | 1,949,513 | ||||||
9.625% Sr. Nts., 3/15/185 | 360,000 | 365,400 | ||||||
Hertz Corp., 10.50% Sr. Unsec. Sub. Nts., 1/1/16 | 2,615,000 | 2,726,138 | ||||||
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/265 | 1,445,520 | 1,163,644 | ||||||
Transnet Ltd., 10.80% Sr. Unsec. Nts., 11/6/23 | 10,000,000 | ZAR | 1,348,078 | |||||
7,552,773 | ||||||||
Trading Companies & Distributors—0.2% | ||||||||
Ashtead Capital, Inc., 9% Nts., 8/15/165 | 1,060,000 | 1,044,100 | ||||||
Ashtead Holdings plc, 8.625% Sr. Sec. Nts., 8/1/155 | 875,000 | 870,625 | ||||||
RSC Equipment Rental, Inc., 10% Sr. Sec. Nts., 7/15/175 | 470,000 | 506,425 | ||||||
United Rentals North America, Inc.: | ||||||||
7% Sr. Unsec. Unsub. Nts., 2/15/14 | 1,160,000 | 1,096,200 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 12/15/19 | 1,020,000 | 1,032,750 | ||||||
4,550,100 | ||||||||
Information Technology—1.5% | ||||||||
Electronic Equipment & Instruments—0.4% | ||||||||
RBS Global, Inc./Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 | 4,705,000 | 4,928,488 | ||||||
Sanmina-SCI Corp., 8.125% Sr. Sub. Nts., 3/1/16 | 4,220,000 | 4,177,800 | ||||||
9,106,288 | ||||||||
Internet Software & Services—0.1% | ||||||||
Bankrate, Inc., 11.75% Sr. Sec. Nts., 7/15/152,4 | 1,620,000 | 1,628,100 | ||||||
IT Services—0.6% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | 1,770,000 | 1,606,275 | ||||||
First Data Corp., 9.875% Sr. Unsec. Nts., 9/24/15 | 6,510,000 | 4,980,150 | ||||||
SunGard Data Systems, Inc., 10.25% Sr. Unsec. Sub. Nts., 8/15/15 | 6,397,000 | 6,636,888 | ||||||
13,223,313 | ||||||||
Semiconductors & Semiconductor Equipment—0.4% | ||||||||
Freescale Semiconductor, Inc.: | ||||||||
8.875% Sr. Unsec. Nts., 12/15/14 | 2,880,000 | 2,642,400 | ||||||
9.25% Sr. Sec. Nts., 4/15/185 | 2,700,000 | 2,679,750 | ||||||
NXP BV/NXP Funding LLC: 7.875% Sr. Sec. Nts., 10/18/14 | 2,890,000 | 2,666,025 | ||||||
9.50% Sr. Unsec. Unsub. Nts., 10/15/15 | 2,950,000 | 2,478,000 | ||||||
10,466,175 | ||||||||
Materials—3.7% | ||||||||
Chemicals—1.0% | ||||||||
Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/185 | 2,135,000 | 2,199,050 | ||||||
Braskem SA, 7% Sr. Unsec. Nts., 5/7/205 | 1,150,000 | 1,167,250 | ||||||
Hexion US Finance Corp./Hexion Nova Scota Finance ULC, 8.875% Sr. Sec. Nts., 2/1/18 | 6,950,000 | 6,307,125 | ||||||
Huntsman International LLC, 7.375% Sr. Unsub. Nts., 1/1/15 | 5,955,000 | 5,597,700 | ||||||
Lyondell Chemical Co., 11% Sr. Sec. Nts., 5/1/18 | 2,877,007 | 3,099,975 | ||||||
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 | 4,505,000 | 3,998,188 | ||||||
22,369,288 | ||||||||
Construction Materials—0.3% | ||||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/205 | 2,072,000 | 1,813,000 | ||||||
CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/165 | 2,270,000 | 2,201,900 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/205 | 1,800,000 | 1,827,000 | ||||||
5,841,900 | ||||||||
Containers & Packaging—0.7% | ||||||||
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 | 4,860,000 | 4,702,050 | ||||||
Cascades, Inc., 7.75% Sr. Unsec. Nts., 12/18/17 | 1,250,000 | 1,250,000 |
21 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Containers & Packaging Continued | ||||||||
Graphic Packing International, Inc., 9.50% Sr. Unsec. Unsub. Nts., 6/15/17 | $ | 5,295,000 | $ | 5,559,750 | ||||
Jefferson Smurfit Corp.: | ||||||||
7.50% Sr. Unsec. Unsub. Nts., 6/1/133,11 | 920,000 | 717,600 | ||||||
8.25% Sr. Unsec. Nts., 10/1/123,11 | 2,560,000 | 2,016,000 | ||||||
Smurfit-Stone Container Corp., 8% Sr. Unsec. Unsub. Nts., 3/15/173,11 | 1,780,000 | 1,383,950 | ||||||
Stone Container Corp., 8.375% Sr. Nts., 7/1/123,11 | 925,000 | 723,813 | ||||||
16,353,163 | ||||||||
Metals & Mining—0.7% | ||||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/195 | 750,000 | 768,750 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/155 | 2,445,000 | 2,078,250 | ||||||
Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/151 | 1,510,000 | 1,464,700 | ||||||
United Maritime LLC/United Maritime Group Finance Corp., 11.75% Sr. Sec. Nts., 6/15/155 | 3,515,000 | 3,339,250 | ||||||
Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/185 | 7,715,000 | 8,235,763 | ||||||
Voto-Votorantim Overseas Trading Operations, 6.625% Sr. Unsec. Nts., 9/25/195 | 700,000 | 714,000 | ||||||
16,600,713 | ||||||||
Paper & Forest Products—1.0% | ||||||||
Abitibi-Consolidated Co. of Canada: | ||||||||
6% Sr. Unsec. Unsub. Nts., 6/20/133,11 | 2,020,000 | 297,950 | ||||||
7.75% Sr. Unsec. Bonds, 8/1/303,11 | 1,890,000 | 278,775 | ||||||
8.375% Sr. Unsec. Sub. Nts., 4/1/153,11 | 2,020,000 | 297,950 | ||||||
Abitibi-Consolidated, Inc., 8.85% Unsec. Bonds, 8/1/303,11 | 1,010,000 | 148,975 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/155 | 3,030,000 | 2,878,500 | ||||||
Bowater Pulp & Paper Canada, Inc., 10.60% Sr. Unsec. Nts., 1/15/113,11 | 2,760,000 | 772,800 | ||||||
Bowater, Inc.: | ||||||||
6.50% Sr. Unsec. Nts., 6/15/133,11 | 3,280,000 | 1,098,800 | ||||||
9% Sr. Unsec. Nts., 8/1/093,11 | 840,000 | 281,400 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/165 | 2,916,000 | 2,303,640 | ||||||
Celulosa Arauco y Constitucion SA, 7.25% Sr. Unsec. Unsub. Nts., 7/29/19 | 1,860,000 | 2,161,941 | ||||||
Grupo Papelero Scribe SA, 8.875% Sr. Nts., 4/7/205 | 2,300,000 | 1,998,125 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14 | 5,695,000 | 5,196,688 | ||||||
Verso Paper Holdings LLC: | ||||||||
9.125% Sr. Sec. Nts., 8/1/14 | 2,430,000 | 2,332,800 | ||||||
11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 3,990,000 | 3,421,425 | ||||||
23,469,769 | ||||||||
Telecommunication Services—2.6% | ||||||||
Diversified Telecommunication Services—1.5% | ||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/195 | 4,545,000 | 4,067,775 | ||||||
Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 | 1,485,000 | 1,447,875 | ||||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | 1,310,000 | 1,231,400 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 1,470,000 | 1,341,375 | ||||||
Global Crossing Ltd., 12% Sr. Sec. Nts., 9/15/155 | 2,325,000 | 2,476,125 | ||||||
Intelsat Bermuda Ltd., 11.25% Sr. Unsec. Nts., 2/4/17 | 2,755,000 | 2,803,213 | ||||||
Intelsat Jackson Holdings SA, 11.25% Sr. Unsec. Nts., 6/15/16 | 1,805,000 | 1,931,350 | ||||||
Level 3 Financing, Inc., 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 | 4,330,000 | 3,951,125 | ||||||
New Communications Holdings, Inc., 8.50% Sr. Nts., 4/15/205 | 1,350,000 | 1,360,125 | ||||||
PAETEC Holding Corp., 9.50% Sr. Unsec. Unsub. Nts., 7/15/15 | 5,595,000 | 5,469,113 | ||||||
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/164 | 3,290,100 | PEN | 1,187,720 | |||||
Telmar Norte Leste SA, 9.50% Sr. Unsec. Nts., 4/23/195 | 3,355,000 | 4,034,388 | ||||||
Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 1,460,000 | 1,478,250 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/103,11 | 250,000 | — | ||||||
32,779,834 | ||||||||
Wireless Telecommunication Services—1.1% | ||||||||
America Movil SAB de CV: | ||||||||
6.125% Sr. Nts., 3/30/405 | 3,000,000 | 3,154,257 | ||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 52,700,000 | MXN | 3,853,837 |
22 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Wireless Telecommunication Services Continued | ||||||||
Clearwire Communications LLC/Clearwire Finance, Inc., 12% Sr. Sec. Nts., 12/1/155 | $ | 2,720,000 | $ | 2,709,800 | ||||
Cricket Communications, Inc., 9.375% Sr. Unsec. Nts., 11/1/14 | 5,550,000 | 5,661,000 | ||||||
MetroPCS Wireless, Inc., 9.25% Sr. Unsec. Nts., 11/1/14 | 5,495,000 | 5,687,325 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/205 | 1,650,000 | 1,715,175 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 1,395,000 | 1,332,225 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 1,530,000 | 1,468,800 | ||||||
Teligent, Inc., 11.50% Sr. Nts., 12/1/083,11 | 500,000 | — | ||||||
25,582,419 | ||||||||
Utilities—2.4% | ||||||||
Electric Utilities—1.4% | ||||||||
Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/195 | 1,350,000 | 1,469,813 | ||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 4,990,000 | 3,218,550 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/195 | 2,600,000 | 2,941,250 | ||||||
Energy Future Holdings Corp., 10.875% Sr. Unsec. Nts., 11/1/17 | 1,710,000 | 1,273,950 | ||||||
Eskom Holdings Ltd.: | ||||||||
9.25% Bonds, Series ES18, 4/20/18 | 10,000,000 | ZAR | 1,336,757 | |||||
10% Nts., Series ES23, 1/25/23 | 34,000,000 | ZAR | 4,586,596 | |||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/195 | 4,550,000 | 5,041,946 | ||||||
Majapahit Holding BV: | ||||||||
7.25% Nts., 10/17/115 | 990,000 | 1,044,450 | ||||||
7.75% Nts., 10/17/165 | 2,250,000 | 2,480,625 | ||||||
8% Sr. Unsec. Nts., 8/7/195 | 1,150,000 | 1,270,750 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 109,600,000 | PHP | 2,242,597 | |||||
Texas Competitive Electric Holdings Co. LLC, 10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 1,795,000 | 1,193,675 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/175 | 2,692,000 | 3,011,675 | ||||||
31,112,634 | ||||||||
Energy Traders—1.0% | ||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/205 | 3,060,000 | 3,209,368 | ||||||
Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 | 1,635,000 | 1,301,869 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/205 | 2,530,000 | 2,530,000 | ||||||
NRG Energy, Inc.: | ||||||||
7.375% Sr. Nts., 1/15/17 | 1,485,000 | 1,473,863 | ||||||
7.375% Sr. Nts., 2/1/16 | 5,160,000 | 5,147,100 | ||||||
Power Sector Assets & Liabilities Management Corp.: | ||||||||
7.25% Sr. Gtd. Unsec. Nts., 5/27/195 | 1,280,000 | 1,422,336 | ||||||
7.39% Sr. Gtd. Unsec. Nts., 12/2/245 | 1,270,000 | 1,390,650 | ||||||
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/155 | 2,100,000 | 2,225,143 | ||||||
Reliant Energy, Inc., 7.625% Sr. Unsec. Unsub. Nts., 6/15/14 | 4,170,000 | 4,128,300 | ||||||
22,828,629 | ||||||||
Total Corporate Bonds and Notes (Cost $680,951,062) | 684,839,709 |
Shares | ||||||||
Preferred Stocks—0.2% | ||||||||
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.11,12 | 4,253 | — | ||||||
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.11 | 5,000 | — | ||||||
Greektown Holdings LLC, Preferred Stock11 | 45,600 | 5,152,800 | ||||||
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.11,12 | 151 | — | ||||||
Total Preferred Stocks (Cost $5,097,064) | 5,152,800 | |||||||
Common Stocks—0.3% | ||||||||
American Media, Inc.4,11 | 1,562 | — | ||||||
Arco Capital Corp. Ltd.4,11 | 690,638 | 1,726,595 | ||||||
Charter Communications, Inc., Cl. A11 | 110,986 | 3,917,806 | ||||||
Global Aviation Holdings, Inc.11 | 1 | 1,000 | ||||||
MHP SA, GDR 5,11 | 56,610 | 735,930 | ||||||
Orbcomm, Inc. 11 | 375 | 683 | ||||||
Premier Holdings Ltd.11 | 18,514 | — | ||||||
Sprint Nextel Corp.11 | 293,401 | 1,244,020 | ||||||
Total Common Stocks (Cost $14,143,991) | 7,626,034 |
23 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Units | Value | |||||||
Rights, Warrants and Certificates—0.0% | ||||||||
ASG Consolidated LLC/American Seafoods Group Wts., Strike Price $0.01, Exp. 5/15/185,11 | 2,980 | $ | 224,990 | |||||
Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/1111 | 266 | 3 | ||||||
Total Rights, Warrants and Certificates (Cost $74,825) | 224,993 |
Principal | ||||||||
Amount | ||||||||
Structured Securities—8.4% | ||||||||
Barclays Bank plc: | ||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 10,440,000,000 | IDR | 1,226,542 | |||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 13,870,000,000 | IDR | 1,629,515 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 | 10,380,000,000 | IDR | 1,308,808 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 | 9,240,000,000 | IDR | 1,086,579 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 | 15,630,000,000 | IDR | 1,838,012 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 | 2,650,000,000 | IDR | 314,795 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 | 2,650,000,000 | IDR | 333,139 | |||||
Citigroup Funding, Inc.: | ||||||||
Ghana (Republic of) Credit Linked Bonds, Series 1, 13.95%, 12/15/101,4 | 2,650,000 | GHS | 1,833,965 | |||||
Ghana (Republic of) Credit Linked Bonds, Series 10, 13.95%, 12/15/101,4 | 1,120,000 | GHS | 775,110 | |||||
Indonesia (Republic of) Credit Linked Nts., 10%, 9/19/24 | 12,730,000,000 | IDR | 1,502,603 | |||||
Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 | 31,590,000,000 | IDR | 4,251,495 | |||||
Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 | 31,580,000,000 | IDR | 4,250,149 | |||||
Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 | 15,590,000,000 | IDR | 2,098,158 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 03, 10.50%, 8/19/30 | 6,700,000,000 | IDR | 787,148 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 23, 11%, 9/17/25 | 6,920,000,000 | IDR | 879,790 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/30 | 7,370,000,000 | IDR | 865,863 | |||||
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 | 2,100,000,000 | IDR | 263,997 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 10.50%, 8/19/30 | 2,100,000,000 | IDR | 249,460 | |||||
Citigroup Global Markets Holdings, Inc.: | ||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/184 | 3,255,000,000 | COP | 2,046,691 | |||||
Colombia (Republic of) Credit Linked Nts., 13.351%, 2/26/154,15 | 2,199,000,000 | COP | 2,456,294 | |||||
Colombia (Republic of) Credit Linked Nts., Series 01, 13.351%, 2/26/154,15 | 811,000,000 | COP | 905,891 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 13.351% 2/26/154,15 | 1,345,000,000 | COP | 1,502,372 | |||||
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/124 | 552,359,546 | COP | 340,698 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series B, 9.25%, 5/15/14 | 6,412,000,000 | COP | 3,670,119 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/124 | 1,034,000,000 | COP | 637,776 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/124 | 927,000,000 | COP | 571,778 | |||||
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/124 | 1,200,000,000 | COP | 740,166 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/124 | 49,300,000 | DOP | 1,396,176 | |||||
Credit Suisse First Boston International: | ||||||||
Moitk Total Return Linked Nts., 21%, 3/30/113,11 | 53,910,000 | RUR | 172 | |||||
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/121 | 105,151,500 | RUR | 2,690,200 | |||||
Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/17 | 14,609,000,000 | VND | 382,635 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 5/20/103 | 97,250,000 | RUR | 311 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 | 74,550,000 | RUR | 2,205,209 | |||||
Credit Suisse International: | ||||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 30,880,000 | RUR | 1,110,740 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 41,550,000 | RUR | 1,494,535 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 44,460,000 | RUR | 1,599,206 |
24 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
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 | 2,763,615 | MXN | $ | 206,079 | ||||
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 | 1,837,464 | MXN | 137,017 | |||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/254,10 | 2,238,346 | 1,417,320 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.242%, 4/30/254,10 | 2,843,277 | 1,800,362 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/254,10 | 2,271,446 | 1,438,279 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.346%, 4/30/254,10 | 2,135,063 | 1,351,921 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 10.304%, 12/31/174,15 | 20,560,000 | BRR | 7,617,452 | |||||
Coriolanus Ltd. Sec. Credit Linked Nts., 10.62%, 9/10/104 | 3,300,000 | 2,242,350 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 3.138%, 4/30/254,10 | 2,000,799 | 1,266,905 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 3.191%, 4/30/254,10 | 2,491,157 | 1,577,400 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/111,4 | 655,000 | 701,636 | ||||||
Indonesia (Republic of) Credit Linked Nts., 10.50%, 8/23/30 | 40,660,000,000 | IDR | 4,799,360 | |||||
Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/22/21 | 11,690,000,000 | IDR | 1,720,126 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 02, 12.80%, 6/22/21 | 14,700,000,000 | IDR | 2,154,962 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 03, 11%, 9/17/25 | 6,740,000,000 | IDR | 852,378 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 38,600,000 | RUR | 1,388,116 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 45,990,000 | RUR | 1,653,872 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1A, 7.935%, 9/24/141,4 | 14,850,000 | MXN | 1,148,221 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1B, 7.935%, 9/24/141,4 | 2,970,000 | MXN | 229,644 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1C, 7.935%, 9/24/141,4 | 4,950,000 | MXN | 382,740 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1D, 7.935%, 9/24/141,4 | 2,475,000 | MXN | 191,370 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1E, 7.935%, 9/24/141,4 | 3,465,000 | MXN | 267,918 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.453%, 5/22/151,4 | 1,417,014 | MXN | 109,565 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.453%, 5/22/151,4 | 2,479,100 | MXN | 191,687 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.453%, 5/22/151,4 | 37,378,810 | MXN | 2,890,177 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.453%, 5/22/151,4 | 2,724,116 | MXN | 210,632 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.453%, 5/22/151,4 | 1,979,122 | MXN | 153,028 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.453%, 5/22/151,4 | 1,263,966 | MXN | 97,731 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.453%, 5/22/151,4 | 232,771 | MXN | 17,998 | |||||
Ukraine (Republic of) 5 yr. Total Return Linked Nts., 4.05%, 8/27/10 | 885,000 | 858,131 | ||||||
Ukraine (Republic of) 5.5 yr. Total Return Linked Nts., 4.05%, 3/1/11 | 885,000 | 753,498 | ||||||
Ukraine (Republic of) 6 yr. Total Return Linked Nts., 4.05%, 8/30/11 | 885,000 | 674,043 | ||||||
Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 | 885,000 | 607,632 | ||||||
Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 | 885,000 | 554,205 | ||||||
United Mexican States Credit Linked Nts., 9.52%, 1/5/11 | 1,830,802 | MXN | 136,520 | |||||
Eirles Two Ltd. Sec. Nts.: | ||||||||
Series 324, 3.664%, 4/30/121,4 | 4,100,000 | 3,150,850 | ||||||
Series 335, 2.114%, 4/30/121,4 | 6,300,000 | 5,531,400 | ||||||
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/175,10 | 21,980,000 | TRY | 5,745,479 | |||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/374,10 | 63,720,800,000 | COP | 2,116,591 | |||||
Hallertau SPC Credit Linked Nts.: | ||||||||
Series 2007-01, 2.805%, 12/20/171,4 | 6,250,000 | 5,146,875 | ||||||
Series 2008-01, 9.888%, 8/2/103,4,10 | 14,337,604 | BRR | 794,327 | |||||
Series 2008-2A, 6.99%, 9/17/131,4 | 15,786,875 | 15,917,906 | ||||||
JPMorgan Chase & Co.: | ||||||||
Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/164,10 | 12,125,000,000 | COP | 3,810,505 | |||||
Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/164,10 | 12,177,000,000 | COP | 3,826,847 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/252,5 | 2,650,000,000 | IDR | 333,139 | |||||
Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 | 11,680,000,000 | IDR | 1,549,674 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/304 | 6,700,000,000 | IDR | 777,392 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/305 | 2,100,000,000 | IDR | 249,460 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/255 | 2,100,000,000 | IDR | 263,997 |
25 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
JPMorgan Chase & Co., London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/17/21 | 12,790,000,000 | IDR | $ | 1,874,337 | ||||
JPMorgan Chase Bank NA: | ||||||||
Export-Import Bank Total Return Linked Bonds, 6.55%, 3/13/13 | 225,000,000 | INR | 4,480,138 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/305 | 24,100,000,000 | IDR | 2,862,851 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/255 | 15,710,000,000 | IDR | 1,974,951 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/255 | 7,420,000,000 | IDR | 932,790 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 5, 10.50%, 8/19/305 | 29,550,000,000 | IDR | 3,510,260 | |||||
Russian Federation Credit Linked Bonds, 10%, 9/30/111,5 | 130,790,000 | RUR | 4,467,870 | |||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/124 | 2,889,489 | 2,009,062 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/164 | 1,784,000,000 | COP | 903,903 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/175 | 4,885,000 | PEN | 1,358,913 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 79,152,207 | RUR | 1,244,720 | |||||
Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc Total Return Linked Nts., Series A, 8.375%, 7/10/12 | 11,183,973 | RUR | 362,457 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/225,10 | 28,914,000 | BRR | 1,735,945 | |||||
Ukraine (Republic of) Credit Linked Nts., 2.256%, 10/15/171,4 | 1,690,000 | 1,352,000 | ||||||
Ukraine (Republic of) Credit Linked Nts., Series 2, 3.126%, 10/15/171,4 | 6,800,000 | 5,440,000 | ||||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/154 | 2,000,000 | 1,691,600 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series A, 15%, 3/8/12 | 5,531,391 | 5,483,268 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series C, 15%, 3/8/12 | 7,398,153 | 7,330,830 | ||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 12.684%, 11/24/104,10 | 3,250,000 | GHS | 2,135,875 | |||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/114 | 1,222,052 | GHS | 840,823 | |||||
Total Structured Securities (Cost $212,438,446) | 192,253,407 | |||||||
Event-Linked Bonds—1.5% | ||||||||
Akibare Ltd. Catastrophe Linked Nts., Cl. A, 3.434%, 5/22/121,5 | 1,484,000 | 1,475,578 | ||||||
Atlas V Capital Ltd. Catastrophe Linked Nts., Series 2, 11.791%, 2/24/121,5 | 644,000 | 663,706 | ||||||
Blue Fin Ltd. Catastrophe Linked Nts., 9.412%, 5/28/131,5 | 334,000 | 328,294 | ||||||
Caelus Re II Ltd. Catastrophe Linked Nts., 6.50%, 5/24/131,5 | 449,000 | 443,976 | ||||||
East Lane Re II Ltd. Catastrophe Linked Nts., 14.791%, 4/7/111,5 | 2,207,000 | 2,121,699 | ||||||
East Lane Re III Ltd. Catastrophe Linked Nts., 10.541%, 3/16/121,5 | 2,651,000 | 2,729,138 | ||||||
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 4.244%, 8/10/111,5 | 2,263,000 | 2,283,141 | ||||||
Foundation Re III Ltd. Catastrophe Linked Nts., Series 1-A, 5.907%, 2/3/141,5 | 985,000 | 957,666 | ||||||
Longpoint Re Ltd. Catastrophe Linked Nts.: | ||||||||
5.466%, 12/18/131,5 | 1,505,000 | 1,455,335 | ||||||
5.40%, 12/24/121,5 | 1,287,000 | 1,255,469 | ||||||
Merna Reinsurance II Ltd. Catastrophe Linked Nts., 3.65%, 4/8/131,5 | 1,532,000 | 1,542,356 | ||||||
Midori Ltd. Catastrophe Linked Nts., 3.053%, 10/24/121,5 | 2,604,000 | 2,590,199 | ||||||
Multicat Mexico 2009 Ltd. Catastrophe Linked Nts.: | ||||||||
10.25%, 10/19/121,5 | 471,000 | 469,917 | ||||||
11.50%, 10/19/121,5 | 1,407,000 | 1,492,405 | ||||||
Muteki Ltd. Catastrophe Linked Nts., 4.845%, 5/24/111,5 | 1,650,000 | 1,638,615 | ||||||
Redwood Capital XI Ltd. Catastrophe Linked Nts., 6.25%, 1/10/111,5 | 1,046,000 | 1,055,032 | ||||||
Residential Reinsurance 2007 Ltd. Catastrophe Linked Nts., Series CL2, 12.038%, 6/6/111,5 | 2,035,000 | 1,975,985 | ||||||
Residential Reinsurance Ltd. Catastrophe Linked Nts.: | ||||||||
6.717%, 6/6/131,5 | 710,000 | 701,448 | ||||||
9.017%, 6/6/131,5 | 421,000 | 415,546 | ||||||
13.117%, 6/6/131,5 | 421,000 | 413,845 | ||||||
13.117%, 6/6/131,5 | 710,000 | 700,749 |
26 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Principal | ||||||||
Amount | Value | |||||||
Event-Linked Bonds Continued | ||||||||
Successor X Ltd. Catastrophe Linked Nts.: | ||||||||
16.75%, 4/4/131,5 | $ | 1,394,000 | $ | 1,246,375 | ||||
23.131%, 12/9/105,10 | 738,000 | 656,303 | ||||||
Vega Capital Ltd. Catastrophe Linked Nts., Series D, 0%, 6/24/115,10 | 3,304,000 | 5,195,540 | ||||||
Total Event-Linked Bonds (Cost $32,175,547) | 33,808,317 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.0% | ||||||||||||||||
Australian Dollar (AUD) Call11 | 8/23/10 | $ | 0.874 | 9,830,000 | 71,686 | |||||||||||
Japanese Yen (JPY) Put11 | 8/23/10 | 12.750 | JPY | 355,000,000 | 23,738 | |||||||||||
Japanese Yen (JPY) Put11 | 8/23/10 | 12.350 | JPY | 355,000,000 | 4,873 | |||||||||||
South Korean Won (KRW) Put11 | 8/24/10 | 12.400 | JPY | 565,000,000 | 13,855 | |||||||||||
South Korean Won (KRW) Put11 | 11/29/10 | 12.440 | JPY | 154,000,000 | 20,912 | |||||||||||
South Korean Won (KRW) Put11 | 11/29/10 | 12.200 | JPY | 164,000,000 | 15,284 | |||||||||||
South Korean Won (KRW) Put11 | 11/29/10 | 11.955 | JPY | 164,000,000 | 12,900 | |||||||||||
South Korean Won (KRW) Put11 | 11/29/10 | 12.050 | JPY | 164,000,000 | 12,483 | |||||||||||
South Korean Won (KRW) Put11 | 11/29/10 | 12.250 | JPY | 154,000,000 | 19,648 | |||||||||||
Total Options Purchased (Cost $675,208) | 195,379 |
Shares | ||||||||
Investment Companies—17.8% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%16,17 | 3,788,156 | 3,788,156 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%17,18 | 60,119,522 | 60,119,522 | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC18 | 1,103,918 | 11,726,767 | ||||||
Oppenheimer Master Loan Fund, LLC18 | 30,774,294 | 330,596,044 | ||||||
Total Investment Companies (Cost $408,300,876) | 406,230,489 | |||||||
Total Investments, at Value (Cost $2,366,958,598) | 101.6 | % | 2,316,578,302 | |||||
Liabilities in Excess of Other Assets | (1.6 | ) | (36,394,749 | ) | ||||
Net Assets | 100.0 | % | $ | 2,280,183,553 | ||||
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 Pound | |
EUR | Euro | |
GBP | British Pound Sterling | |
GHS | Ghana Cedi | |
HUF | Hungarian Forint | |
IDR | Indonesia Rupiah | |
ILS | Israeli Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
VND | Vietnam Dong | |
ZAR | South African Rand |
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, 2010. See Note 1 of accompanying Notes. | |
3. | Issue is in default. See Note 1 of accompanying Notes. | |
4. | Restricted security. The aggregate value of restricted securities as of June 30, 2010 was $124,826,793, which represents 5.47% of the Fund’s net assets. See Note 6 of accompanying Notes. Information concerning restricted securities is as follows: |
27 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
American Media, Inc. | 2/3/09 | $ | 34,604 | $ | — | $ | (34,604 | ) | ||||||||
Arco Capital Corp. Ltd. | 2/28/07 | 10,359,570 | 1,726,595 | (8,632,975 | ) | |||||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 | 2/24/06-10/21/09 | 5,150,286 | 4,275,274 | (875,013 | ) | |||||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 | 4/21/06-8/10/07 | 1,354,723 | 1,308,350 | (46,373 | ) | |||||||||||
Bankrate, Inc., 11.75% Sr. Sec. Nts., 7/15/15 | 6/30/10 | 1,605,047 | 1,628,100 | 23,053 | ||||||||||||
Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/29 | 1/5/10-3/4/10 | 535,525 | 618,350 | 82,825 | ||||||||||||
Citigroup Funding, Inc., Ghana (Republic of) Credit Linked Bonds, Series 1, 13.95%, 12/15/10 | 2/21/10 | 1,843,732 | 1,833,965 | (9,767 | ) | |||||||||||
Citigroup Funding, Inc., Ghana (Republic of) Credit Linked Bonds, Series 10, 13.95%, 12/15/10 | 1/28/10 | 777,688 | 775,110 | (2,578 | ) | |||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 12/10/08 | 1,371,393 | 2,046,691 | 675,297 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., 13.351%, 2/26/15 | 7/21/08-7/22/08 | 1,981,317 | 2,456,294 | 474,977 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 01, 13.351%, 2/26/15 | 8/1/08 | 739,438 | 905,891 | 166,453 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 02, 13.351% 2/26/15 | 8/11/08 | 1,237,260 | 1,502,372 | 265,112 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 | 1/7/05-1/13/05 | 247,382 | 340,698 | 93,316 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 | 9/21/04-5/5/06 | 486,378 | 740,166 | 253,788 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 | 1/24/05 | 413,663 | 571,778 | 158,115 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 | 12/17/04-5/5/06 | 460,640 | 637,776 | 177,136 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 3/8/07 | 1,479,820 | 1,396,176 | (83,644 | ) | |||||||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.847%, 1/27/37 | 5/30/08 | 1,068,149 | 420,265 | (647,884 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/25 | 5/27/10 | 1,418,860 | 1,417,320 | (1,540 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.242%, 4/30/25 | 10/13/09 | 1,775,863 | 1,800,362 | 24,499 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/25 | 8/21/09 | 1,415,023 | 1,438,279 | 23,256 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.346%, 4/30/25 | 4/17/09-4/20/09 | 1,320,178 | 1,351,921 | 31,743 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 10.304%, 12/31/17 | 9/21/07-10/5/07 | 8,554,456 | 7,617,452 | (937,005 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 10.62%, 9/10/10 | 8/3/07 | 3,300,000 | 2,242,350 | (1,057,650 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 3.138%, 4/30/25 | 4/9/10 | 1,263,203 | 1,266,905 | 3,702 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 3.191%, 4/30/25 | 1/6/10 | 1,564,119 | 1,577,400 | 13,281 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11 | 12/9/08 | 651,131 | 701,636 | 50,505 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1A, 7.935%, 9/24/14 | 12/28/07 | 1,364,764 | 1,148,221 | (216,543 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1B, 7.935%, 9/24/14 | 6/13/08 | 286,334 | 229,644 | (56,690 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1C, 7.935%, 9/24/14 | 8/13/08 | 487,085 | 382,740 | (104,345 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1D, 7.935%, 9/24/14 | 8/7/09 | 189,935 | 191,370 | 1,435 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1E, 7.935%, 9/24/14 | 9/11/09 | 259,017 | 267,918 | 8,901 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.453%, 5/22/15 | 5/22/08 | 136,622 | 109,565 | (27,057 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.453%, 5/22/15 | 6/13/08 | 239,007 | 191,687 | (47,320 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.453%, 5/22/15 | 6/19/08 | 3,626,317 | 2,890,177 | (736,140 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.453%, 5/22/15 | 7/9/08 | 264,086 | 210,632 | (53,454 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.453%, 5/22/15 | 7/16/08 | 192,185 | 153,028 | (39,157 | ) |
28 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.453%, 5/22/15 | 8/11/08 | $ | 124,426 | $ | 97,731 | $ | (26,694 | ) | ||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.453%, 5/22/15 | 8/25/08 | 22,959 | 17,998 | (4,960 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 324, 3.664%, 4/30/12 | 4/18/07 | 4,104,935 | 3,150,850 | (954,085 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.114%, 4/30/12 | 9/18/07-9/19/07 | 6,205,285 | 5,531,400 | (673,885 | ) | |||||||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 | 8/18/00 | 1,820,063 | — | (1,820,063 | ) | |||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 | 1/19/07 | 4,726,233 | 2,116,591 | (2,609,642 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.805%, 12/20/17 | 12/18/07 | 6,250,000 | 5,146,875 | (1,103,125 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 | 4/23/08-10/1/08 | 7,188,001 | 794,327 | (6,393,674 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 6.99%, 9/17/13 | 10/24/08 | 15,951,630 | 15,917,906 | (33,724 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.088%, 8/15/22 | 11/7/07 | 6,930,245 | 4,328,500 | (2,601,745 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.388%, 8/15/22 | 6/11/07 | 5,270,000 | 2,529,600 | (2,740,400 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.388%, 8/15/22 | 6/11/07 | 5,270,000 | 2,318,800 | (2,951,200 | ) | |||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16 | 10/17/06 | 1,904,306 | 3,826,847 | 1,922,540 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/16 | 10/19/06 | 1,906,472 | 3,810,505 | 1,904,033 | ||||||||||||
JPMorgan Chase & Co., Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/30 | 5/7/10 | 732,693 | 777,392 | 44,699 | ||||||||||||
JPMorgan Hipotecaria su Casita, 7.59% Sec. Nts., 8/26/35 | 3/22/07-1/29/08 | 526,714 | 404,285 | (122,429 | ) | |||||||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 | 6/21/07-11/29/07 | 2,907,987 | 2,009,062 | (898,926 | ) | |||||||||||
Libbey Glass, Inc., 10% Sr. Sec. Nts., 2/15/15 | 1/29/10-2/17/10 | 3,794,661 | 3,972,800 | 178,139 | ||||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 | 10/23/06 | 762,393 | 903,903 | 141,510 | ||||||||||||
Morgan Stanley Capital Services, Inc., Ukraine (Republic of) Credit Linked Nts., 2.256%, 10/15/17 | 11/5/07 | 1,690,000 | 1,352,000 | (338,000 | ) | |||||||||||
Morgan Stanley Capital Services, Inc., Ukraine (Republic of) Credit Linked Nts., Series 2, 3.126%, 10/15/17 | 2/5/08 | 6,800,000 | 5,440,000 | (1,360,000 | ) | |||||||||||
Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 | 11/4/05-5/24/10 | 2,000,000 | 1,691,600 | (308,400 | ) | |||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 | 3/5/99 | 66,285 | 3,170 | (63,115 | ) | |||||||||||
Real Time Data Co., 11% Nts., 5/31/09 | 7/9/99-6/7/01 | 110,538 | — | (110,538 | ) | |||||||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 12.684%, 11/24/10 | 5/28/10 | 2,163,937 | 2,135,875 | (28,061 | ) | |||||||||||
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 | 10/4/05-10/6/05 | 981,241 | 1,187,720 | 206,479 | ||||||||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 | 7/2/07 | 1,337,646 | 840,823 | (496,824 | ) | |||||||||||
United Air Lines, Inc., 12% Sr. Sec. 2nd Lien Nts., 11/1/13 | 1/12/10-3/4/10 | 3,259,186 | 3,495,525 | 236,339 | ||||||||||||
United Air Lines, Inc., 9.875% Sr. Sec. 1st Lien Nts., 8/1/13 | 1/12/10-3/4/10 | 2,560,928 | 2,652,250 | 91,322 | ||||||||||||
$ | 156,823,564 | $ | 124,826,793 | $ | (31,996,774 | ) | ||||||||||
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 $457,170,580 or 20.05% of the Fund’s net assets as of June 30, 2010. | |
6. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $15,954,313 or 0.70% of the Fund’s net assets as of June 30, 2010. | |
7. | The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. | |
8. | All or a portion of the security position is held in collateral accounts to cover the Fund’s obligations under certain derivative contracts. The aggregate market value of such securities is $1,805,778. See Note 5 of accompanying Notes. |
29 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
9. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $19,471,957. See Note 5 of accompanying Notes. | |
10. | Zero coupon bond reflects effective yield on the date of purchase. | |
11. | Non-income producing security. | |
12. | Interest or dividend is paid-in-kind, when applicable. | |
13. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
14. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
15. | Denotes an inflation-indexed security: coupon and principal are indexed to a consumer price index. | |
16. | Interest rate is less than 0.0005%. | |
17. | Rate shown is the 7-day yield as of June 30, 2010. | |
18. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
OFI Liquid Assets Fund, LLC | 37,599,500 | 35,322,336 | 72,921,836 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 76,771,099 | 2,383,681,504 | 2,400,333,081 | 60,119,522 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 1,404,749 | — | 300,831 | 1,103,918 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 33,609,439 | 19,048,496 | 21,883,641 | 30,774,294 | ||||||||||||
Value | Income | Realized Gain | ||||||||||||||
OFI Liquid Assets Fund, LLC | $ | — | $ | 6,461 | a | $ | — | |||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 60,119,522 | 239,086 | — | |||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 11,726,767 | 627,986 | b | 325,131 | b | |||||||||||
Oppenheimer Master Loan Fund, LLC | 330,596,044 | 18,543,814 | c | 9,924,023 | c | |||||||||||
$ | 402,442,333 | $ | 19,417,347 | $ | 10,249,154 | |||||||||||
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. |
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—significant 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, 2010 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 | $ | — | $ | 24,197,501 | $ | 9,276,898 | $ | 33,474,399 | ||||||||
Mortgage-Backed Obligations | — | 344,351,082 | — | 344,351,082 | ||||||||||||
U.S. Government Obligations | — | 40,180,416 | — | 40,180,416 | ||||||||||||
Foreign Government Obligations | — | 508,535,098 | 302,231 | 508,837,329 | ||||||||||||
Loan Participations | — | 59,403,948 | — | 59,403,948 | ||||||||||||
Corporate Bonds and Notes | — | 684,066,489 | 773,220 | 684,839,709 | ||||||||||||
Preferred Stocks | — | 5,152,800 | — | 5,152,800 | ||||||||||||
Common Stocks | 5,898,439 | 1,726,595 | 1,000 | 7,626,034 | ||||||||||||
Rights, Warrants and Certificates | — | 224,990 | 3 | 224,993 | ||||||||||||
Structured Securities | — | 190,244,345 | 2,009,062 | 192,253,407 | ||||||||||||
Event-Linked Bonds | — | 33,808,317 | — | 33,808,317 | ||||||||||||
Options Purchased | — | 195,379 | — | 195,379 | ||||||||||||
Investment Companies | 406,230,489 | — | — | 406,230,489 | ||||||||||||
Total Investments, at Value | 412,128,928 | 1,892,086,960 | 12,362,414 | 2,316,578,302 |
30 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Level 3– | ||||||||||||||||
Level 1– | Level 2– | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | $ | — | $ | 4,685,633 | $ | — | $ | 4,685,633 | ||||||||
Depreciated swaps, at value | — | 220,805 | — | 220,805 | ||||||||||||
Futures margins | 1,007,108 | — | — | 1,007,108 | ||||||||||||
Foreign currency exchange contracts | — | 4,817,562 | — | 4,817,562 | ||||||||||||
Total Assets | $ | 413,136,036 | $ | 1,901,810,960 | $ | 12,362,414 | $ | 2,327,309,410 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | — | (916,522 | ) | — | (916,522 | ) | ||||||||||
Depreciated swaps, at value | — | (6,820,933 | ) | — | (6,820,933 | ) | ||||||||||
Appreciated options written, at value | — | (278,410 | ) | — | (278,410 | ) | ||||||||||
Depreciated options written, at value | — | (184,376 | ) | — | (184,376 | ) | ||||||||||
Futures margins | (35,421 | ) | — | — | (35,421 | ) | ||||||||||
Unfunded Purchase Agreements | — | (9,233 | ) | — | (9,233 | ) | ||||||||||
Foreign currency exchange contracts | — | (3,654,240 | ) | — | (3,654,240 | ) | ||||||||||
Total Liabilities | $ | (35,421 | ) | $ | (11,863,714 | ) | $ | — | $ | (11,899,135 | ) | |||||
Currency contracts, unfunded purchase agreements 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 methodologies, if any, during the reporting period.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||
United States | $ | 1,330,660,200 | 57.4 | % | ||||
Brazil | 133,251,020 | 5.8 | ||||||
Indonesia | 84,622,523 | 3.7 | ||||||
Mexico | 77,336,390 | 3.3 | ||||||
Russia | 63,300,060 | 2.7 | ||||||
Japan | 55,601,813 | 2.4 | ||||||
Turkey | 50,254,657 | 2.2 | ||||||
Colombia | 47,388,125 | 2.1 | ||||||
South Africa | 40,749,040 | 1.8 | ||||||
Korea, Republic of South | 37,667,977 | 1.6 | ||||||
Ukraine | 36,741,426 | 1.6 | ||||||
Kazakhstan | 36,392,865 | 1.6 | ||||||
Supranational | 29,161,863 | 1.3 | ||||||
Egypt | 23,724,923 | 1.0 | ||||||
Israel | 22,260,011 | 1.0 | ||||||
Peru | 20,614,028 | 0.9 | ||||||
Argentina | 20,054,246 | 0.9 | ||||||
India | 18,697,853 | 0.8 | ||||||
Philippines | 18,012,018 | 0.8 | ||||||
Venezuela | 15,810,294 | 0.7 | ||||||
Canada | 14,092,248 | 0.6 | ||||||
Germany | 13,776,339 | 0.6 | ||||||
United Kingdom | 13,189,438 | 0.6 | ||||||
Italy | 11,977,872 | 0.5 | ||||||
Ghana | 10,238,773 | 0.4 | ||||||
Hungary | 10,125,483 | 0.4 | ||||||
Uruguay | 9,097,375 | 0.4 | ||||||
Malaysia | 8,984,563 | 0.4 | ||||||
Dominican Republic | 8,465,950 | 0.4 |
31 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows: Continued
Geographic Holdings | Value | Percent | ||||||
Greece | $ | 8,090,162 | 0.4 | % | ||||
The Netherlands | 8,016,756 | 0.3 | ||||||
Panama | 7,844,457 | 0.3 | ||||||
Chile | 5,371,309 | 0.2 | ||||||
Trinidad & Tobago | 4,957,850 | 0.2 | ||||||
Bermuda | 4,734,563 | 0.2 | ||||||
Spain | 4,123,730 | 0.2 | ||||||
Belgium | 3,336,252 | 0.1 | ||||||
Austria | 1,643,864 | 0.1 | ||||||
United Arab Emirates | 1,453,500 | 0.1 | ||||||
Australia | 1,023,581 | — | ||||||
Denmark | 917,803 | — | ||||||
Poland | 814,906 | — | ||||||
Sweden | 649,616 | — | ||||||
Belize | 618,350 | — | ||||||
Vietnam | 382,635 | — | ||||||
Norway | 349,595 | — | ||||||
Total | $ | 2,316,578,302 | 100.0 | % | ||||
Foreign Currency Exchange Contracts as of June 30, 2010 are as follows:
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Banc of America: | ||||||||||||||||||||||||
Argentine Peso (ARP) | Buy | 18,150 | ARP | 7/16/10 | $ | 4,596,577 | $ | 12,086 | $ | — | ||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 48,300 | CNY | 6/7/11 | 7,219,483 | 84,013 | — | |||||||||||||||||
Euro (EUR) | Sell | 2,400 | EUR | 7/6/10 | 2,934,933 | 190,611 | — | |||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 36,100 | HKD | 7/19/10 | 4,636,406 | — | 2,141 | |||||||||||||||||
Indian Rupee (INR) | Buy | 636,000 | INR | 9/3/10 | 13,588,071 | — | 12,311 | |||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 26,940,000 | IDR | 7/26/10 | 2,958,712 | — | 61,938 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 1,435,786 | JPY | 7/6/10 | 16,240,742 | — | 628 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 546,735 | JPY | 7/6/10 | 6,184,333 | 239 | — | |||||||||||||||||
Kazakhstan Tenge (KZT) | Buy | 372,400 | KZT | 2/28/11-3/10/11 | 2,506,671 | — | 32,709 | |||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 11,580 | MYR | 9/1/10 | 3,566,397 | 20,993 | — | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 150,000 | TWD | 7/15/10 | 4,670,679 | — | 27,435 | |||||||||||||||||
South Korean Won (KRW) | Buy | 27,441,000 | KRW | 9/29/10 | 22,391,252 | 99,619 | — | |||||||||||||||||
South Korean Won (KRW) | Sell | 3,240,000 | KRW | 8/2/10 | 2,648,379 | 44,216 | — | |||||||||||||||||
451,777 | 137,162 | |||||||||||||||||||||||
Banc of America EM | ||||||||||||||||||||||||
Indian Rupee (INR) | Buy | 84,400 | INR | 9/3/10 | 1,803,197 | 18,842 | — | |||||||||||||||||
Bank Paribas Asia—FGN: | ||||||||||||||||||||||||
Euro (EUR) | Sell | 1,850 | EUR | 11/10/10 | 2,263,997 | 83,986 | — | |||||||||||||||||
South African Rand (ZAR) | Buy | 35,700 | ZAR | 7/15/10 | 4,638,928 | 43,446 | — | |||||||||||||||||
127,432 | — | |||||||||||||||||||||||
Barclay’s Capital: | ||||||||||||||||||||||||
Euro (EUR) | Buy | 10,450 | EUR | 7/12/10-11/10/10 | 12,781,122 | 10,295 | 121,571 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 1,404,000 | JPY | 7/28/10-9/21/10 | 15,899,033 | 158,002 | — | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 3,520 | TRY | 7/12/10 | 2,218,636 | — | 62,191 | |||||||||||||||||
168,297 | 183,762 | |||||||||||||||||||||||
Barclay’s Capital EM | ||||||||||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 6,030,000 | IDR | 7/12/10 | 663,837 | — | 6,616 | |||||||||||||||||
Citigroup: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 2,441 | GBP | 7/2/10 | 3,647,570 | — | 29,788 | |||||||||||||||||
British Pound Sterling (GBP) | Sell | 2,016 | GBP | 7/2/10 | 3,012,146 | 24,599 | — |
32 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Foreign Currency Exchange Contracts: Continued
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Citigroup: Continued | ||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 31,700 | CNY | 7/19/10 | $ | 4,674,376 | $ | — | $ | 23,555 | ||||||||||||||
Colombian Peso (COP) | Buy | 18,643,000 | COP | 7/7/10 | 9,813,918 | 109,076 | — | |||||||||||||||||
Colombian Peso (COP) | Sell | 18,643,000 | COP | 9/1/10 | 9,794,063 | — | 109,387 | |||||||||||||||||
Euro (EUR) | Buy | 23,350 | EUR | 7/28/10-9/21/10 | 28,562,506 | — | 231,485 | |||||||||||||||||
Euro (EUR) | Sell | 1,840 | EUR | 11/10/10 | 2,251,759 | 14,697 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 324,480 | MXN | 7/20/10 | 25,037,638 | — | 575,497 | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 420 | NZD | 8/16/10 | 287,075 | — | 9,345 | |||||||||||||||||
New Zealand Dollar (NZD) | Sell | 280 | NZD | 8/16/10 | 191,383 | 7,820 | — | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 10 | PLZ | 8/16/10 | 2,938 | — | 1 | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 560 | SGD | 11/10/10 | 400,433 | — | 1,866 | |||||||||||||||||
Swedish Krona (SEK) | Buy | 4,800 | SEK | 8/16/10 | 615,583 | 5,104 | 3,976 | |||||||||||||||||
Swedish Krona (SEK) | Sell | 37,000 | SEK | 7/12/10-8/16/10 | 4,745,173 | 124,480 | — | |||||||||||||||||
285,776 | 984,900 | |||||||||||||||||||||||
Citigroup EM: | ||||||||||||||||||||||||
Colombian Peso (COP) | Sell | 18,643,000 | COP | 7/7/10 | 9,813,918 | — | 292,387 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 4,565 | MXN | 7/20/10 | 352,246 | 8,185 | — | |||||||||||||||||
Peruvian New Sol (PEN) | Sell | 9,740 | PEN | 7/14/10 | 3,446,040 | — | 21,804 | |||||||||||||||||
8,185 | 314,191 | |||||||||||||||||||||||
Credit Suisse: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 1,480 | GBP | 9/21/10 | 2,211,174 | — | 16,053 | |||||||||||||||||
Euro (EUR) | Buy | 1,920 | EUR | 7/1/10 | 2,347,877 | — | 7,963 | |||||||||||||||||
Euro (EUR) | Sell | 20,820 | EUR | 7/1/10-7/6/10 | 25,460,471 | 78,462 | 11,621 | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 1,649,000 | HUF | 7/12/10 | 7,054,321 | 81,729 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 424,000 | JPY | 7/12/10 | 4,796,497 | — | 155,959 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 35,270 | TRY | 7/12/10-9/1/10 | 22,192,595 | 142,410 | 53,989 | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 2,600 | NOK | 8/16/10 | 398,541 | — | 10,732 | |||||||||||||||||
Norwegian Krone (NOK) | Sell | 1,200 | NOK | 8/16/10 | 183,942 | 2,654 | — | |||||||||||||||||
Russian Ruble (RUR) | Buy | 140,660 | RUR | 10/7/10 | 4,466,286 | 7,498 | 47,593 | |||||||||||||||||
South African Rand (ZAR) | Buy | 41,660 | ZAR | 7/1/10-9/1/10 | 5,381,654 | — | 58,261 | |||||||||||||||||
Swedish Krona (SEK) | Buy | 35,600 | SEK | 7/12/10 | 4,565,628 | — | 38,739 | |||||||||||||||||
Swiss Franc (CHF) | Buy | 490 | CHF | 8/16/10 | 454,980 | 20,312 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 310 | CHF | 8/16/10 | 287,845 | — | 7,260 | |||||||||||||||||
333,065 | 408,170 | |||||||||||||||||||||||
Deutsche Bank Capital Corp.: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 1,464 | AUD | 7/28/10-8/16/10 | 1,226,628 | — | 42,327 | |||||||||||||||||
Australian Dollar (AUD) | Sell | 10 | AUD | 8/16/10 | 8,370 | 55 | — | |||||||||||||||||
British Pound Sterling (GBP) | Buy | 1,585 | GBP | 7/28/10 | 2,368,113 | — | 6,186 | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 2,920 | CAD | 7/28/10-8/16/10 | 2,742,404 | — | 67,184 | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 210 | CAD | 8/16/10 | 197,208 | 5,725 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 1,315,600 | JPY | 11/10/10 | 14,917,436 | — | 225,839 | |||||||||||||||||
Kazakhstan Tenge (KZT) | Buy | 186,200 | KZT | 2/28/11 | 1,253,427 | — | 17,562 | |||||||||||||||||
Russian Ruble (RUR) | Buy | 45,000 | RUR | 10/7/10 | 1,428,856 | — | 54,090 | |||||||||||||||||
Swiss Franc (CHF) | Buy | 651 | CHF | 7/28/10 | 604,242 | 13,980 | — | |||||||||||||||||
Thailand Baht (THB) | Sell | 115,270 | THB | 8/24/10 | 3,557,762 | — | 29,988 | |||||||||||||||||
19,760 | 443,176 | |||||||||||||||||||||||
Deutsche Bank EM: | ||||||||||||||||||||||||
Kazakhstan Tenge (KZT) | Sell | 400,000 | KZT | 2/28/11 | 2,692,648 | 955 | — | |||||||||||||||||
Russian Ruble (RUR) | Sell | 224,300 | RUR | 10/7/10 | 7,122,053 | — | 102,807 | |||||||||||||||||
South Korean Won (KRW) | Sell | 2,080,000 | KRW | 8/18/10 | 1,699,268 | 12,102 | — | |||||||||||||||||
Thailand Baht (THB) | Buy | 115,270 | THB | 8/24/10 | 3,557,762 | — | 1,053 | |||||||||||||||||
13,057 | 103,860 |
33 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Foreign Currency Exchange Contracts: Continued
Foreign Currency Exchange Contracts: Continued
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Goldman Sachs EM: | ||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 36,725 | BRR | 8/3/10 | $ | 20,197,375 | $ | — | $ | 244,014 | ||||||||||||||
Brazilian Real (BRR) | Sell | 12,290 | BRR | 8/3/10 | 6,759,040 | 81,659 | — | |||||||||||||||||
Egyptian Pound (EGP) | Sell | 8,596 | EGP | 7/1/10 | 1,509,195 | 1,990 | — | |||||||||||||||||
83,649 | 244,014 | |||||||||||||||||||||||
Goldman, Sachs & Co. | ||||||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 41,400 | MXN | 8/2/10 | 3,190,177 | — | 86,729 | |||||||||||||||||
HSBC EM | ||||||||||||||||||||||||
Israeli Shekel (ILS) | Sell | 20,200 | ILS | 8/31/10 | 5,194,787 | 36,544 | — | |||||||||||||||||
JP Morgan Chase: | ||||||||||||||||||||||||
Euro (EUR) | Sell | 39,025 | EUR | 7/12/10-11/10/10 | 47,728,229 | 1,773,152 | 134,425 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 1,315,600 | JPY | 11/10/10 | 14,917,436 | 551,069 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 738,000 | JPY | 8/2/10 | 8,351,480 | — | 234,721 | |||||||||||||||||
Russian Ruble (RUR) | Buy | 210,970 | RUR | 11/8/10 | 6,677,805 | 39,353 | — | |||||||||||||||||
2,363,574 | 369,146 | |||||||||||||||||||||||
JP Morgan EM: | ||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 51,890 | CNY | 6/7/11-6/20/11 | 7,756,442 | 90,764 | — | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 75,745,552 | IDR | 7/7/10-7/26/10 | 8,319,946 | 180,282 | — | |||||||||||||||||
Peruvian New Sol (PEN) | Buy | 2,390 | PEN | 7/14/10 | 845,589 | 4,336 | — | |||||||||||||||||
South Korean Won (KRW) | Sell | 31,045,000 | KRW | 7/19/10-9/29/10 | 25,343,136 | 403,359 | — | |||||||||||||||||
678,741 | — | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | ||||||||||||||||||||||||
Kazakhstan Tenge (KZT) | Buy | 186,000 | KZT | 2/28/11 | 1,252,081 | — | 18,845 | |||||||||||||||||
Nomura Securities: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 260 | GBP | 8/16/10 | 388,456 | 1,591 | 2,735 | |||||||||||||||||
Euro (EUR) | Buy | 160 | EUR | 8/16/10 | 195,704 | — | 2,541 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 2,000 | JPY | 8/16/10 | 22,638 | 804 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 35,000 | JPY | 8/16/10 | 396,167 | — | 12,180 | |||||||||||||||||
2,395 | 17,456 | |||||||||||||||||||||||
RBS Greenwich Capital: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 5,450 | AUD | 7/12/10 | 4,580,832 | — | 15,316 | |||||||||||||||||
Euro (EUR) | Buy | 1,920 | EUR | 7/2/10 | 2,347,877 | — | 9,883 | |||||||||||||||||
Euro (EUR) | Sell | 1,920 | EUR | 7/2/10 | 2,347,877 | 6,235 | — | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 171,000 | HUF | 7/12/10 | 731,528 | 18,703 | — | |||||||||||||||||
Polish Zloty (PLZ) | Buy | 62,630 | PLZ | 9/1/10 | 18,382,547 | 135,839 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 5,480 | CHF | 7/12/10-11/10/10 | 5,085,595 | — | 308,266 | |||||||||||||||||
160,777 | 333,465 | |||||||||||||||||||||||
Standard NY EM: | ||||||||||||||||||||||||
South African Rand (ZAR) | Buy | 16,500 | ZAR | 7/1/10 | 2,149,837 | 30,839 | — | |||||||||||||||||
South African Rand (ZAR) | Sell | 25,940 | ZAR | 7/1/10 | 3,379,805 | 34,852 | 2,750 | |||||||||||||||||
65,691 | 2,750 | |||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 4,817,562 | $ | 3,654,242 | ||||||||||||||||||||
34 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Futures Contracts as of June 30, 2010 are as follows:
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
DAX Index | Sell | 21 | 9/17/10 | $ | 3,827,269 | $ | 4,490 | |||||||||||||
Euro-Bundesobligation | Buy | 94 | 9/8/10 | 14,873,141 | 139,668 | |||||||||||||||
Japan (Government of) Bonds, 10 yr. | Buy | 5 | 9/9/10 | 8,011,084 | 59,649 | |||||||||||||||
Japan (Government of) Bonds, 10 yr. | Sell | 37 | 9/8/10 | 5,926,528 | (24,396 | ) | ||||||||||||||
NASDAQ 100 E-Mini Index | Sell | 216 | 9/17/10 | 7,508,160 | 121,296 | |||||||||||||||
New Financial Times Stock Exchange 100 Index | Sell | 103 | 9/17/10 | 7,510,705 | 465,789 | |||||||||||||||
NIKKEI 225 Index | Sell | 15 | 9/9/10 | 793,559 | 8,593 | |||||||||||||||
NIKKEI 225 Index | Sell | 73 | 9/9/10 | 7,728,100 | 80,425 | |||||||||||||||
Standard & Poor’s 500 E-Mini Index | Sell | 601 | 9/17/10 | 30,849,330 | 1,788,696 | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 862 | 9/21/10 | 109,905,000 | 3,370,224 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Buy | 422 | 9/30/10 | 92,345,469 | 198,785 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 157 | 9/30/10 | 34,356,016 | (71,593 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 30 | 9/30/10 | 3,550,547 | (49,026 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 3,715 | 9/21/10 | 455,261,641 | 7,434,050 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 310 | 9/21/10 | 37,989,531 | (628,169 | ) | ||||||||||||||
United Kingdom Long Gilt | Buy | 7 | 9/28/10 | 1,266,024 | 25,829 | |||||||||||||||
$ | 12,924,310 | |||||||||||||||||||
Written Options as of June 30, 2010 are as follows:
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Australian Dollar (AUD) | Put | 9,830,000 | $ | 0.73 | 8/23/10 | $ | 108,450 | $ | (30,462 | ) | $ | 77,988 | ||||||||||||||||
Euro (EUR) | Call | 1,920,000 | 1.23 | 7/1/10 | 16,656 | (5,437 | ) | 11,219 | ||||||||||||||||||||
Euro (EUR) | Call | 1,910,000 | 1.23 | 7/2/10 | 16,908 | (5,108 | ) | 11,800 | ||||||||||||||||||||
Euro (EUR) | Call | 1,890,000 | 1.22 | 7/6/10 | 16,572 | (23,878 | ) | (7,306 | ) | |||||||||||||||||||
Euro (EUR) | Put | 1,920,000 | 1.23 | 7/1/10 | 16,538 | (9,626 | ) | 6,912 | ||||||||||||||||||||
Euro (EUR) | Put | 1,910,000 | 1.23 | 7/2/10 | 16,908 | (18,060 | ) | (1,152 | ) | |||||||||||||||||||
Euro (EUR) | Put | 1,890,000 | 1.22 | 7/6/10 | 16,572 | (7,952 | ) | 8,620 | ||||||||||||||||||||
Japanese Yen (JPY) | Call | 355,000,000 | 15.25 | 8/23/10 | 93,878 | (46,209 | ) | 47,669 | ||||||||||||||||||||
Japanese Yen (JPY) | Call | 355,000,000 | 16.00 | 8/23/10 | 79,481 | (39,467 | ) | 40,014 | ||||||||||||||||||||
South Korean Won (KRW) | Call | 164,000,000 | 16.15 | 11/29/10 | 36,066 | (45,853 | ) | (9,787 | ) | |||||||||||||||||||
South Korean Won (KRW) | Call | 164,000,000 | 16.32 | 11/29/10 | 43,189 | (48,321 | ) | (5,132 | ) | |||||||||||||||||||
South Korean Won (KRW) | Call | 164,000,000 | 16.00 | 11/29/10 | 36,066 | (48,264 | ) | (12,198 | ) | |||||||||||||||||||
South Korean Won (KRW) | Call | 154,000,000 | 17.09 | 11/29/10 | 46,736 | (31,598 | ) | 15,138 | ||||||||||||||||||||
South Korean Won (KRW) | Call | 154,000,000 | 17.45 | 11/29/10 | 46,567 | (31,840 | ) | 14,727 | ||||||||||||||||||||
South Korean Won (KRW) | Call | 565,000,000 | 15.55 | 8/24/10 | 127,820 | (70,711 | ) | 57,109 | ||||||||||||||||||||
$ | 718,407 | $ | (462,786 | ) | $ | 255,621 | ||||||||||||||||||||||
Credit Default Swap Contracts as of June 30, 2010 are as follows:
Buy/Sell | Notional | Pay/ | Upfront | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Receive | Termination | Payment | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Fixed Rate | Date | Received/(Paid) | Value | (Depreciation) | |||||||||||||||||||||
Amgen, Inc. | ||||||||||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Buy | $ | 4,630 | 1.00 | % | 6/20/15 | $ | 106,532 | $ | (95,537 | ) | $ | 10,995 | |||||||||||||||
Total | 4,630 | 106,532 | (95,537 | ) | 10,995 | |||||||||||||||||||||||
Baxter International, Inc. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 4,630 | 1.00 | 6/20/15 | 197,277 | (115,709 | ) | 81,568 | ||||||||||||||||||||
Total | 4,630 | 197,277 | (115,709 | ) | 81,568 | |||||||||||||||||||||||
Bolivarian Republic of Venezuela | ||||||||||||||||||||||||||||
Credit Suisse International | Buy | 850 | 5.00 | 9/20/15 | (222,771 | ) | 220,805 | (1,966 | ) | |||||||||||||||||||
Total | 850 | (222,771 | ) | 220,805 | (1,966 | ) |
35 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Credit Default Swap Contracts: Continued
Buy/Sell | Notional | Pay/ | Upfront | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Receive | Termination | Payment | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Fixed Rate | Date | Received/(Paid) | Value | (Depreciation) | |||||||||||||||||||||
CDX North America High Yield Index, Series 13: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 4,579 | 5.00 | % | 12/20/14 | $ | 1,517,897 | $ | (81,915 | ) | $ | 1,435,982 | |||||||||||||||
Goldman Sachs International | Sell | 9,593 | 5.00 | 12/20/14 | 831,725 | (171,623 | ) | 660,102 | ||||||||||||||||||||
Goldman Sachs International | Sell | 4,113 | 5.00 | 12/20/14 | 1,507,800 | (73,591 | ) | 1,434,209 | ||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 4,950 | 5.00 | 12/20/14 | 259,875 | (88,557 | ) | 171,318 | ||||||||||||||||||||
Total | 23,235 | 4,117,297 | (415,686 | ) | 3,701,611 | |||||||||||||||||||||||
Development Bank of Kazakhstan JSC | ||||||||||||||||||||||||||||
Credit Suisse International | Sell | 4,440 | 3.75 | 2/20/13 | — | 36,115 | 36,115 | |||||||||||||||||||||
Total | 4,440 | — | 36,115 | 36,115 | ||||||||||||||||||||||||
Government of Hungary | ||||||||||||||||||||||||||||
Credit Suisse International | Sell | 4,600 | 2.70 | 9/20/10 | — | 27,968 | 27,968 | |||||||||||||||||||||
Total | 4,600 | — | 27,968 | 27,968 | ||||||||||||||||||||||||
Islamic Republic of Pakistan | ||||||||||||||||||||||||||||
Citibank NA, New York | Sell | 1,570 | 5.10 | 3/20/13 | — | (83,326 | ) | (83,326 | ) | |||||||||||||||||||
Total | 1,570 | — | (83,326 | ) | (83,326 | ) | ||||||||||||||||||||||
Istanbul Bond Co. SA for Finansbank AS | ||||||||||||||||||||||||||||
Morgan Stanley & Co. International Ltd. | Sell | 3,100 | 1.30 | 3/24/13 | — | (211,504 | ) | (211,504 | ) | |||||||||||||||||||
Total | 3,100 | — | (211,504 | ) | (211,504 | ) | ||||||||||||||||||||||
Pfizer, Inc. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 4,630 | 1.00 | 6/20/15 | 93,114 | (88,847 | ) | 4,267 | ||||||||||||||||||||
Total | 4,630 | 93,114 | (88,847 | ) | 4,267 | |||||||||||||||||||||||
Quest Diagnostics, Inc. | ||||||||||||||||||||||||||||
UBS AG | Buy | 4,630 | 1.00 | 6/20/15 | 70,751 | 129,168 | 199,919 | |||||||||||||||||||||
Total | 4,630 | 70,751 | 129,168 | 199,919 | ||||||||||||||||||||||||
Republic of Peru | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 1,900 | 1.71 | 12/20/16 | — | (18,274 | ) | (18,274 | ) | |||||||||||||||||||
Total | 1,900 | — | (18,274 | ) | (18,274 | ) | ||||||||||||||||||||||
Republic of the Philippines: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 3,270 | 1.76 | 12/20/14 | — | (11,044 | ) | (11,044 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, London Branch | Buy | 4,900 | 1.74 | 12/20/14 | — | (12,479 | ) | (12,479 | ) | |||||||||||||||||||
Total | 8,170 | — | (23,523 | ) | (23,523 | ) | ||||||||||||||||||||||
SLM Corp. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 4,630 | 5.00 | 6/20/15 | (308,910 | ) | (75,178 | ) | (384,088 | ) | ||||||||||||||||||
Total | 4,630 | (308,910 | ) | (75,178 | ) | (384,088 | ) | |||||||||||||||||||||
Time Warner, Inc. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 4,630 | 1.00 | 6/20/15 | 62,866 | (47,943 | ) | 14,923 | ||||||||||||||||||||
Total | 4,630 | 62,866 | (47,943 | ) | 14,923 | |||||||||||||||||||||||
Universal Health Services, Inc.: | ||||||||||||||||||||||||||||
Goldman Sachs International | Sell | 4,630 | 1.00 | 6/20/15 | 123,138 | (125,065 | ) | (1,927 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 4,630 | 1.00 | 6/20/15 | 326,012 | (393,994 | ) | (67,982 | ) | |||||||||||||||||||
Total | 9,260 | 449,150 | (519,059 | ) | (69,909 | ) | ||||||||||||||||||||||
Wal-Mart Stores, Inc. | ||||||||||||||||||||||||||||
Citibank NA, New York | Buy | 4,630 | 1.00 | 6/20/15 | 207,469 | (111,213 | ) | 96,256 | ||||||||||||||||||||
Total | 4,630 | 207,469 | (111,213 | ) | 96,256 |
36 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Credit Default Swap Contracts: Continued
Buy/Sell | Notional | Pay/ | Upfront | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Receive | Termination | Payment | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Fixed Rate | Date | Received/(Paid) | Value | (Depreciation) | |||||||||||||||||||||
Whirlpool Corp. | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 4,630 | 1.00 | % | 6/20/15 | $ | 66,656 | $ | (41,587 | ) | $ | 25,069 | |||||||||||||||
Total | 4,630 | 66,656 | (41,587 | ) | 25,069 | |||||||||||||||||||||||
Grand Total Buys | 452,372 | (103,130 | ) | 349,242 | ||||||||||||||||||||||||
Grand Total Sells | 4,387,059 | (1,330,200 | ) | 3,056,859 | ||||||||||||||||||||||||
Total Credit Default Swaps | $ | 4,839,431 | $ | (1,433,330 | ) | $ | 3,406,101 | |||||||||||||||||||||
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** | |||||||||
Non-Investment Grade Corporate Debt Indexes | $ | 23,235,300 | $ | — | B+ | |||||||
Investment Grade Single Name Corporate Debt | 13,890,000 | — | BBB to BBB- | |||||||||
Non-Investment Grade Single Name Corporate Debt | 9,260,000 | — | BB+ | |||||||||
Investment Grade Sovereign Debt | 12,140,000 | — | BBB- | |||||||||
Non-Investment Grade Sovereign Debt | 1,570,000 | — | B- | |||||||||
Total | $ | 60,095,300 | $ | — | ||||||||
* | 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, 2010 are as follows:
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
BZDI: | ||||||||||||||||||||
Banco Santander SA, Inc. | 9,870 | BRR | BZDI | 12.320 | % | 1/2/17 | $ | 62,282 | ||||||||||||
Credit Suisse International | 12,920 | BRR | BZDI | 11.480 | 1/2/12 | (3,248 | ) | |||||||||||||
Goldman Sachs Group, Inc. (The) | 10,100 | BRR | BZDI | 12.800 | 1/2/17 | 250,217 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 8,790 | BRR | BZDI | 12.920 | 1/2/14 | 284,489 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 4,390 | BRR | BZDI | 12.870 | 1/2/14 | 137,965 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 35,840 | BRR | BZDI | 11.460 | 1/2/12 | (8,981 | ) | |||||||||||||
Goldman Sachs Group, Inc. (The) | 6,910 | BRR | BZDI | 12.260 | 1/2/15 | 113,477 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 3,160 | BRR | BZDI | 12.290 | 1/2/15 | 51,894 | ||||||||||||||
JPMorgan Chase Bank NA | 15,800 | BRR | BZDI | 13.900 | 1/2/17 | 670,060 | ||||||||||||||
Morgan Stanley | 8,510 | BRR | BZDI | 12.300 | 1/2/17 | 54,572 | ||||||||||||||
Morgan Stanley | 31,100 | BRR | BZDI | 11.490 | 1/2/12 | (7,831 | ) | |||||||||||||
Total | 147,390 | BRR | 1,604,896 | |||||||||||||||||
Six-Month AUD BBR BBSW | ||||||||||||||||||||
Six-Month | ||||||||||||||||||||
Westpac Banking Corp. | 14,280 | AUD | 6.215 | % | AUD BBR BBSW | 11/4/19 | (589,481 | ) | ||||||||||||
Six-Month HUF BUBOR Reuters: | ||||||||||||||||||||
Six-Month HUF | ||||||||||||||||||||
Barclays Bank plc | 733,000 | HUF | BUBOR Reuters | 7.820 | 9/19/13 | 310,370 | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
Barclays Bank plc | 894,000 | HUF | BUBOR Reuters | 5.720 | 6/11/12 | 27,299 | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
Citibank NA | 456,000 | HUF | BUBOR Reuters | 5.800 | 6/8/12 | 14,880 | ||||||||||||||
Six-Month HUF | ||||||||||||||||||||
JPMorgan Chase Bank NA | 753,000 | HUF | BUBOR Reuters | 7.880 | 8/12/13 | 272,664 |
37 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
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 | |||||||||||||||
Six-Month HUF BUBOR Reuters: Continued | ||||||||||||||||||||
JPMorgan Chase Bank NA | 879,000 | HUF | Six-Month HUF BUBOR Reuters | 5.720 | % | 6/10/12 | $ | 26,841 | ||||||||||||
JPMorgan Chase Bank NA | 666,000 | HUF | Six-Month HUF BUBOR Reuters | 7.890 | 9/12/13 | 291,456 | ||||||||||||||
Total | 4,381,000 | HUF | 943,510 | |||||||||||||||||
Six-Month JPY BBA LIBOR: | ||||||||||||||||||||
Citibank NA | 553,000 | JPY | 1.391 | % | Six-Month JPY BBA LIBOR | 10/6/19 | (30,113 | ) | ||||||||||||
JPMorgan Chase Bank NA | 353,100 | JPY | 1.484 | Six-Month JPY BBA LIBOR | 8/7/19 | (63,537 | ) | |||||||||||||
JPMorgan Chase Bank NA | 168,000 | JPY | 1.563 | Six-Month JPY BBA LIBOR | 11/9/19 | (35,957 | ) | |||||||||||||
Total | 1,074,100 | JPY | (129,607 | ) | ||||||||||||||||
Three-Month CAD BA CDOR | ||||||||||||||||||||
JPMorgan Chase Bank NA | 12,520 | CAD | Three-Month CAD BA CDOR | 3.820 | 1/4/20 | 504,164 | ||||||||||||||
Three-Month USD BBA LIBOR | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 11,700 | Three-Month USD BBA LIBOR | 3.600 | 11/3/19 | 707,864 | |||||||||||||||
Total Interest Rate Swaps | $ | 3,041,346 | ||||||||||||||||||
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 | |
HUF | Hungarian Forint | |
JPY | Japanese Yen |
Abbreviations/Definitions are as follows:
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
BUBOR | Budapest Interbank Offered Rate | |
BZDI | Brazil Interbank Deposit Rate |
Total Return Swap Contracts as of June 30, 2010 are as follows:
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
AMEX Health Care Select IV Index | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month BBA LIBOR plus | |||||||||||||||||||
5 basis points and if negative, | If positive, the absolute | |||||||||||||||||||
the absolute value of the | value of the Total Return | |||||||||||||||||||
Total Return of the AMEX | of the AMEX | |||||||||||||||||||
$ | 1,936 | Health Care Select IV Index | Health Care Select IV Index | 6/13/11 | $ | (63,732 | ) | |||||||||||||
AMEX INDU Select Index | ||||||||||||||||||||
UBS AG | One-Month BBA LIBOR | |||||||||||||||||||
plus 17 basis points and | ||||||||||||||||||||
if negative, the absolute | If positive, the Total | |||||||||||||||||||
value of the Total Return of | Return of the AMEX | |||||||||||||||||||
1,928 | the AMEX INDU Select Index | INDU Select Index | 3/4/11 | (93,113 | ) |
38 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
Total Return Swap Contracts: Continued
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Consumer Staples Select Sector Index | ||||||||||||||||||||
Morgan Stanley | One-Month BBA LIBOR plus | |||||||||||||||||||
15 basis points and if negative, | ||||||||||||||||||||
the absolute value of the Total | If positive, the Total Return | |||||||||||||||||||
Return of the Consumer Staples | of the Consumer Staples | |||||||||||||||||||
$ | 1,971 | Select Sector Index | Select Sector Index | 3/9/11 | $ | (42,963 | ) | |||||||||||||
Custom basket of securities: | ||||||||||||||||||||
Citibank NA | One-Month CHF BBA LIBOR | |||||||||||||||||||
plus 30 basis points and if | ||||||||||||||||||||
negative, the absolute value | If positive, the Total Return | |||||||||||||||||||
of the Total Return of | of a custom basket | |||||||||||||||||||
1,931 CHF | a custom basket of securities | of securities | 1/12/11 | (22,872 | ) | |||||||||||||||
Citibank NA | One-Month EURIBOR | |||||||||||||||||||
plus 30 basis points | ||||||||||||||||||||
and if negative, the absolute | If positive, the Total Return | |||||||||||||||||||
value of the Total Return of | of a custom basket | |||||||||||||||||||
3,769 EUR | a custom basket of securities | of securities | 1/12/11 | (46,408 | ) | |||||||||||||||
Citibank NA | One-Month GBP BBA LIBOR | |||||||||||||||||||
plus 30 basis points and | ||||||||||||||||||||
if negative, the absolute value | If positive, the Total Return | |||||||||||||||||||
of the Total Return of | of a custom basket | |||||||||||||||||||
1,133 GBP | a custom basket of securities | of securities | 1/12/11 | 60,528 | ||||||||||||||||
Citibank NA | One-Month SEK STIBOR SIDE | |||||||||||||||||||
plus 30 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the Total Return | |||||||||||||||||||
the Total Return of | of a custom basket | |||||||||||||||||||
5,810 SEK | a custom basket of securities | of securities | 1/12/11 | 25,959 | ||||||||||||||||
Citibank NA, New York | One-Month JPY BBA LIBOR | |||||||||||||||||||
plus 53 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the Total Return | |||||||||||||||||||
the Total Return of | of a custom basket | |||||||||||||||||||
1,108,980 JPY | a custom basket of securities | of securities | 4/14/11 | (538,980 | ) | |||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month BBA LIBOR | |||||||||||||||||||
plus 18 basis points and if | ||||||||||||||||||||
negative, the absolute value | If positive, the absolute | |||||||||||||||||||
of the Total Return of a custom | value of the Total Return of | |||||||||||||||||||
23,269 | basket of securities | a custom basket of securities | 6/8/11 | (1,672,383 | ) | |||||||||||||||
Morgan Stanley | One-Month GBP BBA LIBOR | |||||||||||||||||||
plus 50 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the Total Return | |||||||||||||||||||
the Total Return of | of a custom basket | |||||||||||||||||||
4,791 GBP | a custom basket of securities | of securities | 1/14/11 | (224,702 | ) | |||||||||||||||
Reference Entity Total | (2,418,858 | ) | ||||||||||||||||||
MSCI Daily Gross TR Europe Euro Index: | ||||||||||||||||||||
Citibank NA | One-Month EURIBOR | |||||||||||||||||||
minus 60 basis points and | ||||||||||||||||||||
if negative, the absolute | ||||||||||||||||||||
If positive, the Total | value of the Total Return of | |||||||||||||||||||
Return of the MSCI Daily | the MSCI Daily Gross | |||||||||||||||||||
2,561 EUR | Gross Europe Euro Index | Europe Euro Index | 1/12/11 | (8,826 | ) |
39 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
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 Gross TR Europe Euro Index: Continued | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month Europe EURIBOR | |||||||||||||||||||
minus 3 basis points and if negative, | ||||||||||||||||||||
If positive, the Total Return | the absolute value of the Total | |||||||||||||||||||
of the MSCI Daily Gross | Return of the MSCI Daily Gross | |||||||||||||||||||
358 | EUR | Europe Euro Index | Europe Euro Index | 1/17/11 | $ | (3,107 | ) | |||||||||||||
Morgan Stanley | One-Month EURIBOR minus | |||||||||||||||||||
30 basis points and if negative, the | ||||||||||||||||||||
If positive, the Total Return | absolute value of the Total | |||||||||||||||||||
of the MSCI Daily Gross | Return of the MSCI Daily | |||||||||||||||||||
3,840 | EUR | Europe Euro Index | Gross Europe Euro Index | 1/12/11 | 41,035 | |||||||||||||||
UBS AG | One-Month EURIBOR minus | |||||||||||||||||||
70 basis points and if negative, | ||||||||||||||||||||
If positive, the Total Return | the absolute value of the Total | |||||||||||||||||||
of the MSCI Daily Gross | Return of the MSCI Daily Gross | |||||||||||||||||||
1,280 | EUR | Europe Euro Index | Europe Euro Index | 1/12/11 | (4,486 | ) | ||||||||||||||
Reference Entity Total | 24,616 | |||||||||||||||||||
MSCI Daily TR Gross EAFE USD Index: | ||||||||||||||||||||
Citibank NA | One-Month LIBOR plus 15 basis | |||||||||||||||||||
points and if negative the | ||||||||||||||||||||
If positive, the Total Return | absolute value of the Total | |||||||||||||||||||
of the MSCI Daily Gross | Return of the MSCI Daily Gross | |||||||||||||||||||
3,664 | EAFE USD Index | EAFE USD Index | 10/7/10 | 42,216 | ||||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month BBA LIBOR plus | |||||||||||||||||||
10 basis points and if negative, | ||||||||||||||||||||
If positive, the Total Return | the absolute value of the Total | |||||||||||||||||||
of the MSCI Daily Gross | Return of the MSCI Daily Gross | |||||||||||||||||||
3,523 | EAFE USD Index | EAFE USD Index | 5/11/11 | (94,544 | ) | |||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month BBA LIBOR plus | |||||||||||||||||||
4 basis points and if negative, | ||||||||||||||||||||
If positive, the Total Return | the absolute value of the Total | |||||||||||||||||||
of the MSCI Daily Gross | Return of the MSCI Daily Gross | |||||||||||||||||||
6,287 | EAFE USD Index | EAFE USD Index | 2/7/11 | (18,364 | ) | |||||||||||||||
UBS AG | One-Month LIBOR | |||||||||||||||||||
minus 10 basis points and | ||||||||||||||||||||
If positive, the Total Return | if negative, the absolute value | |||||||||||||||||||
of the MSCI Daily Gross | of the Total Return of the MSCI | |||||||||||||||||||
6,463 | EAFE USD Index | Daily Gross EAFE USD Index | 10/11/10 | 62,436 | ||||||||||||||||
Reference Entity Total | (8,256 | ) | ||||||||||||||||||
MSCI Daily TR Italy USD Index: | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month BBA LIBOR | |||||||||||||||||||
minus 25 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the Total Return | |||||||||||||||||||
the Total Return of the MSCI | of the MSCI Daily | |||||||||||||||||||
2,245 | Daily Italy USD Index | Italy USD Index | 3/4/11 | 1,406 | ||||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month BBA LIBOR | |||||||||||||||||||
minus 25 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the Total Return | |||||||||||||||||||
the Total Return of the MSCI | of the MSCI Daily | |||||||||||||||||||
475 | Daily Italy USD Index | Italy USD Index | 3/4/11 | 325 | ||||||||||||||||
Reference Entity Total | 1,731 |
40 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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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 Net Belgium Index: | ||||||||||||||||||||
Citibank NA | One-Month BBA LIBOR minus | |||||||||||||||||||
5 basis points and if negative, | ||||||||||||||||||||
the absolute value of the | If positive, the Total Return | |||||||||||||||||||
Total Return of the MSCI | of the MSCI Daily | |||||||||||||||||||
$ | 2,212 | Daily Net Belgium Index | Net Belgium Index | 4/6/11 | $ | (40,774 | ) | |||||||||||||
Citibank NA | One-Month BBA LIBOR minus | |||||||||||||||||||
5 basis points and if negative, | ||||||||||||||||||||
the absolute value of the | If positive, the Total Return | |||||||||||||||||||
Total Return of the MSCI | of the MSCI Daily | |||||||||||||||||||
419 | Daily Net Belgium Index | Net Belgium Index | 4/6/11 | (8,621 | ) | |||||||||||||||
Reference Entity Total | (49,395 | ) | ||||||||||||||||||
MSCI Daily TR Net Emerging Markets Korea Index | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | One-Month BBA LIBOR plus | |||||||||||||||||||
90 basis points and if negative, | ||||||||||||||||||||
the absolute value of the Total | If positive, the Total Return | |||||||||||||||||||
Return of the MSCI Daily Net | of the MSCI Daily Net | |||||||||||||||||||
2,338 | Emerging Markets Korea Index | Emerging Markets Korea Index | 3/9/11 | 65,787 | ||||||||||||||||
MSCI Daily TR Net France USD Index | ||||||||||||||||||||
Morgan Stanley | One-Month BBA LIBOR minus | |||||||||||||||||||
35 basis points and if negative, | ||||||||||||||||||||
the absolute value of the Total | If positive, the Total Return | |||||||||||||||||||
Return of the MSCI Daily | of the MSCI Daily TR | |||||||||||||||||||
2,684 | Net France USD Index | Net France USD Index | 3/9/11 | (30,121 | ) | |||||||||||||||
MSCI TR Hong Kong Net USD Index | ||||||||||||||||||||
UBS AG | One-Month BBA LIBOR plus | |||||||||||||||||||
15 basis points and if negative, | ||||||||||||||||||||
the absolute value of the | If positive, the Total Return | |||||||||||||||||||
Total Return of the MSCI | of the MSCI Hong Kong | |||||||||||||||||||
2,404 | Hong Kong Net USD Index | Net USD Index | 5/10/11 | 103,687 | ||||||||||||||||
Ordinary shares of Norsk Hydro ASA | ||||||||||||||||||||
Citibank NA | One-Month NOK NIBOR NIBR | |||||||||||||||||||
plus 30 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the absolute value of | |||||||||||||||||||
the Total Return of the ordinary | the Total Return of the ordinary | |||||||||||||||||||
1,186 | NOK | shares of Norsk Hydro ASA | shares of Norsk Hydro ASA | 4/11/11 | (39,301 | ) | ||||||||||||||
Ordinary shares of Novo Nordisk AS | ||||||||||||||||||||
Citibank NA | One-Month DKK BBA LIBOR | |||||||||||||||||||
plus 30 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the absolute value | |||||||||||||||||||
the Total Return of the ordinary | of the ordinary shares | |||||||||||||||||||
1,140 | DKK | shares of Novo Nordisk AS | of Novo Nordisk AS | 4/11/11 | 8,303 | |||||||||||||||
Ordinary shares of Vestas Wind Systems AS | ||||||||||||||||||||
Citibank NA | One-Month DKK BBA LIBOR | |||||||||||||||||||
plus 30 basis points and if | ||||||||||||||||||||
negative, the absolute value | ||||||||||||||||||||
of the Total Return of the | If positive, the absolute | |||||||||||||||||||
ordinary shares of | value of the ordinary shares | |||||||||||||||||||
1,101 | DKK | Vestas Wind Systems AS | of Vestas Wind Systems AS | 4/11/11 | (16,248 | ) |
41 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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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 | |||||||||
S&P Midcap 400 Index | ||||||||||||||
Citibank NA | $ | 5,742 | One-Month BBA LIBOR plus 6 basis points and if negative, the absolute value of the Total Return of the S&P Midcap 400 Index | If positive, the absolute value of the Total Return of the S&P Midcap 400 Index | 6/8/11 | $ | (186,752 | ) | ||||||
Total of Total Return Swaps | $ | (2,744,615 | ) | |||||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound Sterling | |
JPY | Japanese Yen | |
NOK | Norwegian Krone | |
SEK | Swedish Krona |
Abbreviations are as follows:
AMEX | American Stock Exchange | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
EAFE | Europe, Australasia, Far East | |
EURIBOR | Euro Interbank Offered Rate | |
LIBOR | London Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
NIBOR | Norwegian Interbank Forward Offer Rate | |
S&P | Standard & Poor’s | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TR | Total Return |
Currency Swaps as of June 30, 2010 are as follows:
Reference Entity/ | Notional | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | Amount (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Each of JSC “Rushydro” (Open Joint Stock Company “Federal Hydrogenearation Company”) and OJSC Saratovskaya HPP and any Successor(s) to these Reference Entities | ||||||||||||||||||||
7.75% from debt | ||||||||||||||||||||
obligations of JSC | ||||||||||||||||||||
Morgan Stanley | Three-Month | Rushydro and OJSC | ||||||||||||||||||
Capital Services, Inc. | 271,430 | RUR | USD BBA LIBOR | Saratovskaya HPP | 12/26/13 | $ | (1,904,106 | ) |
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currency:
RUR | Russian Ruble |
Abbreviation/Definition is as follows:
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate |
42 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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Volatility Swaps as of June 30, 2010 are as follows:
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
CHF/JPY Exchange Rate | ||||||||||||||||||||
Credit Suisse International | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
CHF/JPY exchange | ||||||||||||||||||||
rate during the | ||||||||||||||||||||
15 | CHF | Observation Period | 18.00 | % | 7/12/10 | $ | 79,833 | |||||||||||||
EUR/USD Exchange Rate: | ||||||||||||||||||||
Barclays Bank plc | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/USD spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
13 | the Observation Period | 15.60 | 7/7/10 | 52,527 | ||||||||||||||||
Citibank NA | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/USD exchange | ||||||||||||||||||||
rate during the | ||||||||||||||||||||
13 | Observation Period | 15.65 | 7/6/10 | 59,658 | ||||||||||||||||
Deutsche Bank AG | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/USD spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
13 | the Observation Period | 15.55 | 7/7/10 | 52,812 | ||||||||||||||||
Deutsche Bank AG | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/USD spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
13 | the Observation Period | 12.40 | 7/30/10 | (18,609 | ) | |||||||||||||||
Deutsche Bank AG | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/USD spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
13 | the Observation Period | 13.05 | 7/29/10 | (7,097 | ) | |||||||||||||||
Deutsche Bank AG: | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/USD spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
13 | the Observation Period | 12.25 | 7/23/10 | (6,725 | ) | |||||||||||||||
Reference Entity Total | 132,566 | |||||||||||||||||||
GBP/CAD Exchange Rate: | ||||||||||||||||||||
Citibank NA | The Historic | |||||||||||||||||||
Volatility of the | ||||||||||||||||||||
mid GBP/CAD spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
the Observation | ||||||||||||||||||||
9 | GBP | 11.50 | % | Period | 7/26/10 | 1,204 | ||||||||||||||
Deutsche Bank AG | The Historic | |||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
GBP/CAD spot exchange | ||||||||||||||||||||
rate during the | ||||||||||||||||||||
9 | GBP | Observation Period | 10.90 | 7/22/10 | (58,087 | ) | ||||||||||||||
Reference Entity Total | (56,883 | ) |
43 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Volatility Swaps: Continued
Notional | ||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||
NZD/CAD Exchange Rate | ||||||||||||||||||
Credit Suisse International | 18 | NZD | 11.00 | % | The Historic Volatility of the mid NZD/CAD spot exchange rate during the Observation Period | 7/28/10 | $ | 7,489 | ||||||||||
USD/CHF Exchange Rate: | ||||||||||||||||||
Credit Suisse International | 13 | The Historic Volatility of the mid USD/CHF spot exchange rate during the Observation Period | 12.60 | % | 7/27/10 | 22,648 | ||||||||||||
Credit Suisse International | 13 | The Historic Volatility of the mid USD/CHF spot exchange rate during the Observation Period | 12.55 | 7/8/10 | 24,035 | |||||||||||||
Reference Entity Total | 46,683 | |||||||||||||||||
Total Volatility Swaps | $ | 209,688 | ||||||||||||||||
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
CHF | Swiss Franc | |
GBP | British Pound Sterling | |
NZD | New Zealand Dollar |
Abbreviations/Definitions are as follows:
CAD | Canadian Dollar | |
EUR | Euro | |
JPY | Japanese Yen |
The following table aggregates, as of period end, 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 Summary as of June 30, 2010 is as follows:
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Banco Santander SA, Inc. | Interest Rate | 9,870 | BRR | $ | 62,282 | |||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | 3,270 | (11,044 | ) | |||||||
Credit Default Sell Protection | 9,209 | (123,502 | ) | |||||||
Interest Rate | 1,627,000 | HUF | 337,669 | |||||||
Volatility | 13 | 52,527 | ||||||||
255,650 | ||||||||||
Citibank NA: | ||||||||||
Interest Rate | 456,000 | HUF | 14,880 | |||||||
Interest Rate | 553,000 | JPY | (30,113 | ) | ||||||
Total Return | 1,931 | CHF | (22,872 | ) | ||||||
Total Return | 2,241 | DKK | (7,945 | ) | ||||||
Total Return | 6,330 | EUR | (55,234 | ) | ||||||
Total Return | 1,133 | GBP | 60,528 |
44 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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Swap Summary: Continued
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Citibank NA: Continued | Total Return | 1,186 | NOK | $ | (39,301 | ) | ||||
Total Return | 5,810 | SEK | 25,959 | |||||||
Total Return | 12,037 | (193,931 | ) | |||||||
Volatility | 9 | GBP | 1,204 | |||||||
Volatility | 13 | 59,658 | ||||||||
(187,167 | ) | |||||||||
Citibank NA, New York: | ||||||||||
Credit Default Buy Protection | 4,630 | (111,213 | ) | |||||||
Credit Default Sell Protection | 1,570 | (83,326 | ) | |||||||
Total Return | 1,108,980 | JPY | (538,980 | ) | ||||||
(733,519 | ) | |||||||||
Credit Suisse International: | ||||||||||
Credit Default Buy Protection | 850 | 220,805 | ||||||||
Credit Default Sell Protection | 9,040 | 64,083 | ||||||||
Interest Rate | 12,920 | BRR | (3,248 | ) | ||||||
Volatility | 15 | CHF | 79,833 | |||||||
Volatility | 18 | NZD | 7,489 | |||||||
Volatility | 26 | 46,683 | ||||||||
415,645 | ||||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 11,160 | (222,830 | ) | |||||||
Credit Default Sell Protection | 9,260 | (123,121 | ) | |||||||
Volatility | 9 | GBP | (58,087 | ) | ||||||
Volatility | 52 | 20,381 | ||||||||
(383,657 | ) | |||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Interest Rate | 69,190 | BRR | 829,061 | |||||||
Interest Rate | 11,700 | 707,864 | ||||||||
Total Return | 358 | EUR | (3,107 | ) | ||||||
Total Return | 40,073 | (1,781,505 | ) | |||||||
(247,687 | ) | |||||||||
Goldman Sachs International | Credit Default Sell Protection | 22,966 | (764,273 | ) | ||||||
JPMorgan Chase Bank NA: | ||||||||||
Interest Rate | 15,800 | BRR | 670,060 | |||||||
Interest Rate | 12,520 | CAD | 504,164 | |||||||
Interest Rate | 2,298,000 | HUF | 590,961 | |||||||
Interest Rate | 521,100 | JPY | (99,494 | ) | ||||||
1,665,691 | ||||||||||
JPMorgan Chase Bank NA, London Branch | Credit Default Buy Protection | 4,900 | (12,479 | ) | ||||||
JPMorgan Chase Bank NA, NY Branch: | ||||||||||
Credit Default Buy Protection | 4,630 | (95,537 | ) | |||||||
Credit Default Sell Protection | 4,950 | (88,557 | ) | |||||||
(184,094 | ) | |||||||||
Morgan Stanley: | ||||||||||
Interest Rate | 39,610 | BRR | 46,741 | |||||||
Total Return | 3,840 | EUR | 41,035 | |||||||
Total Return | 4,791 | GBP | (224,702 | ) | ||||||
Total Return | 4,655 | (73,084 | ) | |||||||
(210,010 | ) |
45 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
Footnotes to Statement of Investments Continued
Swap Summary: Continued |
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Morgan Stanley & Co. International Ltd. | Credit Default Sell Protection | $ | 3,100 | $ | (211,504 | ) | ||||
Morgan Stanley Capital Services, Inc. | Currency | 271,430 | RUR | (1,904,106 | ) | |||||
UBS AG: | ||||||||||
Credit Default Buy Protection | 4,630 | 129,168 | ||||||||
Total Return | 1,280 | EUR | (4,486 | ) | ||||||
Total Return | 10,795 | 73,010 | ||||||||
197,692 | ||||||||||
Westpac Banking Corp. | Interest Rate | 14,280 | AUD | (589,481 | ) | |||||
Total | Swaps | $ | (2,831,017 | ) |
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 | |
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound Sterling | |
HUF | Hungarian Forint | |
JPY | Japanese Yen | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
RUR | Russian Ruble | |
SEK | Swedish Krona |
See accompanying Notes to Financial Statements.
46 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,962,445,878) | $ | 1,914,135,969 | ||
Affiliated companies (cost $404,512,720) | 402,442,333 | |||
2,316,578,302 | ||||
Cash—foreign currencies (cost $428,346) | 371,460 | |||
Unrealized appreciation on foreign currency exchange contracts | 4,817,562 | |||
Appreciated swaps, at value (upfront payments received $70,751) | 4,685,633 | |||
Depreciated swaps, at value (upfront payments paid $222,771) | 220,805 | |||
Receivables and other assets: | ||||
Investments sold (including $22,970,354 sold on a when-issued or delayed delivery basis) | 54,176,860 | |||
Interest, dividends and principal paydowns | 34,271,600 | |||
Closed foreign currency contracts | 6,742,283 | |||
Futures margins | 1,007,108 | |||
Shares of beneficial interest sold | 149,427 | |||
Other | 642,461 | |||
Total assets | 2,423,663,501 | |||
Liabilities | ||||
Appreciated options written, at value (premiums received $569,606) | 278,410 | |||
Depreciated options written, at value (premiums received $148,801) | 184,376 | |||
Unrealized depreciation on foreign currency exchange contracts | 3,654,242 | |||
Appreciated swaps, at value (upfront payments received $4,851,211) | 916,522 | |||
Depreciated swaps, at value (net upfront payments received $140,240) | 6,820,933 | |||
Unrealized depreciation on unfunded purchase agreements | 9,233 | |||
Payables and other liabilities: | ||||
Investments purchased (including $85,667,014 purchased on a when-issued or delayed delivery basis) | 100,824,574 | |||
Shares of beneficial interest redeemed | 21,074,148 | |||
Closed foreign currency contracts | 7,144,010 | |||
Distribution and service plan fees | 1,824,310 | |||
Shareholder communications | 275,300 | |||
Transfer and shareholder servicing agent fees | 201,924 | |||
Futures margins | 35,421 | |||
Trustees’ compensation | 27,465 | |||
Foreign capital gains tax | 18,330 | |||
Other | 190,750 | |||
Total liabilities | 143,479,948 | |||
Net Assets | $ | 2,280,183,553 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 440,835 | ||
Additional paid-in capital | 2,369,257,003 | |||
Accumulated net investment loss | (16,093,833 | ) | ||
Accumulated net realized loss on investments and foreign currency transactions | (38,892,797 | ) | ||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (34,527,655 | ) | ||
Net Assets | $ | 2,280,183,553 | ||
47 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
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 $699,405,053 and 136,952,760 shares of beneficial interest outstanding) | $ | 5.11 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,580,778,500 and 303,882,557 shares of beneficial interest outstanding) | $ | 5.20 |
See accompanying Notes to Financial Statements.
48 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010 | ||||
Allocation of Income and Expenses from Master Funds1 | ||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund: | ||||
Interest | $ | 626,627 | ||
Dividends | 1,359 | |||
Expenses2 | (44,768 | ) | ||
Net investment income from Oppenheimer Master Event-Linked Bond Fund, LLC | 583,218 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest | 18,524,068 | |||
Dividends | 19,746 | |||
Expenses3 | (693,653 | ) | ||
Net investment income from Oppenheimer Master Loan Fund, LLC | 17,850,161 | |||
Total allocation of net investment income from master funds | 18,433,379 | |||
Investment Income | ||||
Interest (net of foreign withholding taxes of $41,749) | 119,483,390 | |||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $23) | 1,408 | |||
Affiliated companies | 239,086 | |||
Fee income on when-issued securities | 1,369,100 | |||
Income from investment of securities lending cash collateral, net—affiliated companies | 6,461 | |||
Total investment income | 121,099,445 | |||
Expenses | ||||
Management fees | 11,111,722 | |||
Distribution and service plan fees—Service shares | 4,148,856 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 381,281 | |||
Service shares | 1,658,560 | |||
Shareholder communications: | ||||
Non-Service shares | 36,840 | |||
Service shares | 173,679 | |||
Custodian fees and expenses | 325,134 | |||
Trustees’ compensation | 46,276 | |||
Other | 104,108 | |||
Total expenses | 17,986,456 | |||
Less waivers and reimbursements of expenses | (755,321 | ) | ||
Net expenses | 17,231,135 | |||
Net Investment Income | 122,301,689 |
1. | The Fund invests in certain 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 $609. | |
3. | Net of expense waivers and/or reimbursements of $18,138. |
49 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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STATEMENT OF OPERATIONS Unaudited / Continued
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | $ | 111,483,434 | ||
Closing and expiration of option contracts written | 1,444,860 | |||
Closing and expiration of futures contracts | 38,217,766 | |||
Foreign currency transactions | (31,518,302 | ) | ||
Swap contracts | 26,558 | |||
Allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | 325,131 | |||
Allocated from Oppenheimer Master Loan Fund, LLC | 9,924,023 | |||
Net realized gain | 129,903,470 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments (net of foreign capital gains tax of $18,330) | (25,746,143 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (33,132,751 | ) | ||
Futures contracts | 26,103,231 | |||
Option contracts written | 243,984 | |||
Swap contracts | (10,566,656 | ) | ||
Unfunded purchase agreements | 345,312 | |||
Allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | (318,052 | ) | ||
Allocated from Oppenheimer Master Loan Fund, LLC | (8,295,343 | ) | ||
Net change in unrealized appreciation/depreciation | (51,366,418 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 200,838,741 | ||
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 122,301,689 | $ | 229,320,159 | ||||
Net realized gain (loss) | 129,903,470 | (159,435,499 | ) | |||||
Net change in unrealized appreciation/depreciation | (51,366,418 | ) | 592,195,964 | |||||
Net increase in net assets resulting from operations | 200,838,741 | 662,080,624 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (66,430,241 | ) | (3,468,223 | ) | ||||
Service shares | (313,790,173 | ) | (7,263,543 | ) | ||||
(380,220,414 | ) | (10,731,766 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | — | (522,726 | ) | |||||
Service shares | — | (2,276,448 | ) | |||||
— | (2,799,174 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (30,900,051 | ) | (5,135,048 | ) | ||||
Service shares | (1,924,032,749 | ) | 312,198,649 | |||||
(1,954,932,800 | ) | 307,063,601 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (2,134,314,473 | ) | 955,613,285 | |||||
Beginning of period | 4,414,498,026 | 3,458,884,741 | ||||||
End of period (including accumulated net investment income (loss) of $(16,093,833) and $241,824,892, respectively) | $ | 2,280,183,553 | $ | 4,414,498,026 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.30 | $ | 4.49 | $ | 5.56 | $ | 5.26 | $ | 5.11 | $ | 5.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .16 | .30 | .30 | .28 | .26 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .11 | .53 | (1.04 | ) | .21 | .11 | (.12 | ) | ||||||||||||||||
Total from investment operations | .27 | .83 | (.74 | ) | .49 | .37 | .13 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.46 | ) | (.02 | ) | (.27 | ) | (.19 | ) | (.22 | ) | (.23 | ) | ||||||||||||
Distributions from net realized gain | — | — | 2 | (.06 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions to shareholders | (.46 | ) | (.02 | ) | (.33 | ) | (.19 | ) | (.22 | ) | (.23 | ) | ||||||||||||
Net asset value, end of period | $ | 5.11 | $ | 5.30 | $ | 4.49 | $ | 5.56 | $ | 5.26 | $ | 5.11 | ||||||||||||
Total Return, at Net Asset Value3 | 5.28 | % | 18.83 | % | (14.21 | )% | 9.69 | % | 7.49 | % | 2.67 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 699,405 | $ | 757,772 | $ | 648,570 | $ | 734,611 | $ | 606,632 | $ | 538,141 | ||||||||||||
Average net assets (in thousands) | $ | 765,822 | $ | 681,926 | $ | 753,062 | $ | 664,668 | $ | 564,248 | $ | 550,201 | ||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 6.28 | % | 6.20 | % | 5.78 | % | 5.34 | % | 5.05 | % | 4.91 | % | ||||||||||||
Total expenses | 0.72 | %6 | 0.67 | %6 | 0.59 | %6 | 0.59 | %6 | 0.64 | %6 | 0.71 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.68 | % | 0.64 | % | 0.57 | % | 0.57 | % | 0.63 | % | 0.71 | % | ||||||||||||
Portfolio turnover rate7 | 60 | % | 110 | % | 86 | % | 76 | % | 93 | % | 98 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an initial 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 all affiliated fund expenses were as follows: |
Six Months Ended June 30, 2010 | 0.73 | % | ||
Year Ended December 31, 2009 | 0.68 | % | ||
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, 2010 | $ | 685,821,691 | $ | 766,705,115 | ||||
Year Ended December 31, 2009 | $ | 1,909,574,925 | $ | 1,836,038,328 | ||||
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 |
See accompanying Notes to Financial Statements.
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Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.38 | $ | 4.56 | $ | 5.65 | $ | 5.34 | $ | 5.19 | $ | 5.29 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .16 | .29 | .29 | .28 | .25 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .11 | .54 | (1.06 | ) | .22 | .11 | (.08 | ) | ||||||||||||||||
Total from investment operations | .27 | .83 | (.77 | ) | .50 | .36 | .13 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.45 | ) | (.01 | ) | (.26 | ) | (.19 | ) | (.21 | ) | (.23 | ) | ||||||||||||
Distributions from net realized gain | — | — | 2 | (.06 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions to shareholders | (.45 | ) | (.01 | ) | (.32 | ) | (.19 | ) | (.21 | ) | (.23 | ) | ||||||||||||
Net asset value, end of period | $ | 5.20 | $ | 5.38 | $ | 4.56 | $ | 5.65 | $ | 5.34 | $ | 5.19 | ||||||||||||
Total Return, at Net Asset Value3 | 5.07 | % | 18.41 | % | (14.49 | )% | 9.55 | % | 7.23 | % | 2.48 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,580,779 | $ | 3,656,726 | $ | 2,810,315 | $ | 2,876,016 | $ | 1,396,188 | $ | 658,107 | ||||||||||||
Average net assets (in thousands) | $ | 3,336,057 | $ | 3,143,836 | $ | 3,152,967 | $ | 2,075,028 | $ | 1,016,582 | $ | 408,515 | ||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 5.95 | % | 5.95 | % | 5.54 | % | 5.08 | % | 4.83 | % | 4.20 | % | ||||||||||||
Total expenses | 0.97 | %6 | 0.92 | %6 | 0.84 | %6 | 0.84 | %6 | 0.89 | %6 | 0.96 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.93 | % | 0.89 | % | 0.82 | % | 0.82 | % | 0.88 | % | 0.96 | % | ||||||||||||
Portfolio turnover rate7 | 60 | % | 110 | % | 86 | % | 76 | % | 93 | % | 98 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an initial 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 all affiliated fund expenses were as follows: |
Six Months Ended June 30, 2010 | 0.98 | % | ||
Year Ended December 31, 2009 | 0.93 | % | ||
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 purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended June 30, 2010 | $ | 685,821,691 | $ | 766,705,115 | ||||
Year Ended December 31, 2009 | $ | 1,909,574,925 | $ | 1,836,038,328 | ||||
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 |
See accompanying Notes to Financial Statements.
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NOTES TO FINANCIAL STATEMENTS Unaudited
1. Significant Accounting Policies
Oppenheimer Global Strategic Income Fund/VA (the “Fund”), formerly known as Oppenheimer Strategic Bond Fund/VA, 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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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 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, 2010, 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 | $ | 85,667,014 | ||
Sold securities | 22,970,354 |
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
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.
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. Information concerning securities in default as of June 30, 2010 is as follows:
Cost | $ | 45,705,617 | ||
Market Value | $ | 14,743,544 | ||
Market Value as a % of Net Assets | 0.65 | % |
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. Shares of IMMF are valued at their net asset value per share. 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. Shares of LAF are valued at their net asset value per share. 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
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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 the master funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the master funds.
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.
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, 2009, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes post-October losses of $12,994,641, post-October passive foreign investment company losses of $26,214, straddle losses of $341,850 and unused capital loss carryforward as follows:
Expiring | ||||
2017 | $ | 164,592,749 |
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $48,051,984 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $129,903,470 of 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, 2010 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 | $ | 2,373,760,186 | ||
Federal tax cost of other investments | 506,392,936 | |||
Total federal tax cost | $ | 2,880,153,122 | ||
Gross unrealized appreciation | $ | 139,735,176 | ||
Gross unrealized depreciation | (181,813,164 | ) | ||
Net unrealized depreciation | $ | (42,077,988 | ) | |
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.
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 5,270,961 | $ | 27,566,920 | 24,677,592 | $ | 117,209,141 | ||||||||||
Dividends and/or distributions reinvested | 13,002,896 | 66,430,241 | 952,494 | 3,990,949 | ||||||||||||
Redeemed | (24,282,752 | ) | (124,897,212 | ) | (27,020,460 | ) | (126,335,138 | ) | ||||||||
Net decrease | (6,008,895 | ) | $ | (30,900,051 | ) | (1,390,374 | ) | $ | (5,135,048 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 26,497,563 | $ | 141,658,256 | 88,989,960 | $ | 433,996,423 | ||||||||||
Dividends and/or distributions reinvested | 60,274,068 | 313,790,173 | 2,234,190 | 9,539,991 | ||||||||||||
Redeemed | (462,363,445 | ) | (2,379,481,178 | ) | (28,146,787 | ) | (131,337,765 | ) | ||||||||
Net increase (decrease) | (375,591,814 | ) | $ | (1,924,032,749 | ) | 63,077,363 | $ | 312,198,649 | ||||||||
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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 1,493,328,170 | $ | 2,706,007,292 | ||||
U.S. government and government agency obligations | 70,024,455 | 105,042,838 | ||||||
To Be Announced (TBA) mortgage-related securities | 685,821,691 | 766,705,115 |
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $2,211,143 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 0.25% of the daily 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 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 0.75% for Non-Service shares and 1.00% for Service shares.
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, 2010, the Manager waived fees and/or reimbursed the Fund $755,321 for management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
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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.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.
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, 2010, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $9,883,898, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. 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 certain positions in swaps, over-the-counter options, swaptions, 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 $5,869,681 as of June 30, 2010. In addition, the Fund may require that certain counterparties
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of June 30, 2010 the Fund has required certain counterparties to post collateral of $3,533,213.
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 certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.
As of June 30, 2010, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $8,011,669 for which the Fund has posted collateral of $1,805,778. Securities held in collateralized accounts to cover these liabilities are noted in the Statement of Investments, if applicable. If a contingent feature would have been triggered as of June 30, 2010, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities; securities posted as collateral, if any, are reported on the Statement of Investments.
Valuations of derivative instruments as of June 30, 2010 are as follows:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives not Accounted | Statement of Assets | Statement of Assets | ||||||||||
for as Hedging Instruments | and Liabilities Location | Value | and Liabilities Location | Value | ||||||||
Credit contracts | Appreciated swaps, at value | $ | 193,251 | Appreciated swaps, at value | $ | 916,522 | ||||||
Credit contracts | Depreciated swaps, at value | 220,805 | Depreciated swaps, at value | 930,864 | ||||||||
Equity contracts | Appreciated swaps, at value | 411,682 | Depreciated swaps, at value | 3,156,297 | ||||||||
Foreign exchange contracts | Depreciated swaps, at value | 1,904,106 | ||||||||||
Interest rate contracts | Appreciated swaps, at value | 3,780,494 | Depreciated swaps, at value | 739,148 | ||||||||
Volatility contracts | Appreciated swaps, at value | 300,206 | Depreciated swaps, at value | 90,518 | ||||||||
Equity contracts | Futures margins | 597,098 | * | Futures margins | 1,838 | * | ||||||
Interest rate contracts | Futures margins | 410,010 | * | Futures margins | 33,583 | * | ||||||
Foreign exchange contracts | Investments, at value | 195,379 | ** | |||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 4,782,081 | Unrealized depreciation on foreign currency exchange contracts | 3,594,359 | ||||||||
Foreign exchange contracts | Appreciated options written, at value | 278,410 | ||||||||||
Foreign exchange contracts | Depreciated options written, at value | 184,376 | ||||||||||
Total | $ | 10,891,006 | $ | 11,830,021 | ||||||||
* | 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. |
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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 Derivatives | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||
from | ||||||||||||||||||||||||
unaffiliated | Closing | |||||||||||||||||||||||
companies | and | |||||||||||||||||||||||
(including | expiration | Closing and | ||||||||||||||||||||||
premiums | of option | expiration of | Foreign | |||||||||||||||||||||
Derivatives not Accounted | on options | contracts | futures | currency | Swap | |||||||||||||||||||
for as Hedging Instruments | exercised)* | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (15,039,551 | ) | $ | (15,039,551 | ) | ||||||||||
Equity contracts | — | — | (285,692 | ) | — | 1,798,504 | 1,512,812 | |||||||||||||||||
Foreign exchange contracts | (6,725,950 | ) | 1,444,860 | — | 27,055,855 | 751,518 | 22,526,283 | |||||||||||||||||
Interest rate contracts | — | — | 38,503,458 | — | 13,904,983 | 52,408,441 | ||||||||||||||||||
Volatility contracts | — | — | — | — | (1,388,896 | ) | (1,388,896 | ) | ||||||||||||||||
Total | $ | (6,725,950 | ) | $ | 1,444,860 | $ | 38,217,766 | $ | 27,055,855 | $ | 26,558 | $ | 60,019,089 | |||||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||
liabilities | ||||||||||||||||||||||||
Option | denominated | |||||||||||||||||||||||
Derivatives not Accounted | contracts | Futures | in foreign | Swap | ||||||||||||||||||||
for as Hedging Instruments | Investments* | written | contracts | currencies | contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (1,696,970 | ) | $ | (1,696,970 | ) | ||||||||||
Equity contracts | — | — | 2,966,997 | — | (3,910,835 | ) | (943,838 | ) | ||||||||||||||||
Foreign exchange contracts | 7,327,995 | 243,984 | — | (16,440,806 | ) | 125,773 | (8,743,054 | ) | ||||||||||||||||
Interest rate contracts | — | — | 23,136,234 | — | (5,294,312 | ) | 17,841,922 | |||||||||||||||||
Volatility contracts | — | — | — | — | 209,688 | 209,688 | ||||||||||||||||||
Total | $ | 7,327,995 | $ | 243,984 | $ | 26,103,231 | $ | (16,440,806 | ) | $ | (10,566,656 | ) | $ | 6,667,748 | ||||||||||
* | 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 purchase 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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
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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, 2010 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, 2009 | — | $ | — | 108,600,000 | $ | 106,195 | ||||||||||
Options written | 3,931,090,000 | 1,892,470 | 1,869,390,000 | 1,495,200 | ||||||||||||
Options closed or expired | (513,105,000 | ) | (855,702 | ) | (1,449,335,000 | ) | (589,156 | ) | ||||||||
Options exercised | (1,337,265,000 | ) | (476,830 | ) | (513,105,000 | ) | (853,770 | ) | ||||||||
Options outstanding as of June 30, 2010 | 2,080,720,000 | $ | 559,938 | 15,550,000 | $ | 158,469 | ||||||||||
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 values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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 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.
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). 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 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
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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 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.
Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the volatility of the reference investment as measured by changes in its price or level while the other cash flow is based on an interest rate or the measured volatility of a different reference investment. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movement, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
The Fund has entered into volatility swaps to increase exposure to the volatility risk of various reference investments. These types of volatility swaps require the fund to pay the measured volatility and receive a fixed interest payment over the period of the contract. If the measured volatility of the related reference investment increases over the period, the swaps will depreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will appreciate in value.
The Fund has entered into volatility swaps to decrease exposure to the volatility risk of various reference investments. These types of volatility swaps require the fund to pay a fixed interest payment and receive the measured volatility over the period of the contract. If the measured volatility of the related reference investment increases over the period, the swaps will appreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will depreciate in value.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Restricted Securities
As of June 30, 2010, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
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, 2010, the Fund had no securities on loan.
8. Unfunded Purchase Agreements
Pursuant to the terms of certain indenture agreements, the Fund has unfunded purchase agreements of $12,418,025 at June 30, 2010. The following agreements are subject to funding based on the borrower’s discretion. The Fund is obligated to fund these agreements at the time of the request by the borrower. These agreements have been excluded from the Statement of Investments.
As of June 30, 2010, the Fund had unfunded purchase agreements as follows:
Commitment | ||||||||
Termination | Unfunded | |||||||
Date | Amount | |||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts. | 10/23/13 | $ | 8,962,859 |
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 3,455,166 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 | $ | 3,455,166 | $ | 9,233 |
9. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
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10. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff ”). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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OPPENHEIMER GLOBAL STRATEGIC 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 | ||
William F. Glavin, Jr., 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 | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved. |
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June 30, 2010 Oppenheimer Value Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Fund Performance Discussion Listing of Top Holdings Listing of Investments Financial Statements |
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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.
Portfolio Managers: Mitch Williams and John Damian
Cumulative Total Returns
For the 6-Month Period Ended 6/30/10
For the 6-Month Period Ended 6/30/10
Non-Service Shares | –10.13 | % | ||
Service Shares | –8.20 |
Average Annual Total Returns
For the Periods Ended 6/30/10
For the Periods Ended 6/30/10
Since | |||||||||||||
Inception | |||||||||||||
1-Year | 5-Year | (1/2/03) | |||||||||||
Non-Service Shares | 12.18% | 0.79% | 6.16% | ||||||||||
Since | |||||||||||||
Inception | |||||||||||||
1-Year | 5-Year | (9/18/06) | |||||||||||
Service Shares | 9.02% | N/A | –5.66% |
Expense Ratios
For the Fiscal Year Ended 12/31/09
For the Fiscal Year Ended 12/31/09
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 2.31 | % | 0.86 | % | ||||
Service Shares | 2.18 | 1.16 |
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 net expense ratios take into account voluntary fee waivers or expense reimbursements, without which performance would have been less. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
Sector Allocation
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on the total market value of common stocks.
Top Ten Common Stock Holdings
Chevron Corp. | 4.8 | % | ||
Wells Fargo & Co. | 3.8 | |||
JPMorgan Chase & Co. | 3.7 | |||
MetLife, Inc. | 3.6 | |||
Merck & Co., Inc. | 3.4 | |||
Molson Coors Brewing Co., Cl. B, Non-Vtg. | 3.3 | |||
Pfizer, Inc. | 3.3 | |||
Walgreen Co. | 3.2 | |||
Gilead Sciences, Inc. | 3.1 | |||
Tyco International Ltd. | 3.1 |
Portfolio holdings and allocations are subject to change. Percentages are as of June 30, 2010, and are based on net assets.
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FUND PERFORMANCE DISCUSSION
During the six-month reporting period ended June 30, 2010, the Fund’s Non-Service shares returned –10.13%, underperforming the Russell 1000 Value Index (the “Index”), which returned –5.12%. The Fund underperformed the Index primarily in the financials, consumer staples and information technology sectors. The Fund outperformed the Index within the industrials and consumer discretionary sectors. Despite the May/June market correction, we continue to adhere to our long-term, bottom-up investment approach based on fundamentals.
The first half of 2010 saw a continuation of the economic recovery that began in 2009. Improving manufacturing activity and a rebound in corporate earnings helped bolster the confidence of consumers, businesses and investors, adding a degree of support to the economic expansion. However, the rebound proved to be more sluggish than most previous recoveries, as stubbornly high unemployment and ongoing weakness in housing markets produced headwinds that constrained the pace of economic growth. Nonetheless, improved investor sentiment helped sustain a stock market rally through the first four months of the year. As it was in 2009, the rally was led by smaller, more speculative stocks that had been severely beaten down during the recession and financial crisis.
The investment climate changed significantly in May, when a number of developments appeared to threaten the global economic recovery. A sovereign debt crisis arose in Europe, where Greece in particular struggled to finance its heavy debt load, focusing attention on the similar problems of European nations such as Ireland, Spain, Hungary and others. Although the International Monetary Fund and the European Union came to Greece’s aid, investors worried that other nations might succumb to the same fiscal pressures.
Meanwhile, robust economic growth in China seemed to spark local inflationary pressures, particularly in urban property markets. The Chinese government raised short-term interest rates and adopted other measures to forestall an acceleration of inflation, but global investors grew concerned that these measures might choke off regional economic growth in a country that has been a key driver of the global economic recovery. Finally, economic concerns intensified in the United States, where employment gains have remained relatively modest, real estate markets have continued to struggle and consumers have been reluctant to spend. Consequently, stock prices fell sharply in May and June, giving back all of their previous 2010 gains and ending the reporting period lower than where they began.
During the reporting period, the greatest detractor to relative performance was the financials sector, followed by the consumer staples and information technology sectors. In financials, the Fund underperformed as it did not hold real estate investment trusts and stocks of certain commercial banks, which produced stronger results for the Index. The Fund was also overweight Wells Fargo & Co. and E*TRADE Financial Corp., both of which underperformed for the period.
Within consumer staples, overweighting Walgreen Co., which experienced significant declines during the tumultuous reporting period, hurt relative results. Not owning securities within the food products and household products subsectors, which held up relatively well for the Index, also detracted from relative performance. Laggards in the information technology sector included overweight positions to Dell, Inc., Motorola, Inc. and Oracle Corp.
The Fund outperformed the Index in the industrials and consumer discretionary sectors due to better relative stock selection. In industrials, Navistar International Corp. posted a strong return during the period and our overweight to the stock contributed to performance. Within consumer discretionary, overweighting media companies Time Warner Cable, Inc. and Viacom, Inc. benefited Fund performance as they performed well during the period. Positive contributors to performance in other sectors during the reporting period included an underweight to struggling energy stock Exxon Mobil Corp., and overweights to pharmaceutical company Biovail Corp. and financials stock MetLife, Inc.
At period end, relative to the Index, the Fund had overweight positions in the energy, industrials, consumer discretionary, information technology, health care and materials sectors, and underweight positions in the financials, consumer staples, utilities and telecommunication services sectors.
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FUND PERFORMANCE DISCUSSION
Given the global equity and bond market pull-backs over the last two months of the reporting period, we would like to reiterate that we continue to follow a long-term, bottom-up, fundamentals-based approach to investing. While we expect the volatility in the markets to continue based on the global uncertainty regarding debt levels of certain European countries and other pressing issues, we also believe market corrections present investment opportunities. We will continue to monitor current events as they unfold, but we are optimistic regarding the Fund’s investment strategy over the long term.
Investors should consider the Fund’s investment objectives, risks, and charges and expenses carefully before investing. The Fund’s prospectus and, if available, the Fund’s summary prospectus contain 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 and, if available, the summary 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.
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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, 2010.
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.
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, 2010 | June 30, 2010 | June 30, 2010 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 898.70 | $ | 3.77 | ||||||
Service shares | 1,000.00 | 918.00 | 5.01 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,020.83 | 4.02 | |||||||||
Service shares | 1,000.00 | 1,019.59 | 5.27 |
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, 2010 are as follows:
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein. 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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STATEMENT OF INVESTMENTS June 30, 2010 / Unaudited
Shares | Value | |||||||
Common Stocks—96.8% | ||||||||
Consumer Discretionary—10.1% | ||||||||
Auto Components—1.2% | ||||||||
Lear Corp.1 | 1,210 | $ | 80,102 | |||||
Hotels, Restaurants & Leisure—0.7% | ||||||||
Brinker International, Inc. | 3,250 | 46,995 | ||||||
Household Durables—1.6% | ||||||||
Mohawk Industries, Inc.1 | 2,170 | 99,299 | ||||||
Media—6.6% | ||||||||
Comcast Corp., Cl. A | 6,380 | 110,821 | ||||||
News Corp., Inc., Cl. A | 6,298 | 75,324 | ||||||
Time Warner Cable, Inc. | 1,700 | 88,536 | ||||||
Viacom, Inc., Cl. B | 4,690 | 147,125 | ||||||
421,806 | ||||||||
Consumer Staples—7.8% | ||||||||
Beverages—4.1% | ||||||||
Coca-Cola Co. (The) | 1,020 | 51,122 | ||||||
Molson Coors Brewing Co., Cl. B, Non-Vtg. | 4,982 | 211,038 | ||||||
262,160 | ||||||||
Food & Staples Retailing—3.7% | ||||||||
Wal-Mart Stores, Inc. | 680 | 32,688 | ||||||
Walgreen Co. | 7,634 | 203,828 | ||||||
236,516 | ||||||||
Energy—14.7% | ||||||||
Energy Equipment & Services—1.0% | ||||||||
Halliburton Co. | 2,480 | 60,884 | ||||||
Oil, Gas & Consumable Fuels—13.7% | ||||||||
Apache Corp. | 1,726 | 145,312 | ||||||
Chevron Corp. | 4,560 | 309,442 | ||||||
CONSOL Energy, Inc. | 3,600 | 121,536 | ||||||
Exxon Mobil Corp. | 1,104 | 63,005 | ||||||
Marathon Oil Corp. | 4,718 | 146,683 | ||||||
Royal Dutch Shell plc, ADR | 640 | 32,141 | ||||||
Ultra Petroleum Corp.1 | 1,360 | 60,180 | ||||||
878,299 | ||||||||
Financials—22.0% | ||||||||
Capital Markets—4.4% | ||||||||
E*TRADE Financial Corp.1 | 7,721 | 91,262 | ||||||
Goldman Sachs Group, Inc. (The) | 470 | 61,697 | ||||||
State Street Corp. | 3,810 | 128,854 | ||||||
281,813 | ||||||||
Commercial Banks—6.0% | ||||||||
CIT Group, Inc.1 | 980 | 33,183 | ||||||
PNC Financial Services Group, Inc. | 1,860 | 105,090 | ||||||
Wells Fargo & Co. | 9,520 | 243,712 | ||||||
381,985 | ||||||||
Diversified Financial Services—3.7% | ||||||||
JPMorgan Chase & Co. | 6,410 | 234,670 | ||||||
Insurance—7.5% | ||||||||
ACE Ltd. | 2,870 | 147,748 | ||||||
CNO Financial Group, Inc.1 | 2,100 | 10,395 | ||||||
Genworth Financial, Inc., Cl. A1 | 6,960 | 90,967 | ||||||
MetLife, Inc. | 6,160 | 232,602 | ||||||
481,712 | ||||||||
Thrifts & Mortgage Finance—0.4% | ||||||||
MGIC Investment Corp.1 | 3,780 | 26,044 | ||||||
Health Care—13.5% | ||||||||
Biotechnology—3.1% | ||||||||
Gilead Sciences, Inc.1 | 5,810 | 199,167 | ||||||
Health Care Providers & Services—1.2% | ||||||||
Aetna, Inc. | 2,830 | 74,655 | ||||||
Pharmaceuticals—9.2% | ||||||||
Biovail Corp. | 5,010 | 96,392 | ||||||
Merck & Co., Inc. | 6,160 | 215,415 | ||||||
Pfizer, Inc. | 14,629 | 208,610 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | 1,310 | 68,107 | ||||||
588,524 | ||||||||
Industrials—11.5% | ||||||||
Aerospace & Defense—0.4% | ||||||||
AerCap Holdings NV1 | 2,710 | 28,130 | ||||||
Electrical Equipment—1.4% | ||||||||
General Cable Corp.1 | 3,430 | 91,410 | ||||||
Industrial Conglomerates—3.1% | ||||||||
Tyco International Ltd. | 5,560 | 195,879 | ||||||
Machinery—3.8% | ||||||||
Ingersoll-Rand plc | 2,060 | 71,049 | ||||||
Navistar International Corp.1 | 3,543 | 174,316 | ||||||
245,365 | ||||||||
Road & Rail—2.2% | ||||||||
CSX Corp. | 1,410 | 69,978 | ||||||
Norfolk Southern Corp. | 1,310 | 69,496 | ||||||
139,474 | ||||||||
Trading Companies & Distributors—0.6% | ||||||||
Aircastle Ltd. | 4,500 | 35,325 | ||||||
Information Technology—5.9% | ||||||||
Communications Equipment—1.5% | ||||||||
Harris Corp. | 1,340 | 55,811 | ||||||
Motorola, Inc.1 | 6,230 | 40,620 | ||||||
96,431 | ||||||||
Computers & Peripherals—1.5% | ||||||||
Dell, Inc.1 | 7,900 | 95,274 |
6 | OPPENHEIMER VALUE FUND/VA
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Shares | Value | |||||||
Office Electronics—0.9% | ||||||||
Xerox Corp. | 7,310 | $ | 58,772 | |||||
Software—2.0% | ||||||||
Oracle Corp. | 5,770 | 123,824 | ||||||
Materials—3.2% | ||||||||
Chemicals—3.2% | ||||||||
Celanese Corp., Series A | 4,790 | 119,317 | ||||||
Potash Corp. of Saskatchewan, Inc. | 1,020 | 87,965 | ||||||
207,282 | ||||||||
Telecommunication Services—3.1% | ||||||||
Diversified Telecommunication Services—3.1% | ||||||||
AT&T, Inc. | 8,052 | 194,778 | ||||||
Utilities—5.0% | ||||||||
Electric Utilities—3.9% | ||||||||
Edison International, Inc. | 4,080 | 129,418 | ||||||
Entergy Corp. | 900 | 64,458 | ||||||
Exelon Corp. | 1,486 | 56,423 | ||||||
250,299 | ||||||||
Multi-Utilities—1.1% | ||||||||
PG&E Corp. | 1,664 | 68,390 | ||||||
Total Common Stocks (Cost $6,123,199) | 6,185,264 | |||||||
Investment Companies—1.9% | ||||||||
JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%2,3 | 5,912 | 5,912 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.28%2,4 | 117,003 | 117,003 | ||||||
Total Investment Companies (Cost $122,915) | 122,915 | |||||||
Total Investments, at Value (Cost $6,246,114) | 98.7 | % | 6,308,179 | |||||
Other Assets Net of Liabilities | 1.3 | 83,899 | ||||||
Net Assets | 100.0 | % | $ | 6,392,078 | ||||
Footnotes to Statement of Investments | ||
1. | Non-income producing security. | |
2. | Rate shown is the 7-day yield as of June 30, 2010. | |
3. | Interest rate is less than 0.0005%. | |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2010, 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, 2009 | Additions | Reductions | June 30, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 340,073 | 2,847,621 | 3,070,691 | 117,003 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 117,003 | $ | 252 |
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—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
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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, 2010 based on valuation input level:
Liabilities as of June 30, 2010 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 | $ | 648,202 | $ | — | $ | — | $ | 648,202 | ||||||||
Consumer Staples | 498,676 | — | — | 498,676 | ||||||||||||
Energy | 939,183 | — | — | 939,183 | ||||||||||||
Financials | 1,406,224 | — | — | 1,406,224 | ||||||||||||
Health Care | 862,346 | — | — | 862,346 | ||||||||||||
Industrials | 735,583 | — | — | 735,583 | ||||||||||||
Information Technology | 374,301 | — | — | 374,301 | ||||||||||||
Materials | 207,282 | — | — | 207,282 | ||||||||||||
Telecommunication Services | 194,778 | — | — | 194,778 | ||||||||||||
Utilities | 318,689 | — | — | 318,689 | ||||||||||||
Investment Companies | 122,915 | — | — | 122,915 | ||||||||||||
Total Assets | $ | 6,308,179 | $ | — | $ | — | $ | 6,308,179 | ||||||||
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 methodologies, if any, during the reporting period.
See accompanying Notes to Financial Statements.
8 | OPPENHEIMER VALUE FUND/VA
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STATEMENT OF ASSETS AND LIABILITIES Unaudited
June 30, 2010
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $6,129,111) | $ | 6,191,176 | ||
Affiliated companies (cost $117,003) | 117,003 | |||
6,308,179 | ||||
Receivables and other assets: | ||||
Investments sold | 170,874 | |||
Dividends | 7,270 | |||
Shares of beneficial interest sold | 95 | |||
Other | 4,262 | |||
Total assets | 6,490,680 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 54,969 | |||
Legal, auditing and other professional fees | 14,625 | |||
Shareholder communications | 10,421 | |||
Shares of beneficial interest redeemed | 8,339 | |||
Distribution and service plan fees | 4,426 | |||
Trustees’ compensation | 3,392 | |||
Transfer and shareholder servicing agent fees | 561 | |||
Other | 1,869 | |||
Total liabilities | 98,602 | |||
Net Assets | $ | 6,392,078 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 784 | ||
Additional paid-in capital | 8,524,778 | |||
Accumulated net investment income | 10,427 | |||
Accumulated net realized loss on investments | (2,205,976 | ) | ||
Net unrealized appreciation on investments | 62,065 | |||
Net Assets | $ | 6,392,078 | ||
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 $49,551 and 7,714 shares of beneficial interest outstanding) | $ | 6.42 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $6,342,527 and 775,808 shares of beneficial interest outstanding) | $ | 8.18 |
See accompanying Notes to Financial Statements.
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STATEMENT OF OPERATIONS Unaudited
For the Six Months Ended June 30, 2010
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $356) | $ | 59,695 | ||
Affiliated companies | 252 | |||
Total investment income | 59,947 | |||
Expenses | ||||
Management fees | 27,263 | |||
Distribution and service plan fees—Service shares | 9,030 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 23 | |||
Service shares | 3,612 | |||
Shareholder communications: | ||||
Non-Service shares | 82 | |||
Service shares | 10,233 | |||
Legal, auditing and other professional fees | 14,551 | |||
Trustees’ compensation | 4,175 | |||
Registration and filing fees | 2,028 | |||
Custodian fees and expenses | 83 | |||
Other | 2,013 | |||
Total expenses | 73,093 | |||
Less waivers and reimbursements of expenses | (35,013 | ) | ||
Net expenses | 38,080 | |||
Net Investment Income | 21,867 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 259,898 | |||
Net change in unrealized appreciation/depreciation on investments | (865,796 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (584,031 | ) | |
See accompanying Notes to Financial Statements.
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STATEMENTS OF CHANGES IN NET ASSETS
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2010 | December 31, | |||||||
(Unaudited) | 2009 | |||||||
Operations | ||||||||
Net investment income | $ | 21,867 | $ | 60,719 | ||||
Net realized gain (loss) | 259,898 | (236,784 | ) | |||||
Net change in unrealized appreciation/depreciation | (865,796 | ) | 1,768,926 | |||||
Net increase (decrease) in net assets resulting from operations | (584,031 | ) | 1,592,861 | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (479 | ) | (103 | ) | ||||
Service shares | (64,271 | ) | (9,896 | ) | ||||
(64,750 | ) | (9,999 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 18,096 | 23,026 | ||||||
Service shares | (520,053 | ) | 1,240,784 | |||||
(501,957 | ) | 1,263,810 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (1,150,738 | ) | 2,846,672 | |||||
Beginning of period | 7,542,816 | 4,696,144 | ||||||
End of period (including accumulated net investment income of $10,427 and $53,310, respectively) | $ | 6,392,078 | $ | 7,542,816 | ||||
See accompanying Notes to Financial Statements.
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FINANCIAL HIGHLIGHTS
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 2006 | 2005 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.22 | $ | 4.99 | $ | 11.73 | $ | 11.58 | $ | 11.16 | $ | 12.26 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | .03 | .11 | .12 | .10 | (.03 | ) | .02 | |||||||||||||||||
Net realized and unrealized gain (loss) | (.75 | ) | 2.14 | (4.44 | ) | .59 | 1.61 | .71 | ||||||||||||||||
Total from investment operations | (.72 | ) | 2.25 | (4.32 | ) | .69 | 1.58 | .73 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.08 | ) | (.02 | ) | (2.42 | ) | (.10 | ) | (.01 | ) | (.02 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | (.44 | ) | (1.15 | ) | (1.81 | ) | |||||||||||||||
Total dividends and/or distributions to shareholders | (.08 | ) | (.02 | ) | (2.42 | ) | (.54 | ) | (1.16 | ) | (1.83 | ) | ||||||||||||
Net asset value, end of period | $ | 6.42 | $ | 7.22 | $ | 4.99 | $ | 11.73 | $ | 11.58 | $ | 11.16 | ||||||||||||
Total Return, at Net Asset Value2 | (10.13 | )% | 45.08 | % | (36.43 | )% | 5.89 | % | 14.03 | % | 5.88 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 50 | $ | 38 | $ | 6 | $ | 1,728 | $ | 2,657 | $ | 2,562 | ||||||||||||
Average net assets (in thousands) | $ | 47 | $ | 20 | $ | 857 | $ | 2,753 | $ | 2,695 | $ | 2,878 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income (loss) | 0.78 | % | 1.75 | % | 1.07 | % | 0.80 | % | (0.29 | )% | 0.15 | % | ||||||||||||
Total expenses | 2.00 | %4 | 2.30 | %4 | 1.48 | %4 | 1.49 | %4 | 2.14 | %4 | 1.78 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.85 | % | 1.25 | % | 1.25 | % | 2.14 | % | 1.78 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 122 | % | 175 | % | 142 | % | 124 | % | 86 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial 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, 2010 | 2.00 | % | ||
Year Ended December 31, 2009 | 2.31 | % | ||
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.
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Six Months | ||||||||||||||||||||
Ended | ||||||||||||||||||||
June 30, 2010 | Year Ended December 31, | |||||||||||||||||||
Service Shares | (Unaudited) | 2009 | 2008 | 2007 | 20061 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 8.99 | $ | 6.79 | $ | 11.75 | $ | 11.57 | $ | 11.89 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)2 | .03 | .09 | .08 | .06 | (.05 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (.76 | ) | 2.12 | (4.97 | ) | .60 | .88 | |||||||||||||
Total from investment operations | (.73 | ) | 2.21 | (4.89 | ) | .66 | .83 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.08 | ) | (.01 | ) | (.07 | ) | (.04 | ) | — | |||||||||||
Distributions from net realized gain | — | — | — | (.44 | ) | (1.15 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (.08 | ) | (.01 | ) | (.07 | ) | (.48 | ) | (1.15 | ) | ||||||||||
Net asset value, end of period | $ | 8.18 | $ | 8.99 | $ | 6.79 | $ | 11.75 | $ | 11.57 | ||||||||||
Total Return, at Net Asset Value3 | (8.20 | )% | 32.57 | % | (41.62 | )% | 5.70 | % | 6.81 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,342 | $ | 7,505 | $ | 4,690 | $ | 6,481 | $ | 455 | ||||||||||
Average net assets (in thousands) | $ | 7,277 | $ | 5,501 | $ | 5,561 | $ | 3,527 | $ | 268 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income (loss) | 0.60 | % | 1.10 | % | 0.84 | % | 0.49 | % | (1.30 | )% | ||||||||||
Total expenses5 | 2.01 | % | 2.17 | % | 2.13 | % | 1.63 | % | 2.89 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.15 | % | 1.50 | % | 1.50 | % | 2.88 | % | ||||||||||
Portfolio turnover rate | 59 | % | 122 | % | 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 initial 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, 2010 | 2.01 | % | ||
Year Ended December 31, 2009 | 2.18 | % | ||
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.
13 | OPPENHEIMER VALUE FUND/VA
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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.
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 significant 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 by portfolio pricing services approved by the Board of Trustees or dealers.
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 it is 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.
U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and “money market-type” debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
“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.
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
14 | OPPENHEIMER VALUE FUND/VA
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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.
There have been no significant changes to the fair valuation methodologies of the Fund 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. Shares of IMMF are valued at their net asset value per share. 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.
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.
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.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
1. Significant Accounting Policies Continued
During the fiscal year ended December 31, 2009, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. As of December 31, 2009, the Fund had available for federal income tax purposes unused capital loss carryforwards as follows:
Expiring | ||||
2016 | $ | 1,303,597 | ||
2017 | 999,882 | |||
Total | $ | 2,303,479 | ||
As of June 30, 2010, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $2,043,581 expiring by 2017. 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, 2010, it is estimated that the Fund will utilize $259,898 of 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, 2010 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 | $ | 6,440,190 | ||
Gross unrealized appreciation | $ | 283,105 | ||
Gross unrealized depreciation | (415,116 | ) | ||
Net unrealized depreciation | $ | (132,011 | ) | |
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
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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, 2010 | Year Ended December 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 2,693 | $ | 19,542 | 4,808 | $ | 27,757 | ||||||||||
Dividends and/or distributions reinvested | 65 | 479 | 14 | 103 | ||||||||||||
Redeemed | (266 | ) | (1,925 | ) | (846 | ) | (4,834 | ) | ||||||||
Net increase | 2,492 | $ | 18,096 | 3,976 | $ | 23,026 | ||||||||||
Service Shares | ||||||||||||||||
Sold | 80,950 | $ | 743,686 | 326,123 | $ | 2,582,040 | ||||||||||
Dividends and/or distributions reinvested | 7,063 | 64,271 | 1,092 | 9,896 | ||||||||||||
Redeemed | (147,253 | ) | (1,328,010 | ) | (182,945 | ) | (1,351,152 | ) | ||||||||
Net increase (decrease) | (59,240 | ) | $ | (520,053 | ) | 144,270 | $ | 1,240,784 | ||||||||
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, 2010, were as follows:
Purchases | Sales | |||||||
Investment securities | $ | 4,155,211 | $ | 4,619,943 |
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
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. The Fund pays OFS fees at an annual rate of 0.10% of the daily net assets of each class of shares. For the six months ended June 30, 2010, the Fund paid $3,712 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 0.25% of the daily 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 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, 2010, the Manager waived fees and/or reimbursed the Fund $277 and $34,607 for Non-Service and Service shares, respectively.
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, 2010, the Manager waived fees and/or reimbursed the Fund $129 for IMMF management fees.
Some of these undertakings may be modified or terminated at any time; some may not be modified or terminated until after one year from the date of the current prospectus, as indicated therein.
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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
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Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer 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.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.
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 certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty.
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments Continued
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 certain positions in swaps, over-the-counter options and swaptions, 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 Derivatives | ||||
Derivatives Not Accounted | Investments from | |||
for as Hedging Instruments | unaffiliated companies | * | ||
Equity contracts | $ | (1,267 | ) |
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
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.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
The Fund has purchased put options on individual equity securities and, or, equity indexes to decrease exposure to equity 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.
As of June 30, 2010, the Fund did not hold any outstanding written options.
As of June 30, 2010, the Fund did not hold any outstanding written options.
6. Subsequent Events Evaluation
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
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7. Pending Litigation
Since 2009, a number of lawsuits 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 (but not including the Fund). The lawsuits naming the Defendant Funds also name as defendants 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 lawsuits 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.
In 2009, what are claimed to be derivative lawsuits were filed in state court against the Manager and a subsidiary (but not against the Fund), on behalf of the New Mexico Education Plan Trust. These lawsuits allege breach of contract, breach of fiduciary duty, negligence and violation of state securities laws, and seek compensatory damages, equitable relief and an award of attorneys’ fees and litigation expenses.
The Distributor and another subsidiary of the Manager have been named as defendants in a putative class action filed in federal court in 2010. The plaintiff, a participant in the State of Texas’ college savings plan, asserts claims on behalf of all persons who invested in qualified 529 plans managed by these subsidiaries of the Manager and which held investments in a certain mutual fund managed by the Manager and distributed by the Distributor. Plaintiff alleges causes of action for “improper investments,” “breach of fiduciary duty,” and “punitive damages” arising from that fund’s investments in 2008 and 2009.
Other lawsuits have been filed since 2008 in various state and federal courts, against the Manager and certain of its affiliates. Those lawsuits were filed by investors who made investments through an affiliate of the Manager, and relate to the alleged investment fraud perpetrated by Bernard Madoff and his firm (“Madoff “). Those suits 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 as defendants. 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 is defending against them vigorously. The Defendant Funds’ Boards of Trustees have also engaged counsel to defend the suits brought against those Funds and the present and former Independent Trustees named in those suits. While it is premature to render any opinion as to the 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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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 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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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 | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Mitch Williams, Vice President and Portfolio Manager | ||
John Damian, Vice President and Portfolio Manager | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
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 and, if available, summary 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 and, if available, summary 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. |
©2010 OppenheimerFunds, Inc. All rights reserved. |
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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
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 |
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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. |
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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 06/30/2010, 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. |
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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/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
Date: 08/09/2010 |
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/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
Date: 08/09/2010 | ||||
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial Officer | ||||
Date: 08/09/2010 |