SECURITIES AND EXCHANGE COMMISSION
INVESTMENT COMPANIES
(Address of principal executive offices) (Zip code)
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
June 30, 2011 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 Financial Statements |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 14.67 | % | ||
Service Shares | 14.52 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 53.57 | % | 1.14 | % | 2.19 | % | ||||||
Service Shares | 53.16 | 0.88 | 1.92 |
For the Fiscal Year Ended 12/31/10
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.85 | % | 0.76 | % | ||||
Service Shares | 1.10 | 1.01 |
Green Mountain Coffee, Inc. | 1.7 | % | ||
Dollar Tree, Inc. | 1.6 | |||
Fortinet, Inc. | 1.6 | |||
Hansen Natural Corp. | 1.5 | |||
Teradata Corp. | 1.5 | |||
Gardner Denver, Inc. | 1.5 | |||
Chipotle Mexican Grill, Inc., Cl. A | 1.4 | |||
Kansas City Southern, Inc. | 1.4 | |||
Albemarle Corp. | 1.4 | |||
Panera Bread Co., Cl. A | 1.4 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2011 | June 30, 2011 | June 30, 2011 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,146.70 | $ | 4.27 | ||||||
Service shares | 1,000.00 | 1,145.20 | 5.60 | |||||||||
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 |
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
Shares | Value | |||||||
Common Stocks—97.9% | ||||||||
Consumer Discretionary—19.2% | ||||||||
Auto Components—1.3% | ||||||||
BorgWarner, Inc.1 | 46,770 | $ | 3,778,548 | |||||
TRW Automotive Holdings Corp.1 | 84,050 | 4,961,472 | ||||||
8,740,020 | ||||||||
Automobiles—0.2% | ||||||||
Tesla Motors, Inc.1 | 41,720 | 1,215,304 | ||||||
Hotels, Restaurants & Leisure—2.8% | ||||||||
Chipotle Mexican Grill, Inc., Cl. A1 | 32,021 | 9,868,552 | ||||||
Panera Bread Co., Cl. A1 | 76,560 | 9,620,530 | ||||||
19,489,082 | ||||||||
Household Durables—0.5% | ||||||||
Tempur-Pedic International, Inc.1 | 53,190 | 3,607,346 | ||||||
Internet & Catalog Retail—1.8% | ||||||||
HomeAway, Inc.1 | 75,430 | 2,919,141 | ||||||
NetFlix.com, Inc.1 | 24,880 | 6,535,727 | ||||||
Priceline.com, Inc.1 | 6,610 | 3,383,857 | ||||||
12,838,725 | ||||||||
Leisure Equipment & Products—0.8% | ||||||||
Hasbro, Inc. | 119,360 | 5,243,485 | ||||||
Multiline Retail—2.4% | ||||||||
Dollar Tree, Inc.1 | 168,205 | 11,205,817 | ||||||
Nordstrom, Inc. | 114,940 | 5,395,284 | ||||||
16,601,101 | ||||||||
Specialty Retail—5.8% | ||||||||
Dick’s Sporting Goods, Inc.1 | 170,060 | 6,538,807 | ||||||
PetSmart, Inc. | 75,000 | 3,402,750 | ||||||
Signet Jewelers Ltd.1 | 111,770 | 5,231,954 | ||||||
Tiffany & Co. | 92,700 | 7,278,804 | ||||||
Tractor Supply Co. | 136,300 | 9,115,744 | ||||||
Ulta Salon, Cosmetics & Fragrance, Inc.1 | 137,830 | 8,901,061 | ||||||
40,469,120 | ||||||||
Textiles, Apparel & Luxury Goods—3.6% | ||||||||
Deckers Outdoor Corp.1 | 65,780 | 5,797,849 | ||||||
Fossil, Inc.1 | 62,520 | 7,359,854 | ||||||
lululemon athletica, Inc.1 | 58,330 | 6,522,461 | ||||||
Under Armour, Inc., Cl. A1 | 66,650 | 5,152,712 | ||||||
24,832,876 | ||||||||
Consumer Staples—6.5% | ||||||||
Beverages—1.5% | ||||||||
Hansen Natural Corp.1 | 128,870 | 10,432,027 | ||||||
Food & Staples Retailing—1.5% | ||||||||
Fresh Market, Inc. (The)1 | 85,810 | 3,319,131 | ||||||
Whole Foods Market, Inc. | 113,700 | 7,214,265 | ||||||
10,533,396 | ||||||||
Food Products—1.7% | ||||||||
Green Mountain Coffee, Inc.1 | 129,060 | 11,519,896 | ||||||
Personal Products—1.8% | ||||||||
Estee Lauder Cos., Inc. (The), Cl. A | 82,280 | 8,655,033 | ||||||
Herbalife Ltd. | 60,980 | 3,514,887 | ||||||
12,169,920 | ||||||||
Energy—7.1% | ||||||||
Energy Equipment & Services—4.4% | ||||||||
Carbo Ceramics, Inc. | 48,880 | 7,964,996 | ||||||
Core Laboratories NV | 63,550 | 7,088,367 | ||||||
Key Energy Services, Inc.1 | 351,270 | 6,322,860 | ||||||
Oil States International, Inc.1 | 45,720 | 3,653,485 | ||||||
Superior Energy Services, Inc.1 | 149,600 | 5,556,144 | ||||||
30,585,852 | ||||||||
Oil, Gas & Consumable Fuels—2.7% | ||||||||
Cimarex Energy Co. | 44,860 | 4,033,811 | ||||||
Concho Resources, Inc.1 | 102,850 | 9,446,773 | ||||||
Whiting Petroleum Corp.1 | 84,370 | 4,801,497 | ||||||
18,282,081 | ||||||||
Financials—5.3% | ||||||||
Capital Markets—1.6% | ||||||||
Affiliated Managers Group, Inc.1 | 72,930 | 7,398,749 | ||||||
LPL Investment Holdings, Inc.1 | 101,240 | 3,463,420 | ||||||
10,862,169 | ||||||||
Commercial Banks—2.3% | ||||||||
First Republic Bank1 | 74,450 | 2,403,246 | ||||||
Signature Bank1 | 143,720 | 8,220,784 | ||||||
SVB Financial Group1 | 88,480 | 5,283,141 | ||||||
15,907,171 | ||||||||
Real Estate Management & Development—1.4% | ||||||||
CB Richard Ellis Group, Inc., Cl. A1 | 122,350 | 3,072,209 | ||||||
Jones Lang LaSalle, Inc. | 69,850 | 6,586,855 | ||||||
9,659,064 | ||||||||
Health Care—14.8% | ||||||||
Biotechnology—1.4% | ||||||||
Alexion Pharmaceuticals, Inc.1 | 203,820 | 9,585,655 | ||||||
Health Care Equipment & Supplies—1.3% | ||||||||
Cooper Cos., Inc. (The) | 44,340 | 3,513,502 |
Shares | Value | |||||||
Health Care Equipment & Supplies Continued | ||||||||
Edwards Lifesciences Corp.1 | 66,620 | $ | 5,807,932 | |||||
9,321,434 | ||||||||
Health Care Providers & Services—5.3% | ||||||||
AMERIGROUP Corp.1 | 75,950 | 5,352,197 | ||||||
AmerisourceBergen Corp. | 123,980 | 5,132,772 | ||||||
Brookdale Senior Living, Inc.1 | 285,690 | 6,927,983 | ||||||
Catalyst Health Solutions, Inc.1 | 94,550 | 5,277,781 | ||||||
Healthspring, Inc.1 | 116,170 | 5,356,599 | ||||||
HMS Holdings Corp.1 | 110,940 | 8,527,958 | ||||||
36,575,290 | ||||||||
Health Care Technology—2.1% | ||||||||
Cerner Corp.1 | 98,720 | 6,032,779 | ||||||
SXC Health Solutions Corp.1 | 146,700 | 8,643,564 | ||||||
14,676,343 | ||||||||
Life Sciences Tools & Services—2.4% | ||||||||
Illumina, Inc.1 | 73,960 | 5,558,094 | ||||||
Mettler-Toledo International, Inc.1 | 24,410 | 4,117,235 | ||||||
Waters Corp.1 | 71,750 | 6,869,345 | ||||||
16,544,674 | ||||||||
Pharmaceuticals—2.3% | ||||||||
Perrigo Co. | 60,080 | 5,279,230 | ||||||
Valeant Pharmaceuticals | ||||||||
International, Inc. | 79,500 | 4,130,820 | ||||||
Watson Pharmaceuticals, Inc.1 | 90,610 | 6,227,625 | ||||||
15,637,675 | ||||||||
Industrials—15.9% | ||||||||
Aerospace & Defense—2.3% | ||||||||
B/E Aerospace, Inc.1 | 174,560 | 7,123,794 | ||||||
TransDigm Group, Inc.1 | 97,280 | 8,870,963 | ||||||
15,994,757 | ||||||||
Commercial Services & Supplies—1.2% | ||||||||
Stericycle, Inc.1 | 56,660 | 5,049,539 | ||||||
Waste Connections, Inc. | 106,440 | 3,377,341 | ||||||
8,426,880 | ||||||||
Electrical Equipment—4.3% | ||||||||
AMETEK, Inc. | 170,655 | 7,662,410 | ||||||
Polypore International, Inc.1 | 135,770 | 9,210,637 | ||||||
Rockwell Automation, Inc. | 62,740 | 5,443,322 | ||||||
Roper Industries, Inc. | 88,910 | 7,406,203 | ||||||
29,722,572 | ||||||||
Machinery—6.7% | ||||||||
Gardner Denver, Inc. | 121,141 | 10,181,901 | ||||||
Graco, Inc. | 106,760 | 5,408,462 | ||||||
Joy Global, Inc. | 68,340 | 6,508,702 | ||||||
Nordson Corp. | 86,620 | 4,751,107 | ||||||
Parker-Hannifin Corp. | 61,180 | 5,490,293 | ||||||
Robbins & Myers, Inc. | 31,672 | 1,673,865 | ||||||
WABCO Holdings, Inc.1 | 105,410 | 7,279,615 | ||||||
Wabtec Corp. | 73,890 | 4,856,051 | ||||||
46,149,996 | ||||||||
Road & Rail—1.4% | ||||||||
Kansas City Southern, Inc.1 | 163,170 | 9,680,876 | ||||||
Information Technology—20.8% | ||||||||
Communications Equipment—3.2% | ||||||||
Acme Packet, Inc.1 | 46,960 | 3,293,305 | ||||||
Aruba Networks, Inc.1 | 263,980 | 7,800,609 | ||||||
F5 Networks, Inc.1 | 31,000 | 3,417,750 | ||||||
Polycom, Inc.1 | 119,160 | 7,661,988 | ||||||
22,173,652 | ||||||||
Internet Software & Services—2.8% | ||||||||
Rackspace Hosting, Inc.1 | 205,050 | 8,763,837 | ||||||
Renren, Inc., Sponsored ADR1 | 265,330 | 2,348,171 | ||||||
SINA Corp.1 | 32,000 | 3,331,200 | ||||||
VeriSign, Inc. | 140,090 | 4,687,411 | ||||||
19,130,619 | ||||||||
IT Services—1.7% | ||||||||
Teradata Corp.1 | 169,550 | 10,206,910 | ||||||
Wright Express Corp.1 | 32,450 | 1,689,672 | ||||||
11,896,582 | ||||||||
Semiconductors & Semiconductor Equipment—4.4% | ||||||||
Atmel Corp.1 | 315,480 | 4,438,804 | ||||||
Avago Technologies Ltd. | 138,220 | 5,252,360 | ||||||
Cavuim, Inc.1 | 151,580 | 6,607,372 | ||||||
Cypress Semiconductor Corp. | 228,630 | 4,833,238 | ||||||
Netlogic Microsystems, Inc.1 | 144,570 | 5,843,519 | ||||||
Xilinx, Inc. | 96,110 | 3,505,132 | ||||||
30,480,425 | ||||||||
Software—8.7% | ||||||||
Ariba, Inc.1 | 153,020 | 5,274,599 | ||||||
Citrix Systems, Inc.1 | 113,650 | 9,092,000 | ||||||
Fortinet, Inc.1 | 399,300 | 10,896,897 | ||||||
Informatica Corp.1 | 146,290 | 8,547,725 |
Shares | Value | |||||||
Software Continued | ||||||||
MICROS Systems, Inc.1 | 67,950 | $ | 3,377,795 | |||||
Red Hat, Inc.1 | 144,910 | 6,651,369 | ||||||
Salesforce.com, Inc.1 | 26,080 | 3,885,398 | ||||||
SuccessFactors, Inc.1 | 135,950 | 3,996,930 | ||||||
TIBCO Software, Inc.1 | 296,780 | 8,612,556 | ||||||
60,335,269 | ||||||||
Materials—6.5% | ||||||||
Chemicals—3.9% | ||||||||
Airgas, Inc. | 48,650 | 3,407,446 | ||||||
Albemarle Corp. | 139,820 | 9,675,544 | ||||||
CF Industries Holdings, Inc. | 42,750 | 6,056,393 | ||||||
Rockwood Holdings, Inc.1 | 149,740 | 8,279,125 | ||||||
27,418,508 | ||||||||
Containers & Packaging—0.6% | ||||||||
Rock-Tenn Co., Cl. A | 60,240 | 3,996,322 | ||||||
Metals & Mining—2.0% | ||||||||
Allied Nevada Gold Corp.1 | 84,800 | 2,999,376 | ||||||
Molycorp, Inc.1 | 92,000 | 5,617,520 | ||||||
Silver Wheaton Corp. | 106,220 | 3,505,260 | ||||||
Walter Industries, Inc. | 13,630 | 1,578,354 | ||||||
13,700,510 | ||||||||
Telecommunication Services—1.8% | ||||||||
Wireless Telecommunication Services—1.8% | ||||||||
MetroPCS Communications, Inc.1 | 276,800 | 4,763,728 | ||||||
NII Holdings, Inc.1 | 82,640 | 3,502,283 | ||||||
SBA Communications Corp.1 | 114,090 | 4,357,087 | ||||||
12,623,098 | ||||||||
Total Common Stocks (Cost $481,873,786) | 677,059,772 | |||||||
Investment Company—3.0% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%2,3 (Cost $20,695,244) | 20,695,244 | 20,695,244 | ||||||
Total Investments, at Value (Cost $502,569,030) | 100.9 | % | 697,755,016 | |||||
Liabilities in Excess of Other Assets | (0.9 | ) | (6,233,152 | ) | ||||
Net Assets | 100.0 | % | $ | 691,521,864 | ||||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 2,477,343 | 161,187,920 | 142,970,019 | 20,695,244 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 20,695,244 | $ | 7,512 |
3. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | 133,037,059 | $ | — | $ | — | $ | 133,037,059 | ||||||||
Consumer Staples | 44,655,239 | — | — | 44,655,239 | ||||||||||||
Energy | 48,867,933 | — | — | 48,867,933 | ||||||||||||
Financials | 36,428,404 | — | — | 36,428,404 | ||||||||||||
Health Care | 102,341,071 | — | — | 102,341,071 | ||||||||||||
Industrials | 109,975,081 | — | — | 109,975,081 | ||||||||||||
Information Technology | 144,016,547 | — | — | 144,016,547 | ||||||||||||
Materials | 45,115,340 | — | — | 45,115,340 | ||||||||||||
Telecommunication Services | 12,623,098 | — | — | 12,623,098 | ||||||||||||
Investment Company | 20,695,244 | — | — | 20,695,244 | ||||||||||||
Total Assets | $ | 697,755,016 | $ | — | $ | — | $ | 697,755,016 | ||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $481,873,786) | $ | 677,059,772 | ||
Affiliated companies (cost $20,695,244) | 20,695,244 | |||
697,755,016 | ||||
Cash | 34,274 | |||
Receivables and other assets: | ||||
Investments sold | 4,430,540 | |||
Dividends | 90,623 | |||
Shares of beneficial interest sold | 14,926 | |||
Other | 29,625 | |||
Total assets | 702,355,004 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 8,358,489 | |||
Shares of beneficial interest redeemed | 2,235,420 | |||
Shareholder communications | 125,583 | |||
Transfer and shareholder servicing agent fees | 54,329 | |||
Distribution and service plan fees | 24,881 | |||
Trustees’ compensation | 24,075 | |||
Other | 10,363 | |||
Total liabilities | 10,833,140 | |||
Net Assets | $ | 691,521,864 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 12,975 | ||
Additional paid-in capital | 715,685,126 | |||
Accumulated net investment loss | (1,946,715 | ) | ||
Accumulated net realized loss on investments | (217,415,508 | ) | ||
Net unrealized appreciation on investments | 195,185,986 | |||
Net Assets | $ | 691,521,864 | ||
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 $649,275,215 and 12,163,787 shares of beneficial interest outstanding) | $ | 53.38 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $42,246,649 and 811,525 shares of beneficial interest outstanding) | $ | 52.06 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $6,659) | $ | 811,970 | ||
Affiliated companies | 7,512 | |||
Interest | 283 | |||
Total investment income | 819,765 | |||
Expenses | ||||
Management fees | 2,403,814 | |||
Distribution and service plan fees—Service shares | 47,512 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 318,133 | |||
Service shares | 19,030 | |||
Shareholder communications: | ||||
Non-Service shares | 50,169 | |||
Service shares | 2,980 | |||
Trustees’ compensation | 13,840 | |||
Custodian fees and expenses | 2,912 | |||
Administration service fees | 750 | |||
Other | 20,608 | |||
Total expenses | 2,879,748 | |||
Less waivers and reimbursements of expenses | (134,102 | ) | ||
Net expenses | 2,745,646 | |||
Net Investment Loss | (1,925,881 | ) | ||
Realized and Unrealized Gain | ||||
Net realized gain on investments from unaffiliated companies | 85,472,559 | |||
Net change in unrealized appreciation/depreciation on investments | 8,616,302 | |||
Net Increase in Net Assets Resulting from Operations | $ | 92,162,980 | ||
Six Months | ||||||||
Ended | Year Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment loss | $ | (1,925,881 | ) | $ | (1,731,317 | ) | ||
Net realized gain | 85,472,559 | 74,149,150 | ||||||
Net change in unrealized appreciation/depreciation | 8,616,302 | 71,236,219 | ||||||
Net increase in net assets resulting from operations | 92,162,980 | 143,654,052 | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (49,879,554 | ) | (72,544,702 | ) | ||||
Service shares | 4,697,030 | (348,697 | ) | |||||
(45,182,524 | ) | (72,893,399 | ) | |||||
Net Assets | ||||||||
Total increase | 46,980,456 | 70,760,653 | ||||||
Beginning of period | 644,541,408 | 573,780,755 | ||||||
End of period (including accumulated net investment loss of $1,946,715 and $20,834, respectively) | $ | 691,521,864 | $ | 644,541,408 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 46.55 | $ | 36.52 | $ | 27.54 | $ | 54.07 | $ | 50.85 | $ | 49.39 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss1 | (.14 | ) | (.11 | ) | (.05 | ) | (.13 | ) | (.02 | ) | (.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 6.97 | 10.14 | 9.03 | (26.40 | ) | 3.24 | 1.48 | |||||||||||||||||
Total from investment operations | 6.83 | 10.03 | 8.98 | (26.53 | ) | 3.22 | 1.46 | |||||||||||||||||
Net asset value, end of period | $ | 53.38 | $ | 46.55 | $ | 36.52 | $ | 27.54 | $ | 54.07 | $ | 50.85 | ||||||||||||
Total Return, at Net Asset Value2 | 14.67 | % | 27.46 | % | 32.61 | % | (49.07 | )% | 6.33 | % | 2.96 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 649,275 | $ | 611,872 | $ | 547,683 | $ | 461,684 | $ | 1,002,442 | $ | 1,054,809 | ||||||||||||
Average net assets (in thousands) | $ | 641,764 | $ | 548,739 | $ | 478,968 | $ | 754,170 | $ | 1,045,592 | $ | 1,135,831 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment loss | (0.56 | )% | (0.29 | )% | (0.17 | )% | (0.30 | )% | (0.04 | )% | (0.04 | )% | ||||||||||||
Total expenses4 | 0.84 | % | 0.85 | % | 0.86 | % | 0.71 | % | 0.69 | % | 0.69 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.76 | % | 0.71 | % | 0.68 | % | 0.69 | % | 0.69 | % | ||||||||||||
Portfolio turnover rate | 49 | % | 95 | % | 102 | % | 78 | % | 112 | % | 56 | % |
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, 2011 | 0.84 | % | ||
Year Ended December 31, 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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 45.46 | $ | 35.75 | $ | 27.03 | $ | 53.22 | $ | 50.19 | $ | 48.87 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss1 | (.20 | ) | (.20 | ) | (.13 | ) | (.24 | ) | (.17 | ) | (.16 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 6.80 | 9.91 | 8.85 | (25.95 | ) | 3.20 | 1.48 | |||||||||||||||||
Total from investment operations | 6.60 | 9.71 | 8.72 | (26.19 | ) | 3.03 | 1.32 | |||||||||||||||||
Net asset value, end of period | $ | 52.06 | $ | 45.46 | $ | 35.75 | $ | 27.03 | $ | 53.22 | $ | 50.19 | ||||||||||||
Total Return, at Net Asset Value2 | 14.52 | % | 27.16 | % | 32.26 | % | (49.21 | )% | 6.04 | % | 2.70 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 42,247 | $ | 32,669 | $ | 26,098 | $ | 21,952 | $ | 47,270 | $ | 47,131 | ||||||||||||
Average net assets (in thousands) | $ | 38,378 | $ | 27,552 | $ | 22,605 | $ | 35,815 | $ | 49,421 | $ | 44,273 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment loss | (0.81 | )% | (0.53 | )% | (0.44 | )% | (0.57 | )% | (0.31 | )% | (0.33 | )% | ||||||||||||
Total expenses4 | 1.09 | % | 1.10 | % | 1.12 | % | 0.98 | % | 0.96 | % | 0.97 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.01 | % | 0.97 | % | 0.95 | % | 0.96 | % | 0.97 | % | ||||||||||||
Portfolio turnover rate | 49 | % | 95 | % | 102 | % | 78 | % | 112 | % | 56 | % |
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, 2011 | 1.09 | % | ||
Year Ended December 31, 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 | % |
Expiring | ||||
2017 | �� | $ | 301,034,992 |
Federal tax cost of securities | $ | 504,539,582 | ||
Gross unrealized appreciation | $ | 198,818,208 | ||
Gross unrealized depreciation | (5,602,774 | ) | ||
Net unrealized appreciation | $ | 193,215,434 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 327,499 | $ | 16,537,314 | 660,517 | $ | 26,701,795 | ||||||||||
Redeemed | (1,308,138 | ) | (66,416,868 | ) | (2,513,826 | ) | (99,246,497 | ) | ||||||||
Net decrease | (980,639 | ) | $ | (49,879,554 | ) | (1,853,309 | ) | $ | (72,544,702 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 207,904 | $ | 10,344,328 | 170,363 | $ | 6,822,078 | ||||||||||
Redeemed | (115,081 | ) | (5,647,298 | ) | (181,692 | ) | (7,170,775 | ) | ||||||||
Net increase (decrease) | 92,823 | $ | 4,697,030 | (11,329 | ) | $ | (348,697 | ) | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 336,989,949 | $ | 404,060,434 |
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 |
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
June 30, 2011 Oppenheimer Balanced Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMI ANNUAL REPORT Fund Performance Discussion Listing of Top Holdings Financial Statements |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 4.28 | % | ||
Service Shares | 4.16 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 21.07 | % | –1.20 | % | 1.52 | % | ||||||
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/02) | ||||||||||
Service Shares | 20.88 | % | –1.44 | % | 1.88 | % |
For the Fiscal Year Ended 12/31/10
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.92 | % | 0.66 | % | ||||
Service Shares | 1.17 | 0.91 |
Top Ten Common Stock Holdings | ||||
Take-Two Interactive Software, Inc. | 6.9 | % | ||
Mylan, Inc. | 3.0 | |||
Chevron Corp. | 2.5 | |||
Google, Inc., Cl. A | 2.5 | |||
Nestle SA | 2.3 | |||
JPMorgan Chase & Co. | 2.3 | |||
Jupiter Telecommunications Co. Ltd. | 2.1 | |||
QUALCOMM, Inc. | 2.0 | |||
MetLife, Inc. | 1.9 | |||
eBay, Inc. | 1.8 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2011 | June 30, 2011 | June 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,042.80 | $ | 3.40 | ||||||
Service Shares | 1,000.00 | 1,041.60 | 4.67 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.47 | 3.36 | |||||||||
Service Shares | 1,000.00 | 1,020.23 | 4.62 |
Class | Expense Ratios | |||
Non-Service shares | 0.67 | % | ||
Service shares | 0.92 |
Shares | Value | |||||||
Common Stocks—50.3% | ||||||||
Consumer Discretionary—2.8% | ||||||||
Media—2.1% | ||||||||
Jupiter Telecommunications Co. Ltd. | 4,393 | $ | 4,911,128 | |||||
Multiline Retail—0.7% | ||||||||
Target Corp. | 34,730 | 1,629,184 | ||||||
Consumer Staples—3.9% | ||||||||
Food & Staples Retailing—0.7% | ||||||||
CVS Caremark Corp. | 44,100 | 1,657,278 | ||||||
Food Products—2.3% | ||||||||
Nestle SA | 87,780 | 5,455,254 | ||||||
Tobacco—0.9% | ||||||||
Altria Group, Inc. | 83,010 | 2,192,294 | ||||||
Energy—4.8% | ||||||||
Energy Equipment & Services—0.5% | ||||||||
Schlumberger Ltd. | 13,460 | 1,162,944 | ||||||
Oil, Gas & Consumable Fuels—4.3% | ||||||||
BP plc, ADR | 29,250 | 1,295,483 | ||||||
Chevron Corp. | 56,870 | 5,848,511 | ||||||
CONSOL Energy, Inc. | 31,300 | 1,517,424 | ||||||
Exxon Mobil Corp. | 15,430 | 1,255,693 | ||||||
9,917,111 | ||||||||
Financials—7.4% | ||||||||
Capital Markets—0.5% | ||||||||
Goldman Sachs Group, Inc. (The) | 8,180 | 1,088,676 | ||||||
Commercial Banks—0.8% | ||||||||
M&T Bank Corp. | 20,090 | 1,766,916 | ||||||
Diversified Financial Services—2.3% | ||||||||
JPMorgan Chase & Co. | 132,900 | 5,440,926 | ||||||
Insurance—3.8% | ||||||||
ACE Ltd. | 26,440 | 1,740,281 | ||||||
Everest Re Group Ltd. | 34,210 | 2,796,668 | ||||||
MetLife, Inc. | 98,430 | 4,318,124 | ||||||
8,855,073 | ||||||||
Health Care—9.8% | ||||||||
Biotechnology—3.1% | ||||||||
Amgen, Inc.1 | 46,400 | 2,707,440 | ||||||
Gilead Sciences, Inc.1 | 77,790 | 3,221,284 | ||||||
Vanda Pharmaceuticals, Inc.1 | 199,000 | 1,420,860 | ||||||
7,349,584 | ||||||||
Health Care Providers & Services—2.1% | ||||||||
Humana, Inc. | 31,730 | 2,555,534 | ||||||
WellPoint, Inc. | 30,050 | 2,367,039 | ||||||
4,922,573 | ||||||||
Pharmaceuticals—4.6% | ||||||||
Merck & Co., Inc. | 56,567 | 1,996,249 | ||||||
Mylan, Inc.1 | 281,030 | 6,933,010 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | 35,740 | 1,723,383 | ||||||
10,652,642 | ||||||||
Industrials—3.0% | ||||||||
Aerospace & Defense—0.0% | ||||||||
AerCap Holdings NV1 | 4,500 | 58,545 | ||||||
Airlines—0.7% | ||||||||
United Continental Holdings, Inc.1 | 69,580 | 1,574,595 | ||||||
Electrical Equipment—0.8% | ||||||||
Cooper Industries plc | 30,490 | 1,819,338 | ||||||
Machinery—1.5% | ||||||||
Ingersoll-Rand plc | 76,350 | 3,467,054 | ||||||
Information Technology—16.2% | ||||||||
Communications Equipment—2.0% | ||||||||
Orbcomm, Inc.1 | 375 | 1,174 | ||||||
QUALCOMM, Inc. | 83,900 | 4,764,681 | ||||||
4,765,855 | ||||||||
Internet Software & Services—4.3% | ||||||||
eBay, Inc.1 | 128,390 | 4,143,145 | ||||||
Google, Inc., Cl. A1 | 11,310 | 5,727,158 | ||||||
9,870,303 | ||||||||
Software—9.9% | ||||||||
Microsoft Corp. | 73,290 | 1,905,540 | ||||||
Oracle Corp. | 64,350 | 2,117,759 | ||||||
Take-Two Interactive Software, Inc.1 | 1,048,576 | 16,022,241 | ||||||
THQ, Inc.1 | 853,300 | 3,088,946 | ||||||
23,134,486 | ||||||||
Materials—1.7% | ||||||||
Chemicals—1.7% | ||||||||
Celanese Corp., Series A | 46,000 | 2,452,260 | ||||||
LyondellBasell Industries NV, Cl. A | 30,300 | 1,167,156 | ||||||
Mosaic Co. (The) | 3,850 | 260,761 | ||||||
3,880,177 | ||||||||
Metals & Mining—0.0% | ||||||||
Kaiser Aluminum Corp. | 114 | 6,227 | ||||||
Telecommunication Services—0.0% | ||||||||
Diversified Telecommunication Services—0.0% | ||||||||
XO Holdings, Inc.1 | 85 | 60 | ||||||
Utilities—0.7% | ||||||||
Electric Utilities—0.7% | ||||||||
Edison International, Inc. | 40,500 | 1,569,375 | ||||||
Total Common Stocks (Cost $104,873,892) | 117,147,598 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—4.3% | ||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/132 | $ | 125,000 | $ | 125,587 | ||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 | 30,000 | 30,052 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/152 | 200,000 | 205,820 | ||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 | 126,923 | 128,422 | ||||||
AmeriCredit Automobile Receivables Trust 2010-4, Automobile Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 | 390,000 | 404,563 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 | 60,000 | 60,363 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: | ||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15 | 70,000 | 70,576 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 | 120,000 | 119,530 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivables Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 10,199 | 10,200 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 | 59,908 | 60,057 | ||||||
CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 | 65,000 | 64,975 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.296%, 7/25/363 | 212,337 | 200,856 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/152 | 60,125 | 63,938 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 180,000 | 191,899 | ||||||
Citibank Omni Master Trust, Credit Card Receivables: | ||||||||
Series 2009-A12, Cl. A12, 3.35%, 8/15/162 | 230,000 | 235,535 | ||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/182 | 220,000 | 240,727 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/182 | 220,000 | 238,268 | ||||||
Series 2009-A8, Cl. A8, 2.287%, 5/16/162,3 | 325,000 | 328,984 | ||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 0.987%, 1/20/413 | 240,000 | 241,120 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 0.926%, 2/25/333 | 8,285 | 7,939 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 | 248,225 | 202,503 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 | 138,010 | 117,976 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.306%, 6/25/473 | 480,000 | 427,325 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 | 210,000 | 212,219 | ||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/152 | 210,190 | 212,219 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/152 | 290,000 | 291,441 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/132 | 70,000 | 70,142 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 | 235,427 | 235,674 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.75%, 10/15/122 | 245,000 | 245,145 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts., Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 350,000 | 358,183 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.737%, 9/15/143 | 245,000 | 248,389 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.837%, 12/15/142,3 | 250,000 | 254,753 | ||||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 | 255,000 | 258,835 | ||||||
GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 | 105,000 | 108,014 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.736%, 10/20/142,3 | $ | 240,000 | $ | 243,612 | ||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/232 | 230,000 | 232,290 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/152 | 240,000 | 244,975 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.446%, 1/20/353 | 212,543 | 200,187 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.296%, 3/20/363 | 19,974 | 19,940 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.537%, 3/15/163 | 255,000 | 258,036 | ||||||
Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.836%, 1/26/152,3 | 405,000 | 407,592 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 | 220,000 | 221,111 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.337%, 1/15/152,3 | 240,000 | 242,676 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.286%, 9/25/363 | 33,125 | 33,005 | ||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 | 161,554 | 161,725 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 | 235,000 | 235,365 | ||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/132 | 221,195 | 221,828 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 | 245,000 | 243,574 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 | 294,613 | 294,981 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/172 | 200,000 | 199,820 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 | 215,000 | 215,552 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/142 | 105,000 | 105,108 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 | 5,000 | 5,070 | ||||||
Total Asset-Backed Securities (Cost $10,122,814) | 10,058,676 | |||||||
Mortgage-Backed Obligations—27.0% | ||||||||
Government Agency—21.7% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—21.3% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 6/1/40 | 429,322 | 458,641 | ||||||
5.50%, 9/1/39 | 1,130,891 | 1,222,993 | ||||||
7%, 10/1/37 | 867,944 | 1,000,017 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2006-11, Cl. PS, 23.885%, 3/25/363 | 225,651 | 298,212 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17 | 352,599 | 381,597 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 388,604 | 440,214 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33 | 587,188 | 633,514 | ||||||
Series 2638, Cl. KG, 4%, 11/1/27 | 7,978 | 7,978 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 | 235,951 | 238,689 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17 | 89,052 | 89,814 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 48,565 | 48,832 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28 | 29,921 | 30,007 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 | 14,235 | 14,287 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 201,235 | 205,105 | ||||||
Series 3025, Cl. SJ, 24.064%, 8/15/353 | 66,989 | 87,722 | ||||||
Series 3094, Cl. HS, 23.698%, 6/15/343 | 132,301 | 169,497 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 | 103,389 | 105,184 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 305,116 | 323,169 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 32,180 | 32,512 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 17.84%, 4/1/275 | 163,418 | 32,135 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Series 192, Cl. IO, 14.084%, 2/1/285 | $ | 46,383 | $ | 9,450 | ||||
Series 2130, Cl. SC, 53.282%, 3/15/295 | 129,357 | 24,648 | ||||||
Series 243, Cl. 6, 1.759%, 12/15/325 | 155,867 | 30,654 | ||||||
Series 2527, Cl. SG, 43.425%, 2/15/325 | 34,046 | 1,432 | ||||||
Series 2531, Cl. ST, 27.011%, 2/15/305 | 545,590 | 23,744 | ||||||
Series 2796, Cl. SD, 69.167%, 7/15/265 | 189,890 | 34,710 | ||||||
Series 2802, Cl. AS, 70.684%, 4/15/335 | 156,042 | 14,928 | ||||||
Series 2920, Cl. S, 68.177%, 1/15/355 | 1,009,460 | 162,804 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/265 | 138,317 | 19,648 | ||||||
Series 3451, Cl. SB, 29.003%, 5/15/385 | 846,758 | 111,027 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.612%, 6/1/266 | 46,360 | 40,191 | ||||||
Federal National Mortgage Assn.: | ||||||||
4%, 7/1/267 | 235,000 | 244,841 | ||||||
4.50%, 7/1/26-7/1/417 | 8,387,000 | 8,725,384 | ||||||
5%, 8/1/417 | 8,567,000 | 9,079,684 | ||||||
5.50%, 9/25/20 | 10,436 | 11,404 | ||||||
5.50%, 7/1/26-7/1/417 | 5,149,000 | 5,568,997 | ||||||
6%, 3/1/37 | 728,774 | 803,293 | ||||||
6%, 7/1/417 | 3,065,000 | 3,367,191 | ||||||
6.50%, 8/1/417 | 1,305,000 | 1,474,039 | ||||||
7%, 11/1/17 | 155,715 | 164,130 | ||||||
7.50%, 1/1/33 | 192,073 | 225,176 | ||||||
8.50%, 7/1/32 | 5,765 | 6,610 | ||||||
Federal National Mortgage Assn., 15 yr., 3.50%, 6/1/267 | 2,790,000 | 2,841,442 | ||||||
Federal National Mortgage Assn., 30 yr., 4%, 8/1/417 | 3,505,000 | 3,495,691 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 139,394 | 155,709 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 885,469 | 946,398 | ||||||
Trust 2004-81, Cl. KC, 4.50%, 4/1/17 | 131,852 | 132,705 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 167,334 | 170,833 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 | 700,000 | 776,676 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 159,488 | 161,627 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 62,892 | 63,817 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 74,527 | 76,025 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | 346,343 | 369,585 | ||||||
Trust 2006-46, Cl. SW, 23.518%, 6/25/363 | 170,124 | 218,094 | ||||||
Trust 2009-36, Cl. FA, 1.126%, 6/25/373 | 401,087 | 405,070 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 | 526,287 | 554,284 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 | 610,598 | 649,649 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 | 220,671 | 226,960 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 | 295,093 | 320,714 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-65, Cl. S, 51.512%, 11/25/315 | 391,494 | 68,650 | ||||||
Trust 2001-81, Cl. S, 40.998%, 1/25/325 | 90,598 | 16,985 | ||||||
Trust 2002-47, Cl. NS, 41.161%, 4/25/325 | 208,093 | 39,996 | ||||||
Trust 2002-51, Cl. S, 41.438%, 8/25/325 | 191,079 | 36,911 | ||||||
Trust 2002-52, Cl. SD, 49.507%, 9/25/325 | 239,386 | 47,687 | ||||||
Trust 2002-77, Cl. SH, 50.869%, 12/18/325 | 130,420 | 26,106 | ||||||
Trust 2002-84, Cl. SA, 52.219%, 12/25/325 | 349,010 | 65,275 | ||||||
Trust 2002-9, Cl. MS, 40.286%, 3/25/325 | 137,856 | 26,911 | ||||||
Trust 2003-33, Cl. SP, 52.368%, 5/25/335 | 403,022 | 69,001 | ||||||
Trust 2003-4, Cl. S, 48.539%, 2/25/335 | 225,061 | 42,237 | ||||||
Trust 2003-46, Cl. IH, 0%, 6/1/235,8 | 1,247,766 | 177,711 | ||||||
Trust 2003-89, Cl. XS, 92.524%, 11/25/325 | 123,521 | 9,384 | ||||||
Trust 2004-54, Cl. DS, 59.579%, 11/25/305 | 200,991 | 30,155 | ||||||
Trust 2005-14, Cl. SE, 48.205%, 3/25/355 | 148,841 | 18,829 | ||||||
Trust 2005-40, Cl. SA, 70.899%, 5/25/355 | 556,958 | 93,846 | ||||||
Trust 2005-71, Cl. SA, 66.006%, 8/25/255 | 583,940 | 84,078 | ||||||
Trust 2005-93, Cl. SI, 23.446%, 10/25/355 | 107,336 | 16,942 | ||||||
Trust 2006-129, Cl. SM, 22.615%, 1/25/375 | 696,768 | 112,941 | ||||||
Trust 2006-60, Cl. DI, 48.297%, 4/25/355 | 93,363 | 13,091 | ||||||
Trust 2007-88, Cl. XI, 32.886%, 6/25/375 | 613,478 | 89,449 | ||||||
Trust 2008-55, Cl. SA, 26.50%, 7/25/385 | 446,582 | 43,777 | ||||||
Trust 2008-67, Cl. KS, 50.655%, 8/25/345 | 242,744 | 23,653 | ||||||
Trust 222, Cl. 2, 28.212%, 6/1/235 | 353,486 | 66,862 | ||||||
Trust 233, Cl. 2, 40.434%, 8/1/235 | 337,492 | 65,478 | ||||||
Trust 252, Cl. 2, 39.133%, 11/1/235 | 295,563 | 55,756 | ||||||
Trust 319, Cl. 2, 10.095%, 2/1/325 | 92,086 | 21,368 | ||||||
Trust 331, Cl. 9, 14.472%, 2/1/335 | 280,155 | 59,228 | ||||||
Trust 334, Cl. 17, 22.265%, 2/1/335 | 162,795 | 38,068 | ||||||
Trust 339, Cl. 12, 1.704%, 7/1/335 | 275,721 | 49,367 | ||||||
Trust 339, Cl. 7, 28.476%, 7/1/335 | 940,666 | 156,978 | ||||||
Trust 343, Cl. 13, 5.749%, 9/1/335 | 256,975 | 45,290 | ||||||
Trust 345, Cl. 9, 49.759%, 1/1/345 | 390,193 | 81,842 | ||||||
Trust 351, Cl. 10, 0.722%, 4/1/345 | 39,489 | 6,659 | ||||||
Trust 351, Cl. 8, 6.704%, 4/1/345 | 122,765 | 20,657 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 356, Cl. 10, 19.823%, 6/1/355 | $ | 97,501 | $ | 16,425 | ||||
Trust 356, Cl. 12, 22.324%, 2/1/355 | 51,226 | 8,561 | ||||||
Trust 362, Cl. 13, 1.357%, 8/1/355 | 373,775 | 63,828 | ||||||
Trust 364, Cl. 16, 14.676%, 9/1/355 | 270,841 | 51,235 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 3.929%, 9/25/236 | 130,281 | 114,294 | ||||||
49,604,894 | ||||||||
GNMA/Guaranteed—0.2% | ||||||||
Government National Mortgage Assn., 8%, 4/15/23 | 54,539 | 64,415 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-21, Cl. SB, 88.157%, 1/16/275 | 229,444 | 42,958 | ||||||
Series 2002-15, Cl. SM, 79.685%, 2/16/325 | 268,352 | 52,214 | ||||||
Series 2002-76, Cl. SY, 78.523%, 12/16/265 | 579,459 | 115,593 | ||||||
Series 2004-11, Cl. SM, 75.69%, 1/17/305 | 211,017 | 47,661 | ||||||
Series 2007-17, Cl. AI, 21.74%, 4/16/375 | 513,008 | 89,846 | ||||||
412,687 | ||||||||
Other Agency—0.2% | ||||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.75%, 12/8/203 | 362,286 | 364,351 | ||||||
Non-Agency—5.3% | ||||||||
Commercial—3.4% | ||||||||
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49 | 355,000 | 384,419 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.762%, 6/1/473 | 262,625 | 210,236 | ||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/442 | 73,081 | 73,301 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | 55,364 | 45,830 | ||||||
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 | 308,119 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 258,615 | 148,081 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/462 | 281,451 | 283,736 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.843%, 9/1/202,5 | 2,259,242 | 187,701 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 256,959 | 251,033 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 468,941 | 325,512 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2005-GG5, Commercial Mtg. Pass-Through Certificates, Series 2005-GG5, Cl. AM, 5.277%, 4/1/37 | 280,000 | 271,181 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 | 70,000 | 75,225 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 | 201,139 | 204,565 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.726%, 5/25/353 | 154,741 | 117,400 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.181%, 11/1/353 | 336,245 | 249,076 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/462 | $ | 226,649 | $ | 228,464 | ||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/432 | 340,000 | 332,686 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/494 | 140,000 | 140,929 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 | 355,000 | 369,847 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 | 40,000 | 42,944 | ||||||
Series 2007-LD11, Cl. A2, 5.802%, 6/15/493 | 270,000 | 277,554 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 5.87%, 4/1/453 | 55,000 | 57,085 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.932%, 2/1/493 | 60,000 | 58,305 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 | 354,050 | 281,704 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C3, Commercial Mtg. Pass-Through Certificates, Series 2006-C3, Cl. AM, 5.712%, 3/11/39 | 90,000 | 89,812 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40 | 210,000 | 212,474 | ||||||
Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 2.796%, 4/1/343 | 214,953 | 211,520 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 503,777 | 516,080 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.456%, 7/12/46 | 475,000 | 472,508 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.313%, 12/1/493 | 215,000 | 213,043 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.244%, 7/1/373 | 311,149 | 207,321 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 | 260,000 | 281,024 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.665%, 12/1/353 | 165,182 | 142,216 | ||||||
Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/432 | 182,953 | 183,807 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.088%, 11/1/373 | 234,616 | 191,410 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 6.192%, 3/1/445 | 2,855,000 | 271,078 | ||||||
7,917,226 | ||||||||
Multifamily—0.4% | ||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.688%, 6/1/363 | 219,183 | 192,204 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 | 256,341 | 257,787 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.557%, 5/1/373 | 46,635 | 40,531 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.819%, 3/25/363 | 544,442 | 460,974 | ||||||
951,496 | ||||||||
Other—0.2% | ||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 | 320,000 | 343,711 |
Principal | ||||||||
Amount | Value | |||||||
Residential—1.3% | ||||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.58%, 5/1/363 | $ | 80,000 | $ | 73,255 | ||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.867%, 6/1/343 | 142,878 | 130,259 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 65,595 | 57,761 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.383%, 11/1/353 | 290,439 | 215,691 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 219,209 | 208,668 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 5.823%, 12/1/493 | 300,000 | 332,634 | ||||||
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 | 742,621 | 568,508 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 | 205,935 | 159,894 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 216,389 | 208,062 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 122,871 | 108,743 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 133,504 | 136,482 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 25,775 | 15,610 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 42,376 | 34,760 | ||||||
Thornburg Mortgage Securities Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A2, 0.336%, 11/25/463 | 239,528 | 236,155 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.684%, 5/1/373 | 219,430 | 192,423 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 | 186,389 | 158,916 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.874%, 9/1/343 | 93,141 | 92,707 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.693%, 10/1/363 | 222,705 | 197,018 | ||||||
3,127,546 | ||||||||
Total Mortgage-Backed Obligations (Cost $61,586,448) | 62,721,911 | |||||||
U.S. Government Obligations—0.5% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
1.75%, 9/10/159 | 70,000 | 70,333 | ||||||
2.50%, 5/27/16 | 100,000 | 102,629 | ||||||
5%, 2/16/17 | 115,000 | 131,383 | ||||||
5.25%, 4/18/16 | 195,000 | 224,734 | ||||||
5.50%, 7/18/16 | 110,000 | 127,967 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
2.375%, 4/11/169 | 190,000 | 194,086 | ||||||
4.875%, 12/15/169 | 160,000 | 181,666 | ||||||
5%, 3/15/16 | 120,000 | 136,841 | ||||||
Total U.S. Government Obligations (Cost $1,138,722) | 1,169,639 | |||||||
Non-Convertible Corporate Bonds and Notes—13.3% | ||||||||
Consumer Discretionary—1.8% | ||||||||
Diversified Consumer Services—0.1% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 230,000 | 247,825 | ||||||
Hotels, Restaurants & Leisure—0.3% | ||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/152 | 340,000 | 357,662 |
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure Continued | ||||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 | $ | 255,000 | $ | 286,750 | ||||
644,412 | ||||||||
Household Durables—0.3% | ||||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 | 173,000 | 192,401 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 | 223,000 | 238,756 | ||||||
Whirlpool Corp.: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 | 90,000 | 95,431 | ||||||
8% Sr. Unsec. Nts., 5/1/12 | 180,000 | 190,207 | ||||||
716,795 | ||||||||
Leisure Equipment & Products—0.1% | ||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 | 215,000 | 230,016 | ||||||
Media—0.8% | ||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 138,000 | 192,214 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 | 182,000 | 194,987 | ||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 | 78,000 | 86,769 | ||||||
Interpublic Group of Cos., Inc. (The): | ||||||||
6.25% Sr. Unsec. Nts., 11/15/14 | 80,000 | 89,000 | ||||||
10% Sr. Unsec. Nts., 7/15/17 | 264,000 | 313,500 | ||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 | 218,000 | 252,880 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 122,000 | 156,371 | ||||||
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 | 130,000 | 155,558 | ||||||
Virgin Media Secured Finance plc: | ||||||||
5.25% Sr. Sec. Nts., 1/15/212 | 132,000 | 140,738 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 | 282,000 | 310,553 | ||||||
1,892,570 | ||||||||
Multiline Retail—0.1% | ||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 | 235,000 | 230,736 | ||||||
Specialty Retail—0.1% | ||||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 240,000 | 240,000 | ||||||
Consumer Staples—0.8% | ||||||||
Food & Staples Retailing—0.1% | ||||||||
Wal-Mart Stores, Inc., 5.625% Sr. Unsec. Nts., 4/15/41 | 143,000 | 148,073 | ||||||
Food Products—0.3% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 29,000 | 31,276 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 155,000 | 189,145 | ||||||
Kraft Foods, Inc., 6% Sr. Unsec. Nts., 2/11/13 | 207,000 | 223,254 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 | 240,000 | 255,600 | ||||||
699,275 | ||||||||
Household Products—0.1% | ||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/212 | 239,000 | 236,349 | ||||||
Tobacco—0.3% | ||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 | 177,000 | 254,606 | ||||||
Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 | 142,000 | 156,654 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 | 206,000 | 227,805 | ||||||
639,065 | ||||||||
Energy—1.5% | ||||||||
Energy Equipment & Services—0.4% | ||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 | 305,000 | 308,487 | ||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 | 205,000 | 219,475 | ||||||
Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 | 150,000 | 155,212 | ||||||
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 | 170,000 | 173,776 | ||||||
856,950 | ||||||||
Oil, Gas & Consumable Fuels—1.1% | ||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 | 145,000 | 147,452 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 | 215,000 | 231,125 | ||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 | 330,000 | 370,843 | ||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/122 | 212,000 | 220,529 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 383,000 | 410,136 | ||||||
Kinder Morgan Energy Partners LP, 6.50% Sr. Unsec. Unsub. Nts., 9/1/39 | 110,000 | 114,597 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 245,000 | 245,160 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 212,000 | 231,080 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/142 | $ | 140,000 | $ | 153,832 | ||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/152 | 393,000 | 398,951 | ||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/212 | 165,000 | 162,146 | ||||||
2,685,851 | ||||||||
Financials—5.4% | ||||||||
Capital Markets—1.2% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/192 | 405,000 | 436,074 | ||||||
Credit Suisse Guernsey Ltd., 5.86% Jr. Sub. Perpetual Nts.10 | 336,000 | 322,728 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 255,000 | 241,846 | ||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/212 | 314,000 | 316,265 | ||||||
Morgan Stanley: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/202 | 90,000 | 91,200 | ||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 570,000 | 604,646 | ||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 | 223,000 | 225,963 | ||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 | 225,000 | 230,179 | ||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 | 94,000 | 95,647 | ||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.10 | 326,000 | 322,740 | ||||||
2,887,288 | ||||||||
Commercial Banks—1.2% | ||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/122 | 258,000 | 262,016 | ||||||
BNP Paribas SA, 5.186% Sub. Perpetual Nts.2,10 | 245,000 | 226,748 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 | 433,000 | 428,670 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353 | 600,000 | 570,000 | ||||||
Huntington Bancshares, Inc., 7% Sub. Nts., 12/15/20 | 245,000 | 276,550 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/202 | 253,000 | 238,908 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 | 349,000 | 378,665 | ||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 | 306,000 | 335,650 | ||||||
2,717,207 | ||||||||
Consumer Finance—0.2% | ||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 | 223,000 | 238,626 | ||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16 | 312,000 | 323,878 | ||||||
562,504 | ||||||||
Diversified Financial Services—0.9% | ||||||||
Bank of America Corp., 5.875% Sr. Unsec. Unsub. Nts., 1/5/21 | 95,000 | 99,816 | ||||||
Citigroup, Inc., 3.953% Sr. Unsec. Nts., 6/15/16 | 509,000 | 521,393 | ||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/672,3 | 275,000 | 244,063 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds10 | 255,000 | 235,875 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 | 665,000 | 716,700 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 352,000 | 391,371 | ||||||
2,209,218 | ||||||||
Insurance—1.5% | ||||||||
CNA Financial Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 | 197,000 | 203,669 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 | 235,000 | 244,613 | ||||||
Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 | 205,000 | 207,498 | ||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 | 228,000 | 224,647 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/132 | 320,000 | 272,190 | ||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/212 | 342,000 | 324,244 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 | 466,000 | 453,185 | ||||||
Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 | 255,000 | 261,831 | ||||||
Reinsurance Group of America, Inc., 5% Sr. Unsec. Nts., 6/1/21 | 331,000 | 327,874 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds2,10 | 455,000 | 439,555 | ||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 | 241,000 | 245,854 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/374,10 | 238,000 | 238,000 | ||||||
3,443,160 |
Principal | ||||||||
Amount | Value | |||||||
Real Estate Investment Trusts—0.4% | ||||||||
AvalonBay Communities, Inc., | ||||||||
6.625% Sr. Unsec. Unsub. Nts., 9/15/11 | $ | 100,000 | $ | 101,140 | ||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 | 123,000 | 127,115 | ||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 | 54,000 | 55,780 | ||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 | 93,000 | 94,967 | ||||||
Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 | 225,000 | 228,865 | ||||||
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/122 | 226,000 | 237,521 | ||||||
845,388 | ||||||||
Health Care—0.3% | ||||||||
Biotechnology—0.1% | ||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 | 149,000 | 146,466 | ||||||
Health Care Providers & Services—0.1% | ||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 | 124,000 | 132,930 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 | 145,000 | 144,107 | ||||||
277,037 | ||||||||
Pharmaceuticals—0.1% | ||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/182 | 245,000 | 250,206 | ||||||
Industrials—0.7% | ||||||||
Aerospace & Defense—0.2% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 230,000 | 235,750 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 205,000 | 224,219 | ||||||
459,969 | ||||||||
Commercial Services & Supplies—0.2% | ||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 235,000 | 257,031 | ||||||
Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 | 195,000 | 196,136 | ||||||
453,167 | ||||||||
Industrial Conglomerates—0.3% | ||||||||
General Electric Capital Corp.: | ||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 | 215,000 | 222,622 | ||||||
5.25% Sr. Unsec. Nts., 10/19/12 | 34,000 | 35,850 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 | 428,000 | 440,305 | ||||||
698,777 | ||||||||
Information Technology—0.7% | ||||||||
Communications Equipment—0.2% | ||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 | 262,000 | 276,356 | ||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 | 93,000 | 96,109 | ||||||
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 | 220,000 | 224,879 | ||||||
597,344 | ||||||||
Electronic Equipment & Instruments—0.2% | ||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 | 430,000 | 435,882 | ||||||
Office Electronics—0.1% | ||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 | 223,000 | 240,149 | ||||||
Semiconductors & Semiconductor Equipment—0.1% | ||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 | 157,000 | 177,507 | ||||||
Software—0.1% | ||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 | 264,000 | 254,186 | ||||||
Materials—0.7% | ||||||||
Chemicals—0.3% | ||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 | 101,000 | 105,699 | ||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 | 198,000 | 201,499 | ||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 | 210,000 | 237,300 | ||||||
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 | 140,000 | 141,018 | ||||||
685,516 | ||||||||
Containers & Packaging—0.1% | ||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 | 210,000 | 227,302 | ||||||
Metals & Mining—0.3% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 330,000 | 360,938 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 | 14,000 | 15,414 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 75,000 | 81,648 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 132,000 | 147,192 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 | 94,000 | 99,397 | ||||||
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/162 | 35,000 | 39,222 | ||||||
743,811 |
Principal | ||||||||
Amount | Value | |||||||
Telecommunication Services—0.6% | ||||||||
Diversified Telecommunication Services—0.5% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | $ | 322,000 | 342,118 | |||||
British Telecommunications plc, 9.875% Bonds, 12/15/30 | 142,000 | 195,563 | ||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 | 82,000 | 79,097 | ||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 | 230,000 | 251,275 | ||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 | 225,000 | 255,375 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 140,000 | 152,233 | ||||||
1,275,661 | ||||||||
Wireless Telecommunication Services—0.1% | ||||||||
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 | 162,000 | 183,384 | ||||||
Utilities—0.8% | ||||||||
Electric Utilities—0.8% | ||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/122 | 202,000 | 212,979 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 | 138,000 | 143,961 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 | 239,000 | 244,523 | ||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 | 230,000 | 239,761 | ||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22 | 198,000 | 236,362 | ||||||
PPL WEM Holdings plc, 3.90% Sr. Unsec. Nts., 5/1/162 | 340,000 | 349,116 | ||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/192 | 235,000 | 302,264 | ||||||
1,728,966 | ||||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $29,866,492) | 30,968,012 | |||||||
Convertible Corporate Bonds and Notes—0.2% | ||||||||
Standard Chartered plc, 6.409% Cv. Jr. Unsec. Sub. Bonds, 1/29/492 (Cost $387,500) | 400,000 | 381,226 | ||||||
Shares | ||||||||
Investment Companies—19.3% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%11,12 (Cost $44,860,287) | 44,860,287 | 44,860,287 | ||||||
Total Investments, at Value (Cost $252,836,155) | 114.9 | % | 267,307,349 | |||||
Liabilities in Excess of Other Assets | (14.9 | ) | (34,576,829 | ) | ||||
Net Assets | 100.0 | % | $ | 232,730,520 | ||||
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 $11,994,159 or 5.15% of the Fund’s net assets as of June 30, 2011. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
4. | Restricted security. The aggregate value of restricted securities as of June 30, 2011 was $673,910, which represents 0.29% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 | 7/14/10 | $ | 138,250 | $ | 140,929 | $ | 2,679 | |||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 | 2/4/11-4/14/11 | 295,075 | 294,981 | (94 | ) | |||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 | 2/24/11 | 240,273 | 238,000 | (2,273 | ) | |||||||||||
$ | 673,598 | $ | 673,910 | $ | 312 | |||||||||||
Footnotes to Statement of Investments Continued | ||
5. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $3,233,448 or 1.39% of the Fund’s net assets as of June 30, 2011. | |
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 $154,485 or 0.07% of the Fund’s net assets as of June 30, 2011. | |
7. | When-issued security or delayed delivery to be delivered and settled after June 30, 2011. See Note 1 of the 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. | 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 $303,075. See Note 5 of the accompanying Notes. | |
10. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
11. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 45,755,638 | 38,711,314 | 39,606,665 | 44,860,287 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 44,860,287 | $41,560 |
12. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | 6,540,312 | $ | — | $ | — | $ | 6,540,312 | ||||||||
Consumer Staples | 9,304,826 | — | — | 9,304,826 | ||||||||||||
Energy | 11,080,055 | — | — | 11,080,055 | ||||||||||||
Financials | 17,151,591 | — | — | 17,151,591 | ||||||||||||
Health Care | 22,924,799 | — | — | 22,924,799 | ||||||||||||
Industrials | 6,919,532 | — | — | 6,919,532 | ||||||||||||
Information Technology | 37,770,644 | — | — | 37,770,644 | ||||||||||||
Materials | 3,886,404 | — | — | 3,886,404 | ||||||||||||
Telecommunication Services | 60 | — | — | 60 | ||||||||||||
Utilities | 1,569,375 | — | — | 1,569,375 |
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value Continued | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 10,058,676 | $ | — | $ | 10,058,676 | ||||||||
Mortgage-Backed Obligations | — | 62,721,911 | — | 62,721,911 | ||||||||||||
U.S. Government Obligations | — | 1,169,639 | — | 1,169,639 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | — | 30,968,012 | — | 30,968,012 | ||||||||||||
Convertible Corporate Bonds and Notes | — | 381,226 | — | 381,226 | ||||||||||||
Investment Company | 44,860,287 | — | — | 44,860,287 | ||||||||||||
Total Investments, at Value | 162,007,885 | 105,299,464 | — | 267,307,349 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | 19,344 | — | — | 19,344 | ||||||||||||
Total Assets | $ | 162,027,229 | $ | 105,299,464 | $ | — | $ | 267,326,693 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | $ | (38,375 | ) | $ | — | $ | — | $ | (38,375 | ) | ||||||
Total Liabilities | $ | (38,375 | ) | $ | — | $ | — | $ | (38,375 | ) | ||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 71 | 9/21/11 | $ | 8,735,219 | $ | (91,097 | ) | ||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 44 | 9/30/11 | 9,651,125 | (2,083 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 24 | 9/30/11 | 2,860,688 | (299 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 22 | 9/21/11 | 2,691,219 | 26,425 | |||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 3 | 9/21/11 | 378,750 | (6,416 | ) | ||||||||||||||
$ | (73,470 | ) | ||||||||||||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $207,975,868) | $ | 222,447,062 | ||
Affiliated companies (cost $44,860,287) | 44,860,287 | |||
267,307,349 | ||||
Cash | 64,672 | |||
Receivables and other assets: | ||||
Investments sold (including $21,843,037 sold on a when-issued or delayed delivery basis) | 21,949,904 | |||
Interest, dividends and principal paydowns | 828,846 | |||
Futures margins | 19,344 | |||
Other | 17,139 | |||
Total assets | 290,187,254 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased (including $56,774,559 purchased on a when-issued or delayed delivery basis) | 57,032,663 | |||
Shares of beneficial interest redeemed | 230,839 | |||
Distribution and service plan fees | 54,104 | |||
Shareholder communications | 50,492 | |||
Futures margins | 38,375 | |||
Transfer and shareholder servicing agent fees | 19,124 | |||
Trustees’ compensation | 14,579 | |||
Other | 16,558 | |||
Total liabilities | 57,456,734 | |||
Net Assets | $ | 232,730,520 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 19,963 | ||
Additional paid-in capital | 279,856,668 | |||
Accumulated net investment income | 1,868,467 | |||
Accumulated net realized loss on investments and foreign currency transactions | (63,421,916 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 14,407,338 | |||
Net Assets | $ | 232,730,520 | ||
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 $145,528,065 and 12,435,740 shares of beneficial interest outstanding) | $ | 11.70 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $87,202,455 and 7,526,876 shares of beneficial interest outstanding) | $ | 11.59 |
Investment Income | ||||
Interest | $ | 1,933,786 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $34,186) | 832,663 | |||
Affiliated companies | 41,560 | |||
Total investment income | 2,808,009 | |||
Expenses | ||||
Management fees | 887,582 | |||
Distribution and service plan fees—Service shares | 111,537 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 74,526 | |||
Service shares | 44,616 | |||
Shareholder communications: | ||||
Non-Service shares | 16,872 | |||
Service shares | 10,100 | |||
Custodian fees and expenses | 7,557 | |||
Trustees’ compensation | 5,998 | |||
Administration service fees | 750 | |||
Other | 24,850 | |||
Total expenses | 1,184,388 | |||
Less waivers and reimbursements of expenses | (274,766 | ) | ||
Net expenses | 909,622 | |||
Net Investment Income | 1,898,387 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 10,875,086 | |||
Closing and expiration of futures contracts | (1,325 | ) | ||
Foreign currency transactions | 2,983 | |||
Net realized gain | 10,876,744 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (3,180,595 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | 576,030 | |||
Futures contracts | (65,798 | ) | ||
Net change in unrealized appreciation/depreciation | (2,670,363 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 10,104,768 | ||
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 1,898,387 | $ | 4,859,704 | ||||
Net realized gain | 10,876,744 | 16,046,665 | ||||||
Net change in unrealized appreciation/depreciation | (2,670,363 | ) | 7,623,134 | |||||
Net increase in net assets resulting from operations | 10,104,768 | 28,529,503 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (3,355,682 | ) | (2,184,050 | ) | ||||
Service shares | (1,802,307 | ) | (1,027,757 | ) | ||||
(5,157,989 | ) | (3,211,807 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (8,130,228 | ) | (25,243,141 | ) | ||||
Service shares | (4,287,828 | ) | (8,416,068 | ) | ||||
(12,418,056 | ) | (33,659,209 | ) | |||||
Net Assets | ||||||||
Total decrease | (7,471,277 | ) | (8,341,513 | ) | ||||
Beginning of period | 240,201,797 | 248,543,310 | ||||||
End of period (including accumulated net investment income of $1,868,467 and $5,128,069, respectively) | $ | 232,730,520 | $ | 240,201,797 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.47 | $ | 10.30 | $ | 8.45 | $ | 16.41 | $ | 17.69 | $ | 17.07 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .10 | .23 | .25 | .41 | .43 | .40 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .39 | 1.09 | 1.60 | (7.03 | ) | .19 | 1.38 | |||||||||||||||||
Total from investment operations | .49 | 1.32 | 1.85 | (6.62 | ) | .62 | 1.78 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.15 | ) | — | (.39 | ) | (.46 | ) | (.36 | ) | |||||||||||||
Distributions from net realized gain | — | — | — | (.95 | ) | (1.44 | ) | (.80 | ) | |||||||||||||||
Total dividends and/or distributions to shareholders | (.26 | ) | (.15 | ) | — | (1.34 | ) | (1.90 | ) | (1.16 | ) | |||||||||||||
Net asset value, end of period | $ | 11.70 | $ | 11.47 | $ | 10.30 | $ | 8.45 | $ | 16.41 | $ | 17.69 | ||||||||||||
Total Return, at Net Asset Value2 | 4.28 | % | 12.91 | % | 21.89 | % | (43.47 | )% | 3.79 | % | 11.15 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 145,528 | $ | 150,622 | $ | 159,797 | $ | 169,621 | $ | 385,948 | $ | 435,639 | ||||||||||||
Average net assets (in thousands) | $ | 150,264 | $ | 151,620 | $ | 159,013 | $ | 295,669 | $ | 418,103 | $ | 456,513 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.69 | % | 2.13 | % | 2.71 | % | 3.14 | % | 2.55 | % | 2.42 | % | ||||||||||||
Total expenses4 | 0.90 | % | 0.91 | % | 0.89 | % | 0.76 | % | 0.75 | % | 0.75 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.67 | % | 0.65 | % | 0.60 | % | 0.67 | % | 0.73 | % | 0.75 | % | ||||||||||||
Portfolio turnover rate5 | 31 | % | 54 | % | 87 | % | 67 | % | 68 | % | 76 | % |
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, 2011 | 0.92 | % | ||
Year Ended December 31, 2010 | 0.92 | % | ||
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, 2011 | $ | 260,638,507 | $ | 261,706,027 | ||||
Year Ended December 31, 2010 | $ | 412,930,431 | $ | 414,511,903 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.35 | $ | 10.19 | $ | 8.38 | $ | 16.28 | $ | 17.57 | $ | 16.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .08 | .20 | .22 | .37 | .38 | .36 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .39 | 1.08 | 1.59 | (6.97 | ) | .19 | 1.37 | |||||||||||||||||
Total from investment operations | .47 | 1.28 | 1.81 | (6.60 | ) | .57 | 1.73 | |||||||||||||||||
Dividends and/or distributions to shareholders: | �� | |||||||||||||||||||||||
Dividends from net investment income | (.23 | ) | (.12 | ) | — | (.35 | ) | (.42 | ) | (.33 | ) | |||||||||||||
Distributions from net realized gain | — | — | — | (.95 | ) | (1.44 | ) | (.80 | ) | |||||||||||||||
Total dividends and/or distributions to shareholders | (.23 | ) | (.12 | ) | — | (1.30 | ) | (1.86 | ) | (1.13 | ) | |||||||||||||
Net asset value, end of period | $ | 11.59 | $ | 11.35 | $ | 10.19 | $ | 8.38 | $ | 16.28 | $ | 17.57 | ||||||||||||
Total Return, at Net Asset Value2 | 4.16 | % | 12.68 | % | 21.60 | % | (43.62 | )% | 3.49 | % | 10.86 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 87,203 | $ | 89,580 | $ | 88,746 | $ | 68,798 | $ | 121,399 | $ | 111,363 | ||||||||||||
Average net assets (in thousands) | $ | 89,956 | $ | 87,280 | $ | 77,101 | $ | 100,164 | $ | 117,012 | $ | 100,010 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 1.44 | % | 1.87 | % | 2.42 | % | 2.90 | % | 2.30 | % | 2.17 | % | ||||||||||||
Total expenses4 | 1.15 | % | 1.16 | % | 1.15 | % | 1.01 | % | 1.00 | % | 1.01 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.92 | % | 0.90 | % | 0.85 | % | 0.92 | % | 0.98 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate5 | 31 | % | 54 | % | 87 | % | 67 | % | 68 | % | 76 | % |
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, 2011 | 1.17 | % | ||
Year Ended December 31, 2010 | 1.17 | % | ||
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, 2011 | $ | 260,638,507 | $ | 261,706,027 | ||||
Year Ended December 31, 2010 | $ | 412,930,431 | $ | 414,511,903 | ||||
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 |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $ | 56,774,559 | ||
Sold securities | 21,843,037 |
Expiring | ||||
2016 | $ | 28,551,951 | ||
2017 | 44,728,707 | |||
Total | $ | 73,280,658 | ||
Federal tax cost of securities | $ | 253,746,733 | ||
Federal tax cost of other investments | (6,015,593 | ) | ||
Total federal tax cost | $ | 247,731,140 | ||
Gross unrealized appreciation | $ | 26,489,726 | ||
Gross unrealized depreciation | (13,002,580 | ) | ||
Net unrealized appreciation | $ | 13,487,146 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 154,304 | $ | 1,805,130 | 272,126 | $ | 2,909,287 | ||||||||||
Dividends and/or distributions reinvested | 287,056 | 3,355,682 | 209,000 | 2,184,050 | ||||||||||||
Redeemed | (1,135,654 | ) | (13,291,040 | ) | (2,866,355 | ) | (30,336,478 | ) | ||||||||
Net decrease | (694,294 | ) | $ | (8,130,228 | ) | (2,385,229 | ) | $ | (25,243,141 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 210,047 | $ | 2,441,490 | 627,983 | $ | 6,716,376 | ||||||||||
Dividends and/or distributions reinvested | 155,505 | 1,802,307 | 99,204 | 1,027,757 | ||||||||||||
Redeemed | (734,646 | ) | (8,531,625 | ) | (1,542,514 | ) | (16,160,201 | ) | ||||||||
Net decrease | (369,094 | ) | $ | (4,287,828 | ) | (815,327 | ) | $ | (8,416,068 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 56,275,831 | $ | 68,039,672 | ||||
U.S. government and government agency obligations | 597,171 | 625,844 | ||||||
To Be Announced (TBA) mortgage-related securities | 260,638,507 | 261,706,027 |
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 |
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 | ||||||||
Interest rate contracts | Futures margins | $ | 19,344 | * | Futures margins | $ | 38,375 | * |
* | 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. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted | Closing and expiration | |||
for as Hedging Instruments | of futures contracts | |||
Interest rate contracts | $(1,325 | ) |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted | ||||
for as Hedging Instruments | Futures contracts | |||
Interest rate contracts | $(65,798 | ) |
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
Oppenheimer Capital Appreciation Fund/VA A Series of Oppenheimer Variable Account Funds Semiannual Report Fund Performance Discussion Listing of Top Holdings Financial Statements |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 5.47 | % | ||
Service Shares | 5.34 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 30.70 | % | 2.31 | % | 1.03 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/01) | ||||||||||
Service Shares | 30.37 | % | 2.05 | % | 3.18 | % |
For the Fiscal Year Ended 12/31/10
Non-Service Shares | 0.79 | % | ||
Service Shares | 1.04 |
Top Ten Common Stock Holdings | ||||
Apple, Inc. | 4.8 | % | ||
QUALCOMM, Inc. | 4.0 | |||
Oracle Corp. | 3.0 | |||
Google, Inc., Cl. A | 2.8 | |||
Occidental Petroleum Corp. | 2.4 | |||
ConocoPhillips | 1.9 | |||
Allergan, Inc. | 1.9 | |||
Caterpillar, Inc. | 1.8 | |||
Schlumberger Ltd. | 1.8 | |||
Thermo Fisher Scientific, Inc. | 1.8 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2011 | June 30, 2011 | June 30, 2011 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,054.70 | $ | 4.08 | ||||||
Service shares | 1,000.00 | 1,053.40 | 5.36 | |||||||||
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 |
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
Shares | Value | |||||||
Common Stocks—99.2% | ||||||||
Consumer Discretionary—12.9% | ||||||||
Auto Components—1.1% | ||||||||
Johnson Controls, Inc. | 315,770 | $ | 13,154,978 | |||||
Hotels, Restaurants & Leisure—1.7% | ||||||||
McDonald’s Corp. | 236,840 | 19,970,349 | ||||||
Internet & Catalog Retail—1.4% | ||||||||
Amazon.com, Inc.1 | 83,094 | 16,991,892 | ||||||
Media—1.5% | ||||||||
Walt Disney Co. (The) | 436,250 | 17,031,200 | ||||||
Specialty Retail—3.4% | ||||||||
Bed Bath & Beyond, Inc.1 | 80,200 | 4,681,274 | ||||||
O’Reilly Automotive, Inc.1 | 186,540 | 12,220,235 | ||||||
Tiffany & Co. | 116,230 | 9,126,380 | ||||||
TJX Cos., Inc. (The) | 260,520 | 13,685,116 | ||||||
39,713,005 | ||||||||
Textiles, Apparel & Luxury Goods—3.8% | ||||||||
Coach, Inc. | 275,420 | 17,607,601 | ||||||
Nike, Inc., Cl. B | 165,780 | 14,916,884 | ||||||
Polo Ralph Lauren Corp., Cl. A | 90,980 | 12,064,858 | ||||||
44,589,343 | ||||||||
Consumer Staples—8.6% | ||||||||
Beverages—3.2% | ||||||||
Brown-Forman Corp., Cl. B | 97,020 | 7,246,424 | ||||||
Coca-Cola Co. (The) | 278,100 | 18,713,349 | ||||||
SABMiller plc | 328,260 | 11,967,236 | ||||||
37,927,009 | ||||||||
Food & Staples Retailing—1.6% | ||||||||
Costco Wholesale Corp. | 227,270 | 18,463,415 | ||||||
Food Products—2.5% | ||||||||
Nestle SA | 282,008 | 17,525,921 | ||||||
Unilever NV CVA | 351,743 | 11,530,425 | ||||||
29,056,346 | ||||||||
Household Products—1.3% | ||||||||
Colgate-Palmolive Co. | 175,480 | 15,338,707 | ||||||
Energy—11.7% | ||||||||
Energy Equipment & Services—4.8% | ||||||||
Baker Hughes, Inc. | 40,340 | 2,927,070 | ||||||
Halliburton Co. | 384,160 | 19,592,160 | ||||||
National Oilwell Varco, Inc. | 158,690 | 12,411,145 | ||||||
Schlumberger Ltd. | 243,190 | 21,011,616 | ||||||
55,941,991 | ||||||||
Oil, Gas & Consumable Fuels—6.9% | ||||||||
Chevron Corp. | 178,070 | 18,312,719 | ||||||
ConocoPhillips | 303,920 | 22,851,745 | ||||||
EOG Resources, Inc. | 113,000 | 11,814,150 | ||||||
Occidental Petroleum Corp. | 269,810 | 28,071,032 | ||||||
81,049,646 | ||||||||
Financials—3.4% | ||||||||
Capital Markets—0.4% | ||||||||
Charles Schwab Corp. (The) | 313,010 | 5,149,015 | ||||||
Commercial Banks—1.0% | ||||||||
Standard Chartered plc | 227,540 | 5,981,840 | ||||||
Wells Fargo & Co. | 193,730 | 5,436,064 | ||||||
11,417,904 | ||||||||
Consumer Finance—1.0% | ||||||||
American Express Co. | 227,960 | 11,785,532 | ||||||
Diversified Financial Services—1.0% | ||||||||
IntercontinentalExchange, Inc.1 | 27,610 | 3,443,243 | ||||||
JPMorgan Chase & Co. | 211,760 | 8,669,454 | ||||||
12,112,697 | ||||||||
Health Care—14.0% | ||||||||
Biotechnology—0.8% | ||||||||
Celgene Corp.1 | 157,310 | 9,488,939 | ||||||
Health Care Equipment & Supplies—2.5% | ||||||||
Baxter International, Inc. | 258,710 | 15,442,400 | ||||||
Stryker Corp. | 228,820 | 13,429,446 | ||||||
28,871,846 | ||||||||
Health Care Providers & Services—1.5% | ||||||||
Express Scripts, Inc.1 | 229,700 | 12,399,206 | ||||||
Medco Health Solutions, Inc.1 | 95,260 | 5,384,095 | ||||||
17,783,301 | ||||||||
Life Sciences Tools & Services—3.1% | ||||||||
Illumina, Inc.1 | 93,620 | 7,035,543 | ||||||
Mettler-Toledo International, Inc.1 | 50,860 | 8,578,556 | ||||||
Thermo Fisher Scientific, Inc.1 | 322,140 | 20,742,595 | ||||||
36,356,694 | ||||||||
Pharmaceuticals—6.1% | ||||||||
Allergan, Inc. | 266,530 | 22,188,623 | ||||||
Bristol-Myers Squibb Co. | 518,100 | 15,004,176 | ||||||
Novo Nordisk AS, Cl. B | 158,146 | 19,847,424 | ||||||
Roche Holding AG | 86,708 | 14,510,634 | ||||||
71,550,857 | ||||||||
Industrials—16.2% | ||||||||
Aerospace & Defense—2.7% | ||||||||
Goodrich Corp. | 192,362 | 18,370,571 | ||||||
United Technologies Corp. | 146,220 | 12,941,932 | ||||||
31,312,503 |
Shares | Value | |||||||
Air Freight & Logistics—1.3% | ||||||||
United Parcel Service, Inc., Cl. B | 199,310 | $ | 14,535,678 | |||||
Electrical Equipment—2.8% | ||||||||
ABB Ltd. | 572,375 | 14,841,243 | ||||||
Emerson Electric Co. | 325,400 | 18,303,750 | ||||||
33,144,993 | ||||||||
Machinery—7.7% | ||||||||
Caterpillar, Inc. | 201,300 | 21,430,398 | ||||||
Danaher Corp. | 344,990 | 18,281,020 | ||||||
Deere & Co. | 141,710 | 11,683,990 | ||||||
Joy Global, Inc. | 201,837 | 19,222,956 | ||||||
Parker-Hannifin Corp. | 223,550 | 20,061,377 | ||||||
90,679,741 | ||||||||
Road & Rail—1.7% | ||||||||
Union Pacific Corp. | 191,650 | 20,008,260 | ||||||
Information Technology—26.5% | ||||||||
Communications Equipment—5.6% | ||||||||
Juniper Networks, Inc.1 | 587,510 | 18,506,565 | ||||||
QUALCOMM, Inc. | 832,090 | 47,254,391 | ||||||
65,760,956 | ||||||||
Computers & Peripherals—4.8% | ||||||||
Apple, Inc.1 | 168,740 | 56,640,956 | ||||||
Electronic Equipment & Instruments—1.3% | ||||||||
Corning, Inc. | 859,760 | 15,604,644 | ||||||
Internet Software & Services—4.1% | ||||||||
eBay, Inc.1 | 491,530 | 15,861,673 | ||||||
Google, Inc., Cl. A1 | 63,820 | 32,317,172 | ||||||
48,178,845 | ||||||||
IT Services—3.2% | ||||||||
Cognizant Technology Solutions Corp.1 | 214,300 | 15,716,762 | ||||||
International Business Machines Corp. | 69,710 | 11,958,751 | ||||||
Visa, Inc., Cl. A | 117,527 | 9,902,825 | ||||||
37,578,338 | ||||||||
Semiconductors & Semiconductor Equipment—1.5% | ||||||||
Broadcom Corp., Cl. A | 506,390 | 17,034,960 | ||||||
Software—6.0% | ||||||||
Intuit, Inc.1 | 337,270 | 17,490,822 | ||||||
Oracle Corp. | 1,065,140 | 35,053,757 | ||||||
Vmware, Inc., Cl. A1 | 176,650 | 17,705,630 | ||||||
70,250,209 | ||||||||
Materials—4.8% | ||||||||
Chemicals—3.3% | ||||||||
Albemarle Corp. | 95,070 | 6,578,844 | ||||||
Ecolab, Inc. | 228,710 | 12,894,670 | ||||||
Praxair, Inc. | 179,592 | 19,465,977 | ||||||
38,939,491 | ||||||||
Metals & Mining—1.5% | ||||||||
Barrick Gold Corp. | 94,850 | 4,295,757 | ||||||
Freeport-McMoRan Copper & Gold, | ||||||||
Inc., Cl. B | 254,460 | 13,460,934 | ||||||
17,756,691 | ||||||||
Telecommunication Services—1.1% | ||||||||
Wireless Telecommunication Services—1.1% | ||||||||
NII Holdings, Inc.1 | 304,890 | 12,921,236 | ||||||
Total Common Stocks (Cost $786,151,878) | 1,164,092,167 | |||||||
Investment Company—0.3% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%2,3 | ||||||||
(Cost $3,678,593) | 3,678,593 | 3,678,593 | ||||||
Total Investments, at Value (Cost $789,830,471) | 99.5 | % | 1,167,770,760 | |||||
Other Assets Net of Liabilities | 0.5 | 6,058,402 | ||||||
Net Assets | 100.0 | % | $ | 1,173,829,162 | ||||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 72,534 | 75,426,542 | 71,820,483 | 3,678,593 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 3,678,593 | $ | 3,109 |
3. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | 151,450,767 | $ | — | $ | — | $ | 151,450,767 | ||||||||
Consumer Staples | 100,785,477 | — | — | 100,785,477 | ||||||||||||
Energy | 136,991,637 | — | — | 136,991,637 | ||||||||||||
Financials | 40,465,148 | — | — | 40,465,148 | ||||||||||||
Health Care | 164,051,637 | — | — | 164,051,637 | ||||||||||||
Industrials | 189,681,175 | — | — | 189,681,175 | ||||||||||||
Information Technology | 311,048,908 | — | — | 311,048,908 | ||||||||||||
Materials | 56,696,182 | — | — | 56,696,182 | ||||||||||||
Telecommunication Services | 12,921,236 | — | — | 12,921,236 | ||||||||||||
Investment Company | 3,678,593 | — | — | 3,678,593 | ||||||||||||
Total Investments, at Value | 1,167,770,760 | — | — | 1,167,770,760 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | — | 2,815 | — | 2,815 | ||||||||||||
Total Assets | $ | 1,167,770,760 | $ | 2,815 | $ | — | $ | 1,167,773,575 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | $ | — | $ | (2,330 | ) | $ | — | $ | (2,330 | ) | ||||||
Total Liabilities | $ | — | $ | (2,330 | ) | $ | — | $ | (2,330 | ) | ||||||
Counterparty/ | Contract Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Bank of New York (The) | ||||||||||||||||||||||||
Euro (EUR) | Sell | 42 EUR | 7/1/11 | $ | 61,492 | $ | — | $ | 588 | |||||||||||||||
Citigroup | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 19 GBP | 7/1/11 | 30,189 | — | 108 | ||||||||||||||||||
Deutsche Bank Capital Corp. | ||||||||||||||||||||||||
Danish Krone (DKK) | Sell | 524 DKK | 7/1/11 | 101,860 | — | 963 | ||||||||||||||||||
JP Morgan Chase: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 577 GBP | 7/1/11 | 925,788 | — | 671 | ||||||||||||||||||
Swiss Franc (CHF) | Sell | 205 CHF | 7/1/11 | 244,346 | 2,815 | — | ||||||||||||||||||
2,815 | 671 | |||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 2,815 | $ | 2,330 | ||||||||||||||||||||
June 30, 2011 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $786,151,878) | $ | 1,164,092,167 | ||
Affiliated companies (cost $3,678,593) | 3,678,593 | |||
1,167,770,760 | ||||
Cash | 69,116 | |||
Unrealized appreciation on foreign currency exchange contracts | 2,815 | |||
Receivables and other assets: | ||||
Investments sold | 19,395,359 | |||
Dividends | 3,173,597 | |||
Shares of beneficial interest sold | 21,063 | |||
Other | 49,716 | |||
Total assets | 1,190,482,426 | |||
Liabilities | ||||
Unrealized depreciation on foreign currency exchange contracts | 2,330 | |||
Payables and other liabilities: | ||||
Investments purchased | 14,197,494 | |||
Shares of beneficial interest redeemed | 1,771,169 | |||
Shareholder communications | 267,447 | |||
Distribution and service plan fees | 259,167 | |||
Transfer and shareholder servicing agent fees | 93,910 | |||
Trustees’ compensation | 40,725 | |||
Other | 21,022 | |||
Total liabilities | 16,653,264 | |||
Net Assets | $ | 1,173,829,162 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 27,759 | ||
Additional paid-in capital | 1,128,000,393 | |||
Accumulated net investment income | 2,031,142 | |||
Accumulated net realized loss on investments and foreign currency transactions | (334,651,002 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 378,420,870 | |||
Net Assets | $ | 1,173,829,162 | ||
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 $745,669,132 and 17,584,051 shares of beneficial interest outstanding) | $ | 42.41 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $428,160,030 and 10,174,896 shares of beneficial interest outstanding) | $ | 42.08 |
For the Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $266,510) | $ | 8,666,481 | ||
Affiliated companies | 3,109 | |||
Interest | 512 | |||
Total investment income | 8,670,102 | |||
Expenses | ||||
Management fees | 3,971,378 | |||
Distribution and service plan fees—Service shares | 532,867 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 379,287 | |||
Service shares | 213,179 | |||
Shareholder communications: | ||||
Non-Service shares | 78,235 | |||
Service shares | 43,905 | |||
Trustees’ compensation | 27,755 | |||
Custodian fees and expenses | 19,418 | |||
Administration service fees | 750 | |||
Other | 33,518 | |||
Total expenses | 5,300,292 | |||
Less waivers and reimbursements of expenses | (33,860 | ) | ||
Net expenses | 5,266,432 | |||
Net Investment Income | 3,403,670 | |||
Realized and Unrealized Gain | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies | 20,587,357 | |||
Foreign currency transactions | 2,365,897 | |||
Net realized gain | 22,953,254 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 32,783,414 | |||
Translation of assets and liabilities denominated in foreign currencies | 4,320,797 | |||
Net change in unrealized appreciation/depreciation | 37,104,211 | |||
Net Increase in Net Assets Resulting from Operations | $ | 63,461,135 | ||
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 3,403,670 | $ | 3,239,641 | ||||
Net realized gain | 22,953,254 | 159,280,200 | ||||||
Net change in unrealized appreciation/depreciation | 37,104,211 | (38,941,658 | ) | |||||
Net increase in net assets resulting from operations | 63,461,135 | 123,578,183 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (2,685,368 | ) | (1,796,034 | ) | ||||
Service shares | (448,818 | ) | — | |||||
(3,134,186 | ) | (1,796,034 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (63,986,593 | ) | (385,079,054 | ) | ||||
Service shares | (17,586,595 | ) | (59,987,624 | ) | ||||
(81,573,188 | ) | (445,066,678 | ) | |||||
Net Assets | ||||||||
Total decrease | (21,246,239 | ) | (323,284,529 | ) | ||||
Beginning of period | 1,195,075,401 | 1,518,359,930 | ||||||
End of period (including accumulated net investment income of $2,031,142 and $1,761,658, respectively) | $ | 1,173,829,162 | $ | 1,195,075,401 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.35 | $ | 36.94 | $ | 25.67 | $ | 47.18 | $ | 41.43 | $ | 38.52 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .14 | .11 | .09 | .10 | .07 | .07 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 2.06 | 3.36 | 11.27 | (21.55 | ) | 5.78 | 2.98 | |||||||||||||||||
Total from investment operations | 2.20 | 3.47 | 11.36 | (21.45 | ) | 5.85 | 3.05 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.14 | ) | (.06 | ) | (.09 | ) | (.06 | ) | (.10 | ) | (.14 | ) | ||||||||||||
Net asset value, end of period | $ | 42.41 | $ | 40.35 | $ | 36.94 | $ | 25.67 | $ | 47.18 | $ | 41.43 | ||||||||||||
Total Return, at Net Asset Value2 | 5.47 | % | 9.42 | % | 44.52 | % | (45.52 | )% | 14.15 | % | 7.95 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 745,669 | $ | 771,086 | $ | 1,074,190 | $ | 829,931 | $ | 1,631,791 | $ | 1,598,967 | ||||||||||||
Average net assets (in thousands) | $ | 764,780 | $ | 976,242 | $ | 927,670 | $ | 1,256,525 | $ | 1,631,686 | $ | 1,615,352 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.66 | % | 0.31 | % | 0.29 | % | 0.25 | % | 0.15 | % | 0.17 | % | ||||||||||||
Total expenses4 | 0.80 | % | 0.79 | % | 0.78 | % | 0.66 | % | 0.65 | % | 0.67 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.79 | % | 0.78 | % | 0.66 | % | 0.65 | % | 0.67 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 58 | % | 46 | % | 67 | % | 59 | % | 47 | % |
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, 2011 | 0.80 | % | ||
Year Ended December 31, 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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 39.99 | $ | 36.64 | $ | 25.42 | $ | 46.78 | $ | 41.09 | $ | 38.23 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | .09 | .02 | .01 | — | 2 | (.05 | ) | (.03 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 2.04 | 3.33 | 11.21 | (21.36 | ) | 5.74 | 2.96 | |||||||||||||||||
Total from investment operations | 2.13 | 3.35 | 11.22 | (21.36 | ) | 5.69 | 2.93 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.04 | ) | ��� | — | 2 | — | — | 2 | (.07 | ) | ||||||||||||||
Net asset value, end of period | $ | 42.08 | $ | 39.99 | $ | 36.64 | $ | 25.42 | $ | 46.78 | $ | 41.09 | ||||||||||||
Total Return, at Net Asset Value3 | 5.34 | % | 9.15 | % | 44.15 | % | (45.66 | )% | 13.86 | % | 7.68 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 428,160 | $ | 423,989 | $ | 444,170 | $ | 313,931 | $ | 546,887 | $ | 463,140 | ||||||||||||
Average net assets (in thousands) | $ | 429,851 | $ | 427,640 | $ | 368,634 | $ | 454,558 | $ | 510,874 | $ | 426,539 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income (loss) | 0.42 | % | 0.06 | % | 0.03 | % | 0.00 | %5 | (0.10 | )% | (0.08 | )% | ||||||||||||
Total expenses6 | 1.05 | % | 1.04 | % | 1.04 | % | 0.91 | % | 0.91 | % | 0.92 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.04 | % | 1.03 | % | 0.91 | % | 0.91 | % | 0.92 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 58 | % | 46 | % | 67 | % | 59 | % | 47 | % |
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, 2011 | 1.05 | % | ||
Year Ended December 31, 2010 | 1.04 | % | ||
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 | % |
Expiring | ||||
2011 | $ | 23,369,993 | ||
2013 | 34,677,838 | |||
2016 | 113,637,770 | |||
2017 | 180,633,172 | |||
Total | $ | 352,318,773 | ||
Federal tax cost of securities | $ | 795,299,332 | ||
Gross unrealized appreciation | $ | 374,998,853 | ||
Gross unrealized depreciation | (2,527,425 | ) | ||
Net unrealized appreciation | $ | 372,471,428 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 608,516 | $ | 25,273,104 | 2,554,247 | $ | 93,160,063 | ||||||||||
Dividends and/or distributions reinvested | 63,634 | 2,685,368 | 48,307 | 1,796,034 | ||||||||||||
Redeemed | (2,200,104 | ) | (91,945,065 | ) | (12,572,941 | ) | (480,035,151 | ) | ||||||||
Net decrease | (1,527,954 | ) | $ | (63,986,593 | ) | (9,970,387 | ) | $ | (385,079,054 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 497,805 | $ | 20,531,367 | 1,613,467 | $ | 57,695,403 | ||||||||||
Dividends and/or distributions reinvested | 10,709 | 448,818 | — | — | ||||||||||||
Redeemed | (936,221 | ) | (38,566,780 | ) | (3,133,549 | ) | (117,683,027 | ) | ||||||||
Net decrease | (427,707 | ) | $ | (17,586,595 | ) | (1,520,082 | ) | $ | (59,987,624 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 160,526,616 | $ | 252,069,016 |
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 |
5. | Risk Exposures and the Use of Derivative Instruments Continue |
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 | ||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | $ | 2,815 | Unrealized depreciation on foreign currency exchange contracts | $ | 2,330 |
Derivatives Not Accounted for as | ||||
Hedging Instruments | Foreign currency transactions | |||
Foreign exchange contracts | $ | 10,229 |
Derivatives Not Accounted for as | Translation of assets and liabilities | |||
Hedging Instruments | denominated in foreign currencies | |||
Foreign exchange contracts | $ | 1,841 |
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
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 Manager | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
©2011 OppenheimerFunds, Inc. All rights reserved. |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 3.87 | % | ||
Service Shares | 3.77 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 8.06% | -3.11% | 0.92% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/02) | ||||||||||
Service Shares | 7.71% | -3.35% | 0.42% |
For the Fiscal Year Ended 12/31/10
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.80% | 0.71% | ||||||
Service Shares | 1.05 | 0.96 |
Insurance | 3.6 | % | ||
Commercial Banks | 3.2 | |||
Capital Markets | 3.0 | |||
Oil, Gas & Consumable Fuels | 2.8 | |||
Diversified Financial Services | 2.4 | |||
Media | 2.0 | |||
Electric Utilities | 1.9 | |||
Diversified Telecommunication Services | 1.4 | |||
Energy Equipment & Services | 0.9 | |||
Real Estate Investment Trusts | 0.9 |
Credit Rating Breakdown | NRSRO Only Total | |||
Agency | 43.0 | % | ||
AAA | 25.5 | |||
AA | 1.3 | |||
A | 8.3 | |||
BBB | 15.5 | |||
BB | 3.1 | |||
B | 0.5 | |||
CCC | 2.6 | |||
CC | 0.1 | |||
Other Securities | 0.1 | |||
Total | 100.0 | % |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2011 | June 30, 2011 | June 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,038.70 | $ | 3.80 | ||||||
Service shares | 1,000.00 | 1,037.70 | 5.06 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.08 | 3.77 | |||||||||
Service shares | 1,000.00 | 1,019.84 | 5.02 |
Class | Expense Ratios | |||
Non-Service shares | 0.75 | % | ||
Service shares | 1.00 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—10.2% | ||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/131 | $ | 235,000 | $ | 236,103 | ||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 | 280,000 | 280,488 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/151 | 660,000 | 679,206 | ||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 | 27,764 | 28,092 | ||||||
AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2, 0.77%, 12/9/13 | 403,892 | 404,291 | ||||||
AmeriCredit Automobile Receivables Trust 2010-4, Automobile Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 | 755,000 | 783,193 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 | 120,000 | 120,726 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: | ||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15 | 140,000 | 141,152 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 | 235,000 | 234,080 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivables Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 20,398 | 20,400 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 | 116,821 | 117,112 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.286%, 9/25/362 | 20,256 | 6,609 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.296%, 7/25/362 | 411,539 | 389,288 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/151 | 116,492 | 123,880 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 310,000 | 330,493 | ||||||
Citibank Omni Master Trust, Credit Card Receivables: | ||||||||
Series 2009-A12, Cl. A12, 3.35%, 8/15/161 | 445,000 | 455,710 | ||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/181 | 420,000 | 459,569 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/181 | 420,000 | 454,875 | ||||||
Series 2009-A8, Cl. A8, 2.287%, 5/16/161,2 | 620,000 | 627,600 | ||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 0.987%, 1/20/412 | 465,000 | 467,169 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 0.926%, 2/25/332 | 15,723 | 15,067 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 | 482,659 | 393,756 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 | 264,520 | 226,120 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.306%, 6/25/472 | 40,000 | 35,610 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 | 400,000 | 404,226 | ||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/151 | 415,254 | 419,261 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/151 | 570,000 | 572,832 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/131 | 134,000 | 134,273 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.296%, 6/25/362 | 1,617 | 1,612 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 | 461,244 | 461,729 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.75%, 10/15/121 | 505,000 | 505,299 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts., Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 670,000 | 685,665 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.737%, 9/15/142 | 470,000 | 476,502 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Ford Credit Floorplan Master OwnerTrust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.837%, 12/15/141,2 | $ | 490,000 | $ | 499,316 | ||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 | 490,000 | 497,370 | ||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.736%, 10/20/141,2 | 460,000 | 466,923 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/231 | 445,000 | 449,430 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/151 | 495,000 | 505,262 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.446%, 1/20/352 | 422,462 | 397,903 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.296%, 3/20/362 | 2,774 | 2,769 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.286%, 8/25/362 | 65,291 | 22,191 | ||||||
Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.836%, 1/26/151,2 | 790,000 | 795,055 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,4 | 3,370,016 | 286,451 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 | 440,000 | 442,221 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.337%, 1/15/151,2 | 485,000 | 490,407 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.286%, 9/25/362 | 2,484 | 2,475 | ||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 | 348,239 | 348,608 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 | 485,000 | 485,753 | ||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/131 | 425,632 | 426,852 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 | 465,000 | 462,293 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 | 558,445 | 559,143 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/171 | 395,000 | 394,645 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 | 440,000 | 441,130 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/141 | 205,000 | 205,211 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 | 340,000 | 344,773 | ||||||
Total Asset-Backed Securities (Cost $22,250,711) | 19,218,169 | |||||||
Mortgage-Backed Obligations—67.4% | ||||||||
Government Agency—54.9% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—54.6% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 12/15/34-6/1/40 | 86,474 | 92,382 | ||||||
5.50%, 9/1/39 | 1,428,494 | 1,544,833 | ||||||
6%, 5/15/18-10/15/29 | 2,913,635 | 3,218,127 | ||||||
6.50%, 4/15/18-4/1/34 | 658,674 | 736,041 | ||||||
7%, 8/15/16-10/1/37 | 815,677 | 939,166 | ||||||
8%, 4/1/16 | 202,995 | 224,279 | ||||||
9%, 8/1/22-5/1/25 | 70,333 | 80,562 | ||||||
10.50%, 11/14/20 | 2,808 | 3,238 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass- Through Certificates: | ||||||||
Series 151, Cl. F, 9%, 5/15/21 | $ | 16,490 | $ | 19,020 | ||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 53,872 | 60,750 | ||||||
Series 2006-11, Cl. PS, 23.885%, 3/25/362 | 433,865 | 573,380 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 5,926 | 6,894 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 | 18,730 | 21,918 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 703,274 | 799,548 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 | 52,381 | 55,955 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 7,313 | 8,402 | ||||||
Series 2066, Cl. Z, 6.50%, 6/15/28 | 911,278 | 1,033,942 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 622,984 | 721,419 | ||||||
Series 2220, Cl. PD, 8%, 3/15/30 | 2,892 | 3,435 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 184,258 | 215,644 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 846,108 | 959,315 | ||||||
Series 2470, Cl. LF, 1.187%, 2/15/322 | 7,799 | 7,915 | ||||||
Series 2500, Cl. FD, 0.687%, 3/15/322 | 163,171 | 164,009 | ||||||
Series 2526, Cl. FE, 0.587%, 6/15/292 | 238,778 | 239,630 | ||||||
Series 2538, Cl. F, 0.787%, 12/15/322 | 1,014,618 | 1,023,607 | ||||||
Series 2551, Cl. FD, 0.587%, 1/15/332 | 160,105 | 160,792 | ||||||
Series 2638, Cl. KG, 4%, 11/1/27 | 15,158 | 15,158 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 | 219,566 | 222,113 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17 | 132,713 | 133,848 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 113,744 | 114,371 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28 | 68,642 | 68,840 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 69,000 | 73,619 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 | 32,466 | 32,584 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 305,446 | 311,320 | ||||||
Series 3025, Cl. SJ, 24.064%, 8/15/352 | 84,853 | 111,115 | ||||||
Series 3094, Cl. HS, 23.698%, 6/15/342 | 244,248 | 312,918 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 | 214,164 | 217,882 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 68,897 | 72,974 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 99,672 | 100,702 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 205, Cl. IO, 14.077%, 9/1/295 | 20,895 | 4,370 | ||||||
Series 206, Cl. IO, 0%, 12/1/295,6 | 264,482 | 56,308 | ||||||
Series 2074, Cl. S, 68.723%, 7/17/285 | 4,568 | 956 | ||||||
Series 2079, Cl. S, 81.987%, 7/17/285 | 7,767 | 1,630 | ||||||
Series 2130, Cl. SC, 53.448%, 3/15/295 | 303,065 | 57,748 | ||||||
Series 243, Cl. 6, 1.759%, 12/15/325 | 304,484 | 59,882 | ||||||
Series 2526, Cl. SE, 42.323%, 6/15/295 | 10,784 | 2,162 | ||||||
Series 2527, Cl. SG, 46.858%, 2/15/325 | 396,024 | 16,661 | ||||||
Series 2531, Cl. ST, 24.987%, 2/15/305 | 164,809 | 7,172 | ||||||
Series 2796, Cl. SD, 69.123%, 7/15/265 | 494,748 | 90,434 | ||||||
Series 2802, Cl. AS, 71.799%, 4/15/335 | 306,251 | 29,298 | ||||||
Series 2819, Cl. S, 56.279%, 6/15/345 | 98,591 | 16,635 | ||||||
Series 2920, Cl. S, 68.216%, 1/15/355 | 1,801,963 | 290,617 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/355 | 105,464 | 17,133 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/265 | 276,634 | 39,297 | ||||||
Series 3451, Cl. SB, 29.003%, 5/15/385 | 319,743 | 41,925 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.604%, 6/1/267 | 115,900 | 100,477 | ||||||
Federal National Mortgage Assn.: | ||||||||
3.141%, 10/1/362 | 202,779 | 213,512 | ||||||
4%, 7/1/268 | 490,000 | 510,519 | ||||||
4.50%, 7/1/26-7/1/418 | 16,520,000 | 17,185,143 | ||||||
5%, 2/25/22-7/25/22 | 18,556 | 19,963 | ||||||
5%, 8/1/418 | 16,823,000 | 17,829,756 | ||||||
5.50%, 7/1/26-7/1/418 | 10,746,000 | 11,622,044 | ||||||
6%, 7/1/418 | 5,105,000 | 5,608,322 | ||||||
6.50%, 5/25/17-1/1/34 | 1,241,984 | 1,356,490 | ||||||
6.50%, 8/1/418 | 2,816,000 | 3,180,762 | ||||||
7%, 11/1/17-7/25/35 | 585,298 | 639,435 | ||||||
7.50%, 1/1/33 | 12,274 | 14,390 | ||||||
8.50%, 7/1/32 | 21,138 | 24,235 | ||||||
Federal National Mortgage Assn: | ||||||||
15 yr., 3.50%, 6/1/268 | 5,355,000 | 5,453,735 | ||||||
30 yr., 4%, 8/1/418 | 6,930,000 | 6,911,594 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1989-17, Cl. E, 10.40%, 4/25/19 | 13,693 | 15,989 | ||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 | 624,346 | 699,000 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | 516,734 | 572,203 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 262,388 | 293,100 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 417,477 | 473,319 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 24,249 | 26,100 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 31,332 | 36,129 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 | 754,140 | 843,499 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 12,540 | 13,556 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 3,964,000 | 4,398,456 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,748,802 | 1,869,136 | ||||||
Trust 2004-81, Cl. KC, 4.50%, 4/1/17 | 100,749 | 101,400 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 445,851 | 455,174 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 313,940 | 318,149 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 127,633 | 129,511 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 131,403 | 134,044 | ||||||
Trust 2006-110, Cl. PW, 5.50%, 5/25/28 | 19,023 | 19,127 | ||||||
Trust 2006-46, Cl. SW, 23.518%, 6/25/362 | 331,552 | 425,040 | ||||||
Trust 2006-50, Cl. KS, 23.519%, 6/25/362 | 500,306 | 638,691 | ||||||
Trust 2009-36, Cl. FA, 1.126%, 6/25/372 | 631,144 | 637,413 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 53.201%, 11/18/315 | 30,402 | 5,281 | ||||||
Trust 2001-63, Cl. SD, 47.082%, 12/18/315 | 9,486 | 1,625 | ||||||
Trust 2001-65, Cl. S, 51.585%, 11/25/315 | 762,781 | 133,757 | ||||||
Trust 2001-68, Cl. SC, 36.059%, 11/25/315 | 6,190 | 1,062 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 2001-81, Cl. S, 41.25%, 1/25/325 | $ | 204,987 | $ | 38,431 | ||||
Trust 2002-28, Cl. SA, 45.517%, 4/25/325 | 5,443 | 874 | ||||||
Trust 2002-38, Cl. SO, 64.516%, 4/25/325 | 13,444 | 2,059 | ||||||
Trust 2002-39, Cl. SD, 51.824%, 3/18/325 | 8,889 | 1,769 | ||||||
Trust 2002-47, Cl. NS, 41.212%, 4/25/325 | 541,656 | 104,107 | ||||||
Trust 2002-48, Cl. S, 42.154%, 7/25/325 | 9,031 | 1,722 | ||||||
Trust 2002-51, Cl. S, 41.49%, 8/25/325 | 497,242 | 96,053 | ||||||
Trust 2002-52, Cl. SD, 49.166%, 9/25/325 | 625,644 | 124,632 | ||||||
Trust 2002-52, Cl. SL, 43.536%, 9/25/325 | 5,626 | 1,071 | ||||||
Trust 2002-53, Cl. SK, 49.975%, 4/25/325 | 30,972 | 6,244 | ||||||
Trust 2002-56, Cl. SN, 44.532%, 7/25/325 | 12,314 | 2,347 | ||||||
Trust 2002-60, Cl. SM, 50.528%, 8/25/325 | 101,829 | 13,645 | ||||||
Trust 2002-7, Cl. SK, 50.374%, 1/25/325 | 47,388 | 9,780 | ||||||
Trust 2002-77, Cl. BS, 44.259%, 12/18/325 | 62,200 | 11,703 | ||||||
Trust 2002-77, Cl. IS, 58.292%, 12/18/325 | 22,904 | 4,581 | ||||||
Trust 2002-77, Cl. JS, 41.329%, 12/18/325 | 102,264 | 18,655 | ||||||
Trust 2002-77, Cl. SA, 43.003%, 12/18/325 | 97,376 | 17,576 | ||||||
Trust 2002-77, Cl. SH, 50.909%, 12/18/325 | 272,233 | 54,492 | ||||||
Trust 2002-84, Cl. SA, 52.326%, 12/25/325 | 681,444 | 127,451 | ||||||
Trust 2002-9, Cl. MS, 40.608%, 3/25/325 | 10,242 | 1,999 | ||||||
Trust 2002-90, Cl. SN, 52.093%, 8/25/325 | 52,386 | 7,337 | ||||||
Trust 2002-90, Cl. SY, 55.464%, 9/25/325 | 34,105 | 4,943 | ||||||
Trust 2003-26, Cl. DI, 17.722%, 4/25/335 | 22,470 | 4,611 | ||||||
Trust 2003-33, Cl. SP, 52.473%, 5/25/335 | 740,585 | 126,794 | ||||||
Trust 2003-4, Cl. S, 48.629%, 2/25/335 | 473,951 | 88,947 | ||||||
Trust 2003-89, Cl. XS, 92.243%, 11/25/325 | 362,430 | 27,533 | ||||||
Trust 2004-54, Cl. DS, 59.625%, 11/25/305 | 446,903 | 67,049 | ||||||
Trust 2005-14, Cl. SE, 48.231%, 3/25/355 | 355,015 | 44,910 | ||||||
Trust 2005-40, Cl. SA, 70.985%, 5/25/355 | 1,003,955 | 169,164 | ||||||
Trust 2005-40, Cl. SB, 83.913%, 5/25/355 | 47,835 | 9,592 | ||||||
Trust 2005-71, Cl. SA, 66.139%, 8/25/255 | 1,205,210 | 173,532 | ||||||
Trust 2005-93, Cl. SI, 23.446%, 10/25/355 | 951,709 | 150,219 | ||||||
Trust 2006-129, Cl. SM, 22.616%, 1/25/375 | 414,037 | 67,113 | ||||||
Trust 2006-60, Cl. DI, 48.347%, 4/25/355 | 250,080 | 35,065 | ||||||
Trust 2008-55, Cl. SA, 26.501%, 7/25/385 | 168,105 | 16,479 | ||||||
Trust 2008-67, Cl. KS, 50.659%, 8/25/345 | 2,262,871 | 220,491 | ||||||
Trust 221, Cl. 2, 40.335%, 5/1/235 | 7,905 | 1,494 | ||||||
Trust 222, Cl. 2, 29.021%, 6/1/235 | 892,656 | 168,846 | ||||||
Trust 252, Cl. 2, 39.21%, 11/1/235 | 773,226 | 145,864 | ||||||
Trust 294, Cl. 2, 18.526%, 2/1/285 | 84,674 | 16,262 | ||||||
Trust 301, Cl. 2, 6.472%, 4/1/295 | 9,669 | 2,194 | ||||||
Trust 303, Cl. IO, 9.587%, 11/1/295 | 132,725 | 32,433 | ||||||
Trust 320, Cl. 2, 15.895%, 4/1/325 | 605,574 | 138,105 | ||||||
Trust 321, Cl. 2, 5.484%, 4/1/325 | 1,869,547 | 444,192 | ||||||
Trust 324, Cl. 2, 4.838%, 7/1/325 | 19,687 | 4,829 | ||||||
Trust 331, Cl. 5, 0.43%, 2/1/335 | 26,714 | 5,016 | ||||||
Trust 331, Cl. 9, 14.549%, 2/1/335 | 494,088 | 104,456 | ||||||
Trust 334, Cl. 12, 22.292%, 2/1/335 | 47,342 | 8,765 | ||||||
Trust 334, Cl. 17, 22.381%, 2/1/335 | 343,671 | 80,363 | ||||||
Trust 339, Cl. 12, 1.706%, 7/1/335 | 661,253 | 118,396 | ||||||
Trust 339, Cl. 7, 24.773%, 7/1/335 | 1,582,718 | 264,124 | ||||||
Trust 343, Cl. 13, 5.748%, 9/1/335 | 613,134 | 108,060 | ||||||
Trust 343, Cl. 18, 2.98%, 5/1/345 | 174,723 | 34,212 | ||||||
Trust 345, Cl. 9, 49.65%, 1/1/345 | 741,884 | 155,609 | ||||||
Trust 351, Cl. 10, 0.718%, 4/1/345 | 239,126 | 40,327 | ||||||
Trust 351, Cl. 8, 6.703%, 4/1/345 | 373,727 | 62,886 | ||||||
Trust 356, Cl. 10, 19.822%, 6/1/355 | 307,826 | 51,855 | ||||||
Trust 356, Cl. 12, 22.326%, 2/1/355 | 153,677 | 25,684 | ||||||
Trust 362, Cl. 13, 1.357%, 8/1/355 | 552,465 | 94,342 | ||||||
Trust 364, Cl. 15, 4.905%, 9/1/355 | 33,564 | 5,671 | ||||||
Trust 364, Cl. 16, 14.676%, 9/1/355 | 650,334 | 123,023 | ||||||
Trust 365, Cl. 16, 2.969%, 3/1/365 | 1,000,845 | 177,591 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 3.901%, 9/25/237 | 275,659 | 241,833 | ||||||
102,854,415 | ||||||||
GNMA/Guaranteed—0.3% | ||||||||
Government National Mortgage Assn.: | ||||||||
7%, 12/29/23-3/15/26 | 29,032 | 33,749 | ||||||
8.50%, 8/1/17-12/15/17 | 103,295 | 117,129 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 79,081 | 96,472 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 | 33,248 | 38,320 |
Principal | ||||||||
Amount | Value | |||||||
GNMA/Guaranteed Continued | ||||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 69.943%, 7/16/285 | $ | 16,489 | $ | 3,503 | ||||
Series 2001-21, Cl. SB, 88.38%, 1/16/275 | 592,093 | 110,855 | ||||||
Series 2002-15, Cl. SM, 79.684%, 2/16/325 | 622,124 | 121,048 | ||||||
Series 2004-11, Cl. SM, 75.702%, 1/17/305 | 481,856 | 108,835 | ||||||
Series 2007-17, Cl. AI, 21.74%, 4/16/375 | 183,866 | 32,202 | ||||||
662,113 | ||||||||
Non-Agency—12.5% | ||||||||
Commercial—8.8% | ||||||||
Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.046%, 4/14/295 | 7,549,705 | 203,313 | ||||||
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49 | 710,000 | 768,839 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/241,5,6 | 3,508,420 | 163,718 | ||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/441 | 146,162 | 146,602 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 72,012 | 67,100 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | 345,208 | 285,763 | ||||||
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 | 388,191 | ||||||
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 | 875,000 | 929,670 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/461 | 587,590 | 592,362 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.843%, 9/1/201,5 | 4,731,994 | 393,140 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 531,049 | 518,801 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 208,639 | 144,825 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.925%, 11/1/372 | 411,755 | 303,737 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2005-GG5, Commercial Mtg. Pass-Through Certificates, Series 2005-GG5, Cl. AM, 5.277%, 4/1/37 | 115,000 | 111,378 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 | 965,000 | 1,037,034 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 | 387,911 | 394,519 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 | 450,107 | 449,588 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.726%, 5/25/352 | 589,042 | 446,900 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.181%, 11/1/352 | 698,723 | 517,583 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/461 | 429,187 | 432,624 | ||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/431 | 710,000 | 694,726 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/494 | 1,395,000 | 1,404,253 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 5.87%, 4/1/452 | $ | 590,000 | $ | 612,362 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.932%, 2/1/492 | 115,000 | 111,751 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 | 688,431 | 547,757 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C3, Commercial Mtg. Pass-Through Certificates, Series 2006-C3, Cl. AM, 5.712%, 3/11/39 | 85,000 | 84,823 | ||||||
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/305,6 | 3,359,557 | 67,923 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/241 | 147,402 | 112,978 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 969,497 | 993,173 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.456%, 7/12/46 | 1,000,000 | 994,754 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.313%, 12/1/492 | 410,000 | 406,268 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0%, 5/18/325,6 | 43,840,639 | 135,525 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.244%, 7/1/372 | 603,994 | 402,446 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 | 520,000 | 562,049 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.665%, 12/1/352 | 386,997 | 333,192 | ||||||
Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/431 | 370,720 | 372,452 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.088%, 11/1/372 | 500,325 | 408,187 | ||||||
16,540,306 | ||||||||
Multifamily—0.8% | ||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.688%, 6/1/362 | 448,218 | 393,046 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 | 497,146 | 499,951 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.557%, 5/1/372 | 170,994 | 148,614 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.819%, 3/25/362 | 531,163 | 449,731 | ||||||
1,491,342 | ||||||||
Other—0.0% | ||||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 37.58%, 10/23/175 | 720 | 81 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 4.062%, 10/23/177 | 1,066 | 1,047 | ||||||
1,128 | ||||||||
Residential—2.9% | ||||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.58%, 5/1/362 | 155,000 | 141,932 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 243,637 | 214,541 | ||||||
CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass-Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 | 410,001 | 393,581 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.383%, 11/1/352 | 571,584 | 424,479 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | $ | 37,622 | $ | 37,386 | ||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 | 393,806 | 305,762 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 486,172 | 467,463 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 536,993 | 475,247 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 4.946%, 10/25/362 | 48,808 | 45,486 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 266,141 | 272,078 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 58,201 | 35,248 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 2,040 | 1,235 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 25,710 | 16,021 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 164,797 | 135,177 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 3A1, 2.542%, 5/1/342 | 248,281 | 225,342 | ||||||
Thornburg Mortgage Securities Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A2, 0.336%, 11/25/462 | 455,273 | 448,861 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 2.671%, 2/1/372 | 63,095 | 48,440 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.684%, 5/1/372 | 911,916 | 799,680 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 | 379,681 | 323,717 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.874%, 9/1/342 | 251,733 | 250,559 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.693%, 10/1/362 | 435,556 | 385,318 | ||||||
5,447,553 | ||||||||
Total Mortgage-Backed Obligations (Cost $124,555,005) | 126,996,857 | |||||||
U.S. Government Obligations—1.6% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
1.75%, 9/10/15 | 190,000 | 190,905 | ||||||
2.50%, 5/27/16 | 255,000 | 261,703 | ||||||
5%, 2/16/17 | 295,000 | 337,026 | ||||||
5.25%, 4/18/16 | 515,000 | 593,529 | ||||||
5.50%, 7/18/16 | 295,000 | 343,184 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
2.375%, 4/11/169 | 485,000 | 495,430 | ||||||
4.875%, 12/15/169 | 415,000 | 471,197 | ||||||
5%, 3/15/16 | 320,000 | 364,908 | ||||||
Total U.S. Government Obligations (Cost $2,975,966) | 3,057,882 | |||||||
Corporate Bonds and Notes—33.0% | ||||||||
Consumer Discretionary—4.4% | ||||||||
Diversified Consumer Services—0.3% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 475,000 | 511,813 | ||||||
Hotels, Restaurants & Leisure—0.7% | ||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/151 | 725,000 | 762,662 | ||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 | 526,000 | 591,493 | ||||||
1,354,155 | ||||||||
Household Durables—0.8% | ||||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 | 370,000 | 411,493 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 | 429,000 | 459,310 | ||||||
Whirlpool Corp.: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 | 152,000 | 161,172 | ||||||
8% Sr. Unsec. Nts., 5/1/12 | 380,000 | 401,549 | ||||||
1,433,524 |
Principal | ||||||||
Amount | Value | |||||||
Leisure Equipment & Products—0.2% | ||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 | $ | 395,000 | $ | 422,588 | ||||
Media—2.0% | ||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 292,000 | 406,713 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 | 359,000 | 384,617 | ||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 | 149,000 | 165,752 | ||||||
Interpublic Group of Cos., Inc. (The): | ||||||||
6.25% Sr. Unsec. Nts., 11/15/14 | 150,000 | 166,875 | ||||||
10% Sr. Unsec. Nts., 7/15/17 | 528,000 | 627,000 | ||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 | 438,000 | 508,080 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 257,000 | 329,405 | ||||||
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 | 270,000 | 323,082 | ||||||
Virgin Media Secured Finance plc: | ||||||||
5.25% Sr. Sec. Nts., 1/15/211 | 230,000 | 245,225 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 | 555,000 | 611,194 | ||||||
3,767,943 | ||||||||
Multiline Retail—0.2% | ||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 | 460,000 | 451,654 | ||||||
Specialty Retail—0.2% | ||||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 457,000 | 457,000 | ||||||
Consumer Staples—1.8% | ||||||||
Food & Staples Retailing—0.1% | ||||||||
Wal-Mart Stores, Inc., 5.625% Sr. Unsec. Nts., 4/15/41 | 271,000 | 280,613 | ||||||
Food Products—0.8% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 210,000 | 226,484 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 200,000 | 244,059 | ||||||
Kraft Foods, Inc., 6% Sr. Unsec. Nts., 2/11/13 | 410,000 | 442,193 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 | 470,000 | 500,550 | ||||||
1,413,286 | ||||||||
Household Products—0.2% | ||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/211 | 463,000 | 457,864 | ||||||
Tobacco—0.7% | ||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 | 337,000 | 484,758 | ||||||
Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 | 270,000 | 297,864 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 | 408,000 | 451,186 | ||||||
1,233,808 | ||||||||
Energy—3.7% | ||||||||
Energy Equipment & Services—0.9% | ||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 | 604,000 | 610,906 | ||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 | 400,000 | 428,245 | ||||||
Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 | 308,000 | 318,701 | ||||||
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 | 318,000 | 325,064 | ||||||
1,682,916 | ||||||||
Oil, Gas & Consumable Fuels—2.8% | ||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 | 282,000 | 286,768 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 | 445,000 | 478,375 | ||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 | 644,000 | 723,707 | ||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/121 | 455,000 | 473,306 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 757,000 | 810,633 | ||||||
Kinder Morgan Energy Partners LP, 6.50% Sr. Unsec. Unsub. Nts., 9/1/39 | 217,000 | 226,070 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 466,000 | 466,304 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 404,000 | 440,360 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/141 | 270,000 | 296,676 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/151 | 764,000 | 775,568 | ||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/211 | 314,000 | 308,569 | ||||||
5,286,336 | ||||||||
Financials—13.7% | ||||||||
Capital Markets—3.0% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/191 | 800,000 | 861,380 | ||||||
Credit Suisse Guernsey Ltd., 5.86% Jr. Sub. Perpetual Nts.10 | 642,000 | 616,641 |
Principal | ||||||||
Amount | Value | |||||||
Capital Markets Continued | ||||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | $ | 515,000 | $ | 488,433 | ||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/211 | 598,000 | 602,314 | ||||||
Morgan Stanley: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/201 | 178,000 | 180,374 | ||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 1,205,000 | 1,278,242 | ||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 | 433,000 | 438,753 | ||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 | 475,000 | 485,934 | ||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 | 181,000 | 184,172 | ||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.10 | 620,000 | 613,800 | ||||||
5,750,043 | ||||||||
Commercial Banks—3.2% | ||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/121 | 507,000 | 514,892 | ||||||
BNP Paribas SA, 5.186% Sub. Perpetual Nts.1,10 | 515,000 | 476,633 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 | 845,000 | 836,550 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/352 | 1,270,000 | 1,206,500 | ||||||
Huntington Bancshares, Inc., 7% Sub. Nts., 12/15/20 | 472,000 | 532,782 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/201 | 493,000 | 465,541 | ||||||
Standard Chartered plc, 6.409% Cv. Jr. Unsec. Sub. Bonds, 1/29/491 | 700,000 | 667,145 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 | 677,000 | 734,545 | ||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 | 581,000 | 637,295 | ||||||
6,071,883 | ||||||||
Consumer Finance—0.6% | ||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 | 441,000 | 471,901 | ||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16 | 602,000 | 624,919 | ||||||
1,096,820 | ||||||||
Diversified Financial Services—2.4% | ||||||||
Bank of America Corp., 5.875% Sr. Unsec. Unsub. Nts., 1/5/21 | 140,000 | 147,098 | ||||||
Citigroup, Inc., 3.953% Sr. Unsec. Nts., 6/15/16 | 995,000 | 1,019,226 | ||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/671,2 | 535,000 | 474,813 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds10 | 535,000 | 494,875 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 | 1,430,000 | 1,541,175 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 709,000 | 788,301 | ||||||
4,465,488 | ||||||||
Insurance—3.6% | ||||||||
CNA Financial Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 | 368,000 | 380,458 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 | 460,000 | 478,818 | ||||||
Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 | 405,000 | 409,934 | ||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 | 441,000 | 434,514 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/131 | 620,000 | 527,368 | ||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/211 | 666,000 | 631,423 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 | 945,000 | 919,013 | ||||||
Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 | 499,000 | 512,368 | ||||||
Reinsurance Group of America, Inc., 5% Sr. Unsec. Nts., 6/1/21 | 655,000 | 648,814 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds1,10 | 875,000 | 845,299 | ||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 | 463,000 | 472,325 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/372,4 | 454,000 | 454,000 | ||||||
6,714,334 | ||||||||
Real Estate Investment Trusts—0.9% | ||||||||
AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 | 202,000 | 204,302 | ||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 | 237,000 | 244,930 | ||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 | 103,000 | 106,396 | ||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 | 180,000 | 183,806 |
Principal | ||||||||
Amount | Value | |||||||
Real Estate Investment Trusts Continued | ||||||||
Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 | $ | 470,000 | $ | 478,074 | ||||
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/121 | 439,000 | 461,380 | ||||||
1,678,888 | ||||||||
Health Care—0.7% | ||||||||
Biotechnology—0.1% | ||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 | 291,000 | 286,050 | ||||||
Health Care Providers & Services—0.3% | ||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 | 237,000 | 254,067 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 | 285,000 | 283,246 | ||||||
537,313 | ||||||||
Pharmaceuticals—0.3% | ||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/181 | 495,000 | 505,519 | ||||||
Industrials—1.6% | ||||||||
Aerospace & Defense—0.5% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 477,000 | 488,925 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 420,000 | 459,375 | ||||||
948,300 | ||||||||
Commercial Services & Supplies—0.4% | ||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 473,000 | 517,344 | ||||||
Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 | 295,000 | 296,718 | ||||||
814,062 | ||||||||
Industrial Conglomerates—0.7% | ||||||||
General Electric Capital Corp.: | ||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 | 460,000 | 476,308 | ||||||
5.25% Sr. Unsec. Nts., 10/19/12 | 28,000 | 29,524 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 | 833,000 | 856,949 | ||||||
1,362,781 | ||||||||
Information Technology—1.8% | ||||||||
Communications Equipment—0.6% | ||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 | 505,000 | 532,670 | ||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 | 179,000 | 184,984 | ||||||
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 | 450,000 | 459,981 | ||||||
1,177,635 | ||||||||
Electronic Equipment & Instruments—0.5% | ||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 | 875,000 | 886,969 | ||||||
Office Electronics—0.2% | ||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 | 435,000 | 468,453 | ||||||
Semiconductors & Semiconductor Equipment—0.2% | ||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 | 306,000 | 345,968 | ||||||
Software—0.3% | ||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 | 517,000 | 497,781 | ||||||
Materials—1.8% | ||||||||
Chemicals—0.8% | ||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 | 200,000 | 209,304 | ||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 | 417,000 | 424,369 | ||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 | 440,000 | 497,200 | ||||||
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 | 285,000 | 287,073 | ||||||
1,417,946 | ||||||||
Containers & Packaging—0.2% | ||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 | 433,000 | 468,674 | ||||||
Metals & Mining—0.8% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 698,000 | 763,439 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 | 28,000 | 30,829 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 245,000 | 266,716 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 347,000 | 386,938 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 | 49,000 | 51,814 | ||||||
1,499,736 | ||||||||
Telecommunication Services—1.6% | ||||||||
Diversified Telecommunication Services—1.4% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 632,000 | 671,486 | ||||||
British Telecommunications plc, 9.875% Bonds, 12/15/30 | 298,000 | 410,406 | ||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 | 158,000 | 152,406 | ||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 | 477,000 | 521,123 | ||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 | 447,000 | 507,345 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 289,000 | 314,252 | ||||||
2,577,018 |
Principal | ||||||||
Amount | Value | |||||||
Wireless Telecommunication Services—0.2% | ||||||||
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 | $ | 337,000 | $ | 381,483 | ||||
Utilities—1.9% | ||||||||
Electric Utilities—1.9% | ||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/121 | 428,000 | 451,263 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 | 292,000 | 304,599 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 | 464,000 | 474,723 | ||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 | 470,000 | 489,945 | ||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22 | 389,000 | 464,368 | ||||||
PPL WEM Holdings plc, 3.90% Sr. Unsec. Nts., 5/1/161 | 658,000 | 675,642 | ||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/191 | 510,000 | 655,978 | ||||||
3,516,518 | ||||||||
Total Corporate Bonds and Notes (Cost $60,076,667) | 62,223,162 |
Shares | ||||||||
Investment Company—19.3% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%11,12 (Cost $36,231,519) | 36,231,519 | 36,231,519 | ||||||
Total Investments, at Value (Cost $246,089,868) | 131.5 | % | 247,727,589 | |||||
Liabilities in Excess of Other Assets | (31.5 | ) | (59,287,678 | ) | ||||
Net Assets | 100.0 | % | $ | 188,439,911 | ||||
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 $24,127,145 or 12.80% of the Fund’s net assets as of June 30, 2011. | |
2. | Represents the current interest rate for a variable or increasing rate security. | |
3. | This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Notes. | |
4. | Restricted security. The aggregate value of restricted securities as of June 30, 2011 was $2,703,847, which represents 1.43% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass- Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 | 7/14/10 | $ | 1,377,563 | $ | 1,404,253 | $ | 26,690 | |||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 | 8/10/10 | 3,281,116 | 286,451 | (2,994,665 | ) | |||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 | 2/4/11-4/14/11 | 559,237 | 559,143 | (94 | ) | |||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 | 2/24/11 | 458,337 | 454,000 | (4,337 | ) | |||||||||||
$ | 5,676,253 | $ | 2,703,847 | $ | (2,972,406 | ) | ||||||||||
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 $6,481,665 or 3.44% of the Fund’s net assets as of June 30, 2011. | |
6. | 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. | |
7. | 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 $343,357 or 0.18% of the Fund’s net assets as of June 30, 2011. | |
8. | When-issued security or delayed delivery to be delivered and settled after June 30, 2011. See Note 1 of the accompanying Notes. | |
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 $701,035. See Note 5 of the accompanying Notes. |
10. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
11. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 25,899,825 | 48,370,012 | 38,038,318 | 36,231,519 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 36,231,519 | $ | 25,790 |
12. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | — | $ | 19,218,169 | $ | — | $ | 19,218,169 | ||||||||
Mortgage-Backed Obligations | — | 126,996,857 | — | 126,996,857 | ||||||||||||
U.S. Government Obligations | — | 3,057,882 | — | 3,057,882 | ||||||||||||
Corporate Bonds and Notes | — | 62,223,162 | — | 62,223,162 | ||||||||||||
Investment Company | 36,231,519 | — | — | 36,231,519 | ||||||||||||
Total Investments, at Value | 36,231,519 | 211,496,070 | — | 247,727,589 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | 56,463 | — | — | 56,463 | ||||||||||||
Total Assets | $ | 36,287,982 | $ | 211,496,070 | $ | — | $ | 247,784,052 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | $ | (78,923 | ) | $ | — | $ | — | $ | (78,923 | ) | ||||||
Total Liabilities | $ | (78,923 | ) | $ | — | $ | — | $ | (78,923 | ) | ||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 142 | 9/21/11 | $ | 17,470,438 | $ | (246,395 | ) | ||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 83 | 9/30/11 | 18,205,531 | (9,669 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 47 | 9/30/11 | 5,602,180 | (4,566 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 75 | 9/21/11 | 9,174,609 | 48,835 | |||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 6 | 9/21/11 | 757,500 | (12,833 | ) | ||||||||||||||
$ | (224,628 | ) | ||||||||||||||||||
June 30, 2011 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $209,858,349) | $ | 211,496,070 | ||
Affiliated companies (cost $36,231,519) | 36,231,519 | |||
247,727,589 | ||||
Cash | 8,655 | |||
Receivables and other assets: | ||||
Investments sold on a when-issued or delayed delivery basis | 43,616,170 | |||
Shares of beneficial interest sold | 8,342,102 | |||
Interest, dividends and principal paydowns | 1,227,044 | |||
Futures margins | 56,463 | |||
Other | 23,519 | |||
Total assets | 301,001,542 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased on a when-issued or delayed delivery basis | 112,042,787 | |||
Shares of beneficial interest redeemed | 295,807 | |||
Futures margins | 78,923 | |||
Shareholder communications | 61,721 | |||
Distribution and service plan fees | 33,939 | |||
Trustees’ compensation | 17,899 | |||
Transfer and shareholder servicing agent fees | 14,999 | |||
Other | 15,556 | |||
Total liabilities | 112,561,631 | |||
Net Assets | $ | 188,439,911 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 25,010 | ||
Additional paid-in capital | 275,753,056 | |||
Accumulated net investment income | 4,541,657 | |||
Accumulated net realized loss on investments | (93,292,905 | ) | ||
Net unrealized appreciation on investments | 1,413,093 | |||
Net Assets | $ | 188,439,911 | ||
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 $126,412,649 and 16,724,430 shares of beneficial interest outstanding) | $ | 7.56 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $62,027,262 and 8,285,242 shares of beneficial interest outstanding) | $ | 7.49 |
For the Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Interest | $ | 4,225,822 | ||
Fee income on when-issued securities | 1,186,550 | |||
Dividends from affiliated companies | 25,790 | |||
Total investment income | 5,438,162 | |||
Expenses | ||||
Management fees | 552,132 | |||
Distribution and service plan fees—Service shares | 68,205 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 64,739 | |||
Service shares | 27,282 | |||
Shareholder communications: | ||||
Non-Service shares | 21,676 | |||
Service shares | 9,132 | |||
Trustees’ compensation | 7,645 | |||
Custodian fees and expenses | 6,753 | |||
Administration service fees | 750 | |||
Other | 22,986 | |||
Total expenses | 781,300 | |||
Less waivers and reimbursements of expenses | (24,052 | ) | ||
Net expenses | 757,248 | |||
Net Investment Income | 4,680,914 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 3,482,922 | |||
Closing and expiration of futures contracts | (242,151 | ) | ||
Net realized gain | 3,240,771 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (702,033 | ) | ||
Futures contracts | (238,850 | ) | ||
Net change in unrealized appreciation/depreciation | (940,883 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 6,980,802 | ||
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 4,680,914 | $ | 10,146,680 | ||||
Net realized gain | 3,240,771 | 8,147,844 | ||||||
Net change in unrealized appreciation/depreciation | (940,883 | ) | 2,718,458 | |||||
Net increase in net assets resulting from operations | 6,980,802 | 21,012,982 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (7,632,636 | ) | (2,543,053 | ) | ||||
Service shares | (3,102,242 | ) | (932,463 | ) | ||||
(10,734,878 | ) | (3,475,516 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (3,472,853 | ) | (17,432,675 | ) | ||||
Service shares | 6,547,437 | (5,299,305 | ) | |||||
3,074,584 | (22,731,980 | ) | ||||||
Net Assets | ||||||||
Total decrease | (679,492 | ) | (5,194,514 | ) | ||||
Beginning of period | 189,119,403 | 194,313,917 | ||||||
End of period (including accumulated net investment income of $4,541,657 and $10,595,621, respectively) | $ | 188,439,911 | $ | 189,119,403 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.73 | $ | 7.07 | $ | 6.45 | $ | 11.06 | $ | 11.16 | $ | 11.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .20 | .40 | .48 | .66 | .55 | .53 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .09 | .40 | .14 | (4.82 | ) | (.08 | ) | .03 | ||||||||||||||||
Total from investment operations | .29 | .80 | .62 | (4.16 | ) | .47 | .56 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.46 | ) | (.14 | ) | — | (.45 | ) | (.57 | ) | (.59 | ) | |||||||||||||
Net asset value, end of period | $ | 7.56 | $ | 7.73 | $ | 7.07 | $ | 6.45 | $ | 11.06 | $ | 11.16 | ||||||||||||
Total Return, at Net Asset Value2 | 3.87 | % | 11.42 | % | 9.61 | % | (39.05 | )% | 4.39 | % | 5.28 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 126,413 | $ | 132,557 | $ | 137,597 | $ | 156,339 | $ | 325,661 | $ | 367,106 | ||||||||||||
Average net assets (in thousands) | $ | 130,518 | $ | 136,333 | $ | 137,631 | $ | 271,355 | $ | 345,723 | $ | 391,750 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 5.16 | % | 5.32 | % | 7.40 | % | 6.76 | % | 5.07 | % | 4.83 | % | ||||||||||||
Total expenses4 | 0.78 | % | 0.79 | % | 0.75 | % | 0.63 | % | 0.68 | % | 0.77 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75 | % | 0.70 | % | 0.61 | % | 0.62 | % | 0.68 | % | 0.77 | % | ||||||||||||
Portfolio turnover rate5 | 47 | % | 98 | % | 143 | % | 51 | % | 89 | % | 114 | % |
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, 2011 | 0.80 | % | ||
Year Ended December 31, 2010 | 0.80 | % | ||
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, 2011 | $ | 501,745,444 | $ | 503,794,076 | ||||
Year Ended December 31, 2010 | $ | 775,240,942 | $ | 766,486,357 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.65 | $ | 6.99 | $ | 6.41 | $ | 10.98 | $ | 11.10 | $ | 11.15 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .18 | .37 | .46 | .63 | .52 | .49 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .10 | .41 | .12 | (4.77 | ) | (.08 | ) | .03 | ||||||||||||||||
Total from investment operations | .28 | .78 | .58 | (4.14 | ) | .44 | .52 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.44 | ) | (.12 | ) | — | (.43 | ) | (.56 | ) | (.57 | ) | |||||||||||||
Net asset value, end of period | $ | 7.49 | $ | 7.65 | $ | 6.99 | $ | 6.41 | $ | 10.98 | $ | 11.10 | ||||||||||||
Total Return, at Net Asset Value2 | 3.77 | % | 11.28 | % | 9.05 | % | (39.07 | )% | 4.09 | % | 4.93 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 62,027 | $ | 56,562 | $ | 56,717 | $ | 63,093 | $ | 103,542 | $ | 41,191 | ||||||||||||
Average net assets (in thousands) | $ | 55,002 | $ | 57,313 | $ | 52,648 | $ | 101,597 | $ | 70,116 | $ | 21,265 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 4.91 | % | 5.06 | % | 7.16 | % | 6.55 | % | 4.85 | % | 4.56 | % | ||||||||||||
Total expenses4 | 1.03 | % | 1.04 | % | 1.01 | % | 0.88 | % | 0.92 | % | 1.06 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.00 | % | 0.95 | % | 0.86 | % | 0.87 | % | 0.92 | % | 1.06 | % | ||||||||||||
Portfolio turnover rate5 | 47 | % | 98 | % | 143 | % | 51 | % | 89 | % | 114 | % |
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, 2011 | 1.05 | % | ||
Year Ended December 31, 2010 | 1.05 | % | ||
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, 2011 | $ | 501,745,444 | $ | 503,794,076 | ||||
Year Ended December 31, 2010 | $ | 775,240,942 | $ | 766,486,357 | ||||
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 |
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 112,042,787 | ||
Sold securities | 43,616,170 |
Cost | $ | 3,281,116 | ||
Market Value | $ | 286,451 | ||
Market Value as a % of Net Assets | 0.15 | % |
Expiring | ||||
2013 | $ | 226,262 | ||
2014 | 6,107,275 | |||
2015 | 1,245,459 | |||
2016 | 12,777,851 | |||
2017 | 75,069,850 | |||
Total | $ | 95,426,697 | ||
Federal tax cost of securities | $ | 246,145,394 | ||
Federal tax cost of other investments | (14,529,754 | ) | ||
Total federal tax cost | $ | 231,615,640 | ||
Gross unrealized appreciation | $ | 7,040,436 | ||
Gross unrealized depreciation | (5,682,869 | ) | ||
Net unrealized appreciation | $ | 1,357,567 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 870,661 | $ | 6,650,303 | 1,228,005 | $ | 9,215,341 | ||||||||||
Dividends and/or distributions reinvested | 1,028,657 | 7,632,636 | 357,672 | 2,543,053 | ||||||||||||
Redeemed | (2,320,696 | ) | (17,755,792 | ) | (3,913,294 | ) | (29,191,069 | ) | ||||||||
Net decrease | (421,378 | ) | $ | (3,472,853 | ) | (2,327,617 | ) | $ | (17,432,675 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 1,509,667 | $ | 11,314,225 | 1,784,838 | $ | 13,294,523 | ||||||||||
Dividends and/or distributions reinvested | 422,074 | 3,102,242 | 132,264 | 932,463 | ||||||||||||
Redeemed | (1,039,601 | ) | (7,869,030 | ) | (2,632,411 | ) | (19,526,291 | ) | ||||||||
Net increase (decrease) | 892,140 | $ | 6,547,437 | (715,309 | ) | $ | (5,299,305 | ) | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 63,350,344 | $ | 78,967,495 | ||||
U.S. government and government agency obligations | 1,479,140 | 1,549,897 | ||||||
To Be Announced (TBA) mortgage-related securities | 501,745,444 | 503,794,076 |
Fee Schedule | ||||
Up to $1 billion | 0.60 | % | ||
Over $1 billion | 0.50 |
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 | ||||||||||||
Interest rate contracts | Futures margins | $ | 56,463 | * | Futures margins | $ | 78,923 | * |
* | 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. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as | Closing and expiration of | |||
Hedging Instruments | futures contracts | |||
Interest rate contracts | $ | (242,151 | ) |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as | Futures | |||
Hedging Instruments | contracts | |||
Interest rate contracts | $ | (238,850 | ) |
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
©2011 OppenheimerFunds, Inc. All rights reserved. |
Cumulative Total Returns
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 7.54 | % | ||
Service Shares | 7.41 | |||
Class 3 Shares | 7.56 | |||
Class 4 Shares | 7.45 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 35.10 | % | 4.66 | % | 6.63 | % |
1-Year | 5-Year | 10-Year | ||||||||||
Service Shares | 34.78 | % | 4.40 | % | 6.38 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/03) | ||||||||||
Class 3 Shares | 35.11 | % | 4.66 | % | 12.16 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/3/04) | ||||||||||
Class 4 Shares | 34.79 | % | 4.40 | % | 7.77 | % |
For the Fiscal Year Ended 12/31/10
Non-Service Shares | 0.76 | % | ||
Service Shares | 1.01 | |||
Class 3 | 0.76 | |||
Class 4 | 1.01 |
Telefonaktiebolaget LM Ericsson, B Shares | 4.6 | % | ||
Siemens AG | 3.0 | |||
eBay, Inc. | 2.8 | |||
Altera Corp. | 2.2 | |||
Credit Suisse Group AG | 2.0 | |||
SAP AG | 1.9 | |||
Intuit, Inc. | 1.8 | |||
LVMH Moet Hennessy Louis Vuitton SA | 1.8 | |||
Tiffany & Co. | 1.7 | |||
McDonald’s Corp. | 1.7 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2011 | June 30, 2011 | June 30, 2011 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,075.40 | $ | 3.92 | ||||||
Service shares | 1,000.00 | 1,074.10 | 5.21 | |||||||||
Class 3 | 1,000.00 | 1,075.60 | 3.92 | |||||||||
Class 4 | 1,000.00 | 1,074.50 | 5.21 | |||||||||
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 |
Class | Expense Ratios | |||
Non-Service shares | 0.76 | % | ||
Service shares | 1.01 | |||
Class 3 | 0.76 | |||
Class 4 | 1.01 |
Shares | Value | |||||||
Common Stocks—98.5% | ||||||||
Consumer Discretionary—17.5% | ||||||||
Automobiles—1.8% | ||||||||
Bayerische Motoren Werke (BMW) AG | 71,684 | $ | 7,153,015 | |||||
Bayerische Motoren Werke (BMW) AG, Preference | 711,041 | 45,199,226 | ||||||
52,352,241 | ||||||||
Diversified Consumer Services—0.0% | ||||||||
Zee Learn Ltd.1 | 492,103 | 221,798 | ||||||
Hotels, Restaurants & Leisure—3.6% | ||||||||
Carnival Corp. | 1,097,366 | 41,293,883 | ||||||
Lottomatica SpA1 | 425,850 | 8,262,817 | ||||||
McDonald’s Corp. | 567,920 | 47,887,014 | ||||||
Shuffle Master, Inc.1 | 616,100 | 5,763,616 | ||||||
103,207,330 | ||||||||
Household Durables—1.2% | ||||||||
Sony Corp. | 1,288,800 | 34,114,004 | ||||||
Media—3.9% | ||||||||
Grupo Televisa SA, Sponsored GDR | 1,358,076 | 33,408,670 | ||||||
McGraw-Hill Cos., Inc. (The) | 564,710 | 23,666,996 | ||||||
Walt Disney Co. (The) | 1,146,310 | 44,751,942 | ||||||
Wire & Wireless India Ltd.1 | 2,281,600 | 440,799 | ||||||
Zee Entertainment Enterprises Ltd. | 3,936,820 | 11,880,253 | ||||||
114,148,660 | ||||||||
Multiline Retail—0.9% | ||||||||
Pinault-Printemps-Redoute SA | 114,350 | 20,363,381 | ||||||
Shinsegae Co. Ltd. | 16,551 | 5,263,021 | ||||||
25,626,402 | ||||||||
Specialty Retail—3.2% | ||||||||
Industria de Diseno Textil SA | 481,087 | 43,840,464 | ||||||
Tiffany & Co. | 636,810 | 50,002,321 | ||||||
93,842,785 | ||||||||
Textiles, Apparel & Luxury Goods—2.9% | ||||||||
LVMH Moet Hennessy Louis | ||||||||
Vuitton SA | 282,520 | 50,843,603 | ||||||
Tod’s SpA | 236,715 | 31,667,042 | ||||||
82,510,645 | ||||||||
Consumer Staples—7.2% | ||||||||
Beverages—2.9% | ||||||||
Companhia de Bebidas das Americas, Sponsored ADR, Preference | 930,575 | 31,388,295 | ||||||
Fomento Economico Mexicano SA de CV, UBD | 5,776,889 | 38,410,626 | ||||||
Grupo Modelo SA de CV, Series C | 2,438,361 | 14,744,498 | ||||||
84,543,419 | ||||||||
Food & Staples Retailing—0.5% | ||||||||
E-Mart Co. Ltd.1 | 60,769 | 13,916,565 | ||||||
Food Products—2.4% | ||||||||
Nestle SA | 525,225 | 32,641,102 | ||||||
Unilever plc | 1,126,403 | 36,265,017 | ||||||
68,906,119 | ||||||||
Household Products—1.4% | ||||||||
Colgate-Palmolive Co. | 478,210 | 41,800,336 | ||||||
Energy—3.8% | ||||||||
Energy Equipment & Services—2.5% | ||||||||
Technip SA | 412,260 | 44,198,471 | ||||||
Transocean Ltd. | 443,212 | 28,613,767 | ||||||
72,812,238 | ||||||||
Oil, Gas & Consumable Fuels—1.3% | ||||||||
Total SA | 536,770 | 31,042,646 | ||||||
YPF Sociedad Anonima SA, Sponsored ADR | 166,670 | 7,508,484 | ||||||
38,551,130 | ||||||||
Financials—16.9% | ||||||||
Capital Markets—4.8% | ||||||||
3i Group plc | 2,576,148 | 11,622,373 | ||||||
Credit Suisse Group AG | 1,473,595 | 57,313,775 | ||||||
Goldman Sachs Group, Inc. (The) | 236,500 | 31,475,785 | ||||||
UBS AG1 | 2,085,366 | 38,023,980 | ||||||
138,435,913 | ||||||||
Commercial Banks—3.7% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 2,972,840 | 34,876,701 | ||||||
HSBC Holdings plc | 2,914,573 | 28,986,011 | ||||||
Societe Generale SA, Cl. A | 320,542 | 19,021,112 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 735,200 | 22,626,478 | ||||||
105,510,302 | ||||||||
Diversified Financial Services—2.5% | ||||||||
Bank of America Corp. | 1,304,000 | 14,291,840 | ||||||
BM&F BOVESPA SA | 4,095,300 | 27,080,701 | ||||||
Investor AB, B Shares | 1,386,451 | 31,783,247 | ||||||
73,155,788 |
Shares | Value | |||||||
Insurance—5.7% | ||||||||
Aflac, Inc. | 479,390 | $ | 22,377,925 | |||||
Allianz SE | 305,932 | 42,736,781 | ||||||
Dai-ichi Life Insurance Co. | 21,083 | 29,519,781 | ||||||
Fidelity National Financial, Inc., Cl. A | 942,400 | 14,833,376 | ||||||
Prudential plc | 2,589,007 | 29,917,747 | ||||||
XL Group plc | 1,204,570 | 26,476,449 | ||||||
165,862,059 | ||||||||
Real Estate Management & Development—0.2% | ||||||||
DLF Ltd. | 1,162,728 | 5,501,901 | ||||||
Health Care—9.4% | ||||||||
Biotechnology—2.0% | ||||||||
Amgen, Inc.1 | 210,230 | 12,266,921 | ||||||
Amylin Pharmaceuticals, Inc.1 | 1,095,038 | 14,629,708 | ||||||
Basilea Pharmaceutica AG1 | 19,039 | 1,390,419 | ||||||
Dendreon Corp.1 | 207,690 | 8,191,294 | ||||||
Gilead Sciences, Inc.1 | 240,500 | 9,959,105 | ||||||
Theravance, Inc.1 | 569,100 | 12,639,711 | ||||||
59,077,158 | ||||||||
Health Care Equipment & Supplies—1.2% | ||||||||
Zimmer Holdings, Inc.1 | 537,690 | 33,982,008 | ||||||
Health Care Providers & Services—3.2% | ||||||||
Aetna, Inc. | 1,013,500 | 44,685,215 | ||||||
WellPoint, Inc. | 598,535 | 47,146,602 | ||||||
91,831,817 | ||||||||
Pharmaceuticals—3.0% | ||||||||
Allergan, Inc. | 103,550 | 8,620,538 | ||||||
Bayer AG | 355,486 | 28,579,924 | ||||||
Mitsubishi Tanabe Pharma Corp. | 806,000 | 13,523,250 | ||||||
Pfizer, Inc. | 391,820 | 8,071,492 | ||||||
Roche Holding AG | 103,595 | 17,336,683 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | 243,330 | 11,733,373 | ||||||
87,865,260 | ||||||||
Industrials—13.1% | ||||||||
Aerospace & Defense—2.5% | ||||||||
Embraer SA, ADR | 880,703 | 27,108,038 | ||||||
European Aeronautic | ||||||||
Defense & Space Co. | 1,386,180 | 46,394,957 | ||||||
73,502,995 | ||||||||
Air Freight & Logistics—0.5% | ||||||||
PostNL NV | 739,827 | 6,278,412 | ||||||
TNT Express NV, ADR1 | 739,827 | 7,673,138 | ||||||
13,951,550 | ||||||||
Building Products—1.4% | ||||||||
Assa Abloy AB, Cl. B | 1,481,904 | 39,828,571 | ||||||
Commercial Services & Supplies—0.6% | ||||||||
Mulitplus SA | 253,800 | 4,415,256 | ||||||
Secom Co. Ltd. | 295,700 | 14,200,818 | ||||||
18,616,074 | ||||||||
Electrical Equipment—1.9% | ||||||||
Emerson Electric Co. | 443,340 | 24,937,875 | ||||||
Nidec Corp. | 173,900 | 16,232,831 | ||||||
Prysmian SpA | 679,000 | 13,657,197 | ||||||
54,827,903 | ||||||||
Industrial Conglomerates—5.3% | ||||||||
3M Co. | 390,020 | 36,993,397 | ||||||
Koninklijke Philips Electronics NV | 1,160,800 | 29,812,013 | ||||||
Siemens AG | 640,211 | 87,920,157 | ||||||
154,725,567 | ||||||||
Machinery—0.7% | ||||||||
Fanuc Ltd. | 114,600 | 19,109,739 | ||||||
Road & Rail—0.2% | ||||||||
All America Latina Logistica | 732,200 | 6,178,883 | ||||||
Information Technology—27.7% | ||||||||
Communications Equipment—5.8% | ||||||||
Juniper Networks, Inc.1 | 1,144,990 | 36,067,185 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 9,166,921 | 132,173,401 | ||||||
168,240,586 | ||||||||
Electronic Equipment & Instruments—4.4% | ||||||||
Corning, Inc. | 1,383,320 | 25,107,258 | ||||||
Hoya Corp. | 1,035,000 | 22,940,805 | ||||||
Keyence Corp. | 95,274 | 27,020,693 | ||||||
Kyocera Corp. | 166,700 | 16,958,134 | ||||||
Murata Manufacturing Co. Ltd. | 529,800 | 35,391,276 | ||||||
127,418,166 | ||||||||
Internet Software & Services—3.6% | ||||||||
eBay, Inc.1 | 2,500,090 | 80,677,904 | ||||||
Google, Inc., Cl. A1 | 46,270 | 23,430,203 | ||||||
104,108,107 | ||||||||
IT Services—2.3% | ||||||||
Automatic Data Processing, Inc. | 571,840 | 30,124,531 | ||||||
Infosys Ltd. | 554,168 | 36,080,270 | ||||||
66,204,801 |
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment—5.1% | ||||||||
Altera Corp. | 1,396,340 | $ | 64,720,359 | |||||
Maxim Integrated Products, Inc. | 1,415,335 | 36,175,963 | ||||||
MediaTek, Inc. | 1,531,891 | 16,700,570 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 11,443,184 | 28,963,567 | ||||||
146,560,459 | ||||||||
Software—6.5% | ||||||||
Adobe Systems, Inc.1 | 1,074,443 | 33,791,232 | ||||||
Intuit, Inc.1 | 985,590 | 51,112,697 | ||||||
Microsoft Corp. | 1,473,980 | 38,323,480 | ||||||
Nintendo Co. Ltd. | 60,600 | 11,412,241 | ||||||
SAP AG | 912,028 | 55,217,914 | ||||||
189,857,564 | ||||||||
Materials—0.7% | ||||||||
Chemicals—0.7% | ||||||||
Linde AG | 120,238 | 21,080,620 | ||||||
Telecommunication Services—1.4% | ||||||||
Wireless Telecommunication Services—1.4% | ||||||||
America Movil SAB de CV, | ||||||||
ADR, Series L | 121,380 | 6,539,954 | ||||||
KDDI Corp. | 4,772 | 34,335,024 | ||||||
40,874,978 | ||||||||
Utilities—0.8% | ||||||||
Electric Utilities—0.8% | ||||||||
Fortum OYJ | 786,400 | 22,773,870 | ||||||
Total Common Stocks (Cost $2,094,100,646) | 2,855,636,311 | |||||||
Investment Company—0.9% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%2,3 (Cost $24,851,031) | 24,851,031 | 24,851,031 | ||||||
Total Investments, at Value (Cost $2,118,951,677) | 99.4 | % | 2,880,487,342 | |||||
Other Assets Net of Liabilities | 0.6 | 17,091,805 | ||||||
Net Assets | 100.0 | % | $ | 2,897,579,147 | ||||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
| | | | | ||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 32,313,050 | 114,740,532 | 122,202,551 | 24,851,031 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 24,851,031 | $ | 23,690 |
3. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | 471,247,264 | $ | 34,776,601 | $ | — | $ | 506,023,865 | ||||||||
Consumer Staples | 209,166,439 | — | — | 209,166,439 | ||||||||||||
Energy | 111,363,368 | — | — | 111,363,368 | ||||||||||||
Financials | 401,831,792 | 86,634,171 | — | 488,465,963 | ||||||||||||
Health Care | 259,232,993 | 13,523,250 | — | 272,756,243 | ||||||||||||
Industrials | 331,197,894 | 49,543,388 | — | 380,741,282 | ||||||||||||
Information Technology | 643,002,397 | 159,387,286 | — | 802,389,683 | ||||||||||||
Materials | 21,080,620 | — | — | 21,080,620 | ||||||||||||
Telecommunication Services | 6,539,954 | 34,335,024 | — | 40,874,978 | ||||||||||||
Utilities | 22,773,870 | — | — | 22,773,870 | ||||||||||||
Investment Company | 24,851,031 | — | — | 24,851,031 | ||||||||||||
Total Investments, at Value | 2,502,287,622 | 378,199,720 | — | 2,880,487,342 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Foreign currency exchange contracts | — | 1,911 | — | 1,911 | ||||||||||||
Total Assets | $ | 2,502,287,622 | $ | 378,201,631 | $ | — | $ | 2,880,489,253 | ||||||||
Transfers | Transfers out | Transfers into | Transfers out | |||||||||||||
into Level 1* | of Level 1** | Level 2** | of Level 2* | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | — | $ | (47,387,991 | ) | $ | 47,387,991 | $ | — | |||||||
Consumer Staples | — | — | — | — | ||||||||||||
Energy | — | — | — | — | ||||||||||||
Financials | — | (93,638,232 | ) | 93,638,232 | — | |||||||||||
Health Care | — | (13,492,167 | ) | 13,492,167 | — | |||||||||||
Industrials | — | (56,725,650 | ) | 56,725,650 | — | |||||||||||
Information Technology | 112,303,620 | (157,233,362 | ) | 157,233,362 | (112,303,620 | ) | ||||||||||
Materials | — | — | — | — | ||||||||||||
Telecommunication Services | — | (27,565,809 | ) | 27,565,809 | — | |||||||||||
Utilities | 23,857,723 | — | — | (23,857,723 | ) | |||||||||||
Total Assets | $ | 136,161,343 | $ | (396,043,211 | ) | $ | 396,043,211 | $ | (136,161,343 | ) | ||||||
* | 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. |
Geographic Holdings | Value | Percent | ||||||
United States | $ | 1,073,264,510 | 37.3 | % | ||||
Japan | 297,385,074 | 10.3 | ||||||
Germany | 287,887,637 | 10.0 | ||||||
France | 211,864,170 | 7.3 | ||||||
Sweden | 203,785,219 | 7.1 | ||||||
Switzerland | 146,705,959 | 5.1 | ||||||
United Kingdom | 106,791,148 | 3.7 | ||||||
Brazil | 96,171,173 | 3.3 | ||||||
Mexico | 93,103,748 | 3.2 | ||||||
Spain | 78,717,165 | 2.7 | ||||||
India | 54,125,021 | 1.9 | ||||||
Italy | 53,587,056 | 1.9 | ||||||
Taiwan | 45,664,137 | 1.6 | ||||||
The Netherlands | 43,763,563 | 1.5 | ||||||
Ireland | 26,476,449 | 0.9 | ||||||
Finland | 22,773,870 | 0.8 | ||||||
Korea, Republic of South | 19,179,586 | 0.7 | ||||||
Israel | 11,733,373 | 0.4 | ||||||
Argentina | 7,508,484 | 0.3 | ||||||
Total | $ | 2,880,487,342 | 100.0 | % | ||||
Contract Amount | Expiration | Unrealized | ||||||||||||||||||
Counterparty/Contract Description | Buy/Sell | (000’s) | Date | Value | Appreciation | |||||||||||||||
Citigroup | ||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 3,111 GBP | 7/5/11 | $ | 4,993,454 | $ | 821 | |||||||||||||
JP Morgan Chase | ||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 1,851 GBP | 7/5/11 | 2,970,569 | 1,090 | |||||||||||||||
Total unrealized appreciation | $ | 1,911 | ||||||||||||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $2,094,100,646) | $ | 2,855,636,311 | ||
Affiliated companies (cost $24,851,031) | 24,851,031 | |||
2,880,487,342 | ||||
Cash | 664,945 | |||
Unrealized appreciation on foreign currency exchange contracts | 1,911 | |||
Receivables and other assets: | ||||
Investments sold | 34,315,958 | |||
Interest and dividends | 5,928,702 | |||
Shares of beneficial interest sold | 394,812 | |||
Other | 801,420 | |||
Total assets | 2,922,595,090 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 19,965,862 | |||
Shares of beneficial interest redeemed | 3,490,145 | |||
Distribution and service plan fees | 771,162 | |||
Shareholder communications | 353,398 | |||
Transfer and shareholder servicing agent fees | 233,237 | |||
Trustees’ compensation | 57,974 | |||
Foreign capital gains tax | 17,117 | |||
Other | 127,048 | |||
Total liabilities | 25,015,943 | |||
Net Assets | $ | 2,897,579,147 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 90,236 | ||
Additional paid-in capital | 2,058,972,132 | |||
Accumulated net investment income | 39,996,060 | |||
Accumulated net realized gain on investments and foreign currency transactions | 36,513,039 | |||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 762,007,680 | |||
Net Assets | $ | 2,897,579,147 | ||
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 $1,436,488,918 and 44,605,067 shares of beneficial interest outstanding) | $ | 32.20 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,173,429,462 and 36,724,198 shares of beneficial interest outstanding) | $ | 31.95 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $201,876,997 and 6,226,460 shares of beneficial interest outstanding) | $ | 32.42 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $85,783,770 and 2,680,171 shares of beneficial interest outstanding) | $ | 32.01 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $4,361,697) | $ | 60,543,071 | ||
Affiliated companies | 23,690 | |||
Interest | 1,202 | |||
Total investment income | 60,567,963 | |||
Expenses | ||||
Management fees | 9,014,833 | |||
Distribution and service plan fees: | ||||
Service shares | 1,431,745 | |||
Class 4 shares | 105,004 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 716,352 | |||
Service shares | 572,776 | |||
Class 3 shares | 101,900 | |||
Class 4 shares | 42,003 | |||
Shareholder communications: | ||||
Non-Service shares | 81,541 | |||
Service shares | 65,100 | |||
Class 3 shares | 11,611 | |||
Class 4 shares | 4,775 | |||
Custodian fees and expenses | 184,483 | |||
Trustees’ compensation | 28,308 | |||
Administration service fees | 750 | |||
Other | 44,978 | |||
Total expenses | 12,406,159 | |||
Less waivers and reimbursements of expenses | (12,637 | ) | ||
Net expenses | 12,393,522 | |||
Net Investment Income | 48,174,441 | |||
Realized and Unrealized Gain | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies (net of foreign capital gains tax of $58,482) | 79,841,379 | |||
Foreign currency transactions | 5,238,694 | |||
Net realized gain | 85,080,073 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments (net of foreign capital gains tax of $16,749) | 1,422,387 | |||
Translation of assets and liabilities denominated in foreign currencies | 72,564,791 | |||
Net change in unrealized appreciation/depreciation | 73,987,178 | |||
Net Increase in Net Assets Resulting from Operations | $ | 207,241,692 | ||
Six Months | ||||||||
Ended | Year Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 48,174,441 | $ | 28,998,191 | ||||
Net realized gain | 85,080,073 | 61,465,998 | ||||||
Net change in unrealized appreciation/depreciation | 73,987,178 | 297,995,320 | ||||||
Net increase in net assets resulting from operations | 207,241,692 | 388,459,509 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (17,234,287 | ) | (19,240,136 | ) | ||||
Service shares | (11,357,368 | ) | (12,039,643 | ) | ||||
Class 3 shares | (2,447,497 | ) | (2,863,873 | ) | ||||
Class 4 shares | (819,361 | ) | (934,492 | ) | ||||
(31,858,513 | ) | (35,078,144 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (61,424,416 | ) | (133,425,702 | ) | ||||
Service shares | 1,336,119 | (16,572,723 | ) | |||||
Class 3 shares | (13,309,917 | ) | (29,607,611 | ) | ||||
Class 4 shares | (1,240,956 | ) | (6,420,742 | ) | ||||
(74,639,170 | ) | (186,026,778 | ) | |||||
Net Assets | ||||||||
Total increase | 100,744,009 | 167,354,587 | ||||||
Beginning of period | 2,796,835,138 | 2,629,480,551 | ||||||
End of period (including accumulated net investment income of $39,996,060 and $23,680,132, respectively) | $ | 2,897,579,147 | $ | 2,796,835,138 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.30 | $ | 26.50 | $ | 20.21 | $ | 36.60 | $ | 36.79 | $ | 33.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .54 | .33 | .33 | .55 | .45 | .43 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.74 | 3.85 | 6.94 | (14.46 | ) | 1.69 | 5.20 | |||||||||||||||||
Total from investment operations | 2.28 | 4.18 | 7.27 | (13.91 | ) | 2.14 | 5.63 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.38 | ) | (.50 | ) | (.46 | ) | (.50 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.38 | ) | (.38 | ) | (.98 | ) | (2.48 | ) | (2.33 | ) | (2.22 | ) | ||||||||||||
Net asset value, end of period | $ | 32.20 | $ | 30.30 | $ | 26.50 | $ | 20.21 | $ | 36.60 | $ | 36.79 | ||||||||||||
Total Return, at Net Asset Value2 | 7.54 | % | 15.96 | % | 39.77 | % | (40.19 | )% | 6.32 | % | 17.69 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,436,489 | $ | 1,410,764 | $ | 1,364,597 | $ | 1,150,113 | $ | 2,193,638 | $ | 2,297,315 | ||||||||||||
Average net assets (in thousands) | $ | 1,444,865 | $ | 1,336,110 | $ | 1,206,240 | $ | 1,679,720 | $ | 2,302,726 | $ | 2,189,511 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.46 | % | 1.22 | % | 1.51 | % | 1.95 | % | 1.21 | % | 1.27 | % | ||||||||||||
Total expenses4 | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | 0.66 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | 0.66 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 15 | % | 11 | % | 19 | % | 18 | % | 21 | % |
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, 2011 | 0.76 | % | ||
Year Ended December 31, 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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.04 | $ | 26.28 | $ | 20.02 | $ | 36.27 | $ | 36.49 | $ | 33.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .50 | .26 | .27 | .47 | .33 | .33 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.72 | 3.82 | 6.90 | (14.32 | ) | 1.72 | 5.16 | |||||||||||||||||
Total from investment operations | 2.22 | 4.08 | 7.17 | (13.85 | ) | 2.05 | 5.49 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.31 | ) | (.32 | ) | (.43 | ) | (.38 | ) | (.44 | ) | (.30 | ) | ||||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.31 | ) | (.32 | ) | (.91 | ) | (2.40 | ) | (2.27 | ) | (2.16 | ) | ||||||||||||
Net asset value, end of period | $ | 31.95 | $ | 30.04 | $ | 26.28 | $ | 20.02 | $ | 36.27 | $ | 36.49 | ||||||||||||
Total Return, at Net Asset Value2 | 7.41 | % | 15.70 | % | 39.36 | % | (40.33 | )% | 6.08 | % | 17.36 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,173,429 | $ | 1,101,584 | $ | 980,485 | $ | 772,107 | $ | 1,300,989 | $ | 983,558 | ||||||||||||
Average net assets (in thousands) | $ | 1,155,287 | $ | 997,627 | $ | 830,887 | $ | 1,051,239 | $ | 1,180,656 | $ | 750,499 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.23 | % | 0.96 | % | 1.23 | % | 1.70 | % | 0.91 | % | 0.98 | % | ||||||||||||
Total expenses4 | 1.01 | % | 1.01 | % | 1.00 | % | 0.90 | % | 0.89 | % | 0.91 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.01 | % | 1.01 | % | 1.00 | % | 0.90 | % | 0.89 | % | 0.91 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 15 | % | 11 | % | 19 | % | 18 | % | 21 | % |
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, 2011 | 1.01 | % | ||
Year Ended December 31, 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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Class 3 Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.50 | $ | 26.67 | $ | 20.34 | $ | 36.82 | $ | 36.99 | $ | 33.55 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .54 | .33 | .33 | .56 | .45 | .43 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.76 | 3.88 | 6.98 | (14.56 | ) | 1.71 | 5.23 | |||||||||||||||||
Total from investment operations | 2.30 | 4.21 | 7.31 | (14.00 | ) | 2.16 | 5.66 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.38 | ) | (.50 | ) | (.46 | ) | (.50 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.38 | ) | (.38 | ) | (.98 | ) | (2.48 | ) | (2.33 | ) | (2.22 | ) | ||||||||||||
Net asset value, end of period | $ | 32.42 | $ | 30.50 | $ | 26.67 | $ | 20.34 | $ | 36.82 | $ | 36.99 | ||||||||||||
Total Return, at Net Asset Value2 | 7.56 | % | 15.97 | % | 39.70 | % | (40.19 | )% | 6.34 | % | 17.69 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 201,877 | $ | 202,621 | $ | 206,356 | $ | 175,971 | $ | 361,621 | $ | 395,901 | ||||||||||||
Average net assets (in thousands) | $ | 205,532 | $ | 196,495 | $ | 182,553 | $ | 269,650 | $ | 391,270 | $ | 369,406 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.43 | % | 1.22 | % | 1.49 | % | 1.95 | % | 1.22 | % | 1.26 | % | ||||||||||||
Total expenses4 | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | 0.66 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | 0.66 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 15 | % | 11 | % | 19 | % | 18 | % | 21 | % |
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, 2011 | 0.76 | % | ||
Year Ended December 31, 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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Class 4 Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.08 | $ | 26.32 | $ | 20.03 | $ | 36.28 | $ | 36.49 | $ | 33.15 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .50 | .26 | .27 | .47 | .34 | .34 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.74 | 3.82 | 6.92 | (14.34 | ) | 1.70 | 5.16 | |||||||||||||||||
Total from investment operations | 2.24 | 4.08 | 7.19 | (13.87 | ) | 2.04 | 5.50 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.31 | ) | (.32 | ) | (.42 | ) | (.36 | ) | (.42 | ) | (.30 | ) | ||||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | (1.86 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.31 | ) | (.32 | ) | (.90 | ) | (2.38 | ) | (2.25 | ) | (2.16 | ) | ||||||||||||
Net asset value, end of period | $ | 32.01 | $ | 30.08 | $ | 26.32 | $ | 20.03 | $ | 36.28 | $ | 36.49 | ||||||||||||
Total Return, at Net Asset Value2 | 7.45 | % | 15.67 | % | 39.38 | % | (40.35 | )% | 6.06 | % | 17.40 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 85,784 | $ | 81,866 | $ | 78,043 | $ | 63,099 | $ | 123,542 | $ | 114,232 | ||||||||||||
Average net assets (in thousands) | $ | 84,721 | $ | 76,519 | $ | 66,965 | $ | 93,909 | $ | 122,385 | $ | 100,973 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 3.23 | % | 0.97 | % | 1.22 | % | 1.69 | % | 0.93 | % | 1.00 | % | ||||||||||||
Total expenses4 | 1.01 | % | 1.01 | % | 1.00 | % | 0.91 | % | 0.90 | % | 0.91 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.01 | % | 1.01 | % | 1.00 | % | 0.91 | % | 0.90 | % | 0.91 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 15 | % | 11 | % | 19 | % | 18 | % | 21 | % |
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, 2011 | 1.01 | % | ||
Year Ended December 31, 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 | % |
Expiring | ||||
2017 | $ | 17,214,823 |
Federal tax cost of securities | $ | 2,150,304,044 | ||
Gross unrealized appreciation | $ | 818,486,364 | ||
Gross unrealized depreciation | (88,146,596 | ) | ||
Net unrealized appreciation | $ | 730,339,768 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,285,556 | $ | 41,262,301 | 3,002,141 | $ | 81,399,571 | ||||||||||
Dividends and/or distributions reinvested | 544,183 | 17,234,287 | 719,257 | 19,240,136 | ||||||||||||
Redeemed | (3,788,231 | ) | (119,921,004 | ) | (8,659,048 | ) | (234,065,409 | ) | ||||||||
Net decrease | (1,958,492 | ) | $ | (61,424,416 | ) | (4,937,650 | ) | $ | (133,425,702 | ) | ||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Service Shares | ||||||||||||||||
Sold | 2,254,777 | $ | 70,707,371 | 4,081,506 | $ | 109,511,274 | ||||||||||
Dividends and/or distributions reinvested | 361,125 | 11,357,368 | 453,129 | 12,039,643 | ||||||||||||
Redeemed | (2,567,367 | ) | (80,728,620 | ) | (5,166,594 | ) | (138,123,640 | ) | ||||||||
Net increase (decrease) | 48,535 | $ | 1,336,119 | (631,959 | ) | $ | (16,572,723 | ) | ||||||||
Class 3 Shares | ||||||||||||||||
Sold | 80,442 | $ | 2,557,369 | 201,269 | $ | 5,485,318 | ||||||||||
Dividends and/or distributions reinvested | 76,748 | 2,447,497 | 106,384 | 2,863,873 | ||||||||||||
Redeemed | (574,099 | ) | (18,314,783 | )1 | (1,401,659 | ) | (37,956,802 | )2 | ||||||||
Net decrease | (416,909 | ) | $ | (13,309,917 | ) | (1,094,006 | ) | $ | (29,607,611 | ) | ||||||
Class 4 Shares | ||||||||||||||||
Sold | 88,797 | $ | 2,838,064 | 83,546 | $ | 2,267,578 | ||||||||||
Dividends and/or distributions reinvested | 26,011 | 819,361 | 35,118 | 934,492 | ||||||||||||
Redeemed | (156,030 | ) | (4,898,381 | )1 | (362,658 | ) | (9,622,812 | )2 | ||||||||
Net decrease | (41,222 | ) | $ | (1,240,956 | ) | (243,994 | ) | $ | (6,420,742 | ) | ||||||
1. | Net of redemption fees of $1,703 and $1,794 for Class 3 and Class 4, respectively. | |
2. | Net of redemption fees of $3,781 and $2,816 for Class 3 and Class 4, respectively. |
Purchases | Sales | |||||||
Investment securities | $ | 209,578,149 | $ | 273,213,671 |
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 |
Asset Derivatives | ||||||||
Derivatives Not Accounted for | ||||||||
as Hedging Instruments | Statement of Assets and Liabilities Location | Value | ||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | $ | 1,911 |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as | ||||
Hedging Instruments | Foreign currency transactions | |||
Foreign exchange contracts | $ | (187,289 | ) |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as | Translation of assets and liabilities | |||
Hedging Instruments | denominated in foreign currencies | |||
Foreign exchange contracts | $ | 4,171 |
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
June 30, 2011 Oppenheimer High Income Fund/VA Semiannual Report A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Fund Performance Discussion Fund Allocations Financial Statements |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 4.86 | % | Class 3 | 5.28 | % | |||||||
Service Shares | 5.10 | Class 4 | 5.01 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||
Non-Service Shares | 16.94% | – 19.24% | – 7.18% |
Since | ||||||
Inception | ||||||
1-Year | 5-Year | (9/18/01) | ||||
Service Shares | 17.14% | – 19.17% | – 7.24% |
Since | ||||||
Inception | ||||||
1-Year | 5-Year | (5/1/07) | ||||
Class 3 | 17.34% | N/A | – 24.40% | |||
Class 4 | 16.92 | N/A | – 24.36 |
For the Fiscal Year Ended 12/31/10
Gross | Net | |||
Expense | Expense | |||
Ratios | Ratios | |||
Non-Service Shares | 0.98% | 0.69% | ||
Service Shares | 1.23 | 0.94 | ||
Class 3 | 0.99 | 0.69 | ||
Class 4 | 1.23 | 0.94 |
Media | 7.4 | % | ||
Oil, Gas & Consumable Fuels | 6.4 | |||
Hotels, Restaurants & Leisure | 6.3 | |||
Capital Markets | 6.2 | |||
Paper & Forest Products | 4.6 | |||
Aerospace & Defense | 4.2 | |||
Health Care Providers & Services | 3.1 | |||
Chemicals | 3.0 | |||
Food Products | 2.9 | |||
Energy Equipment & Services | 2.7 |
Credit Rating Breakdown | NRSRO Only Total | |||
AAA | 2.3 | % | ||
BBB | 1.2 | |||
BB | 10.7 | |||
B | 55.8 | |||
CCC | 22.6 | |||
CC | 1.7 | |||
Unrated | 5.7 | |||
Total | 100.0 | % |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2011 | June 30, 2011 | June 30, 2011 | |||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,048.60 | $ | 3.82 | ||||||
Service shares | 1,000.00 | 1,051.00 | 5.10 | |||||||||
Class 3 | 1,000.00 | 1,052.80 | 3.82 | |||||||||
Class 4 | 1,000.00 | 1,050.10 | 5.10 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.08 | 3.77 | |||||||||
Service shares | 1,000.00 | 1,019.84 | 5.02 | |||||||||
Class 3 | 1,000.00 | 1,021.08 | 3.77 | |||||||||
Class 4 | 1,000.00 | 1,019.84 | 5.02 |
Class | Expense Ratios | |||
Non-Service Shares | 0.75 | % | ||
Service shares | 1.00 | |||
Class 3 | 0.75 | |||
Class 4 | 1.00 |
Principal | ||||||||
Amount | Value | |||||||
Corporate Bonds and Notes—87.7% | ||||||||
Consumer Discretionary—19.3% | ||||||||
Auto Components—2.2% | ||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | $ | 610,000 | $ | 661,850 | ||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/171 | 1,450,000 | 1,569,625 | ||||||
Visteon Corp., 6.75% Sr. Nts., 4/15/192 | 690,000 | 669,300 | ||||||
2,900,775 | ||||||||
Hotels, Restaurants & Leisure—6.3% | ||||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/162 | 350,000 | 369,250 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 2,808,000 | 2,548,243 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/172 | 660,000 | 666,600 | ||||||
Isle of Capri Casinos, Inc.: | ||||||||
7% Sr. Unsec. Sub. Nts., 3/1/14 | 240,000 | 239,100 | ||||||
7.75% Sr. Unsec. Nts., 3/15/192 | 675,000 | 685,125 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 455,000 | 489,125 | ||||||
MGM Mirage, Inc.: | ||||||||
5.875% Sr. Nts., 2/27/14 | 430,000 | 415,488 | ||||||
6.625% Sr. Unsec. Nts., 7/15/15 | 975,000 | 918,938 | ||||||
Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 | 1,070,000 | 872,050 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | 435,000 | 475,238 | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/143 | 2,595,000 | — | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 750,000 | 648,750 | ||||||
8,327,907 | ||||||||
Household Durables—1.2% | ||||||||
Beazer Homes USA, Inc.: | ||||||||
6.875% Sr. Unsec. Nts., 7/15/15 | 280,000 | 249,900 | ||||||
9.125% Sr. Nts., 5/15/192 | 790,000 | 683,350 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: | ||||||||
8.50% Sr. Nts., 5/15/182 | 320,000 | 316,000 | ||||||
9% Sr. Nts., 4/15/192 | 325,000 | 322,563 | ||||||
1,571,813 | ||||||||
Leisure Equipment & Products—1.7% | ||||||||
Eastman Kodak Co., 9.75% Sr. Sec. Nts., 3/1/182 | 2,355,000 | 2,260,800 | ||||||
Media—7.4% | ||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Nts., 11/15/152 | 420,000 | 422,100 | ||||||
Affinion Group, Inc., 7.875% Sr. Nts., 12/15/182 | 760,000 | 714,400 | ||||||
Belo (A.H.) Corp.: | ||||||||
7.25% Sr. Unsec. Unsub. Bonds, 9/15/27 | 115,000 | 103,213 | ||||||
7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 719,000 | 677,658 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||||
7% Sr. Nts., 1/15/192 | 115,000 | 118,738 | ||||||
7% Sr. Unsec. Unsub. Nts., 1/15/19 | 80,000 | 82,800 | ||||||
Cengage Learning Acquisitions, Inc.: | ||||||||
10.50% Sr. Nts., 1/15/152 | 825,000 | 750,750 | ||||||
13.25% Sr. Sub. Nts., 7/15/152 | 355,000 | 321,275 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/172 | 620,000 | 647,900 | ||||||
Clear Channel Communications, Inc.: | ||||||||
9% Sr. Nts., 3/1/212 | 335,000 | 322,438 | ||||||
10.75% Sr. Unsec. Unsub. Nts., 8/1/16 | 690,000 | 626,175 | ||||||
Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/192 | 350,000 | 339,500 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 | 315,000 | 327,600 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 | 1,235,000 | 1,290,575 | ||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/181 | 230,000 | 253,575 | ||||||
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/192 | 395,000 | 404,875 | ||||||
Newport Television LLC/NTV Finance Corp., 13.509% Sr. Nts., 3/15/172,4 | 657,281 | 683,572 | ||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 | 535,000 | 565,763 | ||||||
Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 | 705,000 | 743,775 | ||||||
Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 | 320,000 | 332,800 | ||||||
9,729,482 | ||||||||
Textiles, Apparel & Luxury Goods—0.5% | ||||||||
Jones Group, Inc. (The)/Jones Apparel Group Holdings, Inc./Jones Apparel Group USA, Inc./JAG Footwear, Accessories & Retail Corp., 6.875% Sr. Unsec. Unsub. Nts., 3/15/19 | 600,000 | 582,000 |
Principal | ||||||||
Amount | Value | |||||||
Consumer Staples—2.9% | ||||||||
Food & Staples Retailing—0.0% | ||||||||
Real Time Data Co., 11% Nts., 5/31/091,3,4 | $ | 476,601 | $ | — | ||||
Food Products—2.9% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/162 | 925,000 | 980,500 | ||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/172,4 | 1,118,635 | 1,191,346 | ||||||
Blue Merger Sub, Inc., 7.625% Sr. Nts., 2/15/192 | 675,000 | 685,125 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/172 | 280,000 | 282,800 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/151 | 690,000 | 755,550 | ||||||
3,895,321 | ||||||||
Energy—9.1% | ||||||||
Energy Equipment & Services—2.7% | ||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/192 | 475,000 | 470,250 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 | 615,000 | 648,825 | ||||||
Offshore Group Investments Ltd.: | ||||||||
11.50% Sr. Sec. Nts., 8/1/15 | 605,000 | 660,963 | ||||||
11.50% Sr. Sec. Nts., 8/1/152 | 160,000 | 174,800 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 | 565,000 | 573,475 | ||||||
SESI LLC, 6.375% Sr. Nts., 5/1/192 | 970,000 | 962,725 | ||||||
3,491,038 | ||||||||
Oil, Gas & Consumable Fuels—6.4% | ||||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 | 1,165,000 | 1,188,300 | ||||||
Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 | 665,000 | 704,900 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 | 640,000 | 694,400 | ||||||
James River Coal Co., 7.875% Sr. Nts., 4/1/192 | 160,000 | 159,200 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 | 1,110,000 | 1,209,900 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/212 | 795,000 | 801,956 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/152 | 1,575,000 | 1,661,625 | ||||||
Quicksilver Resources, Inc., 11.75% Sr. Nts., 1/1/16 | 645,000 | 741,750 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Unsec. Nts., 1/15/20 | 560,000 | 599,200 | ||||||
9.875% Sr. Unsec. Nts., 5/15/162 | 305,000 | 336,263 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/192 | 345,000 | 346,725 | ||||||
8,444,219 | ||||||||
Financials—11.6% | ||||||||
Capital Markets—6.2% | ||||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 300,000 | 293,250 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 | 360,000 | 364,500 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., 10.875% Sr. Nts., 4/1/152 | 2,255,000 | 2,356,475 | ||||||
Nuveen Investments, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 9/15/15 | 535,000 | 472,138 | ||||||
10.50% Sr. Unsec. Unsub. Nts., 11/15/15 | 640,000 | 657,600 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/182 | 1,250,000 | 1,353,125 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 | 705,000 | 650,363 | ||||||
Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 1,500,000 | 1,398,750 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/192 | 625,000 | 559,375 | ||||||
8,105,576 | ||||||||
Consumer Finance—0.8% | ||||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 10/15/182 | 430,000 | 441,825 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 | 570,000 | 642,675 | ||||||
1,084,500 | ||||||||
Diversified Financial Services—0.8% | ||||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 | 375,000 | 407,813 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds5 | 695,000 | 642,875 | ||||||
1,050,688 | ||||||||
Insurance—0.6% | ||||||||
International Lease Finance Corp.: | ||||||||
8.625% Sr. Unsec. Unsub. Nts., 9/15/156 | 410,000 | 445,875 | ||||||
8.75% Sr. Unsec. Unsub. Nts., 3/15/176 | 350,000 | 383,688 | ||||||
829,563 | ||||||||
Real Estate Investment Trusts—1.8% | ||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/192 | 1,735,000 | 1,674,275 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/222 | 695,000 | 688,919 | ||||||
2,363,194 |
Principal | ||||||||
Amount | Value | |||||||
Real Estate Management & Development—1.4% | ||||||||
Realogy Corp., 11.50% Sr. Unsec. Unsub. Nts., 4/15/17 | $ | 1,220,000 | $ | 1,244,400 | ||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/132,6 | 530,000 | 520,725 | ||||||
1,765,125 | ||||||||
Health Care—5.9% | ||||||||
Biotechnology—0.1% | ||||||||
Grifols SA/Giant Funding Corp., 8.25% Sr. Nts., 2/1/182 | 195,000 | 204,263 | ||||||
Health Care Equipment & Supplies—1.9% | ||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 | 570,000 | 561,450 | ||||||
Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 | 290,000 | 297,250 | ||||||
Biomet, Inc.: | ||||||||
10.375% Sr. Unsec. Nts., 10/15/174 | 460,000 | 509,450 | ||||||
11.625% Sr. Unsec. Sub. Nts., 10/15/17 | 275,000 | 305,938 | ||||||
DJO Finance LLC/DJO Finance Corp., 9.75% Sr. Sub. Nts., 10/15/172 | 520,000 | 530,400 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 290,000 | 301,600 | ||||||
2,506,088 | ||||||||
Health Care Providers & Services—3.1% | ||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/154 | 445,151 | 447,377 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 | 575,000 | 609,500 | ||||||
inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/182 | 370,000 | 363,525 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Nts., 6/1/192 | 860,000 | 860,000 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/182 | 460,000 | 491,050 | ||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 | 315,000 | 326,813 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 | 335,000 | 336,256 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/182 | 200,000 | 204,000 | ||||||
US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17) | 435,000 | 9,788 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 375,000 | 389,063 | ||||||
4,037,372 | ||||||||
Health Care Technology—0.1% | ||||||||
MedAssets, Inc., 8% Sr. Nts., 11/15/182 | 75,000 | 74,625 | ||||||
Pharmaceuticals—0.7% | ||||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/182 | 190,000 | 187,150 | ||||||
Warner Chilcott Co. LLC, 7.75% Sr. Nts., 9/15/182 | 800,000 | 811,000 | ||||||
998,150 | ||||||||
Industrials—12.8% | ||||||||
Aerospace & Defense—4.2% | ||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 | 220,000 | 231,550 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/172 | 1,210,000 | 1,246,300 | ||||||
Hawker Beechcraft Acquisition Co. LLC: | ||||||||
8.50% Sr. Unsec. Nts., 4/1/15 | 1,405,000 | 1,106,438 | ||||||
9.75% Sr. Unsec. Sub. Nts., 4/1/17 | 240,000 | 169,200 | ||||||
Kratos Defense & Security Solutions, Inc.: | ||||||||
10% Sr. Sec. Nts., 6/1/17 | 235,000 | 249,100 | ||||||
10% Sr. Sec. Nts., 6/1/17 | 257,000 | 272,420 | ||||||
TransDigm, Inc., 7.75% Sr. Sub. Nts., 12/15/182 | 1,245,000 | 1,313,475 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 | 895,000 | 985,619 | ||||||
5,574,102 | ||||||||
Air Freight & Logistics—0.4% | ||||||||
AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/182 | 510,000 | 540,600 | ||||||
Building Products—1.0% | ||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/172 | 265,000 | 265,000 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 | 930,000 | 981,150 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/172 | 75,000 | 75,281 | ||||||
1,321,431 | ||||||||
Commercial Services & Supplies—1.1% | ||||||||
R. R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 | 560,000 | 560,140 | ||||||
West Corp.: | ||||||||
7.875% Sr. Nts., 1/15/192 | 305,000 | 296,613 | ||||||
8.625% Sr. Unsec. Nts., 10/1/182 | 635,000 | 644,525 | ||||||
1,501,278 | ||||||||
Electrical Equipment—0.5% | ||||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 | 541,000 | 582,928 | ||||||
Machinery—2.4% | ||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/162 | 680,000 | 703,800 |
Principal | ||||||||
Amount | Value | |||||||
Machinery Continued | ||||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 | $ | 685,000 | $ | 734,663 | ||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 1,335,000 | 1,375,050 | ||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/172 | 335,000 | 351,750 | ||||||
3,165,263 | ||||||||
Marine—0.9% | ||||||||
Marquette Transportation Co./ Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 | 780,000 | 789,750 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 | 195,000 | 193,050 | ||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 | 160,000 | 165,600 | ||||||
1,148,400 | ||||||||
Professional Services—0.5% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/152 | 510,000 | 530,400 | ||||||
TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/18 | 150,000 | 170,250 | ||||||
700,650 | ||||||||
Road & Rail—1.8% | ||||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/182 | 1,285,000 | 1,329,975 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/152 | 1,045,000 | 992,750 | ||||||
2,322,725 | ||||||||
Information Technology—5.9% | ||||||||
Computers & Peripherals—0.9% | ||||||||
Seagate HDD Cayman: | ||||||||
6.875% Sr. Unsec. Nts., 5/1/202 | 650,000 | 648,375 | ||||||
7% Sr. Unsec. Nts., 11/1/212 | 475,000 | 477,375 | ||||||
1,125,750 | ||||||||
Electronic Equipment & Instruments—1.1% | ||||||||
CDW LLC/CDW Finance Corp.: | ||||||||
11% Sr. Unsec. Nts., 10/12/15 | 85,000 | 89,888 | ||||||
12.535% Sr. Unsec. Sub. Nts., 10/12/17 | 1,310,000 | 1,418,075 | ||||||
1,507,963 | ||||||||
Internet Software & Services—1.0% | ||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 | 1,245,000 | 1,307,250 | ||||||
IT Services—1.7% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | 535,000 | 537,675 | ||||||
First Data Corp.: | ||||||||
8.875% Sr. Sec. Nts., 8/15/202 | 395,000 | 423,638 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 | 1,075,000 | 1,109,938 | ||||||
SunGard Data Systems, Inc., 7.625% Sr. Unsec. Nts., 11/15/20 | 190,000 | 192,850 | ||||||
2,264,101 | ||||||||
Semiconductors & Semiconductor Equipment—1.2% | ||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 | 315,000 | 326,025 | ||||||
Freescale Semiconductor, Inc., 10.75% Sr. Unsec. Nts., 8/1/202 | 1,065,000 | 1,208,775 | ||||||
1,534,800 | ||||||||
Materials—11.0% | ||||||||
Chemicals—3.0% | ||||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 | 635,000 | 661,988 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: | ||||||||
8.875% Sr. Sec. Nts., 2/1/18 | 800,000 | 836,000 | ||||||
9% Sec. Nts., 11/15/20 | 380,000 | 391,400 | ||||||
Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/172 | 716,000 | 798,340 | ||||||
Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 | 1,255,000 | 1,286,375 | ||||||
3,974,103 | ||||||||
Construction Materials—0.7% | ||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/212 | 435,000 | 438,263 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/182 | 540,000 | 514,350 | ||||||
952,613 | ||||||||
Containers & Packaging—1.8% | ||||||||
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 | 940,000 | 914,150 | ||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/192 | 650,000 | 654,875 | ||||||
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 | 755,000 | 707,813 | ||||||
2,276,838 | ||||||||
Metals & Mining—0.9% | ||||||||
Aleris International, Inc., 7.625% Sr. Nts., 2/15/182 | 1,200,000 | 1,203,000 |
Principal | ||||||||
Amount | Value | |||||||
Paper & Forest Products—4.6% | ||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/182 | $ | 423,000 | $ | 460,013 | ||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/152,4 | 1,094,375 | 1,017,769 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/152 | 1,325,000 | 1,387,938 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/162 | 1,117,000 | 960,620 | ||||||
Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 | 570,000 | 614,175 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14 | 1,370,000 | 1,284,375 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/152 | 375,000 | 310,313 | ||||||
6,035,203 | ||||||||
Telecommunication Services—4.1% | ||||||||
Diversified Telecommunication Services—2.5% | ||||||||
Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 | 340,000 | 323,850 | ||||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | 305,000 | 308,050 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 350,000 | 334,250 | ||||||
Intelsat Bermuda Ltd.: | ||||||||
11.25% Sr. Unsec. Nts., 2/4/17 | 635,000 | 683,419 | ||||||
12.50% Sr. Unsec. Nts., 2/4/174 | 328,710 | 354,185 | ||||||
Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/192 | 975,000 | 1,009,125 | ||||||
Windstream Corp., 8.125% Sr. Unsec. Unsub. Nts., 9/1/18 | 305,000 | 324,825 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/103 | 1,000,000 | — | ||||||
3,337,704 | ||||||||
Wireless Telecommunication Services—1.6% | ||||||||
Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 | 1,310,000 | 1,287,075 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 780,000 | 774,150 | ||||||
2,061,225 | ||||||||
Utilities—5.1% | ||||||||
Electric Utilities—2.6% | ||||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 1,065,000 | 867,975 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 | 757,000 | 810,714 | ||||||
Texas Competitive Electric Holdings Co. LLC: | ||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 2,325,000 | 1,418,250 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 | 410,000 | 248,050 | ||||||
3,344,989 | ||||||||
Energy Traders—2.4% | ||||||||
Energy Future Holdings Corp.,10% Sr. Sec. Nts., 1/15/20 | 780,000 | 831,446 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/182 | 75,000 | 76,125 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/172 | 1,295,000 | 1,380,794 | ||||||
GenOn Energy, Inc.: | ||||||||
9.50% Sr. Unsec. Nts., 10/15/18 | 415,000 | 433,675 | ||||||
9.875% Sr. Unsec. Nts., 10/15/20 | 415,000 | 435,750 | ||||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 | 15,000 | 15,750 | ||||||
3,173,540 | ||||||||
Gas Utilities—0.1% | ||||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Nts., 5/1/212 | 170,000 | 161,500 | ||||||
Total Corporate Bonds and Notes (Cost $114,408,633) | 115,340,455 |
Shares | ||||||||
Preferred Stocks—1.9% | ||||||||
Ally Financial, Inc., 7%, Non-Vtg.2 | 1,479 | 1,390,075 | ||||||
GMAC Capital Trust I, 8.125% Cum. | 10,000 | 256,000 | ||||||
Greektown Superholdings, Inc., Series A-17 | 11,550 | 826,287 | ||||||
Total Preferred Stocks (Cost $2,657,315) | 2,472,362 | |||||||
Common Stocks—3.6% | ||||||||
AbitibiBowater, Inc.7 | 27,638 | 561,051 | ||||||
American Media Operations, Inc.7 | 58,065 | 929,040 | ||||||
Dana Holding Corp.7 | 19,738 | 361,205 | ||||||
Gaylord Entertainment Co., Cl. A7 | 21,382 | 641,460 | ||||||
Global Aviation Holdings, Inc.7 | 300 | 3,000 | ||||||
Greektown Superholdings, Inc.7 | 874 | 58,165 | ||||||
Kaiser Aluminum Corp. | 458 | 25,016 | ||||||
Linn Energy LLC | 9,065 | 354,170 | ||||||
LyondellBasell Industries NV, Cl. A | 18,740 | 721,865 | ||||||
Orbcomm, Inc.7 | 1,127 | 3,528 | ||||||
Visteon Corp.7 | 15,377 | 1,051,941 | ||||||
Total Common Stocks (Cost $6,225,583) | 4,710,441 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.1% | ||||||||
ASG Warrant Corp. Wts., Strike Price $0.01, Exp. 5/15/181,7 | 1,030 | 128,750 | ||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/177 | 11,017 | 396 | ||||||
Total Rights, Warrants and Certificates (Cost $49,050) | 129,146 |
Principal | ||||||||
Amount | Value | |||||||
Loan Participations—2.0% | ||||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/186 | $ | 155,000 | $ | 158,875 | ||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 4.655%, 10/19/154,6 | 2,444,195 | 1,717,047 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/31/15 | 696,875 | 743,914 | ||||||
Total Loan Participations (Cost $2,272,201) | 2,619,836 | |||||||
Investment Company—2.3% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%8,9 (Cost $2,999,927) | 2,999,927 | 2,999,927 | ||||||
Total Investments, at Value (Cost $128,612,709) | 97.6 | % | 128,272,167 | |||||
Other Assets Net of Liabilities | 2.4 | 3,160,347 | ||||||
Net Assets | 100.0 | % | $ | 131,432,514 | ||||
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
ASG Warrant Corp. Wts., Strike Price $0.01, Exp. 5/15/18 | 4/28/10-8/19/10 | $ | 49,050 | $ | 128,750 | $ | 79,700 | |||||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/18 | 7/20/10 | 230,000 | 253,575 | 23,575 | ||||||||||||
Real Time Data Co., 11% Nts., 5/31/09 | 6/30/99-5/31/01 | 365,810 | — | (365,810 | ) | |||||||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 | 4/28/10-5/4/11 | 703,577 | 755,550 | 51,973 | ||||||||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/17 | 8/13/10-5/3/11 | 1,441,862 | 1,569,625 | 127,763 | ||||||||||||
$ | 2,790,299 | $ | 2,707,500 | $ | (82,799 | ) | ||||||||||
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 $52,884,315 or 40.24% of the Fund’s net assets as of June 30, 2011. | |
3. | This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Notes. | |
4. | Interest or dividend is paid-in-kind, when applicable. | |
5. | 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. | |
6. | Represents the current interest rate for a variable or increasing rate security. | |
7. | Non-income producing security. | |
8. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 4,033,152 | 32,523,279 | 33,556,504 | 2,999,927 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 2,999,927 | $ | 4,188 |
9. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | — | $ | 115,340,455 | $ | — | $ | 115,340,455 | ||||||||
Preferred Stocks | — | 1,646,075 | 826,287 | 2,472,362 | ||||||||||||
Common Stocks | 2,668,295 | 1,980,981 | 61,165 | 4,710,441 | ||||||||||||
Rights, Warrants and Certificates | — | 128,750 | 396 | 129,146 | ||||||||||||
Loan Participations | — | 2,619,836 | — | 2,619,836 | ||||||||||||
Investment Company | 2,999,927 | — | — | 2,999,927 | ||||||||||||
Total Assets | $ | 5,668,222 | $ | 121,716,097 | $ | 887,848 | $ | 128,272,167 | ||||||||
Change in | ||||||||||||||||||||||||||||
unrealized | Transfer | |||||||||||||||||||||||||||
Value as of | Realized | appreciation/ | out of | Value as of | ||||||||||||||||||||||||
December 31, 2010 | gain (loss) | depreciation | Purchase | Sales | Level 3 | June 30, 2011 | ||||||||||||||||||||||
Assets Table | ||||||||||||||||||||||||||||
Investments, at Value: | ||||||||||||||||||||||||||||
Common Stocks | $ | 1,036,161 | $ | (208,776 | ) | $ | 964,574 | $ | — | $ | — | $ | (1,730,794 | ) | $ | 61,165 | ||||||||||||
Corporate Bonds | 87,082 | (457,059 | ) | (834,139 | ) | 1,312,570 | (108,454 | ) | — | — | ||||||||||||||||||
Preferred Stock | 1,226,957 | (1,097,476 | ) | 696,806 | — | — | — | 826,287 | ||||||||||||||||||||
Rights, Warrants and Certificates | 403 | (3,172,834 | ) | 3,172,827 | — | — | — | 396 | ||||||||||||||||||||
Total Assets | $ | 2,350,603 | $ | (4,936,145 | ) | $ | 4,000,068 | $ | 1,312,570 | $ | (108,454 | ) | $ | (1,730,794 | ) | $ | 887,848 | |||||||||||
Change in | ||||
unrealized | ||||
appreciation/ | ||||
depreciation | ||||
Corporate Bonds and Notes | $ | (261 | ) | |
Preferred Stocks | (328,713 | ) | ||
Common Stocks | (28,204 | ) | ||
Rights, Warrants and Certificates | 396 | |||
Total | $ | (27,808 | ) | |
June 30, 2011 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $125,612,782) | $ | 125,272,240 | ||
Affiliated companies (cost $2,999,927) | 2,999,927 | |||
128,272,167 | ||||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 2,640,094 | |||
Shares of beneficial interest sold | 693,312 | |||
Other | 71,689 | |||
Total assets | 131,677,262 | |||
Liabilities | ||||
Bank overdraft | 11,965 | |||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 73,879 | |||
Shareholder communications | 71,931 | |||
Distribution and service plan fees | 45,591 | |||
Trustees’ compensation | 13,324 | |||
Transfer and shareholder servicing agent fees | 11,059 | |||
Legal, auditing and other professional fees | 10,391 | |||
Other | 6,608 | |||
Total liabilities | 244,748 | |||
Net Assets | $ | 131,432,514 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 64,032 | ||
Additional paid-in capital | 353,756,829 | |||
Accumulated net investment income | 5,311,861 | |||
Accumulated net realized loss on investments | (227,359,666 | ) | ||
Net unrealized depreciation on investments | (340,542 | ) | ||
Net Assets | $ | 131,432,514 | ||
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 $54,637,007 and 26,742,258 shares of beneficial interest outstanding) | $ | 2.04 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $63,084,409 and 30,684,244 shares of beneficial interest outstanding) | $ | 2.06 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $5,368,558 and 2,603,334 shares of beneficial interest outstanding) | $ | 2.06 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $8,342,540 and 4,001,676 shares of beneficial interest outstanding) | $ | 2.08 | ||
See accompanying Notes to Financial Statements. |
For the Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Interest | $ | 6,243,825 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $281) | 59,907 | |||
Affiliated companies | 4,188 | |||
Total investment income | 6,307,920 | |||
Expenses | ||||
Management fees | 523,573 | |||
Distribution and service plan fees: | ||||
Service shares | 80,087 | |||
Class 4 shares | 10,794 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 30,240 | |||
Service shares | 32,040 | |||
Class 3 shares | 3,205 | |||
Class 4 shares | 4,324 | |||
Shareholder communications: | ||||
Non-Service shares | 15,935 | |||
Service shares | 16,787 | |||
Class 3 shares | 1,687 | |||
Class 4 shares | 2,261 | |||
Trustees’ compensation | 5,040 | |||
Custodian fees and expenses | 4,891 | |||
Administration service fees | 750 | |||
Other | 27,973 | |||
Total expenses | 759,587 | |||
Less waivers and reimbursements of expenses | (145,322 | ) | ||
Net expenses | 614,265 | |||
Net Investment Income | 5,693,655 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 1,969,470 | |||
Net change in unrealized appreciation/depreciation on investments | (440,958 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 7,222,167 | ||
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 5,693,655 | $ | 12,056,923 | ||||
Net realized gain | 1,969,470 | 6,278,337 | ||||||
Net change in unrealized appreciation/depreciation | (440,958 | ) | (249,331 | ) | ||||
Net increase in net assets resulting from operations | 7,222,167 | 18,085,929 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (5,402,411 | ) | (3,674,586 | ) | ||||
Service shares | (5,518,442 | ) | (3,877,767 | ) | ||||
Class 3 shares | (555,527 | ) | (304,126 | ) | ||||
Class 4 shares | (704,748 | ) | (385,856 | ) | ||||
(12,181,128 | ) | (8,242,335 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (4,780,413 | ) | (10,126,348 | ) | ||||
Service shares | 1,618,779 | (5,260,981 | ) | |||||
Class 3 shares | (434,422 | ) | 929,124 | |||||
Class 4 shares | 1,104,519 | (118,291 | ) | |||||
(2,491,537 | ) | (14,576,496 | ) | |||||
Net Assets | ||||||||
Total decrease | (7,450,498 | ) | (4,732,902 | ) | ||||
Beginning of period | 138,883,012 | 143,615,914 | ||||||
End of period (including accumulated net investment income of $5,311,861 and $11,799,334, respectively) | $ | 131,432,514 | $ | 138,883,012 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 2.13 | $ | 1.98 | $ | 1.58 | $ | 7.95 | $ | 8.55 | $ | 8.44 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .09 | .18 | .17 | .54 | .57 | .58 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .01 | .10 | .23 | (6.44 | ) | (.56 | ) | .17 | ||||||||||||||||
Total from investment operations | .10 | .28 | .40 | (5.90 | ) | .01 | .75 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.13 | ) | — | (.47 | ) | (.61 | ) | (.64 | ) | |||||||||||||
Net asset value, end of period | $ | 2.04 | $ | 2.13 | $ | 1.98 | $ | 1.58 | $ | 7.95 | $ | 8.55 | ||||||||||||
Total Return, at Net Asset Value2 | 4.86 | % | 14.81 | % | 25.32 | % | (78.67 | )% | (0.10 | )% | 9.42 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 54,637 | $ | 61,563 | $ | 67,385 | $ | 111,040 | $ | 294,819 | $ | 361,445 | ||||||||||||
Average net assets (in thousands) | $ | 60,968 | $ | 59,598 | $ | 71,782 | $ | 211,186 | $ | 335,702 | $ | 365,154 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 8.29 | % | 9.01 | % | 9.78 | % | 9.30 | % | 6.96 | % | 7.05 | % | ||||||||||||
Total expenses4 | 0.96 | % | 0.98 | % | 0.94 | % | 0.80 | % | 0.75 | % | 0.74 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75 | % | 0.69 | % | 0.57 | % | 0.78 | % | 0.74 | % | 0.74 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 132 | % | 128 | % | 53 | %5 | 67 | %5 | 57 | % |
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, 2011 | 0.96 | % | ||
Year Ended December 31, 2010 | 0.98 | % | ||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 2.14 | $ | 1.99 | $ | 1.58 | $ | 7.89 | $ | 8.50 | $ | 8.39 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .08 | .17 | .16 | .54 | .55 | .56 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .03 | .10 | .25 | (6.40 | ) | (.57 | ) | .17 | ||||||||||||||||
Total from investment operations | .11 | .27 | .41 | (5.86 | ) | (.02 | ) | .73 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.12 | ) | — | (.45 | ) | (.59 | ) | (.62 | ) | |||||||||||||
Net asset value, end of period | $ | 2.06 | $ | 2.14 | $ | 1.99 | $ | 1.58 | $ | 7.89 | $ | 8.50 | ||||||||||||
Total Return, at Net Asset Value2 | 5.10 | % | 14.44 | % | 25.95 | % | (78.57 | )% | (0.47 | )% | 9.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 63,084 | $ | 63,713 | $ | 64,440 | $ | 43,375 | $ | 157,333 | $ | 173,299 | ||||||||||||
Average net assets (in thousands) | $ | 64,593 | $ | 63,661 | $ | 54,202 | $ | 116,236 | $ | 169,569 | $ | 160,703 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 8.04 | % | 8.76 | % | 9.60 | % | 9.13 | % | 6.71 | % | 6.80 | % | ||||||||||||
Total expenses4 | 1.21 | % | 1.23 | % | 1.21 | % | 1.05 | % | 1.01 | % | 1.00 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.00 | % | 0.94 | % | 0.80 | % | 1.03 | % | 1.00 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 132 | % | 128 | % | 53 | %5 | 67 | %5 | 57 | % |
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, 2011 | 1.21 | % | ||
Year Ended December 31, 2010 | 1.23 | % | ||
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 |
Six Months | ||||||||||||||||||||
Ended | ||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||
Class 3 Shares | (Unaudited) | 2010 | 2009 | 2008 | 20071 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 2.14 | $ | 1.99 | $ | 1.57 | $ | 7.98 | $ | 8.26 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .09 | .18 | .17 | .56 | .37 | |||||||||||||||
Net realized and unrealized gain (loss) | .02 | .10 | .25 | (6.50 | ) | (.65 | ) | |||||||||||||
Total from investment operations | .11 | .28 | .42 | (5.94 | ) | (.28 | ) | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.13 | ) | — | (.47 | ) | — | ||||||||||||
Net asset value, end of period | $ | 2.06 | $ | 2.14 | $ | 1.99 | $ | 1.57 | $ | 7.98 | ||||||||||
Total Return, at Net Asset Value3 | 5.28 | % | 14.69 | % | 26.75 | % | (78.89 | )% | (3.39 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,369 | $ | 6,034 | $ | 4,684 | $ | 1,582 | $ | 4,921 | ||||||||||
Average net assets (in thousands) | $ | 6,459 | $ | 5,279 | $ | 3,568 | $ | 5,292 | $ | 3,750 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 8.29 | % | 8.97 | % | 9.86 | % | 9.29 | % | 6.90 | % | ||||||||||
Total expenses5 | 0.96 | % | 0.99 | % | 0.97 | % | 0.80 | % | 0.76 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75 | % | 0.69 | % | 0.53 | % | 0.78 | % | 0.75 | % | ||||||||||
Portfolio turnover rate | 33 | % | 132 | % | 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, 2011 | 0.96 | % | ||
Year Ended December 31, 2010 | 0.99 | % | ||
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 |
Six Months | ||||||||||||||||||||
Ended | ||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||
Class 4 Shares | (Unaudited) | 2010 | 2009 | 2008 | 20071 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 2.16 | $ | 2.01 | $ | 1.59 | $ | 7.97 | $ | 8.26 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .09 | .18 | .16 | .54 | .36 | |||||||||||||||
Net realized and unrealized gain (loss) | .02 | .09 | .26 | (6.46 | ) | (.65 | ) | |||||||||||||
Total from investment operations | .11 | .27 | .42 | (5.92 | ) | (.29 | ) | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.12 | ) | — | (.46 | ) | — | ||||||||||||
Net asset value, end of period | $ | 2.08 | $ | 2.16 | $ | 2.01 | $ | 1.59 | $ | 7.97 | ||||||||||
Total Return, at Net Asset Value3 | 5.01 | % | 14.27 | % | 26.42 | % | (78.63 | )% | (3.51 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,343 | $ | 7,573 | $ | 7,107 | $ | 4,167 | $ | 9,476 | ||||||||||
Average net assets (in thousands) | $ | 8,711 | $ | 7,278 | $ | 6,285 | $ | 10,658 | $ | 7,201 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 8.04 | % | 8.74 | % | 9.62 | % | 9.00 | % | 6.61 | % | ||||||||||
Total expenses5 | 1.21 | % | 1.23 | % | 1.19 | % | 1.07 | % | 1.05 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.00 | % | 0.94 | % | 0.80 | % | 1.05 | % | 1.04 | % | ||||||||||
Portfolio turnover rate | 33 | % | 132 | % | 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, 2011 | 1.21 | % | ||
Year Ended December 31, 2010 | 1.23 | % | ||
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 |
Cost | $ | 2,446,880 | ||
Market Value | $ | — | ||
Market Value as a % of Net Assets | 0.00 | % |
Expiring | ||||
2011 | $ | 8,529,303 | ||
2012 | 128,504 | |||
2016 | 48,495,519 | |||
2017 | 171,938,143 | |||
Total | $ | 229,091,469 | ||
Federal tax cost of securities | $ | 129,041,138 | ||
Gross unrealized appreciation | $ | 5,594,028 | ||
Gross unrealized depreciation | (6,362,999 | ) | ||
Net unrealized depreciation | $ | (768,971 | ) | |
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 2,139,222 | $ | 4,549,354 | 11,152,476 | $ | 21,983,381 | ||||||||||
Dividends and/or distributions reinvested | 2,648,241 | 5,402,411 | 1,954,567 | 3,674,586 | ||||||||||||
Redeemed | (7,012,343 | ) | (14,732,178 | ) | (18,147,101 | ) | (35,784,315 | ) | ||||||||
Net decrease | (2,224,880 | ) | $ | (4,780,413 | ) | (5,040,058 | ) | $ | (10,126,348 | ) | ||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Service Shares | ||||||||||||||||
Sold | 1,542,012 | 3,235,275 | 2,939,505 | 5,849,488 | ||||||||||||
Dividends and/or distributions reinvested | 2,691,923 | 5,518,442 | 2,040,930 | 3,877,767 | ||||||||||||
Redeemed | (3,389,607 | ) | (7,134,938 | ) | (7,528,455 | ) | (14,988,236 | ) | ||||||||
Net increase (decrease) | 844,328 | $ | 1,618,779 | (2,548,020 | ) | $ | (5,260,981 | ) | ||||||||
Class 3 Shares | ||||||||||||||||
Sold | 572,587 | 1,222,127 | 2,054,702 | 4,093,320 | ||||||||||||
Dividends and/or distributions reinvested | 269,673 | 555,527 | 160,066 | 304,126 | ||||||||||||
Redeemed | (1,055,776 | ) | (2,212,076 | )1 | (1,747,107 | ) | (3,468,322 | )2 | ||||||||
Net increase (decrease) | (213,516 | ) | $ | (434,422 | ) | 467,661 | $ | 929,124 | ||||||||
Class 4 Shares | ||||||||||||||||
Sold | 1,139,600 | 2,458,346 | 1,725,510 | 3,440,558 | ||||||||||||
Dividends and/or distributions reinvested | 338,821 | 704,748 | 200,967 | 385,856 | ||||||||||||
Redeemed | (978,268 | ) | (2,058,575 | )1 | (1,958,189 | ) | (3,944,705 | )2 | ||||||||
Net increase (decrease) | 500,153 | $ | 1,104,519 | (31,712 | ) | $ | (118,291 | ) | ||||||||
1. | Net of redemption fees of $281 and $180 for Class 3 and Class 4 shares, respectively. | |
2. | Net of redemption fees of $3,684 and $7,734 for Class 3 and Class 4 shares, respectively. | |
3. | Purchases and Sales of Securities |
Purchases | Sales | |||||||
Investment securities | $ | 41,173,324 | $ | 47,482,148 |
4. | Fees and Other Transactions with Affiliates |
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 |
A Series of Oppenheimer Variable Accounts | ||
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
June 30, 2011 Oppenheimer Main Street Fund®/VA A Series of Oppenheimer Variable Account Funds Semiannual Report SEMI ANNUAL REPORT Fund Performance Discussion Listing of Top Holdings Financial Statements |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 2.79 | % | ||
Service Shares | 2.60 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 28.44 | % | 1.89 | % | 2.58 | % | ||||||
Service Shares | 28.08 | 1.63 | 2.33 |
For the Fiscal Year Ended 12/31/10
Non-Service Shares | 0.78 | % | ||
Service Shares | 1.03 |
Apple, Inc. | 5.0 | % | ||
Chevron Corp. | 4.7 | |||
Occidental Petroleum Corp. | 4.4 | |||
CIT Group, Inc. | 3.8 | |||
eBay, Inc. | 3.5 | |||
Philip Morris International, Inc. | 3.2 | |||
United Parcel Service, Inc., Cl. B | 3.1 | |||
Citigroup, Inc. | 3.0 | |||
Ford Motor Co. | 3.0 | |||
JPMorgan Chase & Co. | 3.0 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2011 | June 30, 2011 | June 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,027.90 | $ | 3.93 | ||||||
Service Shares | 1,000.00 | 1,026.00 | 5.19 | |||||||||
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 |
Class | Expense Ratios | |||
Non-Service Shares | 0.78 | % | ||
Service Shares | 1.03 |
Shares | Value | |||||||
Common Stocks—99.2% | ||||||||
Consumer Discretionary—11.0% | ||||||||
Automobiles—3.0% | ||||||||
Ford Motor Co.1 | 3,392,610 | $ | 46,784,092 | |||||
Hotels, Restaurants & Leisure—2.1% | ||||||||
Hyatt Hotels Corp., Cl. A1 | 551,688 | 22,519,904 | ||||||
McDonald’s Corp. | 126,426 | 10,660,240 | ||||||
33,180,144 | ||||||||
Media—2.9% | ||||||||
McGraw-Hill Cos., Inc. (The) | 1,067,391 | 44,734,357 | ||||||
Specialty Retail—3.0% | ||||||||
AutoZone, Inc.1 | 87,300 | 25,740,405 | ||||||
TJX Cos., Inc. (The) | 415,780 | 21,840,923 | ||||||
47,581,328 | ||||||||
Consumer Staples—11.1% | ||||||||
Beverages—2.4% | ||||||||
Dr. Pepper Snapple Group, Inc. | 883,940 | 37,063,604 | ||||||
Food Products—5.5% | ||||||||
General Mills, Inc. | 703,860 | 26,197,669 | ||||||
J.M. Smucker Co. (The) | 99,760 | 7,625,654 | ||||||
Mead Johnson Nutrition Co., Cl. A | 441,982 | 29,855,884 | ||||||
Sara Lee Corp. | 1,164,100 | 22,106,259 | ||||||
85,785,466 | ||||||||
Tobacco—3.2% | ||||||||
Philip Morris International, Inc. | 758,359 | 50,635,630 | ||||||
Energy—12.4% | ||||||||
Oil, Gas & Consumable Fuels—12.4% | ||||||||
Chevron Corp. | 711,289 | 73,148,961 | ||||||
Enterprise Products Partners LP | 346,070 | 14,953,685 | ||||||
Kinder Morgan, Inc. | 400,860 | 11,516,708 | ||||||
Noble Energy, Inc. | 227,530 | 20,393,514 | ||||||
Occidental Petroleum Corp. | 662,440 | 68,920,258 | ||||||
Plains All American Pipeline LP | 98,141 | 6,281,024 | ||||||
�� | ||||||||
195,214,150 | ||||||||
Financials—17.2% | ||||||||
Capital Markets—2.6% | ||||||||
Blackstone Group LP (The) | 1,042,500 | 17,263,800 | ||||||
State Street Corp. | 553,142 | 24,941,173 | ||||||
42,204,973 | ||||||||
Commercial Banks—3.8% | ||||||||
CIT Group, Inc.1 | 1,336,890 | 59,170,751 | ||||||
Diversified Financial Services—6.0% | ||||||||
Citigroup, Inc. | 1,130,989 | 47,094,382 | ||||||
JPMorgan Chase & Co. | 1,139,350 | 46,644,989 | ||||||
93,739,371 | ||||||||
Insurance—4.8% | ||||||||
Aflac, Inc. | 390,830 | 18,243,944 | ||||||
Genworth Financial, Inc., Cl. A | 684,030 | 7,031,828 | ||||||
Marsh & McLennan Cos., Inc. | 510,710 | 15,929,045 | ||||||
Progressive Corp. | 1,587,850 | 33,948,233 | ||||||
75,153,050 | ||||||||
Health Care—12.9% | ||||||||
Biotechnology—2.8% | ||||||||
Celgene Corp.1 | 600,872 | 36,244,599 | ||||||
Human Genome Sciences, Inc.1 | 298,700 | 7,330,098 | ||||||
43,574,697 | ||||||||
Health Care Equipment & Supplies—0.2% | ||||||||
Intuitive Surgical, Inc.1 | 7,070 | 2,630,818 | ||||||
Health Care Providers & Services—2.5% | ||||||||
WellPoint, Inc. | 509,880 | 40,163,248 | ||||||
Life Sciences Tools & Services—0.3% | ||||||||
Waters Corp.1 | 53,800 | 5,150,812 | ||||||
Pharmaceuticals—7.1% | ||||||||
Abbott Laboratories | 797,140 | 41,945,507 | ||||||
Allergan, Inc. | 103,830 | 8,643,848 | ||||||
Bristol-Myers Squibb Co. | 714,890 | 20,703,214 | ||||||
Hospira, Inc.1 | 284,640 | 16,127,702 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | 491,490 | 23,699,648 | ||||||
111,119,919 | ||||||||
Industrials—8.6% | ||||||||
Aerospace & Defense—1.0% | ||||||||
Boeing Co. (The) | 225,280 | 16,654,950 | ||||||
Air Freight & Logistics—3.1% | ||||||||
United Parcel Service, Inc., Cl. B | 658,600 | 48,031,698 | ||||||
Construction & Engineering—0.6% | ||||||||
KBR, Inc. | 245,214 | 9,242,116 | ||||||
Industrial Conglomerates—2.6% | ||||||||
Tyco International Ltd. | 834,340 | 41,241,426 | ||||||
Road & Rail—1.3% | ||||||||
CSX Corp. | 480,870 | 12,608,411 | ||||||
Norfolk Southern Corp. | 95,710 | 7,171,550 | ||||||
19,779,961 |
Shares | Value | |||||||
Information Technology—19.3% | ||||||||
Communications Equipment—2.9% | ||||||||
QUALCOMM, Inc. | 797,631 | $ | 45,297,464 | |||||
Computers & Peripherals—5.2% | ||||||||
Apple, Inc.1 | 236,192 | 79,282,569 | ||||||
Western Digital Corp.1 | 88,640 | 3,224,723 | ||||||
82,507,292 | ||||||||
Internet Software & Services—5.8% | ||||||||
eBay, Inc.1 | 1,707,515 | 55,101,509 | ||||||
Google, Inc., Cl. A1 | 72,160 | 36,540,381 | ||||||
91,641,890 | ||||||||
IT Services—0.5% | ||||||||
Visa, Inc., Cl. A | 91,690 | 7,725,799 | ||||||
Semiconductors & Semiconductor Equipment—1.4% | ||||||||
Marvell Technology Group Ltd.1 | 1,440,890 | 21,274,741 | ||||||
Software—3.5% | ||||||||
Check Point Software Technologies Ltd.1 | 281,160 | 15,983,946 | ||||||
Microsoft Corp. | 1,473,907 | 38,321,582 | ||||||
54,305,528 | ||||||||
Materials—2.1% | ||||||||
Chemicals—1.9% | ||||||||
Praxair, Inc. | 278,280 | 30,162,769 | ||||||
Metals & Mining—0.2% | ||||||||
Glencore International plc1 | 389,000 | 3,065,450 | ||||||
Telecommunication Services—2.3% | ||||||||
Wireless Telecommunication Services—2.3% | ||||||||
America Movil SAB de CV, ADR, Series L | 667,306 | 35,954,449 | ||||||
Utilities—2.3% | ||||||||
Energy Traders—2.3% | ||||||||
AES Corp. (The)1 | 2,876,390 | 36,645,209 | ||||||
Total Common Stocks (Cost $1,196,597,577) | 1,557,417,152 | |||||||
Investment Company—1.2% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%2,3 (Cost $18,636,976) | 18,636,976 | 18,636,976 | ||||||
Total Investments, at Value (Cost $1,215,234,553) | 100.4 | % | 1,576,054,128 | |||||
Liabilities in Excess of Other Assets | (0.4 | ) | (5,901,667 | ) | ||||
Net Assets | 100.0 | % | $ | 1,570,152,461 | ||||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 21,709,488 | 202,037,010 | 205,109,522 | 18,636,976 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 18,636,976 | $ | 29,089 |
3. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | 172,279,921 | $ | — | $ | — | $ | 172,279,921 | ||||||||
Consumer Staples | 173,484,700 | — | — | 173,484,700 | ||||||||||||
Energy | 195,214,150 | — | — | 195,214,150 | ||||||||||||
Financials | 270,268,145 | — | — | 270,268,145 | ||||||||||||
Health Care | 202,639,494 | — | — | 202,639,494 | ||||||||||||
Industrials | 134,950,151 | — | — | 134,950,151 | ||||||||||||
Information Technology | 302,752,714 | — | — | 302,752,714 | ||||||||||||
Materials | 33,228,219 | — | — | 33,228,219 | ||||||||||||
Telecommunication Services | 35,954,449 | — | — | 35,954,449 | ||||||||||||
Utilities | 36,645,209 | — | — | 36,645,209 | ||||||||||||
Investment Company | 18,636,976 | — | — | 18,636,976 | ||||||||||||
Total Assets | $ | 1,576,054,128 | $ | — | $ | — | $ | 1,576,054,128 | ||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,196,597,577) | $ | 1,557,417,152 | ||
Affiliated companies (cost $18,636,976) | 18,636,976 | |||
1,576,054,128 | ||||
Cash | 3,519,429 | |||
Receivables and other assets: | ||||
Dividends | 1,683,168 | |||
Other | 51,164 | |||
Total assets | 1,581,307,889 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 7,865,250 | |||
Shares of beneficial interest redeemed | 2,123,188 | |||
Distribution and service plan fees | 688,923 | |||
Shareholder communications | 293,935 | |||
Transfer and shareholder servicing agent fees | 126,218 | |||
Trustees’ compensation | 39,796 | |||
Other | 18,118 | |||
Total liabilities | 11,155,428 | |||
Net Assets | $ | 1,570,152,461 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 74,151 | ||
Additional paid-in capital | 1,587,995,766 | |||
Accumulated net investment income | 7,499,128 | |||
Accumulated net realized loss on investments and foreign currency transactions | (386,236,159 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 360,819,575 | |||
Net Assets | $ | 1,570,152,461 | ||
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 $435,531,640 and 20,461,094 shares of beneficial interest outstanding) | $ | 21.29 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,134,620,821 and 53,690,143 shares of beneficial interest outstanding) | $ | 21.13 |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $14,683) | $ | 12,211,425 | ||
Affiliated companies | 29,089 | |||
Interest | 690 | |||
Total investment income | 12,241,204 | |||
Expenses | ||||
Management fees | 5,247,259 | |||
Distribution and service plan fees—Service shares | 1,443,779 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 227,578 | |||
Service shares | 577,532 | |||
Shareholder communications: | ||||
Non-Service shares | 39,365 | |||
Service shares | 99,708 | |||
Trustees’ compensation | 32,261 | |||
Custodian fees and expenses | 5,451 | |||
Administration service fees | 750 | |||
Other | 39,197 | |||
Total expenses | 7,712,880 | |||
Less waivers and reimbursements of expenses | (15,827 | ) | ||
Net expenses | 7,697,053 | |||
Net Investment Income | 4,544,151 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies | 50,370,975 | |||
Foreign currency transactions | 115 | |||
Net realized gain | 50,371,090 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (11,097,572 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (38,141 | ) | ||
Net change in unrealized appreciation/depreciation | (11,135,713 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 43,779,528 | ||
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 4,544,151 | $ | 12,343,744 | ||||
Net realized gain | 50,371,090 | 122,769,693 | ||||||
Net change in unrealized appreciation/depreciation | (11,135,713 | ) | 110,123,026 | |||||
Net increase in net assets resulting from operations | 43,779,528 | 245,236,463 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (3,755,987 | ) | (5,119,114 | ) | ||||
Service shares | (6,566,777 | ) | (11,011,249 | ) | ||||
(10,322,764 | ) | (16,130,363 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (43,361,869 | ) | (66,941,748 | ) | ||||
Service shares | (75,118,102 | ) | (135,835,930 | ) | ||||
(118,479,971 | ) | (202,777,678 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (85,023,207 | ) | 26,328,422 | |||||
Beginning of period | 1,655,175,668 | 1,628,847,246 | ||||||
End of period (including accumulated net investment income of $7,499,128 and $13,277,741, respectively) | $ | 1,570,152,461 | $ | 1,655,175,668 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.88 | $ | 18.18 | $ | 14.56 | $ | 25.61 | $ | 24.78 | $ | 21.79 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .08 | .17 | .21 | .29 | .33 | .27 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .50 | 2.73 | 3.71 | (9.64 | ) | .75 | 2.98 | |||||||||||||||||
Total from investment operations | .58 | 2.90 | 3.92 | (9.35 | ) | 1.08 | 3.25 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.20 | ) | (.30 | ) | (.32 | ) | (.25 | ) | (.26 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | (1.38 | ) | — | — | |||||||||||||||||
Total dividends and/or distributions to shareholders | (.17 | ) | (.20 | ) | (.30 | ) | (1.70 | ) | (.25 | ) | (.26 | ) | ||||||||||||
Net asset value, end of period | $ | 21.29 | $ | 20.88 | $ | 18.18 | $ | 14.56 | $ | 25.61 | $ | 24.78 | ||||||||||||
Total Return, at Net Asset Value2 | 2.79 | % | 16.11 | % | 28.29 | % | (38.47 | )% | 4.43 | % | 15.03 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 435,531 | $ | 469,720 | $ | 474,637 | $ | 432,360 | $ | 907,727 | $ | 1,046,146 | ||||||||||||
Average net assets (in thousands) | $ | 458,794 | $ | 454,937 | $ | 430,517 | $ | 670,994 | $ | 1,006,655 | $ | 1,054,522 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.74 | % | 0.93 | % | 1.35 | % | 1.42 | % | 1.28 | % | 1.19 | % | ||||||||||||
Total expenses4 | 0.78 | % | 0.78 | % | 0.78 | % | 0.66 | % | 0.65 | % | 0.66 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.78 | % | 0.78 | % | 0.78 | % | 0.66 | % | 0.65 | % | 0.66 | % | ||||||||||||
Portfolio turnover rate | 21 | % | 45 | % | 128 | % | 132 | % | 111 | % | 100 | % |
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, 2011 | 0.78 | % | ||
Year Ended December 31, 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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.71 | $ | 18.04 | $ | 14.42 | $ | 25.38 | $ | 24.58 | $ | 21.63 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .05 | .13 | .17 | .24 | .26 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .49 | 2.70 | 3.70 | (9.56 | ) | .75 | 2.95 | |||||||||||||||||
Total from investment operations | .54 | 2.83 | 3.87 | (9.32 | ) | 1.01 | 3.17 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.16 | ) | (.25 | ) | (.26 | ) | (.21 | ) | (.22 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | (1.38 | ) | — | — | |||||||||||||||||
Total dividends and/or distributions to shareholders | (.12 | ) | (.16 | ) | (.25 | ) | (1.64 | ) | (.21 | ) | (.22 | ) | ||||||||||||
Net asset value, end of period | $ | 21.13 | $ | 20.71 | $ | 18.04 | $ | 14.42 | $ | 25.38 | $ | 24.58 | ||||||||||||
Total Return, at Net Asset Value2 | 2.60 | % | 15.83 | % | 27.99 | % | (38.63 | )% | 4.15 | % | 14.76 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,134,621 | $ | 1,185,456 | $ | 1,154,210 | $ | 1,020,103 | $ | 1,464,690 | $ | 1,099,293 | ||||||||||||
Average net assets (in thousands) | $ | 1,164,321 | $ | 1,193,630 | $ | 1,029,909 | $ | 1,268,430 | $ | 1,315,488 | $ | 810,181 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.49 | % | 0.68 | % | 1.10 | % | 1.20 | % | 1.03 | % | 0.95 | % | ||||||||||||
Total expenses4 | 1.03 | % | 1.03 | % | 1.03 | % | 0.91 | % | 0.90 | % | 0.91 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.03 | % | 1.03 | % | 1.03 | % | 0.91 | % | 0.90 | % | 0.91 | % | ||||||||||||
Portfolio turnover rate | 21 | % | 45 | % | 128 | % | 132 | % | 111 | % | 100 | % |
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, 2011 | 1.03 | % | ||
Year Ended December 31, 2010 | 1.03 | % | ||
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 | % |
Expiring | ||||
2016 | $ | 99,612,647 | ||
2017 | 332,195,657 | |||
Total | $ | 431,808,304 | ||
Federal tax cost of securities | $ | 1,220,077,592 | ||
Gross unrealized appreciation | $ | 367,292,512 | ||
Gross unrealized depreciation | (11,315,976 | ) | ||
Net unrealized appreciation | $ | 355,976,536 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 616,769 | $ | 13,076,820 | 2,851,462 | $ | 52,574,153 | ||||||||||
Dividends and/or distributions reinvested | 176,503 | 3,755,987 | 279,275 | 5,119,114 | ||||||||||||
Redeemed | (2,824,018 | ) | (60,194,676 | ) | (6,743,462 | ) | (124,635,015 | ) | ||||||||
Net decrease | (2,030,746 | ) | $ | (43,361,869 | ) | (3,612,725 | ) | $ | (66,941,748 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 1,137,123 | $ | 23,634,468 | 7,702,331 | $ | 136,115,255 | ||||||||||
Dividends and/or distributions reinvested | 310,633 | 6,566,777 | 604,682 | 11,011,249 | ||||||||||||
Redeemed | (5,001,558 | ) | (105,319,347 | ) | (15,049,192 | ) | (282,962,434 | ) | ||||||||
Net decrease | (3,553,802 | ) | $ | (75,118,102 | ) | (6,742,179 | ) | $ | (135,835,930 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 332,186,240 | $ | 448,086,838 |
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 |
Derivatives Not Accounted | ||||
for as Hedging Instruments | Foreign currency transactions | |||
Foreign exchange contracts | $ | (8,881 | ) |
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
©2011 OppenheimerFunds, Inc. All rights reserved. |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 7.64 | % | ||
Service Shares | 7.54 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 34.63% | 3.57% | 7.58% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (7/16/01) | ||||||||||
Service Shares | 34.23% | 3.31% | 7.72% |
For the Fiscal Year Ended 12/31/10
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.85% | 0.80% | ||||||
Service Shares | 1.10 | 1.05 |
Healthspring, Inc. | 1.3 | % | ||
Holly Corp. | 1.2 | |||
Robert Half International, Inc. | 1.2 | |||
Semtech Corp. | 1.1 | |||
MSCI, Inc., Cl. A | 1.1 | |||
Old Dominion Freight Line, Inc. | 1.1 | |||
Questcor Pharmaceuticals, Inc. | 1.0 | |||
IMAX Corp. | 1.0 | |||
AES Corp. (The) | 1.0 | |||
Digital Realty Trust, Inc. | 0.9 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2011 | June 30, 2011 | June 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,076.40 | $ | 4.13 | ||||||
Service shares | 1,000.00 | 1,075.40 | 5.42 | |||||||||
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 |
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
Shares | Value | |||||||
Common Stocks—98.6% | ||||||||
Consumer Discretionary—14.0% | ||||||||
Auto Components—1.5% | ||||||||
American Axle & Manufacturing Holdings, Inc.1 | 107,360 | $ | 1,221,757 | |||||
Autoliv, Inc. | 17,280 | 1,355,616 | ||||||
Dana Holding Corp.1 | 377,740 | 6,912,642 | ||||||
Drew Industries, Inc. | 11,570 | 286,010 | ||||||
Federal-Mogul Corp.1 | 5,800 | 132,414 | ||||||
Lear Corp. | 43,030 | 2,301,244 | ||||||
Standard Motor Products, Inc. | 20,970 | 319,373 | ||||||
Superior Industries International, Inc. | 30,660 | 677,893 | ||||||
Tower International, Inc.1 | 540 | 9,553 | ||||||
TRW Automotive Holdings Corp.1 | 15,300 | 903,159 | ||||||
14,119,661 | ||||||||
Distributors—0.5% | ||||||||
Pool Corp. | 170,510 | 5,082,903 | ||||||
Diversified Consumer Services—1.0% | ||||||||
Bridgepoint Education, Inc.1 | 59,130 | 1,478,250 | ||||||
Career Education Corp.1 | 103,840 | 2,196,216 | ||||||
Coinstar, Inc.1 | 8,400 | 458,136 | ||||||
DeVry, Inc. | 37,400 | 2,211,462 | ||||||
Education Management Corp.1 | 34,530 | 826,648 | ||||||
ITT Educational Services, Inc.1 | 10,760 | 841,862 | ||||||
Lincoln Educational Services Corp. | 92,490 | 1,586,204 | ||||||
Universal Technical Institute, Inc. | 21,860 | 432,172 | ||||||
10,030,950 | ||||||||
Hotels, Restaurants & Leisure—1.9% | ||||||||
AFC Enterprises, Inc.1 | 14,732 | 242,341 | ||||||
Ameristar Casinos, Inc. | 52,040 | 1,233,868 | ||||||
Bally Technologies, Inc.1 | 159,720 | 6,497,410 | ||||||
Biglari Holdings, Inc.1 | 120 | 46,926 | ||||||
Brinker International, Inc. | 82,040 | 2,006,698 | ||||||
Cheesecake Factory, Inc. (The)1 | 39,570 | 1,241,311 | ||||||
Cracker Barrel Old Country Store, Inc. | 120,410 | 5,937,417 | ||||||
Papa John’s International, Inc.1 | 44,398 | 1,476,677 | ||||||
Texas Roadhouse, Inc., Cl. A | 2,770 | 48,572 | ||||||
18,731,220 | ||||||||
Household Durables—0.6% | ||||||||
American Greetings Corp., Cl. A | 63,540 | 1,527,502 | ||||||
CSS Industries, Inc. | 12,200 | 255,346 | ||||||
Helen of Troy Ltd.1 | 38,270 | 1,321,463 | ||||||
La-Z-Boy, Inc.1 | 14,480 | 142,918 | ||||||
Leggett & Platt, Inc. | 11,160 | 272,081 | ||||||
Toll Brothers, Inc.1 | 127,840 | 2,651,402 | ||||||
6,170,712 | ||||||||
Leisure Equipment & Products—0.3% | ||||||||
JAKKS Pacific, Inc.1 | 59,630 | 1,097,788 | ||||||
Mattel, Inc. | 12,780 | 351,322 | ||||||
Sturm, Ruger & Co., Inc. | 75,220 | 1,651,079 | ||||||
3,100,189 | ||||||||
Media—1.8% | ||||||||
Belo Corp., Cl. A1 | 97,470 | 733,949 | ||||||
Dish Network Corp., Cl. A1 | 7,690 | 235,852 | ||||||
Gannett Co., Inc. | 124,890 | 1,788,425 | ||||||
Global Sources Ltd.1 | 16,890 | 155,219 | ||||||
IMAX Corp.1 | 304,550 | 9,876,557 | ||||||
Interpublic Group of Cos., Inc. (The) | 147,890 | 1,848,625 | ||||||
Journal Communications, Inc.1 | 56,700 | 293,139 | ||||||
Lee Enterprises, Inc.1 | 190,870 | 169,874 | ||||||
Nexstar Broadcasting Group, Inc., Cl. A1 | 7,210 | 59,194 | ||||||
Sinclair Broadcast Group, Inc., Cl. A | 156,363 | 1,716,866 | ||||||
16,877,700 | ||||||||
Multiline Retail—0.4% | ||||||||
Dillard’s, Inc., Cl. A | 63,350 | 3,303,069 | ||||||
Fred’s, Inc. | 6,560 | 94,661 | ||||||
3,397,730 | ||||||||
Specialty Retail—4.4% | ||||||||
Advance Auto Parts, Inc. | 18,280 | 1,069,197 | ||||||
AnnTaylor Stores Corp.1 | 42,530 | 1,110,033 | ||||||
Ascena Retail Group, Inc.1 | 63,690 | 2,168,645 | ||||||
Books-A-Million, Inc. | 19,890 | 69,018 | ||||||
Casual Male Retail Group, Inc.1 | 10,690 | 44,364 | ||||||
Cato Corp., Cl. A | 78,454 | 2,259,475 | ||||||
Chico’s FAS, Inc. | 84,280 | 1,283,584 | ||||||
Children’s Place Retail Stores, Inc.1 | 164,360 | 7,312,376 | ||||||
Cost Plus, Inc.1 | 2,920 | 29,200 | ||||||
Express, Inc. | 103,730 | 2,261,314 | ||||||
Finish Line, Inc. (The), Cl. A | 98,380 | 2,105,332 | ||||||
Foot Locker, Inc. | 101,940 | 2,422,094 | ||||||
GameStop Corp., Cl. A1 | 85,970 | 2,292,820 | ||||||
Kirkland’s, Inc.1 | 2,233 | 26,841 | ||||||
Men’s Wearhouse, Inc. (The) | 54,830 | 1,847,771 | ||||||
Monro Muffler Brake, Inc. | 62,420 | 2,327,642 | ||||||
Pep Boys-Manny, Moe & Jack | 69,510 | 759,744 | ||||||
Pier 1 Imports, Inc.1 | 103,000 | 1,191,710 | ||||||
Sally Beauty Holdings, Inc.1 | 76,830 | 1,313,793 | ||||||
Select Comfort Corp.1 | 78,160 | 1,405,317 | ||||||
Shoe Carnival, Inc.1 | 6,610 | 199,292 | ||||||
Stage Stores, Inc. | 49,569 | 832,759 | ||||||
Tractor Supply Co. | 104,700 | 7,002,336 |
Shares | Value | |||||||
Specialty Retail Continued | ||||||||
Wet Seal, Inc., Cl. A1 | 21,050 | $ | 94,094 | |||||
Williams-Sonoma, Inc. | 38,460 | 1,403,405 | ||||||
42,832,156 | ||||||||
Textiles, Apparel & Luxury Goods—1.6% | ||||||||
Fossil, Inc.1 | 60,477 | 7,119,352 | ||||||
Phillips/Van Heusen Corp. | 119,170 | 7,802,060 | ||||||
14,921,412 | ||||||||
Consumer Staples—2.8% | ||||||||
Beverages—0.2% | ||||||||
Constellation Brands, Inc., Cl. A1 | 65,510 | 1,363,918 | ||||||
Dr. Pepper Snapple Group, Inc. | 12,460 | 522,448 | ||||||
National Beverage Corp. | 4,640 | 67,976 | ||||||
1,954,342 | ||||||||
Food & Staples Retailing—0.1% | ||||||||
Spartan Stores, Inc. | 22,990 | 448,995 | ||||||
Weis Markets, Inc. | 3,050 | 124,227 | ||||||
573,222 | ||||||||
Food Products—1.3% | ||||||||
B&G Foods, Inc., Cl. A | 14,450 | 297,959 | ||||||
Hormel Foods Corp. | 50,280 | 1,498,847 | ||||||
Omega Protein Corp.1 | 3,090 | 42,642 | ||||||
Overhill Farms, Inc.1 | 40,420 | 224,331 | ||||||
Smithfield Foods, Inc.1 | 89,070 | 1,947,961 | ||||||
TreeHouse Foods, Inc.1 | 127,886 | 6,983,854 | ||||||
Tyson Foods, Inc., Cl. A | 97,420 | 1,891,896 | ||||||
12,887,490 | ||||||||
Household Products—0.7% | ||||||||
Central Garden & Pet Co., Cl. A1 | 53,718 | 545,238 | ||||||
Church & Dwight Co., Inc. | 144,740 | 5,867,760 | ||||||
6,412,998 | ||||||||
Personal Products—0.5% | ||||||||
Elizabeth Arden, Inc.1 | 3,300 | 95,799 | ||||||
Medifast, Inc.1 | 36,100 | 856,653 | ||||||
Nu Skin Asia Pacific, Inc., Cl. A | 76,650 | 2,878,208 | ||||||
Prestige Brands Holdings, Inc.1 | 51,830 | 665,497 | ||||||
Revlon, Inc., Cl. A1 | 18,810 | 316,008 | ||||||
USANA Health Sciences, Inc.1 | 16,300 | 509,864 | ||||||
5,322,029 | ||||||||
Energy—6.4% | ||||||||
Energy Equipment & Services—1.7% | ||||||||
Basic Energy Services, Inc.1 | 3,850 | 121,160 | ||||||
Bolt Technology Corp.1 | 23,240 | 288,176 | ||||||
Complete Production Services, Inc.1 | 52,040 | 1,736,054 | ||||||
Helix Energy Solutions Group, Inc.1 | 76,500 | 1,266,840 | ||||||
ION Geophysical Corp.1 | 25,280 | 239,149 | ||||||
Matrix Service Co.1 | 13,190 | 176,482 | ||||||
Nabors Industries Ltd.1 | 24,070 | 593,085 | ||||||
Newpark Resources, Inc.1 | 261,700 | 2,373,619 | ||||||
Parker Drilling Co.1 | 95,830 | 560,606 | ||||||
Patterson-UTI Energy, Inc. | 64,060 | 2,024,937 | ||||||
Pioneer Drilling Co.1 | 47,780 | 728,167 | ||||||
Precision Drilling Corp.1 | 150,600 | 2,162,616 | ||||||
RPC, Inc. | 82,420 | 2,022,587 | ||||||
Superior Energy Services, Inc.1 | 47,100 | 1,749,294 | ||||||
Tesco Corp.1 | 33,950 | 658,970 | ||||||
16,701,742 | ||||||||
Oil, Gas & Consumable Fuels—4.7% | ||||||||
Alpha Natural Resources, Inc.1 | 2,690 | 122,234 | ||||||
Arch Coal, Inc. | 60,330 | 1,608,398 | ||||||
Atlas Energy LP | 14,300 | 310,739 | ||||||
CVR Energy, Inc.1 | 99,924 | 2,460,129 | ||||||
Delek US Holdings, Inc. | 39,110 | 614,027 | ||||||
Dominion Resources Black Warrior Trust | 13,370 | 137,845 | ||||||
Holly Corp. | 171,280 | 11,886,832 | ||||||
James River Coal Co.1 | 22,260 | 463,453 | ||||||
Kosmos Energy LLC1 | 137,400 | 2,333,052 | ||||||
L&L Energy, Inc.1 | 13,320 | 68,332 | ||||||
MarkWest Energy Partners LP | 139,478 | 6,728,419 | ||||||
PAA Natural Gas Storage LP | 215,600 | 4,887,652 | ||||||
Petrobras Argentina SA, ADR | 36,440 | 705,843 | ||||||
PetroQuest Energy, Inc.1 | 140,380 | 985,468 | ||||||
PrimeEnergy Corp.1 | 5,936 | 138,962 | ||||||
Stone Energy Corp.1 | 78,840 | 2,395,948 | ||||||
Tesoro Corp.1 | 79,470 | 1,820,658 | ||||||
Ultrapar Participacoes SA, Sponsored ADR | 66,030 | 1,197,124 | ||||||
VAALCO Energy, Inc.1 | 182,820 | 1,100,576 | ||||||
W&T Offshore, Inc. | 83,770 | 2,188,072 | ||||||
Warren Resources, Inc.1 | 107,840 | 410,870 | ||||||
Western Refining, Inc.1 | 142,510 | 2,575,156 | ||||||
45,139,789 | ||||||||
Financials—21.5% | ||||||||
Capital Markets—1.1% | ||||||||
Apollo Global Management LLC | 133,530 | 2,296,716 | ||||||
Arlington Asset Investment Corp. | 6,640 | 208,430 | ||||||
Artio Global Investors, Inc. | 36,450 | 411,885 | ||||||
Calamos Asset Management, Inc., Cl. A | 9,190 | 133,439 |
Shares | Value | |||||||
Capital Markets Continued | ||||||||
FXCM, Inc., Cl. A | 20,310 | $ | 201,475 | |||||
Janus Capital Group, Inc. | 123,580 | 1,166,595 | ||||||
Medley Capital Corp. | 6,030 | 70,792 | ||||||
MF Global Holdings Ltd.1 | 769,254 | 5,954,026 | ||||||
10,443,358 | ||||||||
Commercial Banks—2.3% | ||||||||
BBVA Banco Frances SA, ADR | 72,553 | 747,296 | ||||||
CapitalSource, Inc. | 665,900 | 4,295,055 | ||||||
Cardinal Financial Corp. | 2,920 | 31,974 | ||||||
Century Bancorp, Inc., Cl. A | 11,130 | 294,500 | ||||||
Enterprise Financial Services Corp. | 8,580 | 116,087 | ||||||
First Midwest Bancorp, Inc. | 147,340 | 1,810,809 | ||||||
FirstMerit Corp. | 355,120 | 5,863,031 | ||||||
Grupo Financiero Galicia SA | 71,780 | 971,901 | ||||||
IBERIABANK Corp. | 104,882 | 6,045,398 | ||||||
International Bancshares Corp. | 9 | 151 | ||||||
KeyCorp | 124,090 | 1,033,670 | ||||||
National Bankshares, Inc. | 8,507 | 213,015 | ||||||
Northrim BanCorp, Inc. | 15,570 | 295,363 | ||||||
Republic Bancorp, Inc., Cl. A | 10,520 | 209,348 | ||||||
Washington Banking Co. | 11,190 | 147,932 | ||||||
22,075,530 | ||||||||
Consumer Finance—0.9% | ||||||||
Advance America Cash Advance | ||||||||
Centers, Inc. | 56,710 | 390,732 | ||||||
Cash America International, Inc. | 51,087 | 2,956,405 | ||||||
Credit Acceptance Corp.1 | 2,940 | 248,342 | ||||||
EZCORP, Inc., Cl. A1 | 81,540 | 2,900,786 | ||||||
World Acceptance Corp.1 | 37,208 | 2,439,729 | ||||||
8,935,994 | ||||||||
Diversified Financial Services—1.9% | ||||||||
Encore Capital Group, Inc.1 | 42,040 | 1,291,469 | ||||||
Life Partners Holdings, Inc. | 43,889 | 150,978 | ||||||
Moody’s Corp. | 151,080 | 5,793,918 | ||||||
MSCI, Inc., Cl. A1 | 285,820 | 10,769,698 | ||||||
18,006,063 | ||||||||
Insurance—5.1% | ||||||||
Allied World Assurance Holdings Ltd. | 35,401 | 2,038,390 | ||||||
Alterra Capital Holdings Ltd. | 105,940 | 2,362,462 | ||||||
American Equity Investment Life Holding Co. | 88,030 | 1,118,861 | ||||||
American Financial Group, Inc. | 64,390 | 2,298,079 | ||||||
American Safety Insurance Holdings Ltd.1 | 17,670 | 338,204 | ||||||
Amerisafe, Inc.1 | 35,998 | 814,275 | ||||||
AmTrust Financial Services, Inc. | 83,518 | 1,902,540 | ||||||
Arch Capital Group Ltd.1 | 105,680 | 3,373,306 | ||||||
Assured Guaranty Ltd. | 74,870 | 1,221,130 | ||||||
Berkley (W.R.) Corp. | 69,842 | 2,265,674 | ||||||
Brown & Brown, Inc. | 158,160 | 4,058,386 | ||||||
CNA Financial Corp. | 14,580 | 423,549 | ||||||
CNO Financial Group, Inc.1 | 159,270 | 1,259,826 | ||||||
Crawford & Co. | 20,850 | 147,410 | ||||||
Delphi Financial Group, Inc., Cl. A | 59,940 | 1,750,847 | ||||||
EMC Insurance Group, Inc. | 7,190 | 137,329 | ||||||
FBL Financial Group, Inc., Cl. A | 38,460 | 1,236,489 | ||||||
Fidelity National Financial, Inc., Cl. A | 144,760 | 2,278,522 | ||||||
Harleysville Group, Inc. | 8,410 | 262,140 | ||||||
HCC Insurance Holdings, Inc. | 66,230 | 2,086,245 | ||||||
Horace Mann Educators Corp. | 68,019 | 1,061,777 | ||||||
Lincoln National Corp. | 11,350 | 323,362 | ||||||
Maiden Holdings Ltd. | 89,410 | 813,631 | ||||||
Meadowbrook Insurance Group, Inc. | 119,460 | 1,183,849 | ||||||
National Interstate Corp. | 11,130 | 254,877 | ||||||
National Western Life Insurance Co., Cl. A | 2,710 | 432,164 | ||||||
OneBeacon Insurance Group Ltd. | 53,180 | 712,080 | ||||||
Phoenix Cos., Inc. (The)1 | 51,760 | 127,330 | ||||||
Primerica, Inc. | 99,900 | 2,194,803 | ||||||
Protective Life Corp. | 69,150 | 1,599,440 | ||||||
Reinsurance Group of America, Inc. | 34,690 | 2,111,233 | ||||||
Selective Insurance Group, Inc. | 21,690 | 352,896 | ||||||
StanCorp Financial Group, Inc. | 36,122 | 1,523,987 | ||||||
Symetra Financial Corp. | 97,200 | 1,305,396 | ||||||
Torchmark Corp. | 11,590 | 743,383 | ||||||
Tower Group, Inc. | 56,080 | 1,335,826 | ||||||
Unitrin, Inc. | 26,290 | 780,024 | ||||||
Universal Insurance Holdings, Inc. | 19,760 | 92,279 | ||||||
UnumProvident Corp. | 38,110 | 971,043 | ||||||
49,293,044 | ||||||||
Real Estate Investment Trusts—8.7% | ||||||||
American Campus Communities, Inc. | 63,670 | 2,261,558 | ||||||
Apartment Investment & Management Co. | 45,130 | 1,152,169 | ||||||
Associated Estates Realty Corp. | 80,460 | 1,307,475 | ||||||
BRE Properties, Inc., Cl. A | 46,740 | 2,331,391 | ||||||
Camden Property Trust | 30,240 | 1,923,869 | ||||||
CBL & Associates Properties, Inc. | 111,760 | 2,026,209 | ||||||
Chatham Lodging Trust | 137,010 | 2,207,231 |
Shares | Value | |||||||
Real Estate Investment Trusts Continued | ||||||||
Colonial Properties Trust | 58,430 | $ | 1,191,972 | |||||
Cypress Sharpridge Investments, Inc. | 181,650 | 2,326,937 | ||||||
Developers Diversified Realty Corp. | 85,650 | 1,207,665 | ||||||
Digital Realty Trust, Inc. | 143,000 | 8,834,540 | ||||||
Douglas Emmett, Inc. | 53,260 | 1,059,341 | ||||||
Duke Realty Corp. | 83,470 | 1,169,415 | ||||||
EastGroup Properties, Inc. | 5,170 | 219,777 | ||||||
Education Realty Trust, Inc. | 5,000 | 42,850 | ||||||
Equity Lifestyle Properties, Inc. | 5,560 | 347,166 | ||||||
Essex Property Trust, Inc. | 16,710 | 2,260,696 | ||||||
Extra Space Storage, Inc. | 103,500 | 2,207,655 | ||||||
Glimcher Realty Trust | 61,070 | 580,165 | ||||||
Hatteras Financial Corp. | 235,600 | 6,650,988 | ||||||
Home Properties of New York, Inc. | 38,140 | 2,321,963 | ||||||
Hospitality Properties Trust | 640 | 15,520 | ||||||
Kilroy Realty Corp. | 28,680 | 1,132,573 | ||||||
LaSalle Hotel Properties | 290,940 | 7,663,360 | ||||||
Mid-America Apartment Communities, Inc. | 120,919 | 8,158,405 | ||||||
Post Properties, Inc. | 5,040 | 205,430 | ||||||
Ramco-Gershenson Properties Trust | 42,910 | 531,226 | ||||||
Rayonier, Inc. | 33,180 | 2,168,313 | ||||||
Starwood Property Trust, Inc. | 295,390 | 6,058,449 | ||||||
Sun Communities, Inc. | 27,350 | 1,020,429 | ||||||
Tanger Factory Outlet Centers, Inc. | 276,340 | 7,397,622 | ||||||
Taubman Centers, Inc. | 34,500 | 2,042,400 | ||||||
U-Store-It Real Estate Investment Trust | 177,600 | 1,868,352 | ||||||
UDR, Inc. | 79,950 | 1,962,773 | ||||||
83,855,884 | ||||||||
Real Estate Management & Development—0.1% | ||||||||
Alto Palermo SA, ADR | 1,620 | 35,397 | ||||||
CB Richard Ellis Group, Inc., Cl. A1 | 28,150 | 706,847 | ||||||
742,244 | ||||||||
Thrifts & Mortgage Finance—1.4% | ||||||||
BankUnited, Inc. | 145,740 | 3,867,940 | ||||||
First Defiance Financial Corp.1 | 30,890 | 453,774 | ||||||
First Niagara Financial Group, Inc. | 384,260 | 5,072,232 | ||||||
MGIC Investment Corp.1 | 698,770 | 4,157,682 | ||||||
OceanFirst Financial Corp. | 11,390 | 147,501 | ||||||
Ocwen Financial Corp.1 | 1,620 | 20,671 | ||||||
Walker & Dunlop, Inc.1 | 13,740 | 182,742 | ||||||
13,902,542 | ||||||||
Health Care—12.1% | ||||||||
Biotechnology—1.2% | ||||||||
Ariad Pharmaceuticals, Inc.1 | 152,190 | 1,724,313 | ||||||
Aveo Pharmaceuticals, Inc.1 | 81,680 | 1,683,425 | ||||||
Halozyme Therapeutics, Inc.1 | 209,580 | 1,448,198 | ||||||
Indevus Pharmaceuticals, Inc.1 | 2,500 | 25 | ||||||
Momenta Pharmaceuticals, Inc.1 | 78,740 | 1,532,280 | ||||||
Myriad Genetics, Inc.1 | 90,180 | 2,047,988 | ||||||
PDL BioPharma, Inc. | 369,472 | 2,168,801 | ||||||
SciClone Pharmaceuticals, Inc.1 | 142,340 | 859,734 | ||||||
11,464,764 | ||||||||
Health Care Equipment & Supplies—1.8% | ||||||||
Align Technology, Inc.1 | 49,430 | 1,127,004 | ||||||
ArthroCare Corp.1 | 12,160 | 406,995 | ||||||
Atrion Corp. | 2,678 | 529,708 | ||||||
Cantel Medical Corp. | 5,510 | 148,274 | ||||||
ConMed Corp.1 | 8,730 | 248,630 | ||||||
Dexcom, Inc.1 | 242,700 | 3,516,723 | ||||||
Greatbatch, Inc.1 | 175,260 | 4,700,473 | ||||||
Hill-Rom Holdings, Inc. | 8,420 | 387,657 | ||||||
ICU Medical, Inc.1 | 1,100 | 48,070 | ||||||
Invacare Corp. | 62,281 | 2,067,106 | ||||||
Orthofix International NV1 | 83,660 | 3,553,040 | ||||||
Utah Medical Products, Inc. | 7,840 | 205,878 | ||||||
Vascular Solutions, Inc.1 | 490 | 6,076 | ||||||
Wright Medical Group, Inc.1 | 41,220 | 618,300 | ||||||
Young Innovations, Inc. | 9,650 | 275,218 | ||||||
17,839,152 | ||||||||
Health Care Providers & Services—4.7% | ||||||||
Allied Healthcare International, Inc.1 | 15,900 | 39,591 | ||||||
American Dental Partners, Inc.1 | 3,400 | 44,064 | ||||||
AMERIGROUP Corp.1 | 35,120 | 2,474,906 | ||||||
AmSurg Corp.1 | 32,870 | 858,893 | ||||||
Assisted Living Concepts, Inc. | 3,990 | 66,952 | ||||||
Centene Corp.1 | 48,910 | 1,737,772 | ||||||
Continucare Corp.1 | 7,350 | 45,423 | ||||||
Coventry Health Care, Inc.1 | 49,170 | 1,793,230 | ||||||
Ensign Group, Inc. (The) | 39,640 | 1,204,660 | ||||||
Five Star Quality Care, Inc.1 | 52,770 | 306,594 | ||||||
Gentiva Health Services, Inc.1 | 39,256 | 817,702 | ||||||
Health Management Associates, Inc., Cl. A1 | 692,760 | 7,467,953 | ||||||
HEALTHSOUTH Corp.1 | 14,800 | 388,500 | ||||||
Healthspring, Inc.1 | 278,768 | 12,853,992 | ||||||
HMS Holdings Corp.1 | 81,010 | 6,227,239 |
Shares | Value | |||||||
Health Care Providers & Services Continued | ||||||||
Kindred Healthcare, Inc.1 | 7,860 | $ | 168,754 | |||||
LHC Group, Inc.1 | 42,410 | 977,975 | ||||||
Lincare Holdings, Inc. | 75,566 | 2,211,817 | ||||||
MedQuist Holdings, Inc.1 | 73,860 | 954,271 | ||||||
Metropolitan Health Networks, Inc.1 | 117,040 | 560,622 | ||||||
National HealthCare Corp. | 3,470 | 172,008 | ||||||
Providence Service Corp.1 | 14,060 | 177,859 | ||||||
PSS World Medical, Inc.1 | 19,240 | 538,912 | ||||||
Select Medical Holdings Corp.1 | 45,820 | 406,423 | ||||||
Skilled Healthcare Group, Inc., Cl. A1 | 57,570 | 544,612 | ||||||
Team Health Holdings, Inc.1 | 37,220 | 837,822 | ||||||
Triple-S Management Corp., Cl. B1 | 8,447 | 183,553 | ||||||
U.S. Physical Therapy, Inc. | 34,705 | 858,255 | ||||||
44,920,354 | ||||||||
Health Care Technology—0.5% | ||||||||
Emdeon, Inc., Cl. A1 | 16,880 | 221,466 | ||||||
HealthStream, Inc.1 | 1,010 | 13,403 | ||||||
SXC Health Solutions Corp.1 | 64,880 | 3,822,730 | ||||||
Transcend Services, Inc.1 | 16,490 | 484,641 | ||||||
4,542,240 | ||||||||
Life Sciences Tools & Services—0.9% | ||||||||
Affymetrix, Inc.1 | 123,540 | 979,672 | ||||||
Bruker Corp.1 | 114,600 | 2,333,256 | ||||||
Cambrex Corp.1 | 94,840 | 438,161 | ||||||
eResearch Technology, Inc.1 | 53,460 | 340,540 | ||||||
Harvard Bioscience, Inc.1 | 69,300 | 369,369 | ||||||
Pharmaceutical Product Development, Inc. | 75,820 | 2,035,009 | ||||||
Waters Corp.1 | 25,070 | 2,400,202 | ||||||
8,896,209 | ||||||||
Pharmaceuticals—3.0% | ||||||||
DepoMed, Inc.1 | 68,720 | 562,130 | ||||||
Endo Pharmaceuticals Holdings, Inc.1 | 53,962 | 2,167,654 | ||||||
Hi-Tech Pharmacal Co., Inc.1 | 41,400 | 1,197,702 | ||||||
Ista Pharmaceuticals, Inc.1 | 7,830 | 59,860 | ||||||
Medicines Co. (The)1 | 121,930 | 2,013,064 | ||||||
Obagi Medical Products, Inc.1 | 24,210 | 228,300 | ||||||
Perrigo Co. | 42,320 | 3,718,658 | ||||||
Questcor Pharmaceuticals, Inc.1 | 419,268 | 10,104,359 | ||||||
Salix Pharmaceuticals Ltd.1 | 115,770 | 4,611,119 | ||||||
ViroPharma, Inc.1 | 85,220 | 1,576,570 | ||||||
Warner Chilcott plc, Cl. A | 90,680 | 2,188,108 | ||||||
Watson Pharmaceuticals, Inc.1 | 14,270 | 980,777 | ||||||
29,408,301 | ||||||||
Industrials—15.4% | ||||||||
Aerospace & Defense—1.4% | ||||||||
AAR Corp. | 3,660 | 99,149 | ||||||
B/E Aerospace, Inc.1 | 146,588 | 5,982,256 | ||||||
Cubic Corp. | 16,840 | 858,672 | ||||||
Hexcel Corp.1 | 6,960 | 152,354 | ||||||
LMI Aerospace, Inc.1 | 13,620 | 332,737 | ||||||
Moog, Inc., Cl. A1 | 240 | 10,445 | ||||||
Spirit Aerosystems Holdings, Inc., Cl. A1 | 290,490 | 6,390,780 | ||||||
13,826,393 | ||||||||
Air Freight & Logistics—0.7% | ||||||||
Hub Group, Inc., Cl. A1 | 172,000 | 6,477,520 | ||||||
Park-Ohio Holdings Corp.1 | 6,260 | 132,336 | ||||||
6,609,856 | ||||||||
Airlines—0.7% | ||||||||
Alaska Air Group, Inc.1 | 37,770 | 2,585,734 | ||||||
Gol Linhas Aereas Inteligentes SA, ADR | 93,320 | 1,133,838 | ||||||
Pinnacle Airlines Corp.1 | 6,530 | 29,646 | ||||||
Southwest Airlines Co. | 84,900 | 969,558 | ||||||
US Airways Group, Inc.1 | 279,660 | 2,491,771 | ||||||
7,210,547 | ||||||||
Building Products—0.0% | ||||||||
Trex Co., Inc.1 | 8,850 | 216,648 | ||||||
Commercial Services & Supplies—1.9% | ||||||||
APAC Teleservices, Inc.1 | 57,640 | 307,221 | ||||||
Avery-Dennison Corp. | 28,960 | 1,118,725 | ||||||
Cenveo, Inc.1 | 4,600 | 29,440 | ||||||
Consolidated Graphics, Inc.1 | 27,640 | 1,518,818 | ||||||
Deluxe Corp. | 97,016 | 2,397,265 | ||||||
Ennis, Inc. | 29,600 | 515,040 | ||||||
G&K Services, Inc., Cl. A | 9,620 | 325,733 | ||||||
Intersections, Inc. | 2,690 | 48,958 | ||||||
KAR Auction Services, Inc.1 | 85,570 | 1,618,129 | ||||||
Knoll, Inc. | 104,650 | 2,100,326 | ||||||
Multi-Color Corp. | 5,920 | 146,165 | ||||||
R.R. Donnelley & Sons Co. | 64,940 | 1,273,473 | ||||||
Sykes Enterprises, Inc.1 | 55,260 | 1,189,748 | ||||||
Tetra Tech, Inc.1 | 12,270 | 276,075 | ||||||
Viad Corp. | 12,930 | 288,210 | ||||||
Waste Connections, Inc. | 155,205 | 4,924,655 | ||||||
18,077,981 |
Shares | Value | |||||||
Construction & Engineering—3.0% | ||||||||
Aecom Technology Corp.1 | 289,819 | $ | 7,923,651 | |||||
Baker (Michael) Corp.1 | 12,875 | 271,920 | ||||||
Chicago Bridge & Iron Co. NV | 62,520 | 2,432,028 | ||||||
Great Lakes Dredge & Dock Co. | 161,310 | 900,110 | ||||||
KBR, Inc. | 224,770 | 8,471,581 | ||||||
MasTec, Inc.1 | 95,440 | 1,882,077 | ||||||
MYR Group, Inc.1 | 4,480 | 104,832 | ||||||
Primoris Services Corp. | 55,660 | 718,014 | ||||||
Sterling Construction Co., Inc.1 | 27,580 | 379,777 | ||||||
Tutor Perini Corp. | 170,883 | 3,277,536 | ||||||
URS Corp.1 | 49,390 | 2,209,709 | ||||||
28,571,235 | ||||||||
Electrical Equipment—0.9% | ||||||||
Advanced Battery Technologies, Inc.1 | 178,330 | 176,547 | ||||||
Belden, Inc. | 10,590 | 369,167 | ||||||
Generac Holdings, Inc.1 | 184,020 | 3,569,988 | ||||||
Regal-Beloit Corp. | 61,270 | 4,090,991 | ||||||
8,206,693 | ||||||||
Industrial Conglomerates—0.2% | ||||||||
Seaboard Corp. | 450 | 1,088,100 | ||||||
Tredegar Corp. | 43,614 | 800,317 | ||||||
1,888,417 | ||||||||
Machinery—2.4% | ||||||||
Actuant Corp., Cl. A | 2,720 | 72,978 | ||||||
AGCO Corp.1 | 22,230 | 1,097,273 | ||||||
Alamo Group, Inc. | 13,170 | 312,129 | ||||||
Albany International Corp., Cl. A | 34,030 | 898,052 | ||||||
Blount International, Inc.1 | 53,860 | 940,934 | ||||||
Briggs & Stratton Corp. | 110,140 | 2,187,380 | ||||||
Douglas Dynamics, Inc. | 53,460 | 844,133 | ||||||
Duoyuan Global Water, Inc., ADR1 | 19,520 | 37,869 | ||||||
Freightcar America, Inc.1 | 76,830 | 1,946,872 | ||||||
Kadant, Inc.1 | 23,400 | 737,334 | ||||||
Kennametal, Inc. | 27,770 | 1,172,172 | ||||||
L.B. Foster Co., Cl. A | 3,900 | 128,349 | ||||||
Lincoln Electric Holdings, Inc. | 17,250 | 618,413 | ||||||
Mueller Industries, Inc. | 27,250 | 1,033,041 | ||||||
NACCO Industries, Inc., Cl. A | 2,865 | 277,389 | ||||||
Navistar International Corp.1 | 31,180 | 1,760,423 | ||||||
Sauer-Danfoss, Inc.1 | 24,500 | 1,234,555 | ||||||
Terex Corp.1 | 101,990 | 2,901,616 | ||||||
TriMas Corp.1 | 47,030 | 1,163,993 | ||||||
Wabtec Corp. | 55,110 | 3,621,829 | ||||||
22,986,734 | ||||||||
Professional Services—2.1% | ||||||||
CBIZ, Inc.1 | 142,990 | 1,052,406 | ||||||
CRA International, Inc.1 | 590 | 15,983 | ||||||
Dolan Co. (The)1 | 19,070 | 161,523 | ||||||
GP Strategies Corp.1 | 33,110 | 452,283 | ||||||
Huron Consulting Group, Inc.1 | 11,760 | 355,270 | ||||||
ICF International, Inc.1 | 1,130 | 28,679 | ||||||
Kelly Services, Inc., Cl. A1 | 9,320 | 153,780 | ||||||
Korn-Ferry International1 | 276,080 | 6,070,999 | ||||||
Mistras Group, Inc.1 | 14,500 | 234,900 | ||||||
On Assignment, Inc.1 | 14,260 | 140,176 | ||||||
Robert Half International, Inc. | 411,750 | 11,129,591 | ||||||
SFN Group, Inc.1 | 105,760 | 961,358 | ||||||
20,756,948 | ||||||||
Road & Rail—1.8% | ||||||||
Amerco1 | 18,930 | 1,820,120 | ||||||
Genesee & Wyoming, Inc., Cl. A1 | 65,631 | 3,848,602 | ||||||
Old Dominion Freight Line, Inc.1 | 272,190 | 10,152,687 | ||||||
RailAmerica, Inc.1 | 27,150 | 407,250 | ||||||
Saia, Inc.1 | 23,180 | 392,901 | ||||||
Werner Enterprises, Inc. | 12,060 | 302,103 | ||||||
16,923,663 | ||||||||
Trading Companies & Distributors—0.3% | ||||||||
Applied Industrial Technologies, Inc. | 66,740 | 2,376,611 | ||||||
DXP Enterprises, Inc.1 | 20,297 | 514,529 | ||||||
Houston Wire & Cable Co. | 23,560 | 366,358 | ||||||
3,257,498 | ||||||||
Information Technology—15.5% | ||||||||
Communications Equipment—1.8% | ||||||||
Aruba Networks, Inc.1 | 207,380 | 6,128,079 | ||||||
Bel Fuse, Inc. | 1,600 | 34,704 | ||||||
Finisar Corp.1 | 239,560 | 4,319,267 | ||||||
Ituran Location & Control Ltd. | 20,751 | 292,382 | ||||||
Oplink Communications, Inc.1 | 8,710 | 162,267 | ||||||
Plantronics, Inc. | 40,404 | 1,475,958 | ||||||
Polycom, Inc.1 | 71,490 | 4,596,807 | ||||||
Westell Technologies, Inc., Cl. A1 | 4,000 | 14,280 | ||||||
17,023,744 |
Shares | Value | |||||||
Computers & Peripherals—0.8% | ||||||||
Cray, Inc.1 | 28,460 | $ | 182,144 | |||||
Electronics for Imaging, Inc.1 | 16,760 | 288,607 | ||||||
QLogic Corp.1 | 120,470 | 1,917,882 | ||||||
Synaptics, Inc.1 | 63,220 | 1,627,283 | ||||||
Western Digital Corp.1 | 102,470 | 3,727,859 | ||||||
7,743,775 | ||||||||
Electronic Equipment & Instruments—1.4% | ||||||||
AVX Corp. | 112,850 | 1,719,834 | ||||||
Daktronics, Inc. | 24,890 | 268,563 | ||||||
DDi Corp. | 46,470 | 443,324 | ||||||
Electro Scientific Industries, Inc.1 | 6,640 | 128,152 | ||||||
Insight Enterprises, Inc.1 | 94,986 | 1,682,202 | ||||||
Jabil Circuit, Inc. | 58,860 | 1,188,972 | ||||||
KEMET Corp.1 | 83,440 | 1,192,358 | ||||||
Littlefuse, Inc. | 12,170 | 714,622 | ||||||
Molex, Inc. | 63,370 | 1,633,045 | ||||||
Newport Corp.1 | 53,600 | 973,912 | ||||||
Power-One, Inc.1 | 156,400 | 1,266,840 | ||||||
Vishay Intertechnology, Inc.1 | 136,290 | 2,049,802 | ||||||
X-Rite, Inc.1 | 27,040 | 134,389 | ||||||
Zygo Corp.1 | 3,510 | 46,402 | ||||||
13,442,417 | ||||||||
Internet Software & Services—0.8% | ||||||||
IAC/InterActiveCorp1 | 10,080 | 384,754 | ||||||
j2 Global Communications, Inc.1 | 182,165 | 5,142,518 | ||||||
Liquidity Services, Inc.1 | 6,940 | 163,853 | ||||||
United Online, Inc. | 8,970 | 54,089 | ||||||
ValueClick, Inc.1 | 118,560 | 1,968,096 | ||||||
7,713,310 | ||||||||
IT Services—1.1% | ||||||||
Booz Allen Hamilton Holding Corp.1 | 7,860 | 150,205 | ||||||
CACI International, Inc., Cl. A1 | 73,550 | 4,639,534 | ||||||
Cardtronics, Inc.1 | 63,770 | 1,495,407 | ||||||
CGI Group, Inc., Cl. A1 | 73,060 | 1,800,929 | ||||||
CSG Systems International, Inc.1 | 73,741 | 1,362,734 | ||||||
NeuStar, Inc., Cl. A1 | 57,660 | 1,510,692 | ||||||
10,959,501 | ||||||||
Semiconductors & Semiconductor Equipment—7.3% | ||||||||
Advanced Energy Industries, Inc.1 | 30,640 | 453,166 | ||||||
Advanced Semiconductor Engineering, Inc., ADR | 193,430 | 1,090,945 | ||||||
Amtech Systems, Inc.1 | 11,040 | 227,866 | ||||||
ASM International NV | 18,250 | 721,788 | ||||||
Atmel Corp.1 | 137,670 | 1,937,017 | ||||||
ATMI, Inc.1 | 35,050 | 716,072 | ||||||
Avago Technologies Ltd. | 34,870 | 1,325,060 | ||||||
Brooks Automation, Inc.1 | 140,810 | 1,529,197 | ||||||
China Sunergy Co. Ltd., ADR1 | 138,840 | 274,903 | ||||||
Cirrus Logic, Inc.1 | 41,780 | 664,302 | ||||||
Cohu, Inc. | 9,590 | 125,725 | ||||||
Cypress Semiconductor Corp. | 90,540 | 1,914,016 | ||||||
Entegris, Inc.1 | 137,620 | 1,392,714 | ||||||
Entropic Communications, Inc.1 | 59,240 | 526,644 | ||||||
Fairchild Semiconductor International, Inc., Cl. A1 | 152,790 | 2,553,121 | ||||||
FEI Co.1 | 6,290 | 240,215 | ||||||
GSI Technology, Inc.1 | 69,500 | 500,400 | ||||||
GT Solar International, Inc.1 | 237,630 | 3,849,606 | ||||||
Himax Technologies, Inc., ADR | 162,420 | 357,324 | ||||||
Integrated Device Technology, Inc.1 | 227,120 | 1,785,163 | ||||||
Integrated Silicon Solution, Inc.1 | 14,470 | 139,925 | ||||||
International Rectifier Corp.1 | 56,370 | 1,576,669 | ||||||
Intersil Corp., Cl. A | 19,350 | 248,648 | ||||||
IXYS Corp.1 | 30,680 | 459,586 | ||||||
KLA-Tencor Corp. | 27,820 | 1,126,154 | ||||||
Kulicke & Soffa Industries, Inc.1 | 114,630 | 1,276,978 | ||||||
Lam Research Corp.1 | 35,170 | 1,557,328 | ||||||
Lattice Semiconductor Corp.1 | 298,910 | 1,948,893 | ||||||
LTX-Credence Corp.1 | 84,570 | 756,056 | ||||||
Magnachip Semiconductor Corp., Depositary Shares1 | 6,440 | 74,189 | ||||||
Maxim Integrated Products, Inc. | 55,710 | 1,423,948 | ||||||
Micrel, Inc. | 178,797 | 1,891,672 | ||||||
Mindspeed Technologies, Inc.1 | 3,850 | 30,800 | ||||||
MKS Instruments, Inc. | 84,840 | 2,241,473 | ||||||
Nanometrics, Inc.1 | 90,008 | 1,709,252 | ||||||
Netlogic Microsystems, Inc.1 | 165,100 | 6,673,342 | ||||||
Novellus Systems, Inc.1 | 62,890 | 2,272,845 | ||||||
ON Semiconductor Corp.1 | 166,710 | 1,745,454 | ||||||
Photronics, Inc.1 | 141,350 | 1,197,235 | ||||||
RF Micro Devices, Inc.1 | 278,200 | 1,702,584 | ||||||
Rudolph Technologies, Inc.1 | 52,210 | 559,169 | ||||||
Semtech Corp.1 | 402,919 | 11,015,805 | ||||||
Silicon Image, Inc.1 | 3,750 | 24,225 | ||||||
Skyworks Solutions, Inc.1 | 100,890 | 2,318,452 | ||||||
Standard Microsystems Corp.1 | 16,620 | 448,574 |
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment Continued | ||||||||
Teradyne, Inc.1 | 123,960 | $ | 1,834,608 | |||||
Veeco Instruments, Inc.1 | 42,560 | 2,060,330 | ||||||
70,499,438 | ||||||||
Software—2.3% | ||||||||
Cadence Design Systems, Inc.1 | 130,430 | 1,377,341 | ||||||
FactSet Research Systems, Inc. | 47,022 | 4,811,291 | ||||||
JDA Software Group, Inc.1 | 1,570 | 48,497 | ||||||
Manhattan Associates, Inc.1 | 41,025 | 1,412,901 | ||||||
Monotype Imaging Holdings, Inc.1 | 32,030 | 452,584 | ||||||
Renaissance Learning, Inc. | 14,240 | 178,570 | ||||||
Solarwinds, Inc.1 | 145,210 | 3,795,789 | ||||||
Take-Two Interactive Software, Inc.1 | 17,340 | 264,955 | ||||||
TeleCommunication Systems, Inc.1 | 38,260 | 184,796 | ||||||
TIBCO Software, Inc.1 | 257,226 | 7,464,699 | ||||||
Websense, Inc.1 | 87,750 | 2,278,868 | ||||||
22,270,291 | ||||||||
Materials—5.5% | ||||||||
Chemicals—2.1% | ||||||||
Cabot Corp. | 44,460 | 1,772,620 | ||||||
Cytec Industries, Inc. | 107,356 | 6,139,690 | ||||||
Eastman Chemical Co. | 5,390 | 550,157 | ||||||
Ferro Corp.1 | 292,750 | 3,934,560 | ||||||
Georgia Gulf Corp.1 | 48,310 | 1,166,203 | ||||||
Huntsman Corp. | 58,940 | 1,111,019 | ||||||
Innophos Holdings, Inc. | 17,589 | 858,343 | ||||||
Innospec, Inc.1 | 32,190 | 1,081,906 | ||||||
LSB Industries, Inc.1 | 7,900 | 339,068 | ||||||
PolyOne Corp. | 62,760 | 970,897 | ||||||
Solutia, Inc.1 | 23,770 | 543,145 | ||||||
STR Holdings, Inc.1 | 38,550 | 575,166 | ||||||
TPC Group, Inc.1 | 18,930 | 742,435 | ||||||
Westlake Chemical Corp. | 15,160 | 786,804 | ||||||
20,572,013 | ||||||||
Construction Materials—0.4% | ||||||||
Eagle Materials, Inc. | 117,030 | 3,261,626 | ||||||
Containers & Packaging—1.1% | ||||||||
Ball Corp. | 18,590 | 714,971 | ||||||
Boise, Inc. | 167,730 | 1,306,617 | ||||||
Graphic Packaging Holding Co.1 | 205,940 | 1,120,314 | ||||||
Packaging Corp. of America | 271,690 | 7,604,603 | ||||||
10,746,505 | ||||||||
Metals & Mining—1.2% | ||||||||
A. M. Castle & Co.1 | 550 | 9,136 | ||||||
Century Aluminum Co.1 | 240,930 | 3,770,555 | ||||||
Compass Minerals International, Inc. | 40,590 | 3,493,581 | ||||||
Horsehead Holding Corp.1 | 66,190 | 881,651 | ||||||
Noranda Aluminum Holding Corp.1 | 47,220 | 714,911 | ||||||
Taseko Mines Ltd.1 | 124,190 | 615,982 | ||||||
Worthington Industries, Inc. | 100,660 | 2,325,246 | ||||||
11,811,062 | ||||||||
Paper & Forest Products—0.7% | ||||||||
Buckeye Technologies, Inc. | 99,100 | 2,673,718 | ||||||
Domtar Corp. | 22,780 | 2,157,722 | ||||||
Glatfelter | 93,290 | 1,434,800 | ||||||
Mercer International, Inc.1 | 5,200 | 52,416 | ||||||
Neenah Paper, Inc. | 5,190 | 110,443 | ||||||
6,429,099 | ||||||||
Telecommunication Services—1.1% | ||||||||
Diversified Telecommunication Services—0.7% | ||||||||
Brasil Telecom SA, ADR | 6,420 | 183,997 | ||||||
Cincinnati Bell, Inc.1 | 206,802 | 686,583 | ||||||
General Communication, Inc., Cl. A1 | 28,750 | 347,013 | ||||||
Nortel Inversora SA, Sponsored ADR1 | 16,570 | 474,233 | ||||||
Telecom Argentina SA, Sponsored ADR | 66,770 | 1,740,026 | ||||||
Telecom Corp. of New Zealand Ltd., Sponsored ADR | 15,460 | 156,146 | ||||||
Tim Participacoes SA, ADR | 35,970 | 1,770,084 | ||||||
Vonage Holdings Corp.1 | 364,800 | 1,608,768 | ||||||
6,966,850 | ||||||||
Wireless Telecommunication Services—0.4% | ||||||||
Cellcom Israel Ltd. | 70,490 | 1,953,983 | ||||||
Partner Communications Co. Ltd., Sponsored ADR | 40,760 | 608,139 | ||||||
USA Mobility, Inc. | 94,762 | 1,446,068 | ||||||
4,008,190 | ||||||||
Utilities—4.3% | ||||||||
Electric Utilities—1.5% | ||||||||
Companhia Energetica de Minas Gerais, Sponsored ADR | 86,590 | 1,787,218 | ||||||
Companhia Paranaense de Energia-Copel, Sponsored ADR | 83,101 | 2,257,023 | ||||||
Empresa Distribuidora y Comercializadora Norte SA, ADR1 | 33,860 | 338,600 | ||||||
NV Energy, Inc. | 146,120 | 2,242,942 | ||||||
Pampa Energia SA, Sponsored ADR | 31,290 | 479,989 |
Shares | Value | |||||||
Electric Utilities Continued | ||||||||
PNM Resources, Inc. | 28,500 | $ | 477,090 | |||||
Portland General Electric Co. | 83,270 | 2,105,066 | ||||||
UniSource Energy Corp. | 53,370 | 1,992,302 | ||||||
Westar Energy, Inc. | 92,070 | 2,477,604 | ||||||
14,157,834 | ||||||||
Energy Traders—1.0% | ||||||||
AES Corp. (The)1 | 730,320 | 9,304,277 | ||||||
Gas Utilities—0.9% | ||||||||
Atmos Energy Corp. | 20,170 | 670,653 | ||||||
UGI Corp. | 246,060 | 7,846,853 | ||||||
8,517,506 | ||||||||
Multi-Utilities—0.7% | ||||||||
Alliant Energy Corp. | 52,510 | 2,135,057 | ||||||
Avista Corp. | 24,220 | 622,212 | ||||||
CMS Energy Corp. | 109,770 | 2,161,371 | ||||||
Teco Energy, Inc. | 122,230 | 2,308,925 | ||||||
7,227,565 | ||||||||
Water Utilities—0.2% | ||||||||
Aqua America, Inc. | 110,790 | 2,435,164 | ||||||
Total Common Stocks (Cost $761,912,334) | 952,204,704 | |||||||
Investment Companies—2.0% | ||||||||
Ares Capital Corp. | 250,850 | 4,031,160 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%2,3 | 15,584,241 | 15,584,241 | ||||||
Total Investment Companies (Cost $18,857,951) | 19,615,401 | |||||||
Total Investments, at Value (Cost $780,770,285) | 100.6 | % | 971,820,105 | |||||
Liabilities in Excess of Other Assets | (0.6 | ) | (5,452,722 | ) | ||||
Net Assets | 100.0 | % | $ | 966,367,383 | ||||
Footnotes to Statement of Investments | ||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 13,940,550 | 122,381,243 | 120,737,552 | 15,584,241 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 15,584,241 | $ | 12,498 |
3. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | 135,264,633 | $ | — | $ | — | $ | 135,264,633 | ||||||||
Consumer Staples | 27,150,081 | — | — | 27,150,081 | ||||||||||||
Energy | 61,841,531 | — | — | 61,841,531 | ||||||||||||
Financials | 207,254,659 | — | — | 207,254,659 | ||||||||||||
Health Care | 117,070,995 | — | 25 | 117,071,020 | ||||||||||||
Industrials | 148,494,744 | — | 37,869 | 148,532,613 | ||||||||||||
Information Technology | 149,652,476 | — | — | 149,652,476 | ||||||||||||
Materials | 52,820,305 | — | — | 52,820,305 | ||||||||||||
Telecommunication Services | 10,975,040 | — | — | 10,975,040 | ||||||||||||
Utilities | 41,642,346 | — | — | 41,642,346 | ||||||||||||
Investment Companies | 19,615,401 | — | — | 19,615,401 | ||||||||||||
Total Assets | $ | 971,782,211 | $ | — | $ | 37,894 | $ | 971,820,105 | ||||||||
June 30, 2011 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $765,186,044) | $ | 956,235,864 | ||
Affiliated companies (cost $15,584,241) | 15,584,241 | |||
971,820,105 | ||||
Receivables and other assets: | ||||
Investments sold | 12,641,501 | |||
Dividends | 1,070,533 | |||
Other | 24,636 | |||
Total assets | 985,556,775 | |||
Liabilities | ||||
Bank overdraft | 433,843 | |||
Payables and other liabilities: | ||||
Investments purchased | 12,167,374 | |||
Shares of beneficial interest redeemed | 5,608,357 | |||
Distribution and service plan fees | 541,537 | |||
Shareholder communications | 324,401 | |||
Transfer and shareholder servicing agent fees | 77,383 | |||
Trustees’ compensation | 17,021 | |||
Other | 19,476 | |||
Total liabilities | 19,189,392 | |||
Net Assets | $ | 966,367,383 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 51,488 | ||
Additional paid-in capital | 873,376,038 | |||
Accumulated net investment income | 2,040,150 | |||
Accumulated net realized loss on investments | (100,150,113 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 191,049,820 | |||
Net Assets | $ | 966,367,383 | ||
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 $92,894,061 and 4,913,940 shares of beneficial interest outstanding) | $ | 18.90 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $873,473,322 and 46,574,433 shares of beneficial interest outstanding) | $ | 18.75 |
For the Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $44,973) | $ | 6,572,622 | ||
Affiliated companies | 12,498 | |||
Interest | 404 | |||
Total investment income | 6,585,524 | |||
Expenses | ||||
Management fees | 3,293,815 | |||
Distribution and service plan fees—Service shares | 1,079,565 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 47,707 | |||
Service shares | 431,833 | |||
Shareholder communications: | ||||
Non-Service shares | 15,456 | |||
Service shares | 139,452 | |||
Trustees’ compensation | 18,117 | |||
Custodian fees and expenses | 3,269 | |||
Administration service fees | 750 | |||
Other | 32,550 | |||
Total expenses | 5,062,514 | |||
Less waivers and reimbursements of expenses | (146,986 | ) | ||
Net expenses | 4,915,528 | |||
Net Investment Income | 1,669,996 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 115,241,668 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (46,150,530 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (23,810 | ) | ||
Net change in unrealized appreciation/depreciation | (46,174,340 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 70,737,324 | ||
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 1,669,996 | $ | 3,898,427 | ||||
Net realized gain | 115,241,668 | 52,686,058 | ||||||
Net change in unrealized appreciation/depreciation | (46,174,340 | ) | 128,474,710 | |||||
Net increase in net assets resulting from operations | 70,737,324 | 185,059,195 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (569,104 | ) | (548,102 | ) | ||||
Service shares | (3,235,789 | ) | (2,854,368 | ) | ||||
(3,804,893 | ) | (3,402,470 | ) | |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (9,371,017 | ) | (4,150,760 | ) | ||||
Service shares | (46,480,510 | ) | 33,619,248 | |||||
(55,851,527 | ) | 29,468,488 | ||||||
Net Assets | ||||||||
Total increase | 11,080,904 | 211,125,213 | ||||||
Beginning of period | 955,286,479 | 744,161,266 | ||||||
End of period (including accumulated net investment income of $2,040,150 and $4,175,047, respectively) | $ | 966,367,383 | $ | 955,286,479 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.66 | $ | 14.40 | $ | 10.65 | $ | 18.20 | $ | 19.15 | $ | 17.18 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .05 | .10 | .08 | .12 | .09 | .08 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.30 | 3.25 | 3.78 | (6.73 | ) | (.30 | ) | 2.46 | ||||||||||||||||
Total from investment operations | 1.35 | 3.35 | 3.86 | (6.61 | ) | (.21 | ) | 2.54 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.09 | ) | (.11 | ) | (.08 | ) | (.06 | ) | (.03 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | (.86 | ) | (.68 | ) | (.54 | ) | |||||||||||||||
Total dividends and/or distributions to shareholders | (.11 | ) | (.09 | ) | (.11 | ) | (.94 | ) | (.74 | ) | (.57 | ) | ||||||||||||
Net asset value, end of period | $ | 18.90 | $ | 17.66 | $ | 14.40 | $ | 10.65 | $ | 18.20 | $ | 19.15 | ||||||||||||
Total Return, at Net Asset Value2 | 7.64 | % | 23.41 | % | 37.20 | % | (37.83 | )% | (1.21 | )% | 15.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 92,894 | $ | 95,576 | $ | 81,814 | $ | 58,478 | $ | 93,939 | $ | 81,405 | ||||||||||||
Average net assets (in thousands) | $ | 96,211 | $ | 88,063 | $ | 69,585 | $ | 80,406 | $ | 94,815 | $ | 62,659 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income | 0.57 | % | 0.68 | % | 0.71 | % | 0.80 | % | 0.48 | % | 0.46 | % | ||||||||||||
Total expenses4 | 0.83 | % | 0.85 | % | 0.91 | % | 0.75 | % | 0.73 | % | 0.77 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.80 | % | 0.82 | % | 0.75 | % | 0.73 | % | 0.77 | % | ||||||||||||
Portfolio turnover rate | 57 | % | 73 | % | 140 | % | 130 | % | 115 | % | 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, 2011 | 0.83 | % | ||
Year Ended December 31, 2010 | 0.85 | % | ||
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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.50 | $ | 14.28 | $ | 10.54 | $ | 18.03 | $ | 18.98 | $ | 17.06 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .03 | .07 | .05 | .08 | .05 | .04 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.29 | 3.21 | 3.76 | (6.67 | ) | (.29 | ) | 2.42 | ||||||||||||||||
Total from investment operations | 1.32 | 3.28 | 3.81 | (6.59 | ) | (.24 | ) | 2.46 | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.07 | ) | (.06 | ) | (.07 | ) | (.04 | ) | (.03 | ) | — | 2 | ||||||||||||
Distributions from net realized gain | — | — | — | (.86 | ) | (.68 | ) | (.54 | ) | |||||||||||||||
Total dividends and/or distributions to shareholders | (.07 | ) | (.06 | ) | (.07 | ) | (.90 | ) | (.71 | ) | (.54 | ) | ||||||||||||
Net asset value, end of period | $ | 18.75 | $ | 17.50 | $ | 14.28 | $ | 10.54 | $ | 18.03 | $ | 18.98 | ||||||||||||
Total Return, at Net Asset Value3 | 7.54 | % | 23.06 | % | 36.88 | % | (38.00 | )% | (1.39 | )% | 14.66 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 873,473 | $ | 859,710 | $ | 662,347 | $ | 551,644 | $ | 821,642 | $ | 636,430 | ||||||||||||
Average net assets (in thousands) | $ | 870,917 | $ | 730,069 | $ | 612,651 | $ | 769,150 | $ | 766,102 | $ | 479,456 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 0.32 | % | 0.45 | % | 0.47 | % | 0.52 | % | 0.23 | % | 0.23 | % | ||||||||||||
Total expenses5 | 1.08 | % | 1.10 | % | 1.15 | % | 0.99 | % | 0.97 | % | 1.00 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.05 | % | 1.07 | % | 0.99 | % | 0.97 | % | 1.00 | % | ||||||||||||
Portfolio turnover rate | 57 | % | 73 | % | 140 | % | 130 | % | 115 | % | 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, 2011 | 1.08 | % | ||
Year Ended December 31, 2010 | 1.10 | % | ||
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 | % |
Expiring | ||||
2016 | $ | 45,463,528 | ||
2017 | 161,762,514 | |||
Total | $ | 207,226,042 | ||
Federal tax cost of securities | $ | 789,594,190 | ||
Gross unrealized appreciation | $ | 196,518,932 | ||
Gross unrealized depreciation | (14,293,017 | ) | ||
Net unrealized appreciation | $ | 182,225,915 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 502,377 | $ | 9,175,288 | 2,793,780 | $ | 42,429,352 | ||||||||||
Dividends and/or distributions reinvested | 30,896 | 569,104 | 36,202 | 548,102 | ||||||||||||
Redeemed | (1,031,961 | ) | (19,115,409 | ) | (3,098,803 | ) | (47,128,214 | ) | ||||||||
Net decrease | (498,688 | ) | $ | (9,371,017 | ) | (268,821 | ) | $ | (4,150,760 | ) | ||||||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Service Shares | ||||||||||||||||
Sold | 2,189,733 | $ | 39,720,084 | 11,844,155 | $ | 173,858,907 | ||||||||||
Dividends and/or distributions reinvested | 176,916 | 3,235,789 | 189,911 | 2,854,368 | ||||||||||||
Redeemed | (4,909,237 | ) | (89,436,383 | ) | (9,301,032 | ) | (143,094,027 | ) | ||||||||
Net increase (decrease) | (2,542,588 | ) | $ | (46,480,510 | ) | 2,733,034 | $ | 33,619,248 | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 547,788,433 | $ | 600,837,663 |
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 |
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 Raymond Anello, Vice President and Portfolio Manager Raman Vardharaj, Vice President and Portfolio Manager Arthur S. Gabinet, Secretary Christina M. Nasta, 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 | |
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 1.800.988.8287. 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. |
June 30, 2011 Oppenheimer Money Fund/VA Semiannual A Series of Oppenheimer Variable Account Funds SEMIANNUAL REPORT Fund Performance Discussion Financial Statements |
2 | OPPENHEIMER MONEY FUND/VA
3 | OPPENHEIMER MONEY FUND/VA
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, 2011 | June 30, 2011 | June 30, 2011 | ||||||||||
Actual | ||||||||||||
$ | 1,000.00 | $ | 1,000.10 | $ | 1.49 | |||||||
Hypothetical (5% return before expenses) | ||||||||||||
1,000.00 | 1,023.31 | 1.51 |
4 | OPPENHEIMER MONEY FUND/VA
Maturity | Final Legal | Principal | ||||||||||||||
Date* | Maturity Date** | Amount | Value | |||||||||||||
Certificates of Deposit—33.3% | ||||||||||||||||
Yankee Certificates of Deposit—33.3% | ||||||||||||||||
Bank of Nova Scotia, Houston TX: | ||||||||||||||||
0.18% | 8/25/11 | 8/25/11 | $ | 2,800,000 | $ | 2,800,000 | ||||||||||
0.19% | 8/29/11 | 8/29/11 | 1,600,000 | 1,600,000 | ||||||||||||
0.20% | 8/5/11 | 8/5/11 | 2,500,000 | 2,500,000 | ||||||||||||
Barclays Bank plc, New York, 0.77%1 | 7/19/11 | 7/19/11 | 4,000,000 | 4,000,000 | ||||||||||||
BNP Paribas, New York, 0.44%1 | 8/15/11 | 8/15/11 | 2,700,000 | 2,700,000 | ||||||||||||
Credit Agricole Corporate & Investment Bank, New York Branch, 0.17% | 7/13/11 | 7/13/11 | 3,600,000 | 3,600,000 | ||||||||||||
Credit Suisse, New York Branch, 0.21% | 7/28/11 | 7/28/11 | 1,000,000 | 1,000,000 | ||||||||||||
National Australia Bank, New York: | ||||||||||||||||
0.20% | 9/22/11 | 9/22/11 | 3,200,000 | 3,200,000 | ||||||||||||
0.22% | 10/27/11 | 10/27/11 | 2,500,000 | 2,500,000 | ||||||||||||
0.22% | 10/28/11 | 10/28/11 | 1,800,000 | 1,800,000 | ||||||||||||
Rabobank Nederland NV, New York: | ||||||||||||||||
0.26%1 | 8/16/11 | 5/16/12 | 2,500,000 | 2,500,000 | ||||||||||||
0.27%1 | 7/29/11 | 7/29/11 | 2,000,000 | 2,000,000 | ||||||||||||
Royal Bank of Canada, New York: | ||||||||||||||||
0.25%1 | 7/1/11 | 7/1/11 | 3,500,000 | 3,500,000 | ||||||||||||
0.27%1 | 7/1/11 | 8/16/11 | 3,000,000 | 3,000,000 | ||||||||||||
Skandinaviska Enskilda Bank, New York, 0.25% | 8/8/11 | 8/8/11 | 4,000,000 | 4,000,000 | ||||||||||||
Svenska Handelsbanken, New York, 0.34% | 9/28/11 | 9/28/11 | 4,500,000 | 4,501,611 | ||||||||||||
Toronto Dominion Bank, New York, 0.27%1 | 7/12/11 | 7/12/12 | 1,000,000 | 1,000,000 | ||||||||||||
UBS AG, Stamford CT, 0.20% | 9/26/11 | 9/26/11 | 5,000,000 | 5,000,000 | ||||||||||||
Total Certificates of Deposit (Cost $51,201,611) | 51,201,611 | |||||||||||||||
Direct Bank Obligations—19.7% | ||||||||||||||||
Barclays US Funding LLC, 0.23% | 7/21/11 | 7/21/11 | 400,000 | 399,949 | ||||||||||||
Commonwealth Bank of Australia, 0.27%2 | 7/11/11 | 7/11/11 | 1,000,000 | 999,925 | ||||||||||||
Credit Agricole North America, Inc., 0.17% | 7/7/11 | 7/7/11 | 2,000,000 | 1,999,943 | ||||||||||||
ING (US) Funding LLC: | ||||||||||||||||
0.11% | 7/5/11 | 7/5/11 | 2,000,000 | 1,999,976 | ||||||||||||
0.11% | 7/6/11 | 7/6/11 | 4,000,000 | 3,999,867 | ||||||||||||
0.20% | 8/1/11 | 8/1/11 | 400,000 | 399,931 | ||||||||||||
Nordea North America, Inc.: | ||||||||||||||||
0.20% | 9/8/11 | 9/8/11 | 1,900,000 | 1,899,290 | ||||||||||||
0.25% | 11/21/11 | 11/21/11 | 3,000,000 | 2,997,021 | ||||||||||||
0.36% | 7/26/11 | 7/26/11 | 2,000,000 | 1,999,500 | ||||||||||||
Skandinaviska Enskilda Banken AB, 0.24%2 | 9/1/11 | 9/1/11 | 2,600,000 | 2,598,948 | ||||||||||||
Societe Generale North America, Inc., 0.18% | 7/14/11 | 7/14/11 | 4,700,000 | 4,699,720 | ||||||||||||
Svenska Handelsbanken, Inc., 0.20%2 | 10/11/11 | 10/11/11 | 2,700,000 | 2,698,470 | ||||||||||||
Swedbank AB: | ||||||||||||||||
0.21% | 9/7/11 | 9/7/11 | 2,500,000 | 2,499,032 | ||||||||||||
0.26% | 7/28/11 | 7/28/11 | 1,000,000 | 999,805 | ||||||||||||
Total Direct Bank Obligations (Cost $30,191,377) | 30,191,377 | |||||||||||||||
Short-Term Notes—40.9% | ||||||||||||||||
Diversified Financial Services—4.6% | ||||||||||||||||
General Electric Capital Services, 0.20% | 10/7/11 | 10/7/11 | 7,100,000 | 7,096,134 | ||||||||||||
Electric Utilities—1.3% | ||||||||||||||||
Electricite De France, 0.17%2 | 7/20/11 | 7/20/11 | 2,000,000 | 1,999,821 |
5 | OPPENHEIMER MONEY FUND/VA
Maturity | Final Legal | Principal | ||||||||||||||
Date* | Maturity Date** | Amount | Value | |||||||||||||
Leasing & Factoring—4.8% | ||||||||||||||||
American Honda Finance Corp., 0.35%1 | 9/29/11 | 6/29/12 | $ | 1,500,000 | $ | 1,500,000 | ||||||||||
Toyota Motor Credit Corp.: | ||||||||||||||||
0.30% | 8/3/11 | 8/3/11 | 1,000,000 | 999,725 | ||||||||||||
0.30% | 8/4/11 | 8/4/11 | 2,500,000 | 2,499,292 | ||||||||||||
0.30% | 8/5/11 | 8/5/11 | 920,000 | 919,732 | ||||||||||||
0.30% | 8/12/11 | 8/12/11 | 1,500,000 | 1,499,475 | ||||||||||||
7,418,224 | ||||||||||||||||
Municipal—11.5% | ||||||||||||||||
Carroll Cnty., KY Solid Waste Disposal Revenue Bonds, North American Stainless Project, Series 2006, 0.14%1 | 7/7/11 | 7/7/11 | 4,300,000 | 4,300,000 | ||||||||||||
Chicago, IL Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 1998, 0.23%1 | 7/7/11 | 7/7/11 | 1,275,000 | 1,275,000 | ||||||||||||
Cobb Cnty., GA Development Authority Revenue Bonds, Presbyterian Village-Austell, Inc., 0.21%1 | 7/7/11 | 7/7/11 | 3,005,000 | 3,005,000 | ||||||||||||
Health Care Revenue Bonds, SFO Associates Project, Series 1994, 0.22%1 | 7/7/11 | 7/7/11 | 1,900,000 | 1,900,000 | ||||||||||||
IL Finance Authority, Freedman Seating Co. Project, Series 2005, 0.23%1 | 7/7/11 | 7/7/11 | 1,085,000 | 1,085,000 | ||||||||||||
Miami-Dade Cnty., FL Industrial Development Authority Bonds, Airbus Service Co., Inc. Project, Series 98, 0.13%1 | 7/7/11 | 7/7/11 | 1,000,000 | 1,000,000 | ||||||||||||
San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.24%1 | 7/7/11 | 7/7/11 | 3,100,000 | 3,100,000 | ||||||||||||
St. Paul, MN Port Authority Revenue Refunding Bonds, Series 2009-12EE, 0.13%1 | 7/7/11 | 7/7/11 | 1,150,000 | 1,150,000 | ||||||||||||
Valdosta-Lowndes Cnty., GA Industrial Authority, Steeda Autosports, Inc. Project, Series 2008, 0.30%1 | 7/7/11 | 7/7/11 | 880,000 | 880,000 | ||||||||||||
17,695,000 | ||||||||||||||||
Personal Products—3.6% | ||||||||||||||||
Reckitt Benckiser Treasury Services plc: | ||||||||||||||||
0.40%2 | 7/11/11 | 7/11/11 | 2,500,000 | 2,499,722 | ||||||||||||
0.43%2 | 9/1/11 | 9/1/11 | 1,000,000 | 999,259 | ||||||||||||
0.43%2 | 9/8/11 | 9/8/11 | 2,000,000 | 1,998,352 | ||||||||||||
5,497,333 | ||||||||||||||||
Receivables Finance—9.2% | ||||||||||||||||
Alpine Securitization Corp., 0.19% | 7/5/11 | 7/5/11 | 2,000,000 | 1,999,958 | ||||||||||||
Chariot Funding LLC, 0.03%2 | 7/1/11 | 7/1/11 | 2,000,000 | 2,000,000 | ||||||||||||
Crown Point Capital Co.: | ||||||||||||||||
0.27% | 7/5/11 | 7/5/11 | 1,200,000 | 1,199,964 | ||||||||||||
0.27% | 7/12/11 | 7/12/11 | 2,000,000 | 1,999,835 | ||||||||||||
Market Street Funding LLC, 0.05%2 | 7/1/11 | 7/1/11 | 3,700,000 | 3,700,000 | ||||||||||||
Mont Blanc Capital Corp.: | ||||||||||||||||
0.22%2 | 7/25/11 | 7/25/11 | 2,200,000 | 2,199,663 | ||||||||||||
0.25%2 | 7/11/11 | 7/11/11 | 1,000,000 | 999,931 | ||||||||||||
14,099,351 | ||||||||||||||||
Special Purpose Financial—5.9% | ||||||||||||||||
Crown Point Capital Co., 0.20% | 7/14/11 | 7/14/11 | 3,000,000 | 2,999,783 | ||||||||||||
Lexington Parker Capital Co. LLC: | ||||||||||||||||
0.27%2 | 7/6/11 | 7/6/11 | 4,000,000 | 3,999,850 | ||||||||||||
0.27%2 | 7/7/11 | 7/7/11 | 2,000,000 | 1,999,910 | ||||||||||||
8,999,543 | ||||||||||||||||
Total Short-Term Notes (Cost $62,805,406) | 62,805,406 |
6 | OPPENHEIMER MONEY FUND/VA
Maturity | Final Legal | Principal | ||||||||||||||
Date* | Maturity Date** | Amount | Value | |||||||||||||
U.S. Government Obligations—6.6% | ||||||||||||||||
U.S. Treasury Nts.: | ||||||||||||||||
0.75% | 7/5/11 | 7/5/11 | $ | 2,000,000 | $ | 2,008,435 | ||||||||||
1.00% | 4/30/12 | 4/30/12 | 1,000,000 | 1,005,714 | ||||||||||||
1.13% | 12/15/11 | 12/15/11 | 3,000,000 | 3,010,637 | ||||||||||||
1.38% | 2/15/12 | 2/15/12 | 2,000,000 | 2,013,055 | ||||||||||||
4.50% | 3/31/12 | 3/31/12 | 1,000,000 | 1,031,165 | ||||||||||||
4.88% | 7/31/11 | 7/31/11 | 1,000,000 | 1,003,696 | ||||||||||||
Total U.S. Government Obligations (Cost $10,072,702) | 10,072,702 | |||||||||||||||
Total Investments, at Value (Cost $154,271,096) | 100.5 | % | 154,271,096 | |||||||||||||
Liabilities in Excess of Other Assets | (0.5 | ) | (734,091 | ) | ||||||||||||
Net Assets | 100.0 | % | $ | 153,537,005 | ||||||||||||
* | The Maturity Date represents the date used to calculate the Fund’s weighted average maturity as determined under Rule 2a-7. | |
** | If different from the Maturity Date, the Final Legal Maturity Date includes any maturity date extensions which may be affected at the option of the issuer or unconditional payments of principal by the issuer which may be affected at the option of the Fund, and represents the date used to calculate the Fund’s weighted average life. | |
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 $28,693,851 or 18.69% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Certificates of Deposit | $ | — | $ | 51,201,611 | $ | — | $ | 51,201,611 | ||||||||
Direct Bank Obligations | — | 30,191,377 | — | 30,191,377 | ||||||||||||
Short-Term Notes | — | 62,805,406 | — | 62,805,406 | ||||||||||||
U.S. Government Obligations | — | 10,072,702 | — | 10,072,702 | ||||||||||||
Total Assets | $ | — | $ | 154,271,096 | $ | — | $ | 154,271,096 | ||||||||
7 | OPPENHEIMER MONEY FUND/VA
June 30, 2011 | ||||
Assets | ||||
Investments, at value (cost $154,271,096)—see accompanying statement of investments | $ | 154,271,096 | ||
Cash | 3,458,991 | |||
Receivables and other assets: | ||||
Shares of beneficial interest sold | 135,251 | |||
Interest | 70,773 | |||
Other | 12,251 | |||
Total assets | 157,948,362 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 3,299,996 | |||
Shares of beneficial interest redeemed | 1,063,067 | |||
Shareholder communications | 16,613 | |||
Transfer and shareholder servicing agent fees | 12,384 | |||
Trustees’ compensation | 8,496 | |||
Dividends | 490 | |||
Other | 10,311 | |||
Total liabilities | 4,411,357 | |||
Net Assets | $ | 153,537,005 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 153,537 | ||
Additional paid-in capital | 153,383,053 | |||
Accumulated net realized gain on investments | 415 | |||
Net Assets—applicable to 153,536,590 shares of beneficial interest outstanding | $ | 153,537,005 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share | $ | 1.00 |
8 | OPPENHEIMER MONEY FUND/VA
For the Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Interest | $ | 227,791 | ||
Expenses | ||||
Management fees | 325,059 | |||
Transfer and shareholder servicing agent fees | 72,235 | |||
Shareholder communications | 11,969 | |||
Trustees’ compensation | 8,658 | |||
Custodian fees and expenses | 1,067 | |||
Administration service fees | 750 | |||
Other | 18,426 | |||
Total expenses | 438,164 | |||
Less waivers and reimbursements of expenses | (217,903 | ) | ||
Net expenses | 220,261 | |||
Net Investment Income | 7,530 | |||
Net Realized Gain on Investments | 415 | |||
Net Increase in Net Assets Resulting from Operations | $ | 7,945 | ||
9 | OPPENHEIMER MONEY FUND/VA
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 7,530 | $ | 11,351 | ||||
Net realized gain | 415 | 68 | ||||||
Net increase in net assets resulting from operations | 7,945 | 11,419 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income | (7,530 | ) | (46,794 | ) | ||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions | 3,839,435 | (31,222,151 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | 3,839,850 | (31,257,526 | ) | |||||
Beginning of period | 149,697,155 | 180,954,681 | ||||||
End of period | $ | 153,537,005 | $ | 149,697,155 | ||||
10 | OPPENHEIMER MONEY FUND/VA
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||
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 | — | 2 | .03 | .05 | .05 | |||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | — | 2 | — | 2 | — | 2 | (.03 | ) | (.05 | ) | (.05 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | — | — | 2 | — | 2 | ||||||||||||||||
Total dividends and/or distributions to shareholders | — | 2 | — | 2 | — | 2 | (.03 | ) | (.05 | ) | (.05 | ) | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total Return3 | 0.01 | % | 0.03 | % | 0.32 | % | 2.78 | % | 4.98 | % | 4.71 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 153,537 | $ | 149,697 | $ | 180,955 | $ | 243,356 | $ | 189,749 | $ | 171,521 | ||||||||||||
Average net assets (in thousands) | $ | 145,692 | $ | 164,258 | $ | 218,079 | $ | 212,564 | $ | 181,271 | $ | 171,118 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 0.01 | % | 0.01 | % | 0.35 | % | 2.72 | % | 4.86 | % | 4.61 | % | ||||||||||||
Total expenses | 0.61 | % | 0.61 | % | 0.57 | % | 0.50 | % | 0.50 | % | 0.49 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.30 | % | 0.35 | % | 0.48 | % | 0.50 | % | 0.50 | % | 0.49 | % |
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. |
11 | OPPENHEIMER MONEY FUND/VA
12 | OPPENHEIMER MONEY FUND/VA
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold | 52,465,252 | $ | 52,465,252 | 64,871,083 | $ | 64,871,083 | ||||||||||
Dividends and/or distributions reinvested | 7,530 | 7,530 | 46,794 | 46,794 | ||||||||||||
Redeemed | (48,633,347 | ) | (48,633,347 | ) | (96,140,028 | ) | (96,140,028 | ) | ||||||||
Net increase (decrease) | 3,839,435 | $ | 3,839,435 | (31,222,151 | ) | $ | (31,222,151 | ) | ||||||||
13 | OPPENHEIMER MONEY FUND/VA
Fee Schedule | ||||
Up to $500 million | 0.450 | % | ||
Next $500 million | 0.425 | |||
Next $500 million | 0.400 | |||
Over $1.5 billion | 0.375 |
14 | OPPENHEIMER MONEY FUND/VA
15 | OPPENHEIMER MONEY FUND/VA
16 | OPPENHEIMER MONEY FUND/VA
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
©2011 OppenheimerFunds, Inc. All rights reserved. |
For the 6-Month Period Ended 6/30/11
Non-Service Shares | 4.79 | % | ||
Service Shares | 4.68 |
For the Periods Ended 6/30/11
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 14.43 | % | 7.70 | % | 7.82 | % | ||||||
Service Shares | 14.35 | 7.45 | 7.48 |
For the Fiscal Year Ended 12/31/10
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.79 | % | 0.71 | % | ||||
Service Shares | 1.03 | 0.95 |
Oil, Gas & Consumable Fuels | 4.1 | % | ||
Commercial Banks | 2.3 | |||
Electric Utilities | 1.7 | |||
Media | 1.7 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Capital Markets | 1.1 | |||
Metals & Mining | 1.0 | |||
Diversified Telecommunication Services | 0.9 | |||
Energy Traders | 0.9 | |||
Paper & Forest Products | 0.9 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | January 1, 2011 | June 30, 2011 | June 30, 2011 | |||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,047.90 | $ | 3.66 | ||||||
Service Shares | 1,000.00 | 1,046.80 | 4.93 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.22 | 3.61 | |||||||||
Service Shares | 1,000.00 | 1,019.98 | 4.87 |
Class | Expense Ratios | |||
Non-Service Shares | 0.72 | % | ||
Service Shares | 0.97 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—1.6% | ||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/131 | $ | 315,000 | $ | 316,478 | ||||
Ally Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A4, 2.09%, 5/15/15 | 115,000 | 117,449 | ||||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 | 140,000 | 140,244 | ||||||
Ally Master Owner Trust, Asset-Backed Nts., Series 2011-1, Cl. A2, 2.15%, 1/15/16 | 845,000 | 856,628 | ||||||
AmeriCredit Automobile Receivables Trust 2010-4, Automobile Receivables-Backed Nts., Series 2010-4, Cl. A3, 1.27%, 4/8/15 | 230,000 | 230,766 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts., Series 2011-2, Cl. A3, 1.61%, 10/8/15 | 310,000 | 312,551 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2007-1, Automobile Receivables Nts., Series 2007-1, Cl. D, 5.62%, 9/8/14 | 1,319,000 | 1,340,651 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivables Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 67,021 | 67,028 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.146%, 5/25/342 | 924,857 | 822,699 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.286%, 9/25/362 | 357,859 | 116,758 | ||||||
Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A4, 1.94%, 6/15/17 | 60,000 | 61,162 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 | 262,000 | 266,431 | ||||||
Citibank Omni Master Trust, Credit Card Receivables: | ||||||||
Series 2009-A12, Cl. A12, 3.35%, 8/15/161 | 585,000 | 599,079 | ||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/181 | 535,000 | 585,404 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/181 | 535,000 | 579,424 | ||||||
Series 2009-A8, Cl. A8, 2.287%, 5/16/161,2 | 205,000 | 207,513 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 | 1,054,955 | 860,638 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 | 143,761 | 122,891 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.306%, 6/25/472 | 5,320,000 | 4,736,183 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | ||||||||
Series 2005-G, Cl. 2A, 0.417%, 12/15/352 | 181,367 | 101,811 | ||||||
Series 2006-H, Cl. 2A1A, 0.337%, 11/15/362 | 68,485 | 21,142 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 | 520,000 | 525,494 | ||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/151 | 334,937 | 338,170 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/151 | 720,000 | 723,578 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/253,4 | 1,820,063 | — | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.296%, 6/25/362 | 23,183 | 23,103 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 | 581,360 | 581,970 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.75%, 10/15/121 | 620,000 | 620,367 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts., Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 1,635,000 | 1,673,228 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 | $ | 625,000 | $ | 634,400 | ||||
GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 | 550,000 | 565,790 | ||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.736%, 10/20/141,2 | 270,000 | 274,063 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/231 | 580,000 | 585,774 | ||||||
Harley-Davidson Motorcycle Trust 2010-1, Motorcycle Contract-Backed Nts., Series 2010-1, Cl. A3, 1.16%, 2/15/15 | 430,000 | 431,237 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/151 | 310,000 | 316,426 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 | 1,046,000 | 563,256 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.446%, 1/20/352 | 170,559 | 160,644 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.296%, 3/20/362 | 48,825 | 48,742 | ||||||
Hyundai Auto Receivables Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 1.50%, 10/15/14 | 625,000 | 630,955 | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: | ||||||||
Series 2007-1A, Cl. B, 2.165%, 8/15/222,4 | 7,870,000 | 5,509,000 | ||||||
Series 2007-1A, Cl. C, 3.465%, 8/15/222,4 | 5,270,000 | 3,583,600 | ||||||
Series 2007-1A, Cl. D, 5.465%, 8/15/222,4 | 5,270,000 | 3,530,900 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.286%, 8/25/362 | 1,221,877 | 415,292 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,4 | 66,744 | 5,673 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 | 550,000 | 552,776 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 | 208,002 | 186,265 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.286%, 9/25/362 | 54,656 | 54,459 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. A3, 1.20%, 6/16/14 | 340,000 | 341,168 | ||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/131 | 566,392 | 568,015 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 | 290,216 | 290,578 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.647%, 6/15/392 | 2,487,000 | 1,193,851 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 3.747%, 5/1/371,2,5 | 175,850 | 98,518 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 | 545,000 | 546,400 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/141 | 275,000 | 275,282 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 | 515,000 | 522,229 | ||||||
Total Asset-Backed Securities (Cost $47,075,624) | 38,834,133 |
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations—20.0% | ||||||||
Government Agency—6.7% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—6.4% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 9/15/33-6/1/40 | $ | 1,959,502 | $ | 2,093,561 | ||||
5.50%, 9/1/39 | 1,554,976 | 1,681,615 | ||||||
6%, 5/15/18-10/1/37 | 891,264 | 981,693 | ||||||
6.50%, 3/15/18-8/15/32 | 1,953,055 | 2,203,856 | ||||||
7%, 10/1/31-10/1/37 | 509,269 | 587,528 | ||||||
7.50%, 1/1/32 | 763,217 | 891,257 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. | ||||||||
Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | 907,522 | 1,034,051 | ||||||
Series 151, Cl. F, 9%, 5/15/21 | 24,735 | 28,530 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 727,272 | 820,125 | ||||||
Series 1897, Cl. K, 7%, 9/15/26 | 1,600,870 | 1,825,186 | ||||||
Series 2006-11, Cl. PS, 23.885%, 3/25/362 | 502,585 | 664,199 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 625,133 | 710,709 | ||||||
Series 2106, Cl. FG, 0.637%, 12/15/282 | 1,133,052 | 1,136,778 | ||||||
Series 2122, Cl. F, 0.637%, 2/15/292 | 33,899 | 33,963 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 | 960,382 | 1,037,860 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 498,055 | 576,751 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 70,868 | 82,940 | ||||||
Series 2344, Cl. FP, 1.137%, 8/15/312 | 341,778 | 345,639 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | 282,749 | 312,093 | ||||||
Series 2412, Cl. GF, 1.137%, 2/15/322 | 654,475 | 662,525 | ||||||
Series 2449, Cl. FL, 0.737%, 1/15/322 | 435,549 | 438,511 | ||||||
Series 2451, Cl. FD, 1.187%, 3/15/322 | 224,475 | 227,375 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 103,417 | 111,563 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,019,195 | 1,155,561 | ||||||
Series 2464, Cl. FI, 1.187%, 2/15/322 | 215,777 | 218,379 | ||||||
Series 2470, Cl. AF, 1.187%, 3/15/322 | 385,145 | 391,969 | ||||||
Series 2470, Cl. LF, 1.187%, 2/15/322 | 220,816 | 224,082 | ||||||
Series 2471, Cl. FD, 1.187%, 3/15/322 | 334,908 | 339,467 | ||||||
Series 2477, Cl. FZ, 0.737%, 6/15/312 | 871,674 | 877,111 | ||||||
Series 2500, Cl. FD, 0.687%, 3/15/322 | 27,405 | 27,546 | ||||||
Series 2517, Cl. GF, 1.187%, 2/15/322 | 191,988 | 194,748 | ||||||
Series 2526, Cl. FE, 0.587%, 6/15/292 | 52,762 | 52,951 | ||||||
Series 2551, Cl. FD, 0.587%, 1/15/332 | 24,770 | 24,876 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 | 3,843,000 | 4,169,190 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 511,208 | 514,026 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 718,697 | 732,517 | ||||||
Series 3025, Cl. SJ, 24.064%, 8/15/352 | 567,176 | 742,713 | ||||||
Series 3094, Cl. HS, 23.698%, 6/15/342 | 325,664 | 417,224 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 812,001 | 860,046 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 192, Cl. IO, 14.051%, 2/1/286 | 24,926 | 5,078 | ||||||
Series 205, Cl. IO, 14.063%, 9/1/296 | 129,089 | 26,996 | ||||||
Series 2074, Cl. S, 68.348%, 7/17/286 | 35,020 | 7,329 | ||||||
Series 2079, Cl. S, 81.858%, 7/17/286 | 58,399 | 12,256 | ||||||
Series 2136, Cl. SG, 82.812%, 3/15/296 | 1,584,280 | 299,097 | ||||||
Series 2399, Cl. SG, 76.17%, 12/15/266 | 914,778 | 165,158 | ||||||
Series 243, Cl. 6, 1.751%, 12/15/326 | 369,731 | 72,714 | ||||||
Series 2437, Cl. SB, 88.466%, 4/15/326 | 2,713,879 | 534,971 | ||||||
Series 2526, Cl. SE, 41.343%, 6/15/296 | 66,242 | 13,283 | ||||||
Series 2802, Cl. AS, 74.24%, 4/15/336 | 401,043 | 38,366 | ||||||
Series 2920, Cl. S, 68.237%, 1/15/356 | 587,244 | 94,710 | ||||||
Series 3110, Cl. SL, 17.819%, 2/15/266 | 350,853 | 49,840 | ||||||
Series 3451, Cl. SB, 29.003%, 5/15/386 | 1,105,445 | 144,946 | ||||||
Federal National Mortgage Assn.: | ||||||||
3.141%, 10/1/362 | 4,694,821 | 4,943,311 | ||||||
4%, 7/1/267 | 355,000 | 369,866 | ||||||
4.50%, 7/1/26-7/1/417 | 20,360,000 | 21,183,902 | ||||||
5%, 11/25/21-7/25/33 | 2,465,925 | 2,638,688 | ||||||
5%, 8/1/417 | 17,270,000 | 18,303,506 | ||||||
5.50%, 4/25/21-1/1/36 | 942,277 | 1,023,890 | ||||||
5.50%, 7/1/26-7/1/417 | 13,668,000 | 14,783,620 | ||||||
6%, 10/25/16-1/25/19 | 543,214 | 593,120 | ||||||
6%, 7/1/417 | 10,925,000 | 12,002,139 | ||||||
6.50%, 4/25/17-1/1/34 | 2,487,380 | 2,832,002 | ||||||
7%, 11/1/17-6/25/34 | 2,600,069 | 2,994,264 | ||||||
7.50%, 2/25/27-3/25/33 | 2,877,470 | 3,371,806 | ||||||
8.50%, 7/1/32 | 3,096 | 3,550 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn: | ||||||||
15 yr., 3.50%, 6/1/267 | $ | 6,925,000 | $ | 7,052,683 | ||||
30 yr., 4%, 8/1/417 | 7,780,000 | 7,759,336 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 502,676 | 569,915 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 266,321 | 307,095 | ||||||
Trust 2001-69, Cl. PF, 1.186%, 12/25/312 | 493,798 | 502,500 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 570,009 | 637,081 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 339,829 | 367,368 | ||||||
Trust 2002-29, Cl. F, 1.186%, 4/25/322 | 244,345 | 248,777 | ||||||
Trust 2002-60, Cl. FH, 1.186%, 8/25/322 | 499,022 | 506,749 | ||||||
Trust 2002-64, Cl. FJ, 1.186%, 4/25/322 | 75,242 | 76,607 | ||||||
Trust 2002-68, Cl. FH, 0.686%, 10/18/322 | 171,314 | 172,555 | ||||||
Trust 2002-84, Cl. FB, 1.186%, 12/25/322 | 1,015,937 | 1,034,447 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | 344,142 | 375,835 | ||||||
Trust 2002-9, Cl. PR, 6%, 3/25/17 | 421,386 | 455,642 | ||||||
Trust 2002-90, Cl. FH, 0.686%, 9/25/322 | 568,419 | 573,081 | ||||||
Trust 2003-11, Cl. FA, 1.186%, 9/25/322 | 1,015,960 | 1,034,471 | ||||||
Trust 2003-116, Cl. FA, 0.586%, 11/25/332 | 77,838 | 78,102 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,615,982 | 1,727,176 | ||||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,160,000 | 2,382,520 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 695,034 | 704,352 | ||||||
Trust 2005-25, Cl. PS, 27.343%, 4/25/352 | 529,142 | 834,565 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 560,000 | 615,342 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 480,000 | 517,880 | ||||||
Trust 2006-46, Cl. SW, 23.518%, 6/25/362 | 873,994 | 1,120,433 | ||||||
Trust 2009-36, Cl. FA, 1.126%, 6/25/372 | 431,358 | 435,642 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 | 1,076,334 | 1,107,011 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 | 609,536 | 662,458 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 52.301%, 11/18/316 | 279,321 | 48,517 | ||||||
Trust 2001-63, Cl. SD, 46.308%, 12/18/316 | 68,129 | 11,667 | ||||||
Trust 2001-68, Cl. SC, 35.84%, 11/25/316 | 44,359 | 7,608 | ||||||
Trust 2001-81, Cl. S, 41.301%, 1/25/326 | 55,767 | 10,455 | ||||||
Trust 2002-28, Cl. SA, 45.271%, 4/25/326 | 34,581 | 5,550 | ||||||
Trust 2002-38, Cl. SO, 64.28%, 4/25/326 | 189,245 | 28,978 | ||||||
Trust 2002-48, Cl. S, 41.93%, 7/25/326 | 54,536 | 10,397 | ||||||
Trust 2002-52, Cl. SL, 43.362%, 9/25/326 | 34,748 | 6,613 | ||||||
Trust 2002-56, Cl. SN, 44.292%, 7/25/326 | 74,939 | 14,282 | ||||||
Trust 2002-77, Cl. IS, 57.527%, 12/18/326 | 322,418 | 64,482 | ||||||
Trust 2002-77, Cl. SH, 50.949%, 12/18/326 | 78,174 | 15,648 | ||||||
Trust 2002-9, Cl. MS, 40.435%, 3/25/326 | 71,973 | 14,050 | ||||||
Trust 2003-13, Cl. IO, 17.848%, 3/25/336 | 600,485 | 132,039 | ||||||
Trust 2003-26, Cl. DI, 17.887%, 4/25/336 | 455,694 | 93,504 | ||||||
Trust 2003-33, Cl. SP, 52.588%, 5/25/336 | 482,599 | 82,625 | ||||||
Trust 2003-38, Cl. SA, 44.953%, 3/25/236 | 735,305 | 94,992 | ||||||
Trust 2003-4, Cl. S, 48.695%, 2/25/336 | 141,656 | 26,585 | ||||||
Trust 2004-56, Cl. SE, 25.036%, 10/25/336 | 2,059,549 | 340,239 | ||||||
Trust 2005-14, Cl. SE, 48.325%, 3/25/356 | 1,921,709 | 243,098 | ||||||
Trust 2005-40, Cl. SA, 71.112%, 5/25/356 | 1,635,106 | 275,511 | ||||||
Trust 2005-40, Cl. SB, 97.452%, 5/25/356 | 2,733,030 | 548,059 | ||||||
Trust 2005-63, Cl. SA, 78.733%, 10/25/316 | 114,484 | 23,426 | ||||||
Trust 2005-71, Cl. SA, 66.253%, 8/25/256 | 383,961 | 55,284 | ||||||
Trust 2006-129, Cl. SM, 22.616%, 1/25/376 | 758,185 | 122,897 | ||||||
Trust 2006-51, Cl. SA, 24.344%, 6/25/366 | 9,743,216 | 1,606,856 | ||||||
Trust 2006-60, Cl. DI, 48.451%, 4/25/356 | 1,763,896 | 247,328 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/366 | 1,659,634 | 387,238 | ||||||
Trust 2007-88, Cl. XI, 32.847%, 6/25/376 | 2,789,407 | 406,713 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.- Backed Security: Continued | ||||||||
Trust 2008-55, Cl. SA, 26.50%, 7/25/386 | $ | 584,122 | $ | 57,260 | ||||
Trust 214, Cl. 2, 40.146%, 3/1/236 | 402,823 | 74,025 | ||||||
Trust 221, Cl. 2, 40.231%, 5/1/236 | 47,363 | 8,950 | ||||||
Trust 254, Cl. 2, 32.25%, 1/1/246 | 767,678 | 144,861 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/336 | 614,485 | 112,610 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/356 | 1,080,998 | 190,483 | ||||||
Trust 301, Cl. 2, 6.433%, 4/1/296 | 177,108 | 40,190 | ||||||
Trust 313, Cl. 2, 31.614%, 6/1/316 | 1,877,292 | 451,492 | ||||||
Trust 319, Cl. 2, 7.297%, 2/1/326 | 861,139 | 199,825 | ||||||
Trust 321, Cl. 2, 10.608%, 4/1/326 | 227,434 | 54,037 | ||||||
Trust 324, Cl. 2, 3.693%, 7/1/326 | 240,346 | 58,959 | ||||||
Trust 328, Cl. 2, 9.06%, 12/1/326 | 589,487 | 120,294 | ||||||
Trust 331, Cl. 5, 0.472%, 2/1/336 | 873,815 | 164,082 | ||||||
Trust 332, Cl. 2, 0.104%, 3/1/336 | 5,172,746 | 1,126,910 | ||||||
Trust 334, Cl. 12, 22.23%, 2/1/336 | 760,521 | 140,813 | ||||||
Trust 339, Cl. 15, 8.824%, 7/1/336 | 2,240,095 | 463,393 | ||||||
Trust 345, Cl. 9, 49.689%, 1/1/346 | 1,038,723 | 217,870 | ||||||
Trust 351, Cl. 10, 0.647%, 4/1/346 | 469,477 | 79,174 | ||||||
Trust 351, Cl. 8, 6.632%, 4/1/346 | 761,578 | 128,148 | ||||||
Trust 356, Cl. 10, 19.752%, 6/1/356 | 629,581 | 106,056 | ||||||
Trust 356, Cl. 12, 22.259%, 2/1/356 | 315,037 | 52,652 | ||||||
Trust 362, Cl. 13, 1.393%, 8/1/356 | 381,834 | 65,204 | ||||||
156,780,674 | ||||||||
GNMA/Guaranteed—0.2% | ||||||||
Government National Mortgage Assn.: | ||||||||
2.125%, 12/9/252 | 5,492 | 5,664 | ||||||
7%, 3/29/28-7/29/28 | 240,418 | 280,400 | ||||||
7.50%, 3/1/27 | 13,145 | 15,428 | ||||||
8%, 11/29/25-5/29/26 | 50,774 | 58,632 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 998,403 | 1,217,960 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 | 2,256,810 | 2,606,255 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 69.433%, 7/16/286 | 123,810 | 26,303 | ||||||
Series 1998-6, Cl. SA, 78.739%, 3/16/286 | 73,246 | 15,993 | ||||||
Series 2001-21, Cl. SB, 89.25%, 1/16/276 | 554,315 | 103,782 | ||||||
Series 2007-17, Cl. AI, 21.74%, 4/16/376 | 656,014 | 114,892 | ||||||
4,445,309 | ||||||||
Other Agency—0.1% | ||||||||
NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: | ||||||||
Series 2010-C1, Cl. A1, 1.60%, 10/29/20 | 542,333 | 541,721 | ||||||
Series 2010-C1, Cl. A2, 2.90%, 10/29/20 | 805,000 | 804,707 | ||||||
NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.64%, 10/7/202 | 1,124,523 | 1,126,637 | ||||||
2,473,065 | ||||||||
Non-Agency—13.3% | ||||||||
Commercial—7.7% | ||||||||
Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 6.077%, 7/10/442 | 4,192,000 | 4,255,339 | ||||||
Banc of America Commercial Mortgage Trust 2006-5, Commercial Mtg. Pass-Through Certificates, Series 2006-5, Cl. AM, 5.448%, 9/1/47 | 6,055,000 | 6,063,165 | ||||||
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 | 4,159,386 | 4,059,519 | ||||||
Banc of America Commercial Mortgage Trust 2007-5, Commercial Mtg. Pass-Through Certificates, Series 2007-5, Cl. AM, 5.772%, 2/1/51 | 8,090,000 | 7,863,724 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2008-1, Cl. AM, 6.437%, 2/10/512 | 3,415,000 | 3,420,719 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13, Commercial Mtg. Pass-Through Certificates, Series 2006-PWR13, Cl. AJ, 5.611%, 9/1/41 | 6,630,000 | 6,029,826 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-PWR17, Cl. AJ, 6.138%, 6/1/502 | 7,400,000 | 6,083,465 | ||||||
Series 2007-PWR17, Cl. AM, 5.915%, 6/1/50 | 2,330,000 | 2,322,351 |
Principal | ||||||||
Amount | Value | |||||||
| | | ||||||||
Commercial Continued | ||||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/441 | $ | 190,010 | $ | 190,582 | ||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 3,366,570 | 3,136,918 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.123%, 12/20/352 | 176,854 | 138,918 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | 9,799,352 | 8,111,909 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 5.823%, 12/1/492 | 4,270,000 | 4,259,471 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 | 955,000 | 1,014,668 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.729%, 11/1/461,2 | 2,515,000 | 2,147,602 | ||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.686%, 1/27/372,4 | 1,393,099 | 766,205 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AB2, Cl. A1, 5.885%, 6/25/36 | 219,058 | 171,677 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 709,061 | 406,001 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. | ||||||||
Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/461 | 720,908 | 726,764 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.843%, 9/1/201,6 | 5,784,652 | 480,596 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 639,827 | 444,130 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.925%, 11/1/372 | 3,601,616 | 2,656,788 | ||||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.116%, 5/15/302 | 1,567,000 | 1,571,860 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2005-GG5, Commercial Mtg. Pass-Through Certificates, Series 2005-GG5, Cl. AM, 5.277%, 4/1/37 | 1,285,000 | 1,244,526 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-GG7, Cl. AJ, 6.078%, 7/10/382 | 6,150,000 | 5,622,856 | ||||||
Series 2006-GG7, Cl. AM, 6.078%, 7/1/382 | 615,000 | 633,025 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 | 5,550,000 | 5,088,994 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations: | ||||||||
Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 | 502,848 | 511,414 | ||||||
Series 2011-GC3, Cl. D, 5.728%, 3/1/441,2 | 3,130,000 | 2,870,223 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 | 94,467 | 94,358 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.726%, 5/25/352 | 5,477,491 | 4,155,717 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.181%, 11/1/352 | 1,712,228 | 1,268,343 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
IndyMac Index Mortgage Loan Trust 2005-AR31, Mtg. Pass-Through Certificates, Series 2005-AR31, Cl. 2A2, 2.623%, 1/1/362,5 | $ | 23,131 | $ | 238 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 | 775,000 | 760,244 | ||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 | 8,281,000 | 6,671,160 | ||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 | 2,315,000 | 2,477,473 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 | 6,400,000 | 6,227,416 | ||||||
Series 2008-C2, Cl. AM, 6.786%, 2/1/512 | 4,990,000 | 4,603,807 | ||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/431 | 860,000 | 841,499 | ||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/461 | 554,567 | 559,009 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AJ, 5.623%, 5/1/45 | 2,175,000 | 1,806,403 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 5.87%, 4/1/452 | 120,000 | 124,548 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.932%, 2/1/492 | 6,465,000 | 6,282,342 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 5.817%, 6/1/492 | 570,000 | 608,887 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 5.518%, 1/1/372 | 369,144 | 272,977 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2, Commercial Mtg. Pass-Through Certificates, Series 2007-C2, Cl. AM, 5.493%, 2/11/40 | 2,950,000 | 2,783,558 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. AM, 6.114%, 7/11/40 | 5,855,000 | 5,694,984 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.148%, 4/11/412 | 2,610,000 | 2,611,720 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 | 85,444 | 17,439 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 278,053 | 284,843 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.863%, 5/1/392 | 3,845,000 | 3,561,644 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AJ, 5.485%, 7/1/46 | 3,745,000 | 3,325,998 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12, Commercial Mtg. Pass-Through Certificates, Series 2006-IQ12, Cl. AJ, 5.399%, 12/1/43 | 7,734,000 | 6,659,061 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6/1/492 | 5,875,000 | 5,613,894 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.313%, 12/1/492 | 525,000 | 520,221 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 | 8,500,000 | 8,576,939 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.233%, 4/25/352 | 121,750 | 18,626 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 765,320 | 531,339 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.823%, 2/1/372 | $ | 10,114,441 | $ | 7,388,503 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.244%, 7/1/372 | 7,138,115 | 4,756,183 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C23, Commercial Mtg. Pass-Through Certificates, Series 2006-C23, Cl. AJ, 5.515%, 1/1/45 | 4,510,000 | 4,266,871 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.924%, 5/1/432 | 4,220,000 | 3,963,545 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48 | 810,000 | 876,939 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.118%, 11/1/462 | 1,240,620 | 822,633 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.609%, 4/1/472 | 878,744 | 501,642 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.76%, 11/1/342 | 1,055,996 | 125,080 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.737%, 2/1/352 | 3,973,862 | 3,697,188 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A3, 2.802%, 4/25/362 | 2,602,780 | 2,391,478 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 6.192%, 3/1/446 | 6,155,000 | 584,409 | ||||||
188,622,393 | ||||||||
Multifamily—1.0% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.959%, 5/1/452 | 4,295,000 | 4,019,730 | ||||||
Citigroup Commercial Mortgage Trust 2006-C5, Commercial Mtg. Pass-Through Certificates, Series 2006-C5, Cl. AJ, 5.482%, 10/1/49 | 5,792,000 | 5,111,784 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.688%, 6/1/362 | 6,580,424 | 5,770,437 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AM, 5.593%, 5/1/45 | 395,000 | 393,364 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.557%, 5/1/372 | 5,176,461 | 4,498,942 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.047%, 9/1/352 | 467,490 | 440,396 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.819%, 3/25/362 | 3,465,837 | 2,934,494 | ||||||
23,169,147 | ||||||||
Other—0.1% | ||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 | 2,315,000 | 2,486,534 | ||||||
Residential—4.5% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.997%, 2/1/512 | 3,960,000 | 3,885,135 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.58%, 5/1/362 | 2,025,000 | 1,854,279 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.795%, 5/1/342 | 3,216,550 | 2,727,018 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 4.976%, 11/1/342 | $ | 1,210,119 | $ | 1,188,567 | ||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 3.022%, 2/1/372 | 1,415,735 | 1,406,373 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 6,343,933 | 5,586,322 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.383%, 11/1/352 | 7,288,857 | 5,412,971 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 1,984,544 | 1,972,093 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 857,164 | 815,944 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 2.981%, 6/1/472 | 2,174,525 | 1,578,425 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 1A1, 5.684%, 9/1/472 | 1,986,845 | 1,356,532 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.944%, 5/1/352 | 2,613,362 | 2,242,825 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.093%, 8/1/352 | 5,351,787 | 4,215,972 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | 6,060,000 | 5,500,117 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 | 1,598,275 | 1,536,834 | ||||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/37 | 10,678,245 | 7,713,051 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 | 2,868,000 | 2,116,943 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 2.783%, 5/1/342 | 3,323,813 | 2,924,164 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.267%, 11/1/352 | 3,507,074 | 2,825,264 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 1,351,726 | 1,299,711 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 314,004 | 277,898 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.167%, 9/11/452 | 10,430,000 | 10,276,239 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 4.946%, 10/25/362 | 1,826,577 | 1,702,272 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 2,040,928 | 1,236,032 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 40,795 | 24,707 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 1,002,688 | 624,828 | ||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | 3,577,681 | 3,002,235 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 4,374,191 | 3,587,980 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | $ | 4,795,580 | $ | 4,230,325 | ||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.722%, 10/1/352 | 2,531,824 | 2,159,585 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.836%, 9/1/362 | 1,283,836 | 1,072,736 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 4A1, 2.671%, 2/1/372 | 14,713,672 | 11,296,231 | ||||||
Series 2007-HY1, Cl. 5A1, 5.448%, 2/1/372 | 8,816,041 | 7,059,203 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.684%, 5/1/372 | 1,182,641 | 1,037,085 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 2.756%, 10/1/352 | 1,531,269 | 1,385,452 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.693%, 10/1/362 | 3,963,365 | 3,506,220 | ||||||
110,637,568 | ||||||||
Total Mortgage-Backed | ||||||||
Obligations (Cost $491,272,148) | 488,614,690 | |||||||
U.S. Government Obligations—3.3% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
1.125%, 7/27/12 | 17,545,000 | 17,690,641 | ||||||
2.50%, 5/27/16 | 1,000,000 | 1,026,287 | ||||||
5%, 2/16/17 | 6,500,000 | 7,425,990 | ||||||
5.125%, 11/17/17 | 4,000,000 | 4,596,468 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
1.125%, 7/30/12 | 16,180,000 | 16,322,109 | ||||||
2.375%, 4/11/16 | 1,000,000 | 1,021,505 | ||||||
4.375%, 10/15/158 | 4,000,000 | 4,435,264 | ||||||
4.875%, 12/15/16 | 1,000,000 | 1,135,414 | ||||||
5.375%, 6/12/17 | 6,500,000 | 7,571,064 | ||||||
U.S. Treasury Bills, 0.101%, 12/1/118,9 | 16,800,000 | 16,795,716 | ||||||
U.S. Treasury Bonds, STRIPS, 4.833%, 2/15/169,10 | 2,116,000 | 1,958,809 | ||||||
Total U.S. Government Obligations (Cost $78,959,611) | 79,979,267 | |||||||
Foreign Government Obligations—22.5% | ||||||||
Argentina—0.7% | ||||||||
Argentina (Republic of) Bonds: | ||||||||
2.50%, 12/31/382 | 4,155,000 | 1,817,813 | ||||||
7%, 10/3/15 | 10,135,000 | 9,847,279 | ||||||
Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17 | 3,600,000 | 3,311,100 | ||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/211 | 1,675,000 | 1,566,125 | ||||||
16,542,317 | ||||||||
Australia—0.3% | ||||||||
Australia (Commonwealth of) Sr. Unsec. Bonds: | ||||||||
Series 119, 6.25%, 4/15/15 | 290,000 | AUD | 326,532 | |||||
Series 120, 6%, 2/15/17 | 850,000 | AUD | 959,254 | |||||
New South Wales Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/1/16 | 3,610,000 | AUD | 3,986,588 | |||||
Queensland Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/21/16 | 895,000 | AUD | 984,556 | |||||
6,256,930 | ||||||||
Austria—0.1% | ||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/191 | 730,000 | EUR | 1,135,386 | |||||
Austria (Republic of) Sr. Unsec. Unsub. Bonds, Series 2, 4.65%, 1/15/18 | 585,000 | EUR | 928,009 | |||||
2,063,395 | ||||||||
Belgium—0.1% | ||||||||
Belgium (Kingdom of) Bonds, Series 52, 4%, 3/28/18 | 1,550,000 | EUR | 2,285,422 | |||||
Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 | 455,000 | EUR | 725,514 | |||||
3,010,936 | ||||||||
Brazil—2.6% | ||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||
10%, 1/1/17 | 61,453,000 | BRR | 35,708,814 | |||||
10%, 1/1/21 | 33,538,000 | BRR | 18,793,335 |
Principal | ||||||||
Amount | Value | |||||||
Brazil Continued | ||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: Continued | ||||||||
12.065%, 5/15/4511 | 6,470,000 | BRR | $ | 8,601,037 | ||||
63,103,186 | ||||||||
Canada—0.3% | ||||||||
Canada (Government of) Nts.: | ||||||||
3%, 12/1/15 | 4,545,000 | CAD | 4,865,216 | |||||
3.75%, 6/1/19 | 1,225,000 | CAD | 1,348,586 | |||||
4%, 6/1/17 | 1,775,000 | CAD | 1,988,361 | |||||
8,202,163 | ||||||||
Colombia—0.6% | ||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/281 | 3,058,000,000 | COP | 2,183,644 | |||||
Colombia (Republic of) Bonds, 7.375%, 9/18/37 | 2,715,000 | 3,434,475 | ||||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | 1,980,000 | 2,477,970 | ||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | 4,085,000 | 4,462,863 | ||||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | 1,340,000 | 1,650,880 | ||||||
14,209,832 | ||||||||
Denmark—0.0% | ||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 | 4,555,000 | DKK | 947,670 | |||||
Dominican Republic—0.1% | ||||||||
Dominican Republic Bonds, 7.50%, 5/6/211 | 1,700,000 | 1,776,500 | ||||||
Finland—0.0% | ||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 | 470,000 | EUR | 720,656 | |||||
France—0.0% | ||||||||
France (Government of) Bonds, 4%, 4/25/60 | 385,000 | EUR | 530,217 | |||||
Germany—0.7% | ||||||||
Germany (Federal Republic of) Bonds: | ||||||||
0.50%, 6/15/12 | 1,365,000 | EUR | 1,962,296 | |||||
3.50%, 7/4/19 | 2,785,000 | EUR | 4,240,883 | |||||
Series 07, 4.25%, 7/4/39 | 915,000 | EUR | 1,435,506 | |||||
Series 08, 4.25%, 7/4/18 | 3,070,000 | EUR | 4,899,984 | |||||
Series 157, 2.25%, 4/10/15 | 2,940,000 | EUR | 4,297,747 | |||||
16,836,416 | ||||||||
Ghana—0.1% | ||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/171 | 1,375,000 | 1,560,625 | ||||||
Greece—0.2% | ||||||||
Hellenic Republic Sr. Unsec. Unsub. Bonds, 30 yr.: | ||||||||
4.50%, 9/20/37 | 5,095,000 | EUR | 3,202,939 | |||||
4.60%, 9/20/40 | 1,745,000 | EUR | 1,072,184 | |||||
4,275,123 | ||||||||
Hungary—1.8% | ||||||||
Hungary (Republic of) Bonds: | ||||||||
Series 16/C, 5.50%, 2/12/16 | 848,300,000 | HUF | 4,368,695 | |||||
Series 17/B, 6.75%, 2/24/17 | 2,541,200,000 | HUF | 13,532,669 | |||||
Series 19/A, 6.50%, 6/24/19 | 1,981,000,000 | HUF | 10,225,866 | |||||
Series 20/A, 7.50%, 11/12/20 | 1,308,000,000 | HUF | 7,182,425 | |||||
Hungary (Republic of) Sr. Unsec. Bonds, 7.625%, 3/29/41 | 1,500,000 | 1,625,625 | ||||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 | 5,865,000 | 6,216,900 | ||||||
43,152,180 | ||||||||
Indonesia—0.9% | ||||||||
Indonesia (Republic of) Nts., 6.875%, 1/17/181 | 5,270,000 | 6,192,250 | ||||||
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/211 | 3,730,000 | 3,837,238 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/381 | 5,235,000 | 6,589,556 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/371 | 1,360,000 | 1,519,800 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/351 | 2,030,000 | 2,740,500 | ||||||
20,879,344 | ||||||||
Italy—0.4% | ||||||||
Italy (Republic of) Bonds: | ||||||||
3.75%, 3/1/21 | 1,860,000 | EUR | 2,499,758 | |||||
4%, 9/1/20 | 2,590,000 | EUR | 3,582,401 | |||||
5%, 9/1/40 | 800,000 | EUR | 1,062,965 | |||||
Italy (Republic of) Treasury Bonds, 3.75%, 12/15/13 | 2,665,000 | EUR | 3,899,534 | |||||
11,044,658 | ||||||||
Ivory Coast—0.0% | ||||||||
Ivory Coast (Republic of) Sr. Unsec. Bonds, 2.50%, 12/31/321,3 | 415,000 | 220,988 | ||||||
Japan—2.7% | ||||||||
Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/29 | 989,000,000 | JPY | 12,843,462 | |||||
Japan (Government of) Sr. Unsec. Unsub. Bonds: | ||||||||
2 yr., Series 304, 0.20%, 5/15/13 | 970,000,000 | JPY | 12,055,785 | |||||
5 yr., Series 91, 0.40%, 9/20/15 | 1,213,000,000 | JPY | 15,093,695 | |||||
5 yr., Series 96, 0.50%, 3/20/16 | 1,341,000,000 | JPY | 16,727,578 |
Principal | ||||||||
Amount | Value | |||||||
Japan Continued | ||||||||
Japan (Government of) Sr. Unsec. Unsub. Bonds: Continued | ||||||||
10 yr., Series 307, 1.30%, 3/20/20 | 659,000,000 | JPY | $ | 8,429,085 | ||||
65,149,605 | ||||||||
Korea, Republic of South—1.1% | ||||||||
Korea (Republic of) Sr. Unsec. Bonds, Series 2006, 5%, 6/10/20 | 11,491,000,000 | KRW | 11,356,442 | |||||
Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds: | ||||||||
Series 1208, 3.81%, 8/2/12 | 10,222,000,000 | KRW | 9,588,181 | |||||
Series 1210, 3.28%, 10/2/12 | 4,948,000,000 | KRW | 4,610,888 | |||||
Korea (Republic of) Sr. Unsec. Unsub. Nts., 5.125%, 12/7/16 | 1,635,000 | 1,804,739 | ||||||
27,360,250 | ||||||||
Malaysia—0.4% | ||||||||
Malaysia (Government of) Sr. Unsec. Bonds: | ||||||||
Series 1/06, 4.262%, 9/15/16 | 3,060,000 | MYR | 1,048,288 | |||||
Series 0309, 2.711%, 2/14/12 | 20,900,000 | MYR | 6,927,587 | |||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/214,7 | 2,060,000 | 2,056,467 | ||||||
10,032,342 | ||||||||
Mexico—1.9% | ||||||||
United Mexican States Bonds: | ||||||||
5.625%, 1/15/17 | 1,220,000 | 1,392,630 | ||||||
Series M, 6.50%, 6/10/212 | 58,270,000 | MXN | 4,808,090 | |||||
Series M20, 7.50%, 6/3/272 | 129,280,000 | MXN | 10,961,599 | |||||
Series M10, 7.75%, 12/14/17 | 11,820,000 | MXN | 1,080,876 | |||||
Series M10, 8%, 12/17/15 | 44,000,000 | MXN | 4,030,623 | |||||
Series M20, 8.50%, 5/31/292 | 26,500,000 | MXN | 2,433,894 | |||||
Series M20, 10%, 12/5/242 | 181,400,000 | MXN | 19,132,002 | |||||
United Mexican States Nts., 6.75%, 9/27/34 | 610,000 | 712,175 | ||||||
United Mexican States Sr. Nts., 5.75%, 10/12/2110 | 1,170,000 | 1,096,875 | ||||||
45,648,764 | ||||||||
Norway—0.0% | ||||||||
Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15 | 1,515,000 | NOK | 304,876 | |||||
Panama—0.3% | ||||||||
Panama (Republic of) Bonds: | ||||||||
7.25%, 3/15/15 | 2,740,000 | 3,241,420 | ||||||
8.875%, 9/30/27 | 110,000 | 156,475 | ||||||
9.375%, 4/1/29 | 1,100,000 | 1,639,000 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 1,175,000 | 1,454,063 | ||||||
6,490,958 | ||||||||
Peru—0.4% | ||||||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/201 | 20,980,000 | PEN | 8,425,727 | |||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/501 | 410,000 | 388,475 | ||||||
8,814,202 | ||||||||
Philippines—0.0% | ||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Nts., 4.95%, 1/15/21 | 40,000,000 | PHP | 923,161 | |||||
Poland—1.3% | ||||||||
Poland (Republic of) Bonds: | ||||||||
Series 0415, 5.50%, 4/25/15 | 2,145,000 | PLZ | 793,730 | |||||
Series 0416, 5%, 4/25/16 | 53,215,000 | PLZ | 19,261,975 | |||||
Series 1015, 6.25%, 10/24/15 | 16,725,000 | PLZ | 6,337,670 | |||||
Series 1017, 5.25%, 10/25/17 | 570,000 | PLZ | 206,125 | |||||
Poland (Republic of) Sr. Unsec. Nts.: | ||||||||
5.125%, 4/21/21 | 3,240,000 | 3,357,450 | ||||||
6.375%, 7/15/19 | 2,085,000 | 2,387,325 | ||||||
32,344,275 | ||||||||
Qatar—0.1% | ||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/201 | 1,595,000 | 1,708,245 | ||||||
Qatar (State of) Sr. Unsec. Nts., 6.40%, 1/20/401 | 750,000 | 832,500 | ||||||
2,540,745 | ||||||||
Russia—0.1% | ||||||||
Russian Federation Bonds, 5%, 4/29/201 | 1,250,000 | 1,295,313 | ||||||
South Africa—1.9% | ||||||||
South Africa (Republic of) Bonds: | ||||||||
5.50%, 3/9/20 | 1,795,000 | 1,970,013 | ||||||
Series R209, 6.25%, 3/31/36 | 37,950,000 | ZAR | 4,145,888 | |||||
Series R208, 6.75%, 3/31/21 | 33,370,000 | ZAR | 4,382,461 | |||||
Series R213, 7%, 2/28/31 | 27,100,000 | ZAR | 3,328,072 | |||||
Series R207, 7.25%, 1/15/20 | 115,470,000 | ZAR | 15,863,592 | |||||
Series R204, 8%, 12/21/18 | 44,800,000 | ZAR | 6,517,519 | |||||
Series R186, 10.50%, 12/21/26 | 62,200,000 | ZAR | 10,655,814 | |||||
46,863,359 | ||||||||
Spain—0.2% | ||||||||
Spain (Kingdom of) Bonds, 5.50%, 7/30/17 | 420,000 | EUR | 630,847 | |||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.10%, 7/30/18 | 3,330,000 | EUR | 4,582,746 | |||||
5,213,593 |
Principal | ||||||||
Amount | Value | |||||||
Sri Lanka—0.1% | ||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts., 6.25%, 10/4/201 | $ | 1,330,000 | $ | 1,336,650 | ||||
Sweden—0.0% | ||||||||
Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17 | 4,560,000 | SEK | 760,908 | |||||
The Netherlands—0.1% | ||||||||
Netherlands (Kingdom of the) Bonds: | ||||||||
4%, 7/15/18 | 1,390,000 | EUR | 2,143,909 | |||||
4%, 7/15/19 | 435,000 | EUR | 672,050 | |||||
2,815,959 | ||||||||
Turkey—1.0% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.875%, 3/17/36 | 2,645,000 | 2,922,725 | ||||||
7%, 3/11/19 | 1,360,000 | 1,570,800 | ||||||
8.68%, 2/20/1310 | 17,180,000 | TRY | 9,178,947 | |||||
10.50%, 1/15/202 | 1,120,000 | TRY | 735,280 | |||||
11%, 8/6/14 | 6,590,000 | TRY | 4,271,522 | |||||
Series CPI, 14.419%, 8/14/132 | 2,200,000 | TRY | 2,002,851 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 | 1,780,000 | 2,100,400 | ||||||
Turkey (Republic of) Unsec. Nts., 6%, 1/14/41 | 2,440,000 | 2,391,200 | ||||||
25,173,725 | ||||||||
Ukraine—0.5% | ||||||||
City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/164,7 | 985,000 | 985,000 | ||||||
Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/171 | 1,980,000 | 2,079,000 | ||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/201 | 2,010,000 | 2,090,400 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts.: | ||||||||
6.25%, 6/17/161 | 2,470,000 | 2,467,530 | ||||||
6.75%, 11/14/171 | 510,000 | 517,013 | ||||||
7.95%, 2/23/211 | 3,745,000 | 3,922,888 | ||||||
12,061,831 | ||||||||
United Kingdom—0.3% | ||||||||
United Kingdom Treasury Bonds: | ||||||||
2.25%, 3/7/14 | 1,180,000 | GBP | 1,946,910 | |||||
4.75%, 3/7/20 | 2,105,000 | GBP | 3,764,692 | |||||
4.75%, 12/7/38 | 1,615,000 | GBP | 2,800,220 | |||||
8,511,822 | ||||||||
Uruguay—0.4% | ||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 | 2,325,000 | 2,941,125 | ||||||
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 | 1,950,000 | 2,379,000 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 | 3,615,000 | 4,695,885 | ||||||
10,016,010 | ||||||||
Venezuela—0.8% | ||||||||
Venezuela (Republic of) Bonds, 9%, 5/7/23 | 2,800,000 | 2,037,000 | ||||||
Venezuela (Republic of) Nts.: | ||||||||
8.25%, 10/13/24 | 1,160,000 | 794,600 | ||||||
8.50%, 10/8/14 | 1,875,000 | 1,720,313 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||
7.75%, 10/13/19 | 4,635,000 | 3,371,963 | ||||||
12.75%, 8/23/22 | 390,000 | 351,000 | ||||||
Venezuela (Republic of) Unsec. Bonds: | ||||||||
7%, 3/31/38 | 2,860,000 | 1,673,100 | ||||||
7.65%, 4/21/25 | 5,725,000 | 3,735,563 | ||||||
9.375%, 1/13/34 | 2,040,000 | 1,463,700 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/181 | 5,465,000 | 5,178,088 | ||||||
20,325,327 | ||||||||
Total Foreign Government Obligations (Cost $517,865,298) | 549,316,811 | |||||||
Loan Participations—0.4% | ||||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/182,7 | 620,000 | 635,500 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 4.655%, 10/19/152,12 | 10,040,515 | 7,053,461 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/31/15 | 3,186,875 | 3,401,989 | ||||||
Total Loan Participations (Cost $9,705,536) | 11,090,950 | |||||||
Corporate Bonds and Notes—28.6% | ||||||||
Consumer Discretionary—4.3% | ||||||||
Auto Components—0.4% | ||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | 2,190,000 | 2,376,150 | ||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/174 | 5,172,000 | 5,598,690 |
Principal | ||||||||
Amount | Value | |||||||
Auto Components Continued | ||||||||
Visteon Corp., 6.75% Sr. Nts., 4/15/191 | $ | 2,470,000 | $ | 2,395,900 | ||||
10,370,740 | ||||||||
Hotels, Restaurants & Leisure—1.4% | ||||||||
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/151 | 1,285,000 | 1,265,725 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 10,027,000 | 9,099,503 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/171 | 2,635,000 | 2,661,350 | ||||||
Isle of Capri Casinos, Inc.: | ||||||||
7% Sr. Unsec. Sub. Nts., 3/1/14 | 975,000 | 971,344 | ||||||
7.75% Sr. Unsec. Nts., 3/15/191 | 2,715,000 | 2,755,725 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 2,500,000 | 2,687,500 | ||||||
MGM Mirage, Inc.: | ||||||||
5.875% Sr. Nts., 2/27/14 | 1,885,000 | 1,821,381 | ||||||
6.625% Sr. Unsec. Nts., 7/15/15 | 3,885,000 | 3,661,613 | ||||||
Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 | 4,070,000 | 3,317,050 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | 1,550,000 | 1,693,375 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/083,4 | 250,000 | — | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/143 | 10,465,000 | — | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 2,545,000 | 2,201,425 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.75% Sec. Nts., 8/15/20 | 1,555,000 | 1,696,894 | ||||||
33,832,885 | ||||||||
Household Durables—0.3% | ||||||||
Beazer Homes USA, Inc.: | ||||||||
6.875% Sr. Unsec. Nts., 7/15/15 | 995,000 | 888,038 | ||||||
9.125% Sr. Nts., 5/15/191 | 2,825,000 | 2,443,625 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: | ||||||||
8.50% Sr. Nts., 5/15/181 | 995,000 | 982,563 | ||||||
9% Sr. Nts., 4/15/191 | 1,635,000 | 1,622,738 | ||||||
5,936,964 | ||||||||
Leisure Equipment & Products—0.3% | ||||||||
Eastman Kodak Co., 9.75% Sr. Sec. Nts., 3/1/181 | 8,525,000 | 8,184,000 | ||||||
Media—1.7% | ||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Nts., 11/15/151 | 1,770,000 | 1,778,850 | ||||||
Affinion Group, Inc., 7.875% Sr. Nts., 12/15/181 | 3,055,000 | 2,871,700 | ||||||
Belo (A.H.) Corp.: | ||||||||
7.25% Sr. Unsec. Unsub. Bonds, 9/15/27 | 465,000 | 417,338 | ||||||
7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 2,983,000 | 2,811,478 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||||
7% Sr. Nts., 1/15/191 | 480,000 | 495,600 | ||||||
7% Sr. Unsec. Unsub. Nts., 1/15/19 | 320,000 | 331,200 | ||||||
Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/151 | 4,855,000 | 4,418,050 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/171 | 2,350,000 | 2,455,750 | ||||||
Clear Channel Communications, Inc.: | ||||||||
9% Sr. Nts., 3/1/211 | 1,200,000 | 1,155,000 | ||||||
10.75% Sr. Unsec. Unsub. Nts., 8/1/16 | 2,470,000 | 2,241,525 | ||||||
Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/191 | 1,230,000 | 1,193,100 | ||||||
DISH DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/211 | 1,080,000 | 1,112,400 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 | 1,130,000 | 1,175,200 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 | 4,245,000 | 4,436,025 | ||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/184 | 965,000 | 1,063,913 | ||||||
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/191 | 1,595,000 | 1,634,875 | ||||||
Newport Television LLC/NTV Finance Corp., 13.509% Sr. Nts., 3/15/171,12 | 2,381,531 | 2,476,792 | ||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 | 1,850,000 | 1,956,375 | ||||||
Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 | 2,505,000 | 2,642,775 | ||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/201 | 695,000 | 715,850 | ||||||
VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/221 | 2,055,000 | 2,067,330 | ||||||
Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 | 1,135,000 | 1,180,400 | ||||||
40,631,526 |
Principal | ||||||||
Amount | Value | |||||||
Specialty Retail—0.1% | ||||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 | $ | 2,320,000 | $ | 2,383,800 | ||||
Textiles, Apparel & Luxury Goods—0.1% | ||||||||
Jones Group, Inc. (The)/Jones Apparel Group Holdings, Inc./ Jones Apparel Group USA, Inc./ JAG Footwear, Accessories & Retail Corp., 6.875% Sr. Unsec. Unsub. Nts., 3/15/19 | 2,390,000 | 2,318,300 | ||||||
Consumer Staples—1.0% | ||||||||
Beverages—0.1% | ||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/172 | 2,080,000 | BRR | 1,355,329 | |||||
Food & Staples Retailing—0.1% | ||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/211 | 2,065,000 | 2,075,325 | ||||||
Real Time Data Co., 11% Nts., 5/31/093,4,12 | 142,981 | — | ||||||
2,075,325 | ||||||||
Food Products—0.8% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/161 | 3,680,000 | 3,900,800 | ||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/171,12 | 4,665,812 | 4,969,090 | ||||||
Blue Merger Sub, Inc., 7.625% Sr. Nts., 2/15/191 | 2,705,000 | 2,745,575 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/171 | 2,275,000 | 2,297,750 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/151 | 3,798,000 | 4,077,913 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/154 | 2,465,000 | 2,699,175 | ||||||
20,690,303 | ||||||||
Energy—4.5% | ||||||||
Energy Equipment & Services—0.4% | ||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/191 | 1,695,000 | 1,678,050 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 | 2,200,000 | 2,321,000 | ||||||
Offshore Group Investments Ltd.: | ||||||||
11.50% Sr. Sec. Nts., 8/1/15 | 2,565,000 | 2,802,263 | ||||||
11.50% Sr. Sec. Nts., 8/1/151 | 565,000 | 617,263 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 | 2,295,000 | 2,329,425 | ||||||
9,748,001 | ||||||||
Oil, Gas & Consumable Fuels—4.1% | ||||||||
Afren plc, 11.50% Sr. Sec. Nts., 2/1/161 | 1,705,000 | 1,884,025 | ||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/151 | 1,500,000 | 1,650,000 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 | 2,955,000 | 3,191,400 | ||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 | 4,420,000 | 4,508,400 | ||||||
Breitburn Energy Partners LP/ Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 | 2,805,000 | 2,973,300 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 | 2,715,000 | 2,945,775 | ||||||
Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/201 | 815,000 | 829,796 | ||||||
Gaz Capital SA: | ||||||||
7.288% Sr. Sec. Nts., 8/16/371 | 5,105,000 | 5,589,975 | ||||||
8.146% Sr. Sec. Nts., 4/11/181 | 2,680,000 | 3,165,750 | ||||||
8.625% Sr. Sec. Nts., 4/28/341 | 1,680,000 | 2,111,760 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/191 | 3,175,000 | 3,980,656 | ||||||
James River Coal Co., 7.875% Sr. Nts., 4/1/191 | 640,000 | 636,800 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/211 | 1,775,000 | 1,887,890 | ||||||
KMG Finance Sub BV: | ||||||||
7% Sr. Unsec. Bonds, 5/5/201 | 1,150,000 | 1,272,360 | ||||||
9.125% Sr. Unsec. Unsub. Nts., 7/2/181 | 3,580,000 | 4,429,892 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 | 3,950,000 | 4,305,500 | ||||||
Lukoil International Finance BV: | ||||||||
6.125% Sr. Unsec. Nts., 11/9/201 | 3,560,000 | 3,689,050 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/221 | 610,000 | 645,838 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/191 | 595,000 | 664,080 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/211 | 3,195,000 | 3,222,956 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/151 | 5,450,000 | 5,749,750 | ||||||
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 | 4,360,000 | 4,801,450 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/211 | 1,190,000 | 1,261,400 | ||||||
Pemex Project Funding Master Trust: | ||||||||
6.625% Sr. Unsec. Unsub. Nts., 6/15/38 | 680,000 | 716,483 | ||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 | 4,465,000 | 4,728,542 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Pertamina PT (Persero): | ||||||||
5.25% Nts., 5/23/211 | $ | 2,250,000 | $ | 2,277,000 | ||||
6.50% Sr. Unsec. Nts., 5/27/411 | 995,000 | 990,025 | ||||||
Petrobras International Finance Co.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 | 1,120,000 | 1,199,639 | ||||||
7.875% Sr. Unsec. Nts., 3/15/19 | 1,590,000 | 1,932,270 | ||||||
Petroleos de Venezuela SA, 8.50% Sr. Nts., 11/2/17 | 3,265,000 | 2,437,323 | ||||||
Petroleos Mexicanos: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 | 1,650,000 | 1,738,275 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 | 1,380,000 | 1,521,450 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/191 | 2,380,000 | 2,885,750 | ||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/191 | 2,060,000 | 2,296,900 | ||||||
Quicksilver Resources, Inc., 11.75% Sr. Nts., 1/1/16 | 2,300,000 | 2,645,000 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 1,230,000 | 1,340,700 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Unsec. Nts., 1/15/20 | 2,925,000 | 3,129,750 | ||||||
9.875% Sr. Unsec. Nts., 5/15/161 | 1,290,000 | 1,422,225 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/141 | 934,849 | 997,951 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/191 | 1,375,000 | 1,381,875 | ||||||
99,038,961 | ||||||||
Financials—5.2% | ||||||||
Capital Markets—1.1% | ||||||||
Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/694 | 800,000 | 896,000 | ||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 900,000 | 879,750 | ||||||
Credit Suisse First Boston International, 6.80% Export-Import Bank of Ukraine Nts., 10/4/12 | 830,000 | 854,900 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 | 1,420,000 | 1,437,750 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., 10.875% Sr. Nts., 4/1/151 | 6,440,000 | 6,729,800 | ||||||
Nuveen Investments, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 9/15/15 | 1,095,000 | 966,338 | ||||||
10.50% Sr. Unsec. Unsub. Nts., 11/15/15 | 2,565,000 | 2,635,538 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/181 | 2,940,000 | 3,182,550 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 | 2,510,000 | 2,315,475 | ||||||
Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 5,310,000 | 4,951,575 | ||||||
Verso Paper Holdings LLC/ Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/191 | 2,495,000 | 2,233,025 | ||||||
27,082,701 | ||||||||
Commercial Banks—2.3% | ||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/151 | 2,050,000 | 2,050,000 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/171 | 1,610,000 | 1,698,550 | ||||||
Banco BMG SA: | ||||||||
9.15% Nts., 1/15/161 | 2,660,000 | 2,819,600 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/191 | 1,150,000 | 1,216,125 | ||||||
Banco Cruzeiro do Sul SA, 8.25% Sr. Unsec. Nts., 1/20/161 | 830,000 | 817,550 | ||||||
Banco de Credito del Peru: | ||||||||
5.375% Sr. Nts., 9/16/201 | 480,000 | 459,600 | ||||||
6.95% Sub. Nts., 11/7/211,2 | 1,510,000 | 1,570,400 | ||||||
Banco do Brasil SA, 8.50% Jr. Sub. Perpetual Bonds1,13 | 1,195,000 | 1,389,188 | ||||||
Banco do Brasil SA (Cayman), 6% Sr. Unsec. Nts., 1/22/201 | 955,000 | 1,031,400 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/201 | 900,000 | 992,250 | ||||||
Banco Votorantim SA, 5.25% Sr. Unsec. Unsub. Nts., 2/11/161 | 830,000 | 845,604 | ||||||
Bancolombia SA, 4.25% Sr. Unsec. Nts., 1/12/161 | 1,630,000 | 1,646,300 | ||||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 2,050,000 | EUR | 3,046,767 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 1,404,000 | EUR | 2,005,964 | |||||
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/151 | 3,310,000 | 3,462,922 | ||||||
CIT Group, Inc., 7% Sec. Bonds, 5/2/171 | 1,625,000 | 1,625,000 | ||||||
Halyk Savings Bank of Kazakhstan JSC: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/171 | 710,000 | 720,650 | ||||||
9.25% Sr. Nts., 10/16/131 | 8,420,000 | 9,219,900 | ||||||
ICICI Bank Ltd.: | ||||||||
5.50% Sr. Unsec. Nts., 3/25/151 | 3,050,000 | 3,204,412 | ||||||
6.375% Bonds, 4/30/221,2 | 3,060,000 | 2,998,800 | ||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/043,4 | 90,000 | — | ||||||
PrivatBank JSC/UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/121 | 1,240,000 | 1,252,722 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued | ||||||||
Salisbury International Investments Ltd., 4.424% Sec. Nts., Series 2006-003, Tranche E, 7/22/112,4 | $ | 1,100,000 | $ | 1,079,540 | ||||
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/161 | 1,240,000 | 1,227,061 | ||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/201 | 3,530,000 | 3,773,923 | ||||||
VTB Capital SA: | ||||||||
6.315% Nts., 2/22/181 | 2,080,000 | 2,137,195 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/151 | 1,560,000 | 1,657,812 | ||||||
6.551% Sr. Unsec. Nts., 10/13/201 | 1,185,000 | 1,208,700 | ||||||
55,157,935 | ||||||||
Consumer Finance—0.2% | ||||||||
JSC Astana Finance, 9.16% Nts., 3/14/123 | 7,200,000 | 781,920 | ||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 10/15/181 | 1,540,000 | 1,582,350 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 | 2,410,000 | 2,717,275 | ||||||
5,081,545 | ||||||||
Diversified Financial Services—0.6% | ||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/264 | 2,809,723 | 2,655,188 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 410,000 | EUR | 597,750 | |||||
Banco Invex SA, 29.368% Mtg.-Backed Certificates, Series 062U, 3/13/342,11 | 4,830,734 | MXN | 685,304 | |||||
BM&F BOVESPA SA, 5.50% Sr. Unsec. Nts., 7/16/201 | 835,000 | 868,818 | ||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 | 1,260,000 | 1,370,250 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds13 | 2,935,000 | 2,714,875 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
7.812% Sec. Nts., 8/26/352,4 | 5,808,600 | MXN | 547,508 | |||||
27.787% Mtg.-Backed Certificates, Series 06U, 9/25/352 | 1,760,363 | MXN | 289,443 | |||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 | 1,465,000 | 1,504,715 | ||||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/971,14 | 6,360,000 | 4,064,638 | ||||||
15,298,489 | ||||||||
Insurance—0.1% | ||||||||
International Lease Finance Corp., 8.75% Sr. Unsec. Unsub. Nts., 3/15/172 | 1,475,000 | 1,616,969 | ||||||
Real Estate Investment Trusts—0.4% | ||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/191 | 6,160,000 | 5,944,400 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/221 | 2,470,000 | 2,448,388 | ||||||
8,392,788 | ||||||||
Real Estate Management & Development—0.3% | ||||||||
Country Garden Holdings Co., 11.125% Sr. Unsec. Nts., 2/23/181 | 1,665,000 | 1,723,275 | ||||||
Realogy Corp., 11.50% Sr. Unsec. Unsub. Nts., 4/15/17 | 4,355,000 | 4,442,100 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/131,2 | 2,230,000 | 2,190,975 | ||||||
8,356,350 | ||||||||
Thrifts & Mortgage Finance—0.2% | ||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/161 | 785,000 | 820,325 | ||||||
WM Covered Bond Program: | ||||||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 2,705,000 | EUR | 3,986,158 | |||||
4.375% Sec. Nts., 5/19/14 | 345,000 | EUR | 516,639 | |||||
5,323,122 | ||||||||
Health Care—1.1% | ||||||||
Biotechnology—0.0% | ||||||||
Grifols SA/Giant Funding Corp., 8.25% Sr. Nts., 2/1/181 | 800,000 | 838,000 | ||||||
Health Care Equipment & Supplies—0.3% | ||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 | 2,305,000 | 2,270,425 | ||||||
Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 | 1,030,000 | 1,055,750 | ||||||
Biomet, Inc., 11.625% Sr. Unsec. Sub. Nts., 10/15/17 | 1,911,000 | 2,125,988 | ||||||
DJO Finance LLC/DJO Finance Corp., 9.75% Sr. Sub. Nts., 10/15/171 | 735,000 | 749,700 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 1,045,000 | 1,086,800 | ||||||
7,288,663 | ||||||||
Health Care Providers & Services—0.6% | ||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/1512 | 1,593,400 | 1,601,367 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 | 2,405,000 | 2,549,300 | ||||||
inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/181 | 1,320,000 | 1,296,900 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Nts., 6/1/191 | 3,080,000 | 3,080,000 |
Principal | ||||||||
Amount | Value | |||||||
Health Care Providers & Services Continued | ||||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/181 | $ | 1,920,000 | $ | 2,049,600 | ||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 | 1,130,000 | 1,172,375 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 | 1,205,000 | 1,209,519 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/181 | 795,000 | 810,900 | ||||||
US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17) | 1,730,000 | 38,925 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 1,595,000 | 1,654,813 | ||||||
15,463,699 | ||||||||
Health Care Technology—0.0% | ||||||||
MedAssets, Inc., 8% Sr. Nts., 11/15/181 | 305,000 | 303,475 | ||||||
Pharmaceuticals—0.2% | ||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/181 | 810,000 | 827,213 | ||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/181 | 765,000 | 753,525 | ||||||
Warner Chilcott Co. LLC, 7.75% Sr. Nts., 9/15/181 | 2,320,000 | 2,351,900 | ||||||
3,932,638 | ||||||||
Industrials—2.8% | ||||||||
Aerospace & Defense—0.7% | ||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 | 925,000 | 973,563 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/171 | 4,235,000 | 4,362,050 | ||||||
Hawker Beechcraft Acquisition Co. LLC: | ||||||||
8.50% Sr. Unsec. Nts., 4/1/15 | 4,815,000 | 3,791,813 | ||||||
9.75% Sr. Unsec. Sub. Nts., 4/1/17 | 955,000 | 673,275 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Nts., 3/15/211 | 1,410,000 | 1,466,400 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 | 1,040,000 | 1,102,400 | ||||||
TransDigm, Inc., 7.75% Sr. Sub. Nts., 12/15/181 | 4,445,000 | 4,689,475 | ||||||
17,058,976 | ||||||||
Air Freight & Logistics—0.0% | ||||||||
AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/181 | 770,000 | 816,200 | ||||||
Airlines—0.2% | ||||||||
Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/151 | 3,630,000 | 4,038,375 | ||||||
Building Products—0.2% | ||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/171 | 1,105,000 | 1,105,000 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 | 3,945,000 | 4,161,975 | ||||||
Roofing Supply Group LLC/ Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/171 | 1,100,000 | 1,104,125 | ||||||
6,371,100 | ||||||||
Commercial Services & Supplies—0.2% | ||||||||
R. R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 | 2,000,000 | 2,000,500 | ||||||
West Corp.: | ||||||||
7.875% Sr. Nts., 1/15/191 | 1,220,000 | 1,186,450 | ||||||
8.625% Sr. Unsec. Nts., 10/1/181 | 2,665,000 | 2,704,975 | ||||||
5,891,925 | ||||||||
Construction & Engineering—0.2% | ||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/241 | 3,790,761 | 4,289,246 | ||||||
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/201 | 780,000 | 861,900 | ||||||
5,151,146 | ||||||||
Electrical Equipment—0.1% | ||||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 | 1,929,000 | 2,078,498 | ||||||
Machinery—0.5% | ||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/161 | 2,675,000 | 2,768,625 | ||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 | 2,805,000 | 3,008,363 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 4,460,000 | 4,593,800 | ||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/171 | 1,325,000 | 1,391,250 | ||||||
11,762,038 | ||||||||
Marine—0.2% | ||||||||
Marquette Transportation Co./ Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 | 2,790,000 | 2,824,875 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 | 695,000 | 688,050 | ||||||
Navios Maritime Holdings, Inc./ Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 | 565,000 | 584,775 | ||||||
4,097,700 |
Principal | ||||||||
Amount | Value | |||||||
Professional Services—0.1% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/151 | $ | 2,105,000 | $ | 2,189,200 | ||||
TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/18 | 660,000 | 749,100 | ||||||
2,938,300 | ||||||||
Road & Rail—0.4% | ||||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/181 | 4,495,000 | 4,652,325 | ||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/201 | 785,000 | 842,305 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/151 | 3,730,000 | 3,543,500 | ||||||
9,038,130 | ||||||||
Information Technology—1.6% | ||||||||
Communications Equipment—0.2% | ||||||||
Telcordia Technologies, Inc., 11% Sr. Sec. Nts., 5/1/181 | 3,970,000 | 5,031,975 | ||||||
Computers & Peripherals—0.2% | ||||||||
Seagate HDD Cayman: | ||||||||
6.875% Sr. Unsec. Nts., 5/1/201 | 2,740,000 | 2,733,150 | ||||||
7% Sr. Unsec. Nts., 11/1/211 | 1,695,000 | 1,703,475 | ||||||
4,436,625 | ||||||||
Electronic Equipment & Instruments—0.2% | ||||||||
CDW LLC/CDW Finance Corp.: | ||||||||
11% Sr. Unsec. Nts., 10/12/15 | 332,000 | 351,090 | ||||||
12.535% Sr. Unsec. Sub. Nts., 10/12/17 | 4,630,000 | 5,011,975 | ||||||
5,363,065 | ||||||||
Internet Software & Services—0.2% | ||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 | 5,135,000 | 5,391,750 | ||||||
IT Services—0.5% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | 2,145,000 | 2,155,725 | ||||||
First Data Corp.: | ||||||||
8.875% Sr. Sec. Nts., 8/15/201 | 2,390,000 | 2,563,275 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 | 4,695,000 | 4,847,588 | ||||||
SunGard Data Systems, Inc., 7.625% Sr. Unsec. Nts., 11/15/20 | 765,000 | 776,475 | ||||||
10,343,063 | ||||||||
Semiconductors & Semiconductor Equipment—0.3% | ||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 | 1,340,000 | 1,386,900 | ||||||
Freescale Semiconductor, Inc.: | ||||||||
9.25% Sr. Sec. Nts., 4/15/181 | 1,710,000 | 1,851,075 | ||||||
10.75% Sr. Unsec. Nts., 8/1/201 | 4,015,000 | 4,557,025 | ||||||
7,795,000 | ||||||||
Materials—3.5% | ||||||||
Chemicals—0.8% | ||||||||
Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/211 | 2,500,000 | 2,528,250 | ||||||
Celanese US Holdings LLC, 5.875% Sr. Nts., 6/15/21 | 1,540,000 | 1,576,575 | ||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 | 2,270,000 | 2,366,475 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: | ||||||||
8.875% Sr. Sec. Nts., 2/1/18 | 2,860,000 | 2,988,700 | ||||||
9% Sec. Nts., 11/15/20 | 1,340,000 | 1,380,200 | ||||||
Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/171 | 2,862,000 | 3,191,130 | ||||||
Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 | 4,480,000 | 4,592,000 | ||||||
18,623,330 | ||||||||
Construction Materials—0.4% | ||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/211 | 1,540,000 | 1,551,550 | ||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/201 | 872,000 | 867,640 | ||||||
CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/161 | 1,275,000 | 1,324,406 | ||||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/181 | 1,295,000 | 1,324,138 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/181 | 2,130,000 | 2,028,825 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/201 | 990,000 | 1,084,050 | ||||||
West China Cement Ltd., 7.50% Sr. Nts., 1/25/161 | 1,075,000 | 1,037,375 | ||||||
9,217,984 | ||||||||
Containers & Packaging—0.4% | ||||||||
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 | 3,830,000 | 3,724,675 | ||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/191 | 2,075,000 | 2,090,563 | ||||||
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 | 3,140,000 | 2,943,750 | ||||||
8,758,988 |
Principal | ||||||||
Amount | Value | |||||||
Metals & Mining—1.0% | ||||||||
Aleris International, Inc., 7.625% Sr. Nts., 2/15/181 | $ | 4,775,000 | $ | 4,786,938 | ||||
Alrosa Finance SA, 7.75% Nts., 11/3/201 | 1,580,000 | 1,722,200 | ||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/161 | 1,245,000 | 1,229,438 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/191 | 750,000 | 822,188 | ||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/161 | 2,165,000 | 2,238,177 | ||||||
JSC Severstal, 6.70% Nts., 10/25/171 | 1,940,000 | 1,978,800 | ||||||
Metinvest BV, 8.75% Sr. Unsec. Unsub. Nts., 2/14/181 | 1,665,000 | 1,731,600 | ||||||
Vedanta Resources plc: | ||||||||
8.25% Sr. Unsec. Nts., 6/7/211 | 2,500,000 | 2,531,250 | ||||||
9.50% Sr. Unsec. Nts., 7/18/181 | 7,715,000 | 8,447,925 | ||||||
25,488,516 | ||||||||
Paper & Forest Products—0.9% | ||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/181 | 1,779,000 | 1,934,663 | ||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/151,12 | 3,904,875 | 3,631,534 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/151 | 4,470,000 | 4,682,325 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/161 | 3,981,000 | 3,423,660 | ||||||
Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 | 2,290,000 | 2,467,475 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14 | 4,855,000 | 4,551,563 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/151 | 1,500,000 | 1,241,250 | ||||||
21,932,470 | ||||||||
Telecommunication Services—1.8% | ||||||||
Diversified Telecommunication Services—0.9% | ||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/191 | 2,490,000 | 2,443,935 | ||||||
Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 | 1,485,000 | 1,414,463 | ||||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | 1,310,000 | 1,323,100 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 2,020,000 | 1,929,100 | ||||||
Intelsat Bermuda Ltd.: | ||||||||
11.25% Sr. Unsec. Nts., 2/4/17 | 2,755,000 | 2,965,069 | ||||||
12.50% Sr. Unsec. Nts., 2/4/1712 | 1,424,414 | 1,534,806 | ||||||
Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/201 | 755,000 | 753,113 | ||||||
Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/191 | 3,460,000 | 3,581,100 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/201 | 4,162,000 | 4,130,785 | ||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/181 | 1,190,000 | 1,240,575 | ||||||
Windstream Corp., 8.125% Sr. Unsec. Unsub. Nts., 9/1/18 | 1,295,000 | 1,379,175 | ||||||
Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/103 | 250,000 | — | ||||||
22,695,221 | ||||||||
Wireless Telecommunication Services—0.9% | ||||||||
America Movil SAB de CV: | ||||||||
6.125% Sr. Unsec. Unsub. Nts., 3/30/40 | 925,000 | 971,463 | ||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 52,700,000 | MXN | 4,150,632 | |||||
Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 | 5,285,000 | 5,192,513 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 2,770,000 | 2,749,225 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/201 | 2,335,000 | 2,676,494 | ||||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC, 7.748% Nts., 2/2/211 | 1,245,000 | 1,288,575 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/181 | 4,190,000 | 4,752,717 | ||||||
21,781,619 | ||||||||
Utilities—2.8% | ||||||||
Electric Utilities—1.7% | ||||||||
Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/191 | 2,185,000 | 2,485,438 | ||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 3,780,000 | 3,080,700 | ||||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/221 | 840,000 | 850,500 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/191 | 1,435,000 | 1,675,363 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 | 2,687,000 | 2,877,659 | ||||||
Eskom Holdings Ltd.: | ||||||||
5.75% Sr. Unsec. Bonds, 1/26/211 | 2,900,000 | 3,016,000 | ||||||
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 | 31,000,000 | ZAR | 4,095,211 | |||||
10% Nts., Series ES23, 1/25/23 | 44,000,000 | ZAR | 6,980,629 | |||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/191 | 4,550,000 | 5,001,032 |
Principal | ||||||||
Amount | Value | |||||||
Electric Utilities Continued | ||||||||
Majapahit Holding BV: | ||||||||
7.75% Nts., 10/17/161 | $ | 2,250,000 | $ | 2,621,250 | ||||
8% Sr. Unsec. Nts., 8/7/191 | 1,150,000 | 1,365,625 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 109,600,000 | PHP | 2,760,858 | |||||
Texas Competitive Electric Holdings Co. LLC: | ||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 8,270,000 | 5,044,700 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 | 1,460,000 | 883,300 | ||||||
42,738,265 | ||||||||
Energy Traders—0.9% | ||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/201 | 1,640,000 | 1,726,544 | ||||||
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/211 | 1,665,000 | 1,670,994 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 | 2,770,000 | 2,952,698 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/181 | 270,000 | 274,050 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/171 | 4,430,000 | 4,723,488 | ||||||
GenOn Energy, Inc.: | ||||||||
9.50% Sr. Unsec. Nts., 10/15/18 | 1,465,000 | 1,530,925 | ||||||
9.875% Sr. Unsec. Nts., 10/15/20 | 1,465,000 | 1,538,250 | ||||||
Power Sector Assets & Liabilities Management Corp.: | ||||||||
7.25% Sr. Gtd. Unsec. Nts., 5/27/191 | 1,280,000 | 1,520,000 | ||||||
7.39% Sr. Gtd. Unsec. Nts., 12/2/241 | 1,270,000 | 1,504,950 | ||||||
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/151 | 1,150,000 | 1,260,209 | ||||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 | 3,630,000 | 3,811,469 | ||||||
22,513,577 | ||||||||
Gas Utilities—0.1% | ||||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Nts., 5/1/211 | 680,000 | 646,000 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/171 | 1,442,000 | 1,627,658 | ||||||
2,273,658 | ||||||||
Water Utilities—0.1% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/201 | 1,475,000 | 1,519,250 | ||||||
Total Corporate Bonds and Notes (Cost $675,817,855) | 695,849,252 | |||||||
Preferred Stocks—0.4% | ||||||||
Ally Financial, Inc., 7%, Non-Vtg.1 | 5,231 | 4,916,486 | ||||||
GMAC Capital Trust I, 8.125% Cum. | 30,000 | 768,000 | ||||||
Greektown Superholdings, Inc., Series A-115 | 45,600 | 3,262,224 | ||||||
Total Preferred Stocks (Cost $9,847,060) | 8,946,710 | |||||||
Common Stocks—0.8% | ||||||||
AbitibiBowater, Inc. 15 | 88,383 | 1,794,175 | ||||||
American Media Operations, Inc.15 | 161,731 | 2,587,696 | ||||||
Arco Capital Corp. Ltd.4,15 | 690,638 | 1,381,276 | ||||||
Dana Holding Corp. 15 | 72,775 | 1,331,783 | ||||||
Gaylord Entertainment Co., Cl. A15 | 76,364 | 2,290,920 | ||||||
Global Aviation Holdings, Inc.15 | 100 | 1,000 | ||||||
Greektown Superholdings, Inc.15 | 3,450 | 229,598 | ||||||
Kaiser Aluminum Corp. | 229 | 12,508 | ||||||
Linn Energy LLC | 32,364 | 1,264,461 | ||||||
LyondellBasell Industries NV, Cl. A | 74,839 | 2,882,798 | ||||||
MHP SA, GDR1,15 | 56,610 | 934,065 | ||||||
Orbcomm, Inc.15 | 375 | 1,174 | ||||||
Premier Holdings Ltd.15 | 18,514 | — | ||||||
Visteon Corp. 15 | 54,219 | 3,709,122 | ||||||
Total Common Stocks (Cost $29,207,334) | 18,420,576 |
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
ASG Warrant Corp. Wts., Strike Price $0.01, Exp. 5/15/184,15 | 4,275 | 534,375 | ||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/1715 | 11,668 | 420 | ||||||
Total Rights, Warrants and Certificates (Cost $189,000) | 534,795 |
Principal | ||||||||
Amount | ||||||||
Structured Securities—6.1% | ||||||||
Barclays Bank plc: | ||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 10,440,000,000 | IDR | 1,412,374 | |||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 13,870,000,000 | IDR | 1,876,401 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 | 10,380,000,000 | IDR | 1,482,863 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Barclays Bank plc: Continued | ||||||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 | 2,650,000,000 | IDR | $ | 358,505 | ||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 | 2,650,000,000 | IDR | 378,573 | |||||
Russian Federation Total Return Linked Bonds, 7.15%, 1/25/132 | 57,980,000 | RUR | 2,129,164 | |||||
Russian Federation Total Return Linked Bonds, 6.70%, 2/8/132 | 59,410,000 | RUR | 2,168,912 | |||||
Citigroup Funding, Inc.: | ||||||||
ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/152,4 | 19,220,000 | RUR | 707,181 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 23, 11%, 9/17/25 | 6,920,000,000 | IDR | 988,575 | |||||
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 | 2,100,000,000 | IDR | 300,001 | |||||
Instituto Costarricense De Eletricidad Total Return Linked Nts., 2.274%, 10/25/112 | 1,960,000 | 1,973,153 | ||||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/132,4 | 39,820,000 | RUR | 1,439,756 | |||||
Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/152,4 | 17,586,000 | UAH | 2,025,282 | |||||
Citigroup Global Markets | ||||||||
Holdings, Inc.: | ||||||||
Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/124,7 | 34,400,000,000 | IDR | 4,011,428 | |||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/184 | 3,255,000,000 | COP | 2,238,371 | |||||
Colombia (Republic of) Credit Linked Nts., 13.753%, 2/26/154,11 | 2,199,000,000 | COP | 2,748,011 | |||||
Colombia (Republic of) Credit Linked Nts., Series 01, 13.753%, 2/26/154,11 | 811,000,000 | COP | 1,013,478 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 13.753%, 2/26/154,11 | 1,345,000,000 | COP | 1,680,798 | |||||
Colombia (Republic of) Total Return Linked Bonds, 7.25%, 6/16/16 | 4,510,000,000 | COP | 2,594,078 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 | 2,665,000,000 | COP | 1,828,768 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series 2, 7.25%, 6/16/16 | 3,553,000,000 | COP | 2,043,627 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/124 | 49,300,000 | DOP | 1,325,167 | |||||
Credit Suisse First Boston International: | ||||||||
Moitk Total Return Linked Nts., 21%, 3/30/113 | 53,910,000 | RUR | 5,791 | |||||
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/122 | 81,784,500 | RUR | 2,905,212 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/20/103 | 97,250,000 | RUR | 348 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 | 42,600,000 | RUR | 1,521,660 | |||||
Credit Suisse International: | ||||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/122 | 44,460,000 | RUR | 1,709,495 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/122 | 30,880,000 | RUR | 1,187,341 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/122 | 41,550,000 | RUR | 1,597,605 | |||||
Deutsche Bank AG: | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/254,10 | 1,899,154 | 1,237,902 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/254,10 | 2,419,815 | 1,577,278 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/254,10 | 2,089,123 | 1,361,727 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/254,10 | 1,867,412 | 1,217,212 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/254,10 | 2,325,080 | 1,515,528 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/254,10 | 2,653,725 | 1,729,744 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/254,10 | 2,120,016 | 1,381,864 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/254,10 | 1,992,725 | 1,298,893 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 11.836%, 12/31/174,11 | 17,990,000 | BRR | 10,713,754 | |||||
Indonesia (Republic of) Credit Linked Nts., 10.50%, 8/23/30 | 40,660,000,000 | IDR | 5,500,681 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 03, 11%, 9/17/25 | 6,740,000,000 | IDR | 962,861 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/122 | 38,600,000 | RUR | 1,486,250 | |||||
JSC Gazprom Total Return Linked Nts., Series 4, 13.12%, 6/28/122 | 45,990,000 | RUR | 1,770,794 | |||||
JSC VTB Bank Credit Linked Nts., 12%, 6/19/122,7 | 20,500,000 | UAH | 2,605,612 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Deutsche Bank AG: Continued Opic Reforma I Credit Linked Nts., Cl. 2A, 8.344%, 5/22/152,4 | 697,693 | MXN | $ | 58,876 | ||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.344%, 5/22/152,4 | 1,220,632 | MXN | 103,006 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.344%, 5/22/152,4 | 18,404,162 | MXN | 1,553,075 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.344%, 5/22/152,4 | 1,341,270 | MXN | 113,186 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.344%, 5/22/152,4 | 974,458 | MXN | 82,232 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.344%, 5/22/152,4 | 622,337 | MXN | 52,517 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.344%, 5/22/152,4 | 114,609 | MXN | 9,672 | |||||
Ukraine (Republic of) 6 yr. Total Return Linked Nts., 4.05%, 8/30/11 | 885,000 | 858,609 | ||||||
Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 | 885,000 | 755,551 | ||||||
Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 | 885,000 | 673,379 | ||||||
Eirles Two Ltd. Sec. Nts.: | ||||||||
Series 324, 3.635%, 4/30/122,4 | 4,100,000 | 3,771,180 | ||||||
Series 335, 2.085%, 4/30/122,4 | 6,300,000 | 6,043,590 | ||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/374,10 | 63,720,800,000 | COP | 1,837,061 | |||||
Hallertau SPC Credit Linked Nts.: | ||||||||
Series 2007-01, 2.445%, 12/20/172,4 | 6,250,000 | 5,658,750 | ||||||
Series 2008-01, 9.888%, 8/2/103,4,10 | 14,337,604 | BRR | 918,694 | |||||
Series 2008-2A, 7.85%, 9/17/132,4 | 10,929,375 | 11,134,847 | ||||||
HSBC Bank USA NA, Indonesia (Republic of) Credit Linked Nts., Series 2, 9.50%, 7/15/311 | 13,330,000,000 | IDR | 1,665,612 | |||||
JPMorgan Chase & Co.: | ||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/204 | 1,315,000,000 | COP | 902,585 | |||||
Indonesia (Republic of) Credit Linked Bonds, 10.50%, 8/19/301 | 13,083,000,000 | IDR | 1,769,931 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/251 | 2,650,000,000 | IDR | 378,573 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/301 | 6,700,000,000 | IDR | 906,408 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 4, 11%, 9/17/251 | 32,670,000,000 | IDR | 4,667,160 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/301 | 1,190,000,000 | IDR | 160,989 | |||||
JPMorgan Chase & Co.: Continued Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/251 | 2,100,000,000 | IDR | 300,001 | |||||
JPMorgan Chase Bank NA: | ||||||||
Indonesia (Republic of) Credit Linked Nts., Series 1, 9.50%, 7/17/311 | 13,672,000,000 | IDR | 1,708,346 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/301 | 24,100,000,000 | IDR | 3,260,364 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/251 | 15,710,000,000 | IDR | 2,244,294 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/251 | 7,420,000,000 | IDR | 1,060,004 | |||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/132,4 | 39,840,000 | RUR | 1,454,460 | |||||
Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/132,4 | 48,970,000 | RUR | 1,798,295 | |||||
LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/163,10 | 363,871 | 36,387 | ||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/124 | 1,638,384 | 852,943 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/164 | 1,784,000,000 | COP | 1,080,888 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/171 | 4,885,000 | PEN | 1,458,002 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 69,109,562 | RUR | 1,167,695 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/221,10 | 28,914,000 | BRR | 2,775,533 | |||||
GISAD Sr. Unsec. Credit Linked Nts., 166.572%, 4/2/1310 | 6,386,000 | EUR | 463,035 | |||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/154 | 2,000,000 | 1,814,200 | ||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 11.155%, 9/21/111,10 | 1,305,000 | GHS | 842,449 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Standard Charter Bank: | ||||||||
Ghana (Republic of) Credit Linked Bonds, 11.441%, 9/1/114,10 | 1,020,000 | GHS | $ | 662,371 | ||||
Ghana (Republic of) Credit Linked Bonds, 11.44%, 9/8/114,10 | 1,920,000 | GHS | 1,244,284 | |||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/114 | 1,222,052 | GHS | 815,508 | |||||
Total Structured Securities (Cost $162,604,942) | 149,126,560 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.0% | ||||||||||||||||
New Turkish Lira (TRY) Put15 | 9/6/11 | 2.250 | EUR | 3,460,000 | 11,540 | |||||||||||
New Turkish Lira (TRY) Put15 | 9/6/11 | 2.250 | EUR | 3,460,000 | 12,231 | |||||||||||
Total Options Purchased (Cost $93,612) | 23,771 |
Shares | Value | |||||||
Investment Companies—19.2% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.15%16,17 | 61,435,362 | $ | 61,435,362 | |||||
Oppenheimer Master Event-Linked Bond Fund, LLC16 | 4,827,322 | 52,650,853 | ||||||
Oppenheimer Master Loan Fund, LLC16 | 29,466,809 | 353,492,007 | ||||||
Total Investment Companies (Cost $463,209,647) | 467,578,222 | |||||||
Total Investments, at Value (Cost $2,485,847,667) | 102.9 | % | 2,508,315,737 | |||||
Liabilities in Excess of Other Assets | (2.9 | ) | (71,821,800 | ) | ||||
Net Assets | 100.0 | % | $ | 2,436,493,937 | ||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
DKK | Danish Krone | |
DOP | Dominican Republic Peso | |
EUR | Euro | |
GBP | British Pound Sterling | |
GHS | Ghana Cedi | |
HUF | Hungarian Forint | |
IDR | Indonesia Rupiah | |
JPY | Japanese Yen | |
KRW | South Korean Won |
MXN | Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
ZAR | South African Rand |
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 $490,601,734 or 20.14% of the Fund’s net assets as of June 30, 2011. | |
2. | Represents the current interest rate for a variable or increasing rate security. | |
3. | This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Notes. |
4. | Restricted security. The aggregate value of restricted securities as of June 30, 2011 was $114,368,682, which represents 4.69% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Arco Capital Corp. Ltd. | 2/27/07 | $ | 10,359,570 | $ | 1,381,276 | $ | (8,978,294 | ) | ||||||||
ASG Warrant Corp. Wts., Strike Price $0.01, Exp. 5/15/18 | 4/28/10-8/19/10 | 189,000 | 534,375 | 345,375 | ||||||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 | 11/21/06-10/20/09 | 2,611,441 | 2,655,188 | 43,747 | ||||||||||||
Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/69 | 10/30/09 | 800,000 | 896,000 | 96,000 | ||||||||||||
Citigroup Funding, Inc., ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 | 3/1/11 | 680,410 | 707,181 | 26,771 | ||||||||||||
Citigroup Funding, Inc., Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 | 3/2/11 | 1,414,594 | 1,439,756 | 25,162 | ||||||||||||
Citigroup Funding, Inc., Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15 | 9/7/10 | 1,848,936 | 2,025,282 | 176,346 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/12 | 6/17/11 | 3,995,354 | 4,011,428 | 16,074 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 12/9/08 | 1,374,989 | 2,238,371 | 863,382 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., 13.753%, 2/26/15 | 7/18/08 | 1,832,525 | 2,748,011 | 915,486 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 01, 13.753%, 2/26/15 | 7/31/08 | 683,541 | 1,013,478 | 329,937 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 02, 13.753%, 2/26/15 | 8/8/08 | 1,140,704 | 1,680,798 | 540,094 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 3/7/07 | 1,479,820 | 1,325,167 | (154,653 | ) | |||||||||||
City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/16 | 6/30/11 | 985,000 | 985,000 | — | ||||||||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.686%, 1/27/37 | 5/29/08 | 1,011,067 | 766,205 | (244,862 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 | 10/8/10 | 1,262,507 | 1,237,902 | (24,605 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25 | 4/16/09 | 1,283,298 | 1,298,893 | 15,595 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 | 8/18/09 | 1,374,443 | 1,381,864 | 7,421 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25 | 9/25/09 | 1,724,479 | 1,729,744 | 5,265 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 | 12/17/09 | 1,518,052 | 1,515,528 | (2,524 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 | 3/30/10 | 1,225,314 | 1,217,212 | (8,102 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 | 5/18/10 | 1,375,743 | 1,361,727 | (14,016 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 | 7/16/10 | 1,599,444 | 1,577,278 | (22,166 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 11.836%, 12/31/17 | 9/19/07 | 7,797,239 | 10,713,754 | 2,916,515 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.344%, 5/22/15 | 5/21/08 | 67,269 | 58,876 | (8,393 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.344%, 5/22/15 | 6/12/08 | 117,680 | 103,006 | (14,674 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.344%, 5/22/15 | 6/18/08 | 1,785,486 | 1,553,075 | (232,411 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.344%, 5/22/15 | 7/8/08 | 130,028 | 113,186 | (16,842 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.344%, 5/22/15 | 7/15/08 | 94,626 | 82,232 | (12,394 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.344%, 5/22/15 | 8/8/08 | 61,263 | 52,517 | (8,746 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.344%, 5/22/15 | 8/22/08 | 11,304 | 9,672 | (1,632 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 324, 3.635%, 4/30/12 | 4/17/07 | 4,102,239 | 3,771,180 | (331,059 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.085%, 4/30/12 | 9/17/07 | 6,255,401 | 6,043,590 | (211,811 | ) | |||||||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/25 | 8/17/00 | 1,820,063 | — | (1,820,063 | ) | |||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 | 1/18/07 | 5,824,686 | 1,837,061 | (3,987,625 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.445%, 12/20/17 | 12/13/07 | 6,250,000 | 5,658,750 | (591,250 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 | 4/18/08-10/1/08 | 7,188,001 | 918,694 | (6,269,307 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 7.85%, 9/17/13 | 10/23/08 | 11,011,314 | 11,134,847 | 123,533 | ||||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.165%, 8/15/22 | 11/6/07 | 6,976,404 | 5,509,000 | (1,467,404 | ) |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.465%, 8/15/22 | 6/8/07 | $ | 5,270,000 | $ | 3,583,600 | $ | (1,686,400 | ) | ||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.465%, 8/15/22 | 6/8/07 | 5,270,000 | 3,530,900 | (1,739,100 | ) | |||||||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/18 | 7/20/10 | 965,000 | 1,063,913 | 98,913 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 | 8/24/10 | 909,811 | 902,585 | (7,226 | ) | |||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 | 3/1/11 | 1,397,826 | 1,454,460 | 56,634 | ||||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/13 | 2/28/11 | 1,722,224 | 1,798,295 | 76,071 | ||||||||||||
JPMorgan Hipotecaria su Casita, 7.812% Sec. Nts., 8/26/35 | 3/21/07 | 526,714 | 547,508 | 20,794 | ||||||||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 | 6/20/07 | 1,643,518 | 852,943 | (790,575 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 | 10/20/06 | 762,393 | 1,080,888 | 318,495 | ||||||||||||
Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 | 11/3/05 | 2,000,000 | 1,814,200 | (185,800 | ) | |||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 | 8/10/10 | 66,025 | 5,673 | (60,352 | ) | |||||||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04 | 6/30/09 | 89,593 | — | (89,593 | ) | |||||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 | 3/6/98 | 242,675 | — | (242,675 | ) | |||||||||||
Real Time Data Co., 11% Nts., 5/31/09 | 6/30/99-5/31/01 | 110,538 | — | (110,538 | ) | |||||||||||
Salisbury International Investments Ltd., 4.424% Sec. Nts., Series 2006-003, Tranche E, 7/22/11 | 7/12/06 | 1,100,000 | 1,079,540 | (20,460 | ) | |||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 | 2/4/11-4/14/11 | 290,651 | 290,578 | (73 | ) | |||||||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 | 9/22/10-9/23/10 | 2,617,792 | 2,699,175 | 81,383 | ||||||||||||
Standard Charter Bank, Ghana (Republic of) Credit Linked Bonds, 11.441%, 9/1/11 | 3/3/11 | 657,835 | 662,371 | 4,536 | ||||||||||||
Standard Charter Bank, Ghana (Republic of) Credit Linked Bonds, 11.44%, 9/8/11 | 3/8/11 | 1,236,672 | 1,244,284 | 7,612 | ||||||||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/17 | 8/13/10-12/31/10 | 5,070,118 | 5,598,690 | 528,572 | ||||||||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 | 12/22/06 | 1,334,245 | 815,508 | (518,737 | ) | |||||||||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/21 | 6/28/11 | 2,060,000 | 2,056,467 | (3,533 | ) | |||||||||||
$ | 136,606,864 | $ | 114,368,682 | $ | (22,238,182 | ) | ||||||||||
5. | This security is accruing partial income at an anticipated effective rate based on expected interest and/or principal payments. The rate shown is the original contractual interest rate. | |
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 $11,772,648 or 0.48% of the Fund’s net assets as of June 30, 2011. | |
7. | When-issued security or delayed delivery to be delivered and settled after June 30, 2011. See Note 1 of the accompanying Notes. | |
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 $3,813,305. See Note 5 of the accompanying Notes. | |
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 $11,848,876. See Note 5 of the accompanying Notes. | |
10. | Zero coupon bond reflects effective yield on the date of purchase. | |
11. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. | |
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. | Non-income producing security. | |
16. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 83,436,389 | 317,790,773 | 339,791,800 | 61,435,362 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 1,103,918 | 3,723,404 | — | 4,827,322 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 29,466,809 | — | — | 29,466,809 |
Realized | ||||||||||||
Value | Income | Gain (Loss) | ||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 61,435,362 | $ | 48,046 | $ | — | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 52,650,853 | 1,764,763 | a | (2,412,739 | )a | |||||||
Oppenheimer Master Loan Fund, LLC | 353,492,007 | 14,192,665 | b | 1,297,849 | b | |||||||
$ | 467,578,222 | $ | 16,005,474 | $ | (1,114,890 | ) | ||||||
a. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | ||
b. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. |
17. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
Level 1– | Level 2– | Level 3– | ||||||||||||||
Unadjusted | Other Significant | Significant | ||||||||||||||
Quoted Prices | Observable Inputs | Unobservable Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 26,210,633 | $ | 12,623,500 | $ | 38,834,133 | ||||||||
Mortgage-Backed Obligations | — | 487,077,856 | 1,536,834 | 488,614,690 | ||||||||||||
U.S. Government Obligations | — | 79,979,267 | — | 79,979,267 | ||||||||||||
Foreign Government Obligations | — | 549,316,811 | — | 549,316,811 | ||||||||||||
Loan Participations | — | 11,090,950 | — | 11,090,950 | ||||||||||||
Corporate Bonds and Notes | — | 695,849,252 | — | 695,849,252 | ||||||||||||
Preferred Stocks | — | 5,684,486 | 3,262,224 | 8,946,710 | ||||||||||||
Common Stocks | 10,511,884 | 7,678,094 | 230,598 | 18,420,576 | ||||||||||||
Rights, Warrants and Certificates | — | 534,375 | 420 | 534,795 | ||||||||||||
Structured Securities | — | 148,231,091 | 895,469 | 149,126,560 | ||||||||||||
Options Purchased | — | 23,771 | — | 23,771 | ||||||||||||
Investment Companies | 61,435,362 | 406,142,860 | — | 467,578,222 | ||||||||||||
Total Investments, at Value | 71,947,246 | 2,417,819,446 | 18,549,045 | 2,508,315,737 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | — | 3,804,981 | — | 3,804,981 | ||||||||||||
Depreciated swaps, at value | — | 648,646 | — | 648,646 | ||||||||||||
Futures margins | 621,456 | — | — | 621,456 | ||||||||||||
Foreign currency exchange contracts | — | 2,678,003 | — | 2,678,003 | ||||||||||||
Total Assets | $ | 72,568,702 | $ | 2,424,951,076 | $ | 18,549,045 | $ | 2,516,068,823 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | $ | — | $ | (4,018,998 | ) | $ | — | $ | (4,018,998 | ) | ||||||
Depreciated swaps, at value | — | (2,052,604 | ) | — | (2,052,604 | ) | ||||||||||
Appreciated options written, at value | — | (14,773 | ) | — | (14,773 | ) | ||||||||||
Depreciated options written, at value | — | (164,959 | ) | — | (164,959 | ) | ||||||||||
Futures margins | (1,787,283 | ) | — | — | (1,787,283 | ) | ||||||||||
Foreign currency exchange contracts | — | (7,550,045 | ) | — | (7,550,045 | ) | ||||||||||
Total Liabilities | $ | (1,787,283 | ) | $ | (13,801,379 | ) | $ | — | $ | (15,588,662 | ) | |||||
Transfers out of | Transfers into | Transfers out of | Transfers into | Transfers out of | ||||||||||||||||
Level 1a | Level 2 | Level 2c | Level 3c | Level 3b | ||||||||||||||||
Assets Table | ||||||||||||||||||||
Investments, at Value: | ||||||||||||||||||||
Corporate Bonds and Notes | $ | — | $ | 999,460 | b | $ | (1,047 | ) | $ | 1,047 | $ | (999,460 | ) | |||||||
Common Stocks | — | 1,381,276 | b | — | — | (1,381,276 | ) | |||||||||||||
Investment Companies | (353,953,479 | ) | 353,953,479 | a | — | — | — | |||||||||||||
Total Assets | $ | (353,953,479 | ) | $ | 356,334,215 | $ | (1,047 | ) | $ | 1,047 | $ | (2,380,736 | ) | |||||||
a. | Transferred from Level 1 to Level 2 as the current market for the securities are not considered active. | ||
b. | Transferred from Level 3 to Level 2 because of the presence of observable market data due to an increase in market activity for these securities. | ||
c. | Transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities. |
Change in | Accretion/ | |||||||||||||||||||||||||||||||
unrealized | (amortization) | |||||||||||||||||||||||||||||||
Value as of | Realized | appreciation/ | of premium/ | Transfers into | Transfers out of | Value as of | ||||||||||||||||||||||||||
December 31, 2010 | gain (loss) | depreciation | discounta | Sales | Level 3b | Level 3 | June 30, 2011 | |||||||||||||||||||||||||
Assets Table | ||||||||||||||||||||||||||||||||
Investments, at Value: | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 10,800,935 | $ | — | $ | 2,029,022 | $ | 23,478 | $ | — | $ | — | $ | (229,935 | )c | $ | 12,623,500 | |||||||||||||||
Mortgage-Backed Obligations | 1,581,294 | — | (57,714 | ) | 13,254 | — | — | — | 1,536,834 | |||||||||||||||||||||||
Corporate Bonds and Notes | 1,744,997 | (286,121 | ) | 472,014 | — | (932,477 | ) | 1,047 | (999,460 | )c | — | |||||||||||||||||||||
Preferred Stocks | 4,844,088 | (537,064 | ) | (1,044,800 | ) | — | — | — | — | 3,262,224 | ||||||||||||||||||||||
Common Stocks | 4,360,342 | (34,604 | ) | (76,727 | ) | — | — | — | (4,018,413 | )d | 230,598 | |||||||||||||||||||||
Rights, Warrants and Certificates | 423 | (2,025 | ) | 2,022 | — | — | — | — | 420 | |||||||||||||||||||||||
Structured Securities | 1,288,812 | — | (394,915 | ) | 1,572 | — | — | — | 895,469 | |||||||||||||||||||||||
Total Assets | $ | 24,620,891 | $ | (859,814 | ) | $ | 928,902 | $ | 38,304 | $ | (932,477 | ) | $ | 1,047 | $ | (5,247,808 | ) | $ | 18,549,045 | |||||||||||||
a. | Included in net investment income. | ||
b. | Transferred to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities. | ||
c. | Transferred from Level 3 because of the presence of observable market data due to a increase in market activity for these securities. | ||
d. | Transferred from Level 3 because of the presence of a readily available unadjusted quoted market price for these securities. |
Change in | ||||
unrealized | ||||
appreciation/ | ||||
depreciation | ||||
Asset-Backed Securities | $ | 2,029,022 | ||
Mortgage-Backed Obligations | 199,700 | |||
Corporate Bonds and Notes | (1,047 | ) | ||
Preferred Stocks | (1,297,776 | ) | ||
Common Stocks | (111,331 | ) | ||
Rights, Warrants and Certificates | 420 | |||
Structured Securities | 141,162 | |||
Total | $ | 960,150 | ||
Geographic Holdings | Value | Percent | ||||||
United States | $ | 1,524,741,23 | 60.8 | % | ||||
Brazil | 117,807,048 | 4.7 | ||||||
Russia | 74,267,599 | 3.0 | ||||||
Mexico | 73,681,466 | 2.9 | ||||||
Indonesia | 67,084,297 | 2.7 | ||||||
Japan | 65,149,605 | 2.6 | ||||||
South Africa | 60,955,199 | 2.4 | ||||||
Hungary | 43,152,180 | 1.7 | ||||||
Colombia | 37,126,818 | 1.5 | ||||||
Ukraine | 34,871,091 | 1.4 | ||||||
Poland | 32,344,275 | 1.3 | ||||||
Turkey | 28,913,821 | 1.2 | ||||||
Korea, Republic of South | 28,864,965 | 1.2 | ||||||
Peru | 28,843,985 | 1.2 | ||||||
Supranational | 25,600,191 | 1.0 | ||||||
Canada | 23,357,438 | 0.9 | ||||||
Venezuela | 22,762,650 | 0.9 | ||||||
Kazakhstan | 20,152,868 | 0.8 | ||||||
Germany | 18,471,291 | 0.7 | ||||||
Argentina | 18,213,142 | 0.7 | ||||||
India | 17,182,387 | 0.7 | ||||||
Philippines | 16,432,357 | 0.7 | ||||||
United Kingdom | 13,564,553 | 0.5 | ||||||
Italy | 12,285,233 | 0.5 | ||||||
Malaysia | 10,032,342 | 0.4 | ||||||
Uruguay | 10,016,010 | 0.4 | ||||||
The Netherlands | 8,413,632 | 0.3 | ||||||
Panama | 6,490,958 | 0.3 | ||||||
Australia | 6,256,930 | 0.2 | ||||||
Spain | 6,051,593 | 0.2 | ||||||
Dominican Republic | 5,756,855 | 0.2 | ||||||
Ghana | 5,125,237 | 0.2 | ||||||
Israel | 5,001,032 | 0.2 | ||||||
Chile | 4,631,665 | 0.2 | ||||||
Luxembourg | 4,499,875 | 0.2 | ||||||
Greece | 4,275,123 | 0.2 | ||||||
Belgium | 3,010,936 | 0.1 | ||||||
Trinidad & Tobago | 2,885,750 | 0.1 | ||||||
China | 2,760,650 | 0.1 | ||||||
Cayman Islands | 2,733,150 | 0.1 | ||||||
Qatar | 2,540,745 | 0.1 | ||||||
Austria | 2,063,395 | 0.1 | ||||||
Costa Rica | 1,973,153 | 0.1 | ||||||
Nigeria | 1,884,025 | 0.1 | ||||||
Norway | 1,546,126 | 0.1 | ||||||
Sri Lanka | 1,336,650 | 0.1 | ||||||
Denmark | 947,670 | — | ||||||
Sweden | 760,908 | — | ||||||
Finland | 720,656 | — | ||||||
France | 530,217 | — | ||||||
Ivory Coast | 220,988 | — | ||||||
European Union | 23,771 | — | ||||||
Total | $ | 2,508,315,737 | 100.0 | % | ||||
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Banc of America: | ||||||||||||||||||||||||
Canadian Dollar (CAD) | Sell | 4,630 | CAD | 10/26/11 | $ | 4,786,102 | $ | 79,899 | $ | — | ||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 36,030 | CNY | 7/8/11-8/24/11 | 5,575,705 | 7,343 | 2,868 | |||||||||||||||||
Euro (EUR) | Sell | 3,650 | EUR | 10/6/11 | 5,277,950 | — | 105,808 | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 4,075,000 | IDR | 8/15/11 | 471,689 | — | 1,935 | |||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 2,905 | MYR | 7/5/11 | 961,706 | 3,973 | — | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 141,000 | TWD | 8/22/11 | 4,911,854 | — | 7,506 | |||||||||||||||||
Singapore Dollar (SGD) | Sell | 5,980 | SGD | 9/6/11 | 4,868,922 | — | 801 | |||||||||||||||||
Thailand Baht (THB) | Buy | 164,760 | THB | 8/15/11 | 5,344,296 | — | 43,539 | |||||||||||||||||
91,215 | 162,457 | |||||||||||||||||||||||
Bank Paribas Asia — FGN | ||||||||||||||||||||||||
Polish Zloty (PLZ) | Buy | 142,650 | PLZ | 7/11/11-8/10/11 | 51,814,518 | — | 523,403 | |||||||||||||||||
Barclay’s Capital: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 1,380 | AUD | 8/24/11 | 1,469,386 | 8,825 | 330 | |||||||||||||||||
Australian Dollar (AUD) | Sell | 430 | AUD | 8/24/11 | 457,852 | — | 9,810 | |||||||||||||||||
Colombian Peso (COP) | Sell | 1,270,000 | COP | 7/5/11 | 717,818 | — | 45,148 | |||||||||||||||||
Euro (EUR) | Buy | 130 | EUR | 8/24/11 | 188,216 | 2,340 | — | |||||||||||||||||
Euro (EUR) | Sell | 13,130 | EUR | 7/5/11-8/24/11 | 19,036,331 | — | 328,659 | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 66,000 | HUF | 7/11/11 | 359,651 | 1,923 | — | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 84,325,000 | IDR | 8/10/11 | 9,769,136 | — | 87,673 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 899,000 | JPY | 7/7/11-10/26/11 | 11,173,329 | — | 190,154 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 9,800 | MXN | 8/24/11 | 832,762 | 4,091 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 4,100 | MXN | 8/24/11 | 348,400 | — | 3,261 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 70 | TRY | 8/22/11 | 42,696 | — | 45 | |||||||||||||||||
Russian Ruble (RUR) | Buy | 3,470 | RUT | 10/7/11 | 122,939 | — | 231 | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 17,645 | SGD | 7/11/11 | 14,365,469 | 309,302 | — | |||||||||||||||||
South African Rand (ZAR) | Sell | 113,550 | ZAR | 8/8/11 | 16,695,353 | — | 46,281 | |||||||||||||||||
South Korean Won (KRW) | Buy | 1,240,000 | KRW | 7/25/11 | 1,159,575 | 18,296 | — | |||||||||||||||||
South Korean Won (KRW) | Sell | 10,979,000 | KRW | 7/29/11 | 10,264,289 | — | 153,317 | |||||||||||||||||
344,777 | 864,909 | |||||||||||||||||||||||
Citigroup: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 260 | AUD | 8/24/11 | 276,841 | 2,614 | — | |||||||||||||||||
Australian Dollar (AUD) | Sell | 730 | AUD | 8/24/11 | 777,284 | — | 9,734 | |||||||||||||||||
British Pound Sterling (GBP) | Buy | 120 | GBP | 8/24/11 | 192,459 | 634 | — | |||||||||||||||||
British Pound Sterling (GBP) | Sell | 520 | GBP | 8/24/11 | 833,988 | — | 1,151 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 1,060 | CNY | 7/8/11 | 163,979 | 362 | — | |||||||||||||||||
Colombian Peso (COP) | Buy | 1,270,000 | COP | 7/5/11 | 717,818 | 44,078 | — | |||||||||||||||||
Colombian Peso (COP) | Sell | 715,000 | COP | 7/11/11 | 404,057 | — | 10,464 | |||||||||||||||||
Euro (EUR) | Buy | 10,555 | EUR | 7/7/11 | 15,303,314 | 237,919 | — | |||||||||||||||||
Euro (EUR) | Sell | 9,835 | EUR | 9/22/11-11/10/11 | 14,226,638 | 1,332 | 179,380 | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 1,775,000 | IDR | 8/15/11 | 205,460 | 29 | 705 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 1,501,000 | JPY | 8/24/11-9/22/11 | 18,653,094 | 73,679 | — | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 4,120 | TWD | 8/3/11 | 143,489 | 316 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 330 | NZD | 8/24/11 | 272,349 | 3,234 | — | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 227,240 | NOK | 8/10/11 | 42,007,312 | 6,332 | — | |||||||||||||||||
Norwegian Krone (NOK) | Sell | 1,000 | NOK | 8/24/11 | 184,677 | — | 3,446 | |||||||||||||||||
Polish Zloty (PLZ) | Buy | 7,365 | PLZ | 7/11/11 | 2,682,038 | — | 22,898 | |||||||||||||||||
South African Rand (ZAR) | Buy | 3,880 | ZAR | 8/24/11 | 569,062 | 23,233 | — | |||||||||||||||||
South African Rand (ZAR) | Sell | 3,400 | ZAR | 8/24/11 | 498,663 | — | 10,879 | |||||||||||||||||
Swedish Krona (SEK) | Buy | 500 | SEK | 8/24/11 | 78,785 | 1,077 | — | |||||||||||||||||
Swedish Krona (SEK) | Sell | 3,500 | SEK | 8/24/11 | 551,493 | — | 12,693 | |||||||||||||||||
394,839 | 251,350 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Citigroup EM: | ||||||||||||||||||||||||
Argentine Peso (ARP) | Buy | 8,760 | ARP | 9/26/11 | $ | 2,091,289 | $ | — | $ | 402 | ||||||||||||||
Brazilian Real (BRR) | Buy | 18,675 | BRR | 7/5/11-8/2/11 | 11,918,244 | 268,807 | — | |||||||||||||||||
Brazilian Real (BRR) | Sell | 28,245 | BRR | 7/5/11-8/2/11 | 17,987,780 | — | 406,550 | |||||||||||||||||
Chilean Peso (CLP) | Buy | 194,000 | CLP | 8/24/11 | 412,262 | 5,767 | — | |||||||||||||||||
Chilean Peso (CLP) | Sell | 258,000 | CLP | 8/24/11 | 548,267 | — | 5,182 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 3,430 | CNY | 7/8/11 | 530,613 | 1,169 | — | |||||||||||||||||
Colombian Peso (COP) | Sell | 6,241,000 | COP | 7/11/11-7/14/11 | 3,526,604 | 43 | 88,620 | |||||||||||||||||
Egyptian Pounds (EGP) | Buy | 25,800 | EGP | 8/29/11-9/27/11 | 4,254,316 | — | 22,107 | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 34,400,000 | IDR | 7/5/11 | 4,008,322 | 8,322 | — | |||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 37,300,000 | IDR | 8/10/11 | 4,321,242 | — | 14,580 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 60,540 | MXN | 7/18/11 | 5,162,278 | 120,052 | — | |||||||||||||||||
404,160 | 537,441 | |||||||||||||||||||||||
Credit Suisse: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 1,500 | GBP | 9/22/11 | 2,404,902 | — | 24,756 | |||||||||||||||||
Euro (EUR) | Buy | 120 | EUR | 8/24/11 | 173,738 | 4,217 | — | |||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 18,925 | MYR | 7/5/11-9/2/11 | 6,240,916 | 10,911 | — | |||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 1,330 | MYR | 11/10/11 | 436,164 | 7,436 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 58,400 | MXN | 8/22/11 | 4,963,530 | 86,980 | — | |||||||||||||||||
New Turkish Lira (TRY) | Sell | 1,865 | TRY | 8/4/11 | 1,141,466 | 27,850 | — | |||||||||||||||||
South African Rand (ZAR) | Buy | 285,095 | ZAR | 8/10/11 | 41,904,738 | 188,199 | — | |||||||||||||||||
Swedish Krona (SEK) | Sell | 3,900 | SEK | 8/24/11 | 614,521 | 212 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 640 | CHF | 8/24/11 | 761,497 | 2,926 | 710 | |||||||||||||||||
328,731 | 25,466 | |||||||||||||||||||||||
Credit Suisse EM | ||||||||||||||||||||||||
Argentine Peso (ARP) | Buy | 11,220 | ARP | 9/26/11 | 2,678,569 | — | 834 | |||||||||||||||||
Deutsche Bank Capital Corp.: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 2,270 | AUD | 10/26/11 | 2,398,164 | 14,553 | — | |||||||||||||||||
Australian Dollar (AUD) | Sell | 580 | AUD | 7/7/11 | 621,510 | — | 18,118 | |||||||||||||||||
British Pound Sterling (GBP) | Buy | 924 | GBP | 7/7/11 | 1,482,846 | — | 13,064 | |||||||||||||||||
British Pound Sterling (GBP) | Sell | 2,764 | GBP | 7/7/11-8/24/11 | 4,435,384 | 26,679 | 15,991 | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 560 | CAD | 8/24/11 | 579,810 | 4,748 | — | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 3,815 | CAD | 7/7/11-8/24/11 | 3,953,076 | — | 80,714 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 27,950 | CNY | 1/6/12 | 4,352,113 | 13,875 | — | |||||||||||||||||
Euro (EUR) | Buy | 5,055 | EUR | 10/26/11 | 7,304,936 | 12,011 | — | |||||||||||||||||
Euro (EUR) | Sell | 9,745 | EUR | 7/7/11 | 14,128,924 | — | 258,865 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 1,342,000 | JPY | 9/26/11-10/26/11 | 16,680,750 | — | 372,103 | |||||||||||||||||
Swiss Franc (CHF) | Sell | 505 | CHF | 7/7/11 | 600,679 | 4,278 | — | |||||||||||||||||
76,144 | 758,855 | |||||||||||||||||||||||
Deutsche Bank EM: | ||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 11,200 | CNY | 1/6/12 | 1,743,959 | — | 4,829 | |||||||||||||||||
Ukraine Hryvnia (UAH) | Buy | 20,948 | UAH | 7/7/11 | 2,621,488 | — | 5,160 | |||||||||||||||||
— | 9,989 | |||||||||||||||||||||||
Goldman Sachs EM: | ||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 10,450 | BRR | 7/5/11-1/4/12 | 6,634,357 | 106,503 | 551 | |||||||||||||||||
Brazilian Real (BRR) | Sell | 9,575 | BRR | 7/5/11 | 6,127,817 | — | 272,264 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 21,080 | CNY | 2/16/12 | 3,288,314 | 9,931 | — | |||||||||||||||||
Colombian Peso (COP) | Buy | 857,000 | COP | 7/11/11 | 484,304 | 6,668 | — | |||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 74,250 | MYR | 7/14/11-8/10/11 | 24,537,558 | 65,720 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 74,750 | MXN | 7/18/11 | 6,373,973 | 85,326 | — | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 880 | TRY | 8/22/11 | 536,754 | — | 12,897 | |||||||||||||||||
New Turkish Lira (TRY) | Sell | 10 | TRY | 7/18/11 | 6,140 | 342 | — | |||||||||||||||||
274,490 | 285,712 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Goldman, Sachs & Co.: | ||||||||||||||||||||||||
Brazilian Real (BRR) | Sell | 1,360 | BRR | 7/5/11 | $ | 870,374 | $ | — | $ | 12,654 | ||||||||||||||
Euro (EUR) | Buy | 28,760 | EUR | 8/10/11 | 41,656,576 | — | 483,870 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 60,000 | JPY | 8/24/11 | 745,520 | 247 | 2,017 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 484,000 | JPY | 8/24/11-9/26/11 | 6,015,130 | 13 | 103,401 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 10 | TRY | 7/18/11 | 6,140 | — | 266 | |||||||||||||||||
260 | 602,208 | |||||||||||||||||||||||
HSBC EM: | ||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 2,010 | BRR | 8/2/11-1/4/12 | 1,266,724 | 35,541 | — | |||||||||||||||||
Brazilian Real (BRR) | Sell | 1,620 | BRR | 8/2/11 | 1,029,779 | — | 23,317 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 7,880 | TRY | 8/23/11 | 4,805,472 | — | 24,191 | |||||||||||||||||
35,541 | 47,508 | |||||||||||||||||||||||
JP Morgan Chase: | ||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 31,500 | CNY | 7/18/11 | 4,872,759 | — | 21,978 | |||||||||||||||||
Euro (EUR) | Buy | 6,695 | EUR | 10/26/11 | 9,674,885 | 9,004 | 6,991 | |||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 6,570 | HKD | 8/24/11 | 844,588 | — | 850 | |||||||||||||||||
Indian Rupee (INR) | Sell | 9,000 | INR | 7/11/11 | 200,918 | — | 1,603 | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 12,670 | TWD | 8/3/11 | 441,263 | — | 1,790 | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 4,600 | NOK | 8/24/11 | 849,515 | 16,057 | — | |||||||||||||||||
Norwegian Krone (NOK) | Sell | 1,800 | NOK | 8/24/11 | 332,419 | — | 12,202 | |||||||||||||||||
Russian Ruble (RUR) | Sell | 1,590 | RUR | 8/16/11 | 56,658 | — | 849 | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 545 | SGD | 11/10/11 | 443,858 | 1,337 | — | |||||||||||||||||
26,398 | 46,263 | |||||||||||||||||||||||
JP Morgan EM: | ||||||||||||||||||||||||
Chilean Peso (CLP) | Buy | 604,000 | CLP | 8/24/11 | 1,283,539 | 881 | 816 | |||||||||||||||||
Chilean Peso (CLP) | Sell | 194,000 | CLP | 8/24/11 | 412,262 | — | 3,967 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 77,200 | CNY | 7/18/11-2/17/12 | 12,001,913 | 25,158 | 4,912 | |||||||||||||||||
Colombian Peso (COP) | Buy | 501,000 | COP | 7/11/11 | 283,123 | 1,662 | — | |||||||||||||||||
Colombian Peso (COP) | Sell | 7,997,000 | COP | 7/11/11-7/14/11 | 4,518,881 | 248 | 16,101 | |||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 31,440 | HKD | 8/24/11 | 4,041,681 | — | 4,774 | |||||||||||||||||
Indian Rupee (INR) | Sell | 223,880 | INR | 7/11/11-7/18/11 | 4,991,656 | — | 22,585 | |||||||||||||||||
New Taiwan Dollar (TWD) | Buy | 142,000 | TWD | 8/22/11 | 4,946,690 | 29,792 | — | |||||||||||||||||
Philippines Peso (PHP) | Buy | 361,000 | PHP | 7/28/11 | 8,308,532 | — | 51,820 | |||||||||||||||||
Russian Ruble (RUR) | Buy | 203,470 | RUR | 10/7/11 | 7,208,765 | 131,724 | — | |||||||||||||||||
Russian Ruble (RUR) | Sell | 7,470 | RUR | 8/16/11 | 266,186 | — | 1,997 | |||||||||||||||||
South Korean Won (KRW) | Buy | 3,490,000 | KRW | 10/25/11 | 3,246,541 | 50,022 | — | |||||||||||||||||
Thailand Baht (THB) | Buy | 209,300 | THB | 7/11/11 | 6,806,567 | — | 139,421 | |||||||||||||||||
239,487 | 246,393 | |||||||||||||||||||||||
Morgan Stanley EM | ||||||||||||||||||||||||
Russian Ruble (RUR) | Buy | 16,670 | RUR | 7/5/11 | 596,622 | 317 | — | |||||||||||||||||
Nomura Securities: | ||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 22,440 | CNY | 2/19/13 | 3,552,558 | 521 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 330 | NZD | 8/24/11 | 272,349 | 5,708 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Sell | 470 | NZD | 8/24/11 | 387,891 | — | 5,395 | |||||||||||||||||
South Korean Won (KRW) | Buy | 3,250,000 | KRW | 7/25/11 | 3,039,208 | 47,677 | — | |||||||||||||||||
53,906 | 5,395 | |||||||||||||||||||||||
RBS Greenwich Capital: | ||||||||||||||||||||||||
Euro (EUR) | Buy | 17,050 | EUR | 7/6/11 | 24,720,896 | 117,746 | — | |||||||||||||||||
Indian Rupee (INR) | Buy | 43,000 | INR | 7/11/11 | 959,944 | 6,407 | 500 | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 142,000 | TWD | 7/18/11 | 4,944,617 | — | 8,920 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 65,280 | TRY | 8/10/11 | 39,908,708 | — | 1,678,856 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
RBS Greenwich Capital: Continued | ||||||||||||||||||||||||
Swiss Franc (CHF) | Buy | 530 | CHF | 11/10/11 | $ | 631,070 | $ | 23,575 | $ | — | ||||||||||||||
Swiss Franc (CHF) | Sell | 810 | CHF | 8/24/11 | 963,769 | 12,475 | — | |||||||||||||||||
160,203 | 1,688,276 | |||||||||||||||||||||||
Standard NY EM: | ||||||||||||||||||||||||
Egyptian Pounds (EGP) | Buy | 3,260 | EGP | 9/27/11 | 535,182 | — | 1,444 | |||||||||||||||||
State Street: | ||||||||||||||||||||||||
Hungarian Forint (HUF) | Buy | 2,177,000 | HUF | 7/11/11 | 11,863,048 | 170,430 | 22,997 | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 531,000 | HUF | 7/11/11 | 2,893,559 | — | 59,004 | |||||||||||||||||
Indian Rupee (INR) | Buy | 216,000 | INR | 7/18/11 | 4,815,741 | 67,027 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 58,400 | MXN | 8/22/11 | 4,963,530 | — | 40,038 | |||||||||||||||||
South African Rand (ZAR) | Buy | 37,730 | ZAR | 8/24/11-9/6/11 | 5,524,375 | 4,162 | 1,439 | |||||||||||||||||
South African Rand (ZAR) | Sell | 3,880 | ZAR | 8/24/11 | 569,062 | — | 12,256 | |||||||||||||||||
Swedish Krona (SEK) | Buy | 44,580 | SEK | 10/26/11 | 6,998,562 | — | 238,276 | |||||||||||||||||
241,619 | 374,010 | |||||||||||||||||||||||
UBS Investment Bank: | ||||||||||||||||||||||||
Canadian Dollar (CAD) | Buy | 640 | CAD | 8/24/11 | 662,640 | 2,504 | — | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 670 | CAD | 8/24/11 | 693,702 | — | 4,827 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 36,000 | JPY | 8/24/11 | 447,312 | 138 | — | |||||||||||||||||
Swedish Krona (SEK) | Buy | 259,360 | SEK | 8/10/11 | 40,902,923 | — | 1,106,860 | |||||||||||||||||
2,642 | 1,111,687 | |||||||||||||||||||||||
Westpac: | ||||||||||||||||||||||||
New Zealand Dollar (NZD) | Sell | 280 | NZD | 8/24/11 | 231,084 | — | 4,872 | |||||||||||||||||
Swedish Krona (SEK) | Buy | 6,500 | SEK | 8/24/11 | 1,024,201 | 3,274 | 202 | |||||||||||||||||
Swedish Krona (SEK) | Sell | 1,100 | SEK | 8/24/11 | 173,326 | — | 1,371 | |||||||||||||||||
3,274 | 6,445 | |||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 2,678,003 | $ | 7,550,045 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
DAX Index | Buy | 15 | 9/16/11 | $ | 4,019,566 | $ | 15,288 | |||||||||||||
Euro-Bundesobligation | Buy | 53 | 9/8/11 | 9,644,189 | (17,198 | ) | ||||||||||||||
Japan (Government of) Bonds, 10 yr. | Buy | 3 | 9/8/11 | 5,255,823 | 18,298 | |||||||||||||||
Japan (Government of) Mini Bonds, 10 yr. | Buy | 42 | 9/7/11 | 7,362,325 | 8,015 | |||||||||||||||
NASDAQ 100 E-Mini Index | Buy | 182 | 9/16/11 | 8,448,440 | 368,603 | |||||||||||||||
New Financial Times Stock Exchange 100 Index | Sell | 73 | 9/16/11 | 6,915,475 | (210,178 | ) | ||||||||||||||
NIKKEI 225 Index | Sell | 14 | 9/8/11 | 853,425 | (37,874 | ) | ||||||||||||||
NIKKEI 225 Index | Sell | 55 | 9/8/11 | 6,708,900 | (280,511 | ) | ||||||||||||||
Standard & Poor’s 500 E-Mini Index | Sell | 374 | 9/16/11 | 24,599,850 | (923,485 | ) | ||||||||||||||
U.S. Treasury Long Bonds | Buy | 1,088 | 9/21/11 | 133,858,000 | (1,247,924 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. | Buy | 100 | 9/30/11 | 21,934,375 | 26,238 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 471 | 9/30/11 | 103,310,906 | 15,515 | |||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 481 | 9/30/11 | 57,332,946 | (296,844 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 1,967 | 9/21/11 | 240,619,422 | 696,544 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 860 | 9/21/11 | 105,202,188 | 140,311 | |||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 90 | 9/21/11 | 11,362,500 | (238,629 | ) | ||||||||||||||
United Kingdom Long Gilt | Buy | 7 | 9/28/11 | 1,349,848 | 3,620 | |||||||||||||||
$ | (1,960,211 | ) | ||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Euro (EUR) | Call | 1,705,000 | $ | 1.422 | 7/1/11 | $ | 17,353 | $ | (50,598 | ) | $ | (33,245 | ) | |||||||||||||||
Euro (EUR) | Call | 1,680,000 | 1.420 | 7/5/11 | 18,625 | (54,439 | ) | (35,814 | ) | |||||||||||||||||||
Euro (EUR) | Call | 1,640,000 | 1.430 | 7/5/11 | 16,968 | (37,378 | ) | (20,410 | ) | |||||||||||||||||||
Euro (EUR) | Call | 1,605,000 | 1.442 | 7/6/11 | 17,902 | (22,544 | ) | (4,642 | ) | |||||||||||||||||||
Euro (EUR) | Put | 1,705,000 | 1.422 | 7/1/11 | 17,738 | (11 | ) | 17,727 | ||||||||||||||||||||
Euro (EUR) | Put | 1,680,000 | 1.420 | 7/5/11 | 19,078 | (495 | ) | 18,583 | ||||||||||||||||||||
Euro (EUR) | Put | 1,640,000 | 1.430 | 7/5/11 | 16,968 | (1,905 | ) | 15,063 | ||||||||||||||||||||
Euro (EUR) | Put | 1,605,000 | 1.442 | 7/6/11 | 17,902 | (6,960 | ) | 10,942 | ||||||||||||||||||||
New Turkish Lira (TRY) | Put | 3,460,000 | 2.170 EUR | 9/6/11 | 14,039 | (3,011 | ) | 11,028 | ||||||||||||||||||||
New Turkish Lira (TRY) | Put | 3,460,000 | 2.170 EUR | 9/6/11 | 14,090 | (2,391 | ) | 11,699 | ||||||||||||||||||||
$ | 170,663 | $ | (179,732 | ) | $ | (9,069 | ) | |||||||||||||||||||||
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) | |||||||||||||||||||||
Barrick Gold Corp. | ||||||||||||||||||||||||||||
Goldman Sachs International | Buy | $ | 4,940 | 1.00 | % | 6/20/16 | $ | 58,206 | $ | (36,300 | ) | 21,906 | ||||||||||||||||
Total | 4,940 | 58,206 | (36,300 | ) | 21,906 | |||||||||||||||||||||||
Capital One Financial Corp. | ||||||||||||||||||||||||||||
Goldman Sachs International | Sell | 4,960 | 1.00 | 6/20/16 | (7,526 | ) | (44,648 | ) | (52,174 | ) | ||||||||||||||||||
Total | 4,960 | (7,526 | ) | (44,648 | ) | (52,174 | ) | |||||||||||||||||||||
CBS Corp. | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 4,830 | 1.00 | 6/20/16 | 11,810 | 10,428 | 22,238 | |||||||||||||||||||||
Total | 4,830 | 11,810 | 10,428 | 22,238 | ||||||||||||||||||||||||
CDX Emerging Markets | ||||||||||||||||||||||||||||
Index, Series 15: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 10,525 | 5.00 | 6/20/16 | 1,422,337 | (1,298,342 | ) | 123,995 | ||||||||||||||||||||
Merrill Lynch International | Buy | 10,735 | 5.00 | 6/20/16 | 1,448,569 | (1,324,247 | ) | 124,322 | ||||||||||||||||||||
Total | 21,260 | 2,870,906 | (2,622,589 | ) | 248,317 | |||||||||||||||||||||||
Cisco Systems, Inc. | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 4,830 | 1.00 | 6/20/16 | 84,807 | (49,257 | ) | 35,550 | ||||||||||||||||||||
Total | 4,830 | 84,807 | (49,257 | ) | 35,550 | |||||||||||||||||||||||
Federative Republic of Brazil: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 2,060 | 1.00 | 3/20/16 | 9,382 | (14,034 | ) | (4,652 | ) | |||||||||||||||||||
Credit Suisse International | Sell | 1,680 | 1.00 | 6/20/16 | 11,493 | (12,023 | ) | (530 | ) | |||||||||||||||||||
Total | 3,740 | 20,875 | (26,057 | ) | (5,182 | ) | ||||||||||||||||||||||
GATX Corp. | ||||||||||||||||||||||||||||
Deutsche Bank, London Branch | Sell | 4,830 | 1.00 | 6/20/16 | 154,498 | (152,449 | ) | 2,049 | ||||||||||||||||||||
Total | 4,830 | 154,498 | (152,449 | ) | 2,049 | |||||||||||||||||||||||
Hewlett-Packard Co. | ||||||||||||||||||||||||||||
Citibank NA, New York | Buy | 4,960 | 1.00 | 6/20/16 | 115,189 | (62,417 | ) | 52,772 | ||||||||||||||||||||
Total | 4,960 | 115,189 | (62,417 | ) | 52,772 | |||||||||||||||||||||||
Istanbul Bond Co. SA for | ||||||||||||||||||||||||||||
Finansbank AS | ||||||||||||||||||||||||||||
Merrill Lynch Capital | ||||||||||||||||||||||||||||
Services, Inc. | Sell | 3,100 | 1.30 | 3/24/13 | — | (46,367 | ) | (46,367 | ) | |||||||||||||||||||
Total | 3,100 | — | (46,367 | ) | (46,367 | ) |
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) | |||||||||||||||||||||
Kohl’s Corp. | ||||||||||||||||||||||||||||
Deutsche Bank, | ||||||||||||||||||||||||||||
London Branch | Buy | $ | 4,940 | 1.00 | % | 6/20/16 | $ | 68,710 | $ | (19,961 | ) | $ | 48,749 | |||||||||||||||
Total | 4,940 | 68,710 | (19,961 | ) | 48,749 | |||||||||||||||||||||||
Petroleos de Venezuela SA | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 4,140 | 5.00 | 7/20/11 | 107,030 | 80,664 | 187,694 | |||||||||||||||||||||
Total | 4,140 | 107,030 | 80,664 | 187,694 | ||||||||||||||||||||||||
Republic of Hungary: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,250 | 1.00 | 3/20/16 | 105,216 | (94,375 | ) | 10,841 | ||||||||||||||||||||
Barclays Bank plc | Sell | 2,370 | 1.00 | 6/20/16 | 191,125 | (186,959 | ) | 4,166 | ||||||||||||||||||||
Citibank NA, New York | Buy | 10,000 | 1.00 | 9/20/15 | 11,275 | 203,100 | 214,375 | |||||||||||||||||||||
HSBC Bank USA | Sell | 2,090 | 1.00 | 3/20/16 | 182,236 | (157,795 | ) | 24,441 | ||||||||||||||||||||
JPMorgan Chase Bank NA, NY Branch | Sell | 1,670 | 1.00 | 3/20/16 | 139,178 | (126,085 | ) | 13,093 | ||||||||||||||||||||
Merrill Lynch Capital Services, Inc. | Sell | 2,090 | 1.00 | 3/20/16 | 182,236 | (157,795 | ) | 24,441 | ||||||||||||||||||||
UBS AG | Sell | 2,090 | 1.00 | 3/20/16 | 181,992 | (157,795 | ) | 24,197 | ||||||||||||||||||||
Total | 21,560 | 993,258 | (677,704 | ) | 315,554 | |||||||||||||||||||||||
Republic of Peru: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 1,650 | 1.00 | 6/20/16 | 48,911 | (38,852 | ) | 10,059 | ||||||||||||||||||||
Credit Suisse International | Sell | 1,240 | 1.00 | 6/20/16 | 36,757 | (29,198 | ) | 7,559 | ||||||||||||||||||||
Deutsche Bank AG | Buy | 1,900 | 1.71 | 12/20/16 | — | (19,054 | ) | (19,054 | ) | |||||||||||||||||||
Goldman Sachs International | Sell | 2,065 | 1.00 | 6/20/16 | 43,083 | (48,624 | ) | (5,541 | ) | |||||||||||||||||||
HSBC Bank USA | Sell | 1,240 | 1.00 | 6/20/16 | 36,757 | (29,198 | ) | 7,559 | ||||||||||||||||||||
JPMorgan Chase Bank NA | Sell | 2,065 | 1.00 | 6/20/16 | 47,856 | (48,624 | ) | (768 | ) | |||||||||||||||||||
Total | 10,160 | 213,364 | (213,550 | ) | (186 | ) | ||||||||||||||||||||||
Republic of the Philippines: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 3,270 | 1.76 | 12/20/14 | — | (65,212 | ) | (65,212 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA, London | ||||||||||||||||||||||||||||
Branch | Buy | 4,900 | 1.74 | 12/20/14 | — | (94,409 | ) | (94,409 | ) | |||||||||||||||||||
Total | 8,170 | — | (159,621 | ) | (159,621 | ) | ||||||||||||||||||||||
RR Donnelley & Sons Co. | ||||||||||||||||||||||||||||
Deutsche Bank London Branch | Sell | 4,940 | 5.00 | 6/20/16 | (407,118 | ) | 388,314 | (18,804 | ) | |||||||||||||||||||
Total | 4,940 | (407,118 | ) | 388,314 | (18,804 | ) | ||||||||||||||||||||||
SLM Corp.: | ||||||||||||||||||||||||||||
Citibank NA, New York | Sell | 3,795 | 5.00 | 6/20/15 | (378,690 | ) | 204,547 | (174,143 | ) | |||||||||||||||||||
UBS AG | Sell | 1,035 | 5.00 | 6/20/16 | (103,784 | ) | 55,785 | (47,999 | ) | |||||||||||||||||||
Total | 4,830 | (482,474 | ) | 260,332 | (222,142 | ) | ||||||||||||||||||||||
Target Corp. | ||||||||||||||||||||||||||||
Credit Suisse International | Buy | 4,830 | 1.00 | 6/20/16 | 107,171 | (97,973 | ) | 9,198 | ||||||||||||||||||||
Total | 4,830 | 107,171 | (97,973 | ) | 9,198 | |||||||||||||||||||||||
Grand Total Buys | 3,316,264 | (2,864,072 | ) | 452,192 | ||||||||||||||||||||||||
Grand Total Sells | 592,442 | (605,083 | ) | (12,641 | ) | |||||||||||||||||||||||
Total Credit Default Swaps | $ | 3,908,706 | $ | (3,469,155 | ) | $ | 439,551 | |||||||||||||||||||||
Type of Reference | Total Maximum Potential | |||||||||||
Asset on which the | Payments for Selling Credit | Amount | Reference Asset | |||||||||
Fund Sold Protection | Protection (Undiscounted) | Recoverable* | Rating Range** | |||||||||
Investment Grade Single Name Corporate Debt | $ | 19,450,000 | $ | — | BBB to BBB- | |||||||
Non-Investment Grade Single Name Corporate Debt | 4,940,000 | — | BB+ | |||||||||
Investment Grade Sovereign Debt | 26,660,000 | — | BBB- | |||||||||
Non-Investment Grade Sovereign Debt | 4,140,000 | — | BB- | |||||||||
Total | $ | 55,190,000 | $ | — | ||||||||
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
BZDI: | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 10,600 BRR | BZDI | 11.390 | % | 1/5/15 | $ | (165,110 | ) | ||||||||||||
Goldman Sachs Group, Inc. (The) | 5,190 BRR | BZDI | 12.800 | 1/2/17 | 221,005 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 9,900 BRR | BZDI | 11.420 | 1/3/14 | (117,249 | ) | ||||||||||||||
JPMorgan Chase Bank NA | 10,200 BRR | BZDI | 13.900 | 1/2/17 | 635,816 | |||||||||||||||
Total | 35,890 BRR | 574,462 | ||||||||||||||||||
MXN TllE BANXICO: | ||||||||||||||||||||
Bank of America Merrill Lynch | 87,500 MXN | MXN TIIE BANXICO | 5.875 | 12/6/12 | 15,574 | |||||||||||||||
Bank of America Merrill Lynch | 220,000 MXN | MXN TIIE BANXICO | 5.735 | 11/29/12 | 12,082 | |||||||||||||||
Bank of America Merrill Lynch | 134,500 MXN | MXN TIIE BANXICO | 5.750 | 12/5/12 | 7,306 | |||||||||||||||
Barclays Bank plc | 86,300 MXN | MXN TIIE BANXICO | 5.630 | 1/21/13 | 9,950 | |||||||||||||||
Citibank NA | 86,000 MXN | MXN TIIE BANXICO | 5.640 | 1/16/13 | 12,083 | |||||||||||||||
Deutsche Bank AG | 179,500 MXN | MXN TIIE BANXICO | 5.890 | 1/10/13 | 40,351 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 216,900 MXN | MXN TIIE BANXICO | 5.880 | 12/14/12 | 48,202 | |||||||||||||||
Total | 1,010,700 MXN | 145,548 | ||||||||||||||||||
Six-Month AUD BBR BBSW | ||||||||||||||||||||
Westpac Banking Corp | 11,685 AUD | 6.098 | % | Six-Month AUD BBR BBSW | 1/5/21 | (249,286 | ) | |||||||||||||
Six-Month CZK PRIBOR PRBO: | ||||||||||||||||||||
Barclays Bank plc | 183,000 CZK | 3.200 | Six-Month CZK PRIBOR PRBO | 12/21/15 | (61,177 | ) | ||||||||||||||
Morgan Stanley | 173,300 CZK | 3.060 | Six-Month CZK PRIBOR PRBO | 12/16/15 | (32,063 | ) | ||||||||||||||
Total | 356,300 CZK | (93,240 | ) | |||||||||||||||||
Six-Month EUR EURIBOR: | ||||||||||||||||||||
Barclays Bank plc | 7,120 EUR | Six-Month EUR EURIBOR | 3.580 | 2/21/15 | 51,904 | |||||||||||||||
Morgan Stanley | 6,910 EUR | Six-Month EUR EURIBOR | 3.410 | 12/16/15 | 20,472 | |||||||||||||||
Total | 14,030 EUR | 72,376 | ||||||||||||||||||
Six-Month JPY BBA LIBOR | ||||||||||||||||||||
JPMorgan Chase Bank NA | 987,000 JPY | 1.233 | Six-Month JPY BBA LIBOR | 1/7/21 | (107,053 | ) | ||||||||||||||
Three-Month NZD BBR FRA | ||||||||||||||||||||
Barclays Bank plc | 15,490 NZD | Three-Month NZD BBA FRA | 5.280 | 5/5/21 | 239,781 |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Three-Month USD BBA LIBOR | ||||||||||||||||||||
Barclays Bank plc | $ | 11,900 | Three-Month USD BBA FRA | 3.371 | % | 1/6/21 | $ | 348,016 | ||||||||||||
Three-Month ZAR JIBAR SAFEX: | ||||||||||||||||||||
Barclays Bank plc | 45,590 ZAR | 7.040 | % | Three-Month ZAR JIBAR SAFEX | 1/21/14 | (50,942 | ) | |||||||||||||
Barclays Bank plc | 45,140 ZAR | 7.050 | Three-Month ZAR JIBAR SAFEX | 1/24/14 | (50,594 | ) | ||||||||||||||
Total where Fund pays a fixed rate | 90,730 ZAR | (101,536 | ) | |||||||||||||||||
Barclays Bank plc | 17,830 ZAR | Three-Month ZAR JIBAR SAFEX | 8.350 | 1/24/21 | 97,865 | |||||||||||||||
Barclays Bank plc | 17,990 ZAR | Three-Month ZAR JIBAR SAFEX | 8.310 | 1/21/21 | 90,086 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 145,500 ZAR | Three-Month ZAR JIBAR SAFEX | 8.700 | 3/11/14 | 167,948 | |||||||||||||||
JPMorgan Chase Bank NA | 146,780 ZAR | Three-Month ZAR JIBAR SAFEX | 8.480 | 3/1/14 | 134,194 | |||||||||||||||
JPMorgan Chase Bank NA | 146,690 ZAR | Three-Month ZAR JIBAR SAFEX | 8.390 | 3/2/14 | 115,216 | |||||||||||||||
JPMorgan Chase Bank NA | 114,930 ZAR | Three-Month ZAR JIBAR SAFEX | 8.650 | 3/4/14 | 128,225 | |||||||||||||||
Total where Fund pays a variable rate | 589,720 ZAR | 733,534 | ||||||||||||||||||
Total | 680,450 ZAR | 631,998 | ||||||||||||||||||
Total Interest Rate Swaps | $ | 1,562,602 | ||||||||||||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CZK | Czech Koruna | |
EUR | Euro | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NZD | New Zealand Dollar | |
ZAR | South African Rand |
BANIXCO | Banco de Mexico | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BBR | Bank Bill Rate | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
BZDI | Brazil Interbank Deposit Rate | |
EURIBOR | Euro Interbank Offered Rate | |
FRA | Forward Rate Agreement | |
JIBAR | South Africa Johannesburg Interbank Agreed Rate | |
PRIBOR PRBO | Prague Interbank Offering Rate | |
SAFEX | South African Futures Exchange | |
TIIE | Interbank Equilibrium Interest Rate |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Consumer Staples Select Sector Index | ||||||||||||||||||||
One-Month USD 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 | |||||||||||||||||||
Morgan Stanley | $ | 1,905 | Select Sector Index | Select Sector Index | 3/6/12 | $ | (40,807 | ) | ||||||||||||
Custom Basket of Securities: | ||||||||||||||||||||
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 | |||||||||||||||||||
Citibank NA | 1,818 | CHF | a custom basket of securities | of securities | 1/11/12 | (108,702 | ) | |||||||||||||
One-Month DKK BBA | ||||||||||||||||||||
LIBOR plus 30 basis points | ||||||||||||||||||||
and if negative, the absolute | If positive, the Total Return | |||||||||||||||||||
value of the Total Return of | of a custom basket | |||||||||||||||||||
Citibank NA | 3,088 | DKK | a custom basket of securities | of securities | 1/11/12 | (12,520 | ) | |||||||||||||
One-Month EURIBOR | ||||||||||||||||||||
plus 30 basis points and | ||||||||||||||||||||
if negative, the absolute value | If positive, the Total Return | |||||||||||||||||||
of the Total Return of | of a custom basket | |||||||||||||||||||
Citibank NA | 3,674 | EUR | a custom basket of securities | of securities | 1/11/12 | (170,536 | ) | |||||||||||||
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 | |||||||||||||||||||
Citibank NA | 481 | GBP | a custom basket of securities | of securities | 1/11/12 | 12,122 | ||||||||||||||
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 | |||||||||||||||||||
Citibank NA | 6,034 | SEK | a custom basket of securities | of securities | 1/11/12 | (17,305 | ) | |||||||||||||
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 | |||||||||||||||||||
Citibank NA, New York | 557,760 | JPY | a custom basket of securities | of securities | 4/16/12 | 85,945 | ||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 18 basis points and if | ||||||||||||||||||||
negative, the absolute value | If positive, the | |||||||||||||||||||
Goldman Sachs Group, | of the Total Return of a custom | Total Return of a | ||||||||||||||||||
Inc. (The) | 24,256 | basket of securities | custom basket of securities | 9/9/11 | 483,942 | |||||||||||||||
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 | |||||||||||||||||||
Morgan Stanley | 4,519 | GBP | a custom basket of securities | of securities | 1/16/12 | (71,026 | ) | |||||||||||||
Reference Entity Total | 201,920 |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Health Care Select Sector Index | ||||||||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 8 basis points and | ||||||||||||||||||||
if negative, the absolute | If positive, the Total | |||||||||||||||||||
value of Total Return of the | Return of the Health | |||||||||||||||||||
UBS AG | $ | 1,834 | Health Care Select Sector Index | Care Select Sector Index | 11/4/11 | $ | 736 | |||||||||||||
Industrial Select Sector Index: | ||||||||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 12 basis points and | ||||||||||||||||||||
if negative, the absolute value | If positive, the Total | |||||||||||||||||||
of the Total Return of the | Return of the Industrial | |||||||||||||||||||
Deutsche Bank AG | 131 | Industrial Select Sector Index | Select Sector Index | 4/9/12 | 5,779 | |||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 12 basis points and | ||||||||||||||||||||
if negative, the absolute value | If positive, the Total | |||||||||||||||||||
of the Total Return of the | Return of the Industrial | |||||||||||||||||||
Deutsche Bank AG | 2,021 | Industrial Select Sector Index | Select Sector Index | 4/9/12 | 89,081 | |||||||||||||||
Reference Entity Total | 94,860 | |||||||||||||||||||
MSCI Daily TR Gross EAFE USD Index: | ||||||||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 15 basis points and if | ||||||||||||||||||||
If positive, the Total Return | negative, the absolute value of | |||||||||||||||||||
of the MSCI Daily Gross | the Total Return of the MSCI | |||||||||||||||||||
Citibank NA | 523 | EAFE USD Index | Daily Gross EAFE USD Index | 10/7/11 | 7,462 | |||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 15 basis points and if | ||||||||||||||||||||
If positive, the Total Return | negative the Total Return of, | |||||||||||||||||||
of the MSCI Daily Gross | the MSCI Daily Gross | |||||||||||||||||||
Citibank NA | 2,246 | EAFE USD Index | EAFE USD Index | 1/9/12 | 29,773 | |||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 15 basis points and | ||||||||||||||||||||
If positive, the Total Return | if negative, the Total | |||||||||||||||||||
of the MSCI Daily Gross | Return of the MSCI Daily | |||||||||||||||||||
Citibank NA | 301 | EAFE USD Index | Gross EAFE USD Index | 1/9/12 | 3,836 | |||||||||||||||
One-Month USD LIBOR | ||||||||||||||||||||
minus 5 basis points and if | ||||||||||||||||||||
If positive, the Total Return | negative, the absolute value of | |||||||||||||||||||
Goldman Sachs Group, | of the MSCI Daily Gross | the Total Return of the MSCI | ||||||||||||||||||
Inc. (The) | 120 | EAFE USD Index | Daily Gross EAFE USD Index | 7/8/11 | (697 | ) | ||||||||||||||
One-Month USD BBA LIBOR plus | ||||||||||||||||||||
20 basis points and if negative, | ||||||||||||||||||||
If positive, the Total Return | the absolute value of the | |||||||||||||||||||
Goldman Sachs Group, | of the MSCI Daily Gross | Total Return of the MSCI Daily | ||||||||||||||||||
Inc. (The) | 3,461 | EAFE USD Index | Gross EAFE USD Index | 5/10/12 | (21,061 | ) | ||||||||||||||
One-Month USD LIBOR minus | ||||||||||||||||||||
5 basis points and if negative, | ||||||||||||||||||||
If positive, the Total Return | the absolute value of the Total | |||||||||||||||||||
Goldman Sachs Group, | of the MSCI Daily Gross | Return of the MSCI Daily Gross | ||||||||||||||||||
Inc. (The) | 563 | EAFE USD Index | EAFE USD Index | 7/8/11 | (3,594 | ) |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
MSCI Daily TR Gross EAFE USD Index: Continued | ||||||||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
minus 10 basis points and if | ||||||||||||||||||||
If positive, the Total Return | negative, the absolute value of | |||||||||||||||||||
of the MSCI Daily Gross | the Total Return of the MSCI | |||||||||||||||||||
UBS AG | $ | 6,935 | EAFE USD Index | Daily Gross EAFE USD Index | 10/7/11 | $ | 77,258 | |||||||||||||
Reference Entity Total | 92,977 | |||||||||||||||||||
MSCI Daily TR Gross Europe EURO Index: | ||||||||||||||||||||
One-Month EUR EURIBOR | ||||||||||||||||||||
minus 20 basis points and if | ||||||||||||||||||||
If positive, the Total Return | negative, the absolute value of | |||||||||||||||||||
of the MSCI Daily Gross | the Total Return of the MSCI | |||||||||||||||||||
Citibank NA | 2,112 | EUR | Europe EURO Index | Daily Gross Europe EURO Index | 1/6/12 | (15,721 | ) | |||||||||||||
One-Month EUR EURIBOR | ||||||||||||||||||||
and if negative, the | ||||||||||||||||||||
If positive, the Total Return | absolute value of the Total | |||||||||||||||||||
Goldman Sachs Group, | of the MSCI Daily Gross | Return of the MSCI Daily | ||||||||||||||||||
Inc. (The) | 3,341 | EUR | Europe EURO Index | Gross Europe EURO Index | 1/12/12 | (23,228 | ) | |||||||||||||
Reference Entity Total | (38,949 | ) | ||||||||||||||||||
MSCI Daily TR Net EAFE USD Index | ||||||||||||||||||||
One-Month USD BBA | ||||||||||||||||||||
LIBOR minus 2.5 basis points | ||||||||||||||||||||
and if negative, the | If positive, the Total Return | |||||||||||||||||||
Goldman Sachs Group, | absolute value of the MSCI | of the MSCI Daily | ||||||||||||||||||
Inc. (The) | 6,164 | Daily Net EAFE USD Index | Net EAFE USD Index | 5/8/12 | 16,222 | |||||||||||||||
MSCI Daily TR Net Germany USD Index | ||||||||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
minus 15 basis points and if | ||||||||||||||||||||
negative, the absolute value of | If positive, the Total Return | |||||||||||||||||||
the Total Return of the MSCI | of the MSCI Daily Net | |||||||||||||||||||
Citibank NA | 2,455 | Daily Net Germany USD Index | Germany USD Index | 6/1/12 | 65,245 | |||||||||||||||
MSCI Daily TR Net Italy USD Index | ||||||||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
minus 25 basis points and if | If positive, the absolute value | |||||||||||||||||||
Goldman Sachs Group, | negative, the absolute value of | of the Total Return of the | ||||||||||||||||||
Inc. (The) | 2,435 | the MSCI Daily Net Italy USD Index | MSCI Daily Net Italy USD Index | 3/6/12 | (55,363 | ) | ||||||||||||||
MSCI Daily TR Net Japan USD Index | ||||||||||||||||||||
One-Month USD BBA LIBOR plus | ||||||||||||||||||||
20 basis points and if negative, | ||||||||||||||||||||
the absolute value of the | If positive, the Total Return | |||||||||||||||||||
Total Return of the MSCI Daily | of the MSCI Daily | |||||||||||||||||||
UBS AG | 2,438 | Net Japan USD Index | Net Japan USD Index | 6/4/12 | 67,083 |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
MSCI Daily TR Net Netherlands USD Index | ||||||||||||||||||||
One-Month USD BBA LIBOR plus | ||||||||||||||||||||
20 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 | |||||||||||||||||||
UBS AG | $ | 2,507 | Netherlands USD Index | Netherlands USD Index | 5/7/12 | $ | (55,909 | ) | ||||||||||||
MSCI Daily TR Net Spain USD Index | ||||||||||||||||||||
One-Month USD BBA LIBOR minus | ||||||||||||||||||||
33 basis points and if negative, | ||||||||||||||||||||
the absolute value of the | If positive, the Total Return of | |||||||||||||||||||
Total Return of the MSCI | the MSCI Daily Net | |||||||||||||||||||
Nomura International | 2,399 | Daily Net Spain USD Index | Spain USD Index | 3/6/12 | 121,568 | |||||||||||||||
S&P 100 Index | ||||||||||||||||||||
One-Month USD BBA LIBOR | ||||||||||||||||||||
plus 10 basis points and if | ||||||||||||||||||||
If positive, the Total | negative, the absolute value | |||||||||||||||||||
Goldman Sachs Group, | Return of the | of the Total Return of the | ||||||||||||||||||
Inc. (The) | 6,060 | S&P 100 Index | S&P 100 Index | 4/9/12 | (143,400 | ) | ||||||||||||||
Total of Total Return Swaps | $ | 326,183 | ||||||||||||||||||
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
SEK | Swedish Krona | |
Abbreviations are as follows: | ||
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
EURIBOR | Euro Interbank Offered Rate | |
MSCI EAFE | Morgan Stanley Capital International Europe, Australia and Far East. A stock market index of foreign stocks from the | |
perspective of a North American investor | ||
S&P | Standard & Poor’s | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TR | Total Return |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
AUD/GBP Spot Exchange Rate | ||||||||||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid AUD/GBP | ||||||||||||||||||||
spot exchange rate | ||||||||||||||||||||
during the Observation | ||||||||||||||||||||
Credit Suisse | 8 | GBP | Period | 9.800 | % | 7/15/11 | $ | (651 | ) | |||||||||||
AUD/USD Spot Exchange Rate: | ||||||||||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid AUD/USD | ||||||||||||||||||||
spot exchange rate | ||||||||||||||||||||
during the Observation | ||||||||||||||||||||
Credit Suisse | 13 | Period | 11.150 | 7/8/11 | (9,397 | ) | ||||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid AUD/USD | ||||||||||||||||||||
spot exchange rate | ||||||||||||||||||||
during the Observation | ||||||||||||||||||||
Deutsche Bank AG | 13 | Period | 11.550 | 7/14/11 | (7,045 | ) | ||||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid AUD/USD | ||||||||||||||||||||
spot exchange rate | ||||||||||||||||||||
during the Observation | ||||||||||||||||||||
Royal Bank of Scotland plc | 13 | Period | 11.300 | 7/11/11 | (10,038 | ) | ||||||||||||||
Reference Entity Total | (26,480 | ) | ||||||||||||||||||
CAD/GBP Spot Exchange Rate | ||||||||||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid CAD/GBP | ||||||||||||||||||||
spot exchange rate | ||||||||||||||||||||
Goldman Sachs Group, | during the Observation | |||||||||||||||||||
Inc. (The) | 8 | GBP | Period | 7.650 | 7/11/11 | (12,797 | ) | |||||||||||||
CHF/JPY Spot Exchange Rate | ||||||||||||||||||||
The Historic | ||||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
CHF/JPY spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
the Observation | ||||||||||||||||||||
Citibank NA | 11 | CHF | 10.650 | % | Period | 7/20/11 | 7,147 | |||||||||||||
CHF/SEK Spot Exchange Rate: | ||||||||||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid CHF/SEK | ||||||||||||||||||||
spot exchange | ||||||||||||||||||||
rate during the | ||||||||||||||||||||
Citibank NA | 11 | CHF | 14.250 | Observation Period | 8/2/11 | (14,994 | ) | |||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid CHF/SEK | ||||||||||||||||||||
spot exchange | ||||||||||||||||||||
Goldman Sachs Group , | rate during the | |||||||||||||||||||
Inc. (The) | 11 | CHF | 13.000 | Observation Period | 8/5/11 | 2,892 | ||||||||||||||
Total where Fund pays a fixed rate | (12,102 | ) | ||||||||||||||||||
The Historic Volatility | ||||||||||||||||||||
of the mid CHF/SEK | ||||||||||||||||||||
spot exchange rate | ||||||||||||||||||||
during the | ||||||||||||||||||||
Bank of America Merril Lynch | 11 | CHF | Observation Period | 14.700 | 7/26/11 | (1,577 | ) |
Notional | |||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | |||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
CHF/SEK Spot Exchange Rate: Continued | |||||||||||||||||||||
The Historic Volatility | |||||||||||||||||||||
of the mid CHF/SEK | |||||||||||||||||||||
spot exchange | |||||||||||||||||||||
rate during the | |||||||||||||||||||||
Deutsche Bank AG | 11 | CHF | Observation Period | 14.500 | 7/28/11 | $ | (5,252 | ) | |||||||||||||
Total where Fund pays a variable rate | (6,829 | ) | |||||||||||||||||||
Reference Entity Total | (18,931 | ) | |||||||||||||||||||
CHF/USD Spot Exchange Rate: | |||||||||||||||||||||
The Historic Volatility | |||||||||||||||||||||
of the mid CHF/USD | |||||||||||||||||||||
spot exchange | |||||||||||||||||||||
rate during the | |||||||||||||||||||||
Citibank NA | 13 | 13.000 | Observation Period | 7/29/11 | 12,856 | ||||||||||||||||
The Historic | |||||||||||||||||||||
Volatility of the mid | |||||||||||||||||||||
CHF/USD spot | |||||||||||||||||||||
exchange rate during the | |||||||||||||||||||||
Deutsche Bank AG | 13 | Observation Period | 12.000 | % | 7/29/11 | 19,565 | |||||||||||||||
Reference Entity Total | 32,421 | ||||||||||||||||||||
EUR/GBP Spot Exchange Rate | |||||||||||||||||||||
The Historic | |||||||||||||||||||||
Volatility of the mid | |||||||||||||||||||||
EUR/GBPspot | |||||||||||||||||||||
Goldman Sachs Group, | exchange rate during the | ||||||||||||||||||||
Inc. (The) | 9 | EUR | Observation Period | 9.100 | 7/21/11 | 1,729 | |||||||||||||||
EUR/NOK Spot Exchange Rate | |||||||||||||||||||||
The Historic | |||||||||||||||||||||
Volatility of the mid | |||||||||||||||||||||
EUR/NOK spot | |||||||||||||||||||||
Goldman Sachs Group, | exchange rate during the | ||||||||||||||||||||
Inc. (The) | 9 | EUR | Observation Period | 7.025 | 7/15/11 | (5,421 | ) | ||||||||||||||
EUR/SEK Spot Exchange Rate: | |||||||||||||||||||||
The Historic | |||||||||||||||||||||
Volatility of the mid | |||||||||||||||||||||
EUR/SEK spot | |||||||||||||||||||||
exchange rate during the | |||||||||||||||||||||
Deutsche Bank AG | 9 | EUR | Observation Period | 6.700 | 7/5/11 | (352 | ) | ||||||||||||||
The Historic | |||||||||||||||||||||
Volatility of the mid | |||||||||||||||||||||
EUR/SEK spot | |||||||||||||||||||||
exchange rate during the | |||||||||||||||||||||
Deutsche Bank AG | 9 | EUR | Observation Period | 7.600 | 7/22/11 | (1,709 | ) | ||||||||||||||
The Historic | |||||||||||||||||||||
Volatility of the mid | |||||||||||||||||||||
EUR/SEK spot | |||||||||||||||||||||
Goldman Sachs Group, | exchange rate during | ||||||||||||||||||||
Inc. (The) | 9 | EUR | the Observation Period | 6.675 | 7/7/11 | (2,762 | ) |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
EUR/SEK Spot Exchange Rate: Continued | ||||||||||||||||||||
The Historic | ||||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/SEK spot | ||||||||||||||||||||
Goldman Sachs Group, | exchange rate during | |||||||||||||||||||
Inc. (The) | 9 | EUR | the Observation Period | 7.525 | % | 7/25/11 | $ | (3,383 | ) | |||||||||||
The Historic | ||||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
EUR/SEK spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
Royal Bank of Scotland plc | 9 | EUR | the Observation Period | 7.200 | 7/25/11 | (10,888 | ) | |||||||||||||
Reference Entity Total | (19,094 | ) | ||||||||||||||||||
GBP/USD Spot Exchange Rate | ||||||||||||||||||||
The Historic | ||||||||||||||||||||
Volatility of the mid | ||||||||||||||||||||
GBP/USD spot | ||||||||||||||||||||
exchange rate during | ||||||||||||||||||||
Royal Bank of Scotland plc | 13 | the Observation Period | 8.200 | 7/7/11 | 4,472 | |||||||||||||||
Total Volatility Swaps | $ | (37,605 | ) | |||||||||||||||||
AUD | Australian Dollar | |
CHF | Swiss Franc | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
NOK | Norwegian Krone | |
SEK | Swedish Krona |
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Bank of America Merril Lynch: | ||||||||||
Interest Rate | 442,000 | MXN | $ | 34,962 | ||||||
Volatility | 11 | CHF | (1,577 | ) | ||||||
33,385 | ||||||||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | $ | 18,625 | (1,412,811 | ) | ||||||
Credit Default Sell Protection | 16,300 | (243,128 | ) | |||||||
Interest Rate | 183,000 | CZK | (61,177 | ) | ||||||
Interest Rate | 7,120 | EUR | 51,904 | |||||||
Interest Rate | 86,300 | MXN | 9,950 | |||||||
Interest Rate | 15,490 | NZD | 239,781 | |||||||
Interest Rate | 11,900 | 348,016 | ||||||||
Interest Rate | 126,550 | ZAR | 86,415 | |||||||
(981,050 | ) |
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
Citibank NA : | ||||||||||
Interest Rate | 86,000 | MXN | $ | 12,083 | ||||||
Total Return | 1,818 | CHF | (108,702 | ) | ||||||
Total Return | 3,088 | DKK | (12,520 | ) | ||||||
Total Return | 5,786 | EUR | (186,257 | ) | ||||||
Total Return | 481 | GBP | 12,122 | |||||||
Total Return | 6,034 | SEK | (17,305 | ) | ||||||
Total Return | 5,525 | 106,316 | ||||||||
Volatility | 22 | CHF | (7,847 | ) | ||||||
Volatility | 13 | 12,856 | ||||||||
(189,254 | ) | |||||||||
Citibank NA, New York: | ||||||||||
Credit Default Buy Protection | 14,960 | 140,683 | ||||||||
Credit Default Sell Protection | 3,795 | 204,547 | ||||||||
Total Return | 557,760 | JPY | 85,945 | |||||||
431,175 | ||||||||||
Credit Suisse: | ||||||||||
Volatility | 8 | GBP | (651 | ) | ||||||
Volatility | 13 | (9,397 | ) | |||||||
(10,048 | ) | |||||||||
Credit Suisse International: | ||||||||||
Credit Default Buy Protection | 4,830 | (97,973 | ) | |||||||
Credit Default Sell Protection | 2,920 | (41,221 | ) | |||||||
(139,194 | ) | |||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 1,900 | (19,054 | ) | |||||||
Interest Rate | 179,500 | MXN | 40,351 | |||||||
Total Return | 2,152 | 94,860 | ||||||||
Volatility | 11 | CHF | (5,252 | ) | ||||||
Volatility | 18 | EUR | (2,061 | ) | ||||||
Volatility | 26 | 12,520 | ||||||||
121,364 | ||||||||||
Deutsche Bank, London Branch: | ||||||||||
Credit Default Buy Protection | 4,940 | (19,961 | ) | |||||||
Credit Default Sell Protection | 4,940 | 388,314 | ||||||||
Credit Default Sell Protection | 4,830 | (152,449 | ) | |||||||
215,904 | ||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Interest Rate | 25,690 | BRR | (61,354 | ) | ||||||
Interest Rate | 216,900 | MXN | 48,202 | |||||||
Interest Rate | 145,500 | ZAR | 167,948 | |||||||
Total Return | 3,341 | EUR | (23,228 | ) | ||||||
Total Return | 43,359 | 276,049 | ||||||||
Volatility | 11 | CHF | 2,892 | |||||||
Volatility | 36 | EUR | (9,837 | ) | ||||||
Volatility | 8 | GBP | (12,797 | ) | ||||||
387,875 | ||||||||||
Goldman Sachs International: | ||||||||||
Credit Default Buy Protection | 4,940 | (36,300 | ) | |||||||
Credit Default Sell Protection | 7,025 | (93,272 | ) | |||||||
(129,572 | ) |
Swap Type from | Notional | |||||||||
Swap Counterparty | Fund Perspective | Amount (000’s) | Value | |||||||
HSBC Bank USA | Credit Default Sell Protection | $ | 3,330 | $ | (186,993 | ) | ||||
JPMorgan Chase Bank NA: | ||||||||||
Credit Default Sell Protection | 2,065 | (48,624 | ) | |||||||
Interest Rate | 10,200 | BRR | 635,816 | |||||||
Interest Rate | 987,000 | JPY | (107,053 | ) | ||||||
Interest Rate | 408,400 | ZAR | 377,635 | |||||||
857,774 | ||||||||||
JPMorgan Chase Bank NA, London Branch | Credit Default Buy Protection | 4,900 | (94,409 | ) | ||||||
JPMorgan Chase Bank NA, NY Branch | Credit Default Sell Protection | 1,670 | (126,085 | ) | ||||||
Merrill Lynch Capital Services, Inc. | Credit Default Sell Protection | 5,190 | (204,162 | ) | ||||||
Merrill Lynch International | Credit Default Buy Protection | 10,735 | (1,324,247 | ) | ||||||
Morgan Stanley: | ||||||||||
Interest Rate | 173,300 | CZK | (32,063 | ) | ||||||
Interest Rate | 6,910 | EUR | 20,472 | |||||||
Total Return | 4,519 | GBP | (71,026 | ) | ||||||
Total Return | 1,905 | (40,807 | ) | |||||||
(123,424 | ) | |||||||||
Nomura International | Total Return | 2,399 | 121,568 | |||||||
Royal Bank of Scotland plc: | ||||||||||
Volatility | 9 | EUR | (10,888 | ) | ||||||
Volatility | 26 | (5,566 | ) | |||||||
(16,454 | ) | |||||||||
UBS AG: | ||||||||||
Credit Default Sell Protection | 3,125 | (102,010 | ) | |||||||
Total Return | 13,714 | 89,168 | ||||||||
(12,842 | ) | |||||||||
Westpac Banking Corp. | Interest Rate | 11,685 | AUD | (249,286 | ) | |||||
Total Swaps | $ | (1,617,975 | ) | |||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CHF | Swiss Franc | |
CZK | Czech Koruna | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NZD | New Zealand Dollar | |
SEK | Swedish Krona | |
ZAR | South African Rand |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $2,022,638,020) | $ | 2,040,737,515 | ||
Affiliated companies (cost $463,209,647) | 467,578,222 | |||
2,508,315,737 | ||||
Cash—foreign currencies (cost $767,643) | 762,190 | |||
Unrealized appreciation on foreign currency exchange contracts | 2,678,003 | |||
Appreciated swaps, at value (upfront payments received $130,115) | 3,804,981 | |||
Depreciated swaps, at value (upfront payments paid $889,592) | 648,646 | |||
Receivables and other assets: | ||||
Investments sold (including $43,844,016 sold on a when-issued or delayed delivery basis) | 48,304,730 | |||
Interest, dividends and principal paydowns | 31,170,916 | |||
Shares of beneficial interest sold | 1,209,618 | |||
Futures margins | 621,456 | |||
Closed foreign currency contracts | 559,456 | |||
Other | 281,242 | |||
Total assets | 2,598,356,975 | |||
Liabilities | ||||
Bank overdraft | 70,579 | |||
Appreciated options written, at value (premiums received $99,815) | 14,773 | |||
Depreciated options written, at value (premiums received $70,848) | 164,959 | |||
Unrealized depreciation on foreign currency exchange contracts | 7,550,045 | |||
Appreciated swaps, at value (upfront payments received $4,563,895) | 4,018,998 | |||
Depreciated swaps, at value (net upfront payments received $104,288) | 2,052,604 | |||
Payables and other liabilities: | ||||
Investments purchased (including $135,398,511 purchased on a when-issued or delayed delivery basis) | 137,868,295 | |||
Shares of beneficial interest redeemed | 5,157,576 | |||
Futures margins | 1,787,283 | |||
Closed foreign currency contracts | 1,297,984 | |||
Distribution and service plan fees | 1,075,491 | |||
Shareholder communications | 411,243 | |||
Transfer and shareholder servicing agent fees | 201,227 | |||
Foreign capital gains tax | 44,445 | |||
Trustees’ compensation | 43,895 | |||
Other | 103,641 | |||
Total liabilities | 161,863,038 | |||
Net Assets | $ | 2,436,493,937 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 429,260 | ||
Additional paid-in capital | 2,316,972,670 | |||
Accumulated net investment income | 11,723,896 | |||
Accumulated net realized gain on investments and foreign currency transactions | 89,454,072 | |||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 17,914,039 | |||
Net Assets | $ | 2,436,493,937 | ||
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 $716,202,495 and 128,015,642 shares of beneficial interest outstanding) | $ | 5.59 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,720,291,442 and 301,244,500 shares of beneficial interest outstanding) | $ | 5.71 |
Allocation of Income and Expenses from Master Funds1 | ||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: | ||||
Interest | $ | 1,763,194 | ||
Dividends | 1,569 | |||
Expenses2 | (106,938 | ) | ||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | 1,657,825 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest (net of foreign withholding taxes of $381) | 14,098,476 | |||
Dividends | 94,189 | |||
Expenses3 | (574,549 | ) | ||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC | 13,618,116 | |||
Total allocation of net investment income from master funds | 15,275,941 | |||
Investment Income | ||||
Interest | 68,830,190 | |||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $1,123) | 229,207 | |||
Affiliated companies | 48,046 | |||
Fee income on when-issued securities | 1,272,030 | |||
Total investment income | 70,379,473 | |||
Expenses | ||||
Management fees | 6,922,906 | |||
Distribution and service plan fees—Service shares | 2,112,423 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 357,121 | |||
Service shares | 844,963 | |||
Shareholder communications: | ||||
Non-Service shares | 62,606 | |||
Service shares | 147,963 | |||
Custodian fees and expenses | 136,257 | |||
Trustees’ compensation | 32,780 | |||
Administration service fees | 750 | |||
Other | 91,953 | |||
Total expenses | 10,709,722 | |||
Less waivers and reimbursements of expenses | (646,330 | ) | ||
Net expenses | 10,063,392 | |||
Net Investment Income | 75,592,022 |
1. | The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. See Note 1 of accompanying Notes. | |
2. | Net of expense waivers and/or reimbursements of $888. | |
3. | Net of expense waivers and/or reimbursements of $6,763. |
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | $ | 33,981,284 | ||
Closing and expiration of option contracts written | 7,632 | |||
Closing and expiration of futures contracts | (1,854,079 | ) | ||
Foreign currency transactions | 14,815,910 | |||
Swap contracts | 2,419,754 | |||
Net realized gain (loss) allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | (2,412,739 | ) | ||
Oppenheimer Master Loan Fund, LLC | 1,297,849 | |||
Total net realized gain | 48,255,611 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (31,342,736 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | 15,943,010 | |||
Futures contracts | 6,304,676 | |||
Option contracts written | (9,069 | ) | ||
Swap contracts | 2,761,728 | |||
Net change in unrealized appreciation/deprecation allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | (1,013,738 | ) | ||
Oppenheimer Master Loan Fund, LLC | (2,957,932 | ) | ||
Total net change in unrealized appreciation/depreciation | (10,314,061 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 113,533,572 | ||
Six Months | Year | |||||||
Ended | Ended | |||||||
June 30, 2011 | December 31, | |||||||
(Unaudited) | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 75,592,022 | $ | 200,479,913 | ||||
Net realized gain | 48,255,611 | 193,741,731 | ||||||
Net change in unrealized appreciation/depreciation | (10,314,061 | ) | 11,389,337 | |||||
Net increase in net assets resulting from operations | 113,533,572 | 405,610,981 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Non-Service shares | (23,004,040 | ) | (66,430,241 | ) | ||||
Service shares | (46,831,691 | ) | (313,790,173 | ) | ||||
(69,835,731 | ) | (380,220,414 | ) | |||||
Distributions from net realized gain: | ||||||||
Non-Service shares | (8,843,118 | ) | — | |||||
Service shares | (20,376,612 | ) | — | |||||
(29,219,730 | ) | — | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | 1,858,547 | (81,259,481 | ) | |||||
Service shares | 38,062,667 | (1,976,534,500 | ) | |||||
39,921,214 | (2,057,793,981 | ) | ||||||
Net Assets | ||||||||
Total increase (decrease) | 54,399,325 | (2,032,403,414 | ) | |||||
Beginning of period | 2,382,094,612 | 4,414,498,026 | ||||||
End of period (including accumulated net investment income of $11,723,896 and $5,967,605, respectively) | $ | 2,436,493,937 | $ | 2,382,094,612 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.58 | $ | 5.30 | $ | 4.49 | $ | 5.56 | $ | 5.26 | $ | 5.11 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .18 | .34 | .30 | .30 | .28 | .26 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .08 | .40 | .53 | (1.04 | ) | .21 | .11 | |||||||||||||||||
Total from investment operations | .26 | .74 | .83 | (.74 | ) | .49 | .37 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.18 | ) | (.46 | ) | (.02 | ) | (.27 | ) | (.19 | ) | (.22 | ) | ||||||||||||
Distributions from net realized gain | (.07 | ) | — | — | 2 | (.06 | ) | — | — | |||||||||||||||
Total dividends and distributions to shareholders | (.25 | ) | (.46 | ) | (.02 | ) | (.33 | ) | (.19 | ) | (.22 | ) | ||||||||||||
Net asset value, end of period | $ | 5.59 | $ | 5.58 | $ | 5.30 | $ | 4.49 | $ | 5.56 | $ | 5.26 | ||||||||||||
Total Return, at Net Asset Value3 | 4.79 | % | 14.97 | % | 18.83 | % | (14.21 | )% | 9.69 | % | 7.49 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 716,203 | $ | 711,755 | $ | 757,772 | $ | 648,570 | $ | 734,611 | $ | 606,632 | ||||||||||||
Average net assets (in thousands) | $ | 720,266 | $ | 737,071 | $ | 681,926 | $ | 753,062 | $ | 664,668 | $ | 564,248 | ||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 6.46 | % | 6.47 | % | 6.20 | % | 5.78 | % | 5.34 | % | 5.05 | % | ||||||||||||
Total expenses6 | 0.77 | % | 0.75 | % | 0.67 | % | 0.59 | % | 0.59 | % | 0.64 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.72 | % | 0.71 | % | 0.64 | % | 0.57 | % | 0.57 | % | 0.63 | % | ||||||||||||
Portfolio turnover rate7 | 29 | % | 99 | % | 110 | % | 86 | % | 76 | % | 93 | % |
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, 2011 | 0.77 | % | ||
Year Ended December 31, 2010 | 0.75 | % | ||
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, 2011 | $ | 570,420,039 | $ | 560,904,505 | ||||
Year Ended December 31, 2010 | $ | 1,034,550,699 | $ | 1,085,289,655 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.68 | $ | 5.38 | $ | 4.56 | $ | 5.65 | $ | 5.34 | $ | 5.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income1 | .18 | .33 | .29 | .29 | .28 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .08 | .42 | .54 | (1.06 | ) | .22 | .11 | |||||||||||||||||
Total from investment operations | .26 | .75 | .83 | (.77 | ) | .50 | .36 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.45 | ) | (.01 | ) | (.26 | ) | (.19 | ) | (.21 | ) | ||||||||||||
Distributions from net realized gain | (.07 | ) | — | — | 2 | (.06 | ) | — | — | |||||||||||||||
Total dividends and distributions to shareholders | (.23 | ) | (.45 | ) | (.01 | ) | (.32 | ) | (.19 | ) | (.21 | ) | ||||||||||||
Net asset value, end of period | $ | 5.71 | $ | 5.68 | $ | 5.38 | $ | 4.56 | $ | 5.65 | $ | 5.34 | ||||||||||||
Total Return, at Net Asset Value3 | 4.68 | % | 14.77 | % | 18.41 | % | (14.49 | )% | 9.55 | % | 7.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,720,291 | $ | 1,670,340 | $ | 3,656,726 | $ | 2,810,315 | $ | 2,876,016 | $ | 1,396,188 | ||||||||||||
Average net assets (in thousands) | $ | 1,704,237 | $ | 2,485,427 | $ | 3,143,836 | $ | 3,152,967 | $ | 2,075,028 | $ | 1,016,582 | ||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 6.21 | % | 6.15 | % | 5.95 | % | 5.54 | % | 5.08 | % | 4.83 | % | ||||||||||||
Total expenses6 | 1.02 | % | 0.99 | % | 0.92 | % | 0.84 | % | 0.84 | % | 0.89 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.97 | % | 0.95 | % | 0.89 | % | 0.82 | % | 0.82 | % | 0.88 | % | ||||||||||||
Portfolio turnover rate7 | 29 | % | 99 | % | 110 | % | 86 | % | 76 | % | 93 | % |
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, 2011 | 1.02 | % | ||
Year Ended December 31, 2010 | 0.99 | % | ||
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, 2011 | $ | 570,420,039 | $ | 560,904,505 | ||||
Year Ended December 31, 2010 | $ | 1,034,550,699 | $ | 1,085,289,655 | ||||
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 |
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 135,398,511 | ||
Sold securities | 43,844,016 |
Cost | $ | 26,039,539 | ||
Market Value | $ | 1,969,801 | ||
Market Value as a % of Net Assets | 0.08 | % |
Federal tax cost of securities | $ | 2,488,870,603 | ||
Federal tax cost of other investments | 137,579,283 | |||
Total federal tax cost | $ | 2,626,449,886 | ||
Gross unrealized appreciation | $ | 172,930,865 | ||
Gross unrealized depreciation | (153,214,178 | ) | ||
Net unrealized appreciation | $ | 19,716,687 | ||
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 6,118,764 | $ | 34,091,027 | 13,659,013 | $ | 73,616,257 | ||||||||||
Dividends and/or distributions reinvested | 5,843,515 | 31,847,158 | 13,002,895 | 66,430,241 | ||||||||||||
Redeemed | (11,524,584 | ) | (64,079,638 | ) | (42,045,616 | ) | (221,305,979 | ) | ||||||||
Net increase (decrease) | 437,695 | $ | 1,858,547 | (15,383,708 | ) | $ | (81,259,481 | ) | ||||||||
Service Shares | ||||||||||||||||
Sold | 16,957,330 | $ | 96,509,636 | 39,118,559 | $ | 211,931,885 | ||||||||||
Dividends and/or distributions reinvested | 12,087,824 | 67,208,303 | 60,274,068 | 313,790,173 | ||||||||||||
Redeemed | (22,090,681 | ) | (125,655,272 | ) | (484,576,971 | ) | (2,502,256,558 | ) | ||||||||
Net increase (decrease) | 6,954,473 | $ | 38,062,667 | (385,184,344 | ) | $ | (1,976,534,500 | ) | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 588,189,304 | $ | 567,602,530 | ||||
U.S. government and government agency obligations | 3,189,350 | 900,000 | ||||||
To Be Announced (TBA) mortgage-related securities | 570,420,039 | 560,904,505 |
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 |
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 | $ | 294,192 | Appreciated swaps, at value | $ | 4,018,998 | ||||||
Credit contracts | Depreciated swaps, at value | 648,646 | Depreciated swaps, at value | 392,995 | ||||||||
Equity contracts | Appreciated swaps, at value | 1,066,052 | Depreciated swaps, at value | 739,869 | ||||||||
Interest rate contracts | Appreciated swaps, at value | 2,396,076 | Depreciated swaps, at value | 833,474 | ||||||||
Volatility contracts | Appreciated swaps, at value | 48,661 | Depreciated swaps, at value | 86,266 | ||||||||
Equity contracts | Futures margins | 113,568 | * | Futures margins | 343,964 | * | ||||||
Interest rate contracts | Futures margins | 507,888 | * | Futures margins | 1,443,319 | * | ||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 2,678,003 | Unrealized depreciation on foreign currency exchange contracts | 7,550,045 | ||||||||
Foreign exchange contracts | Appreciated options written, at value | 14,773 | ||||||||||
Foreign exchange contracts | Investments, at value | 23,771 | ** | Depreciated options written, at value | 164,959 | |||||||
Total | $ | 7,776,857 | $ | 15,588,662 | ||||||||
* | 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. |
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 | $ | — | $ | — | $ | — | $ | — | $ | 535,701 | $ | 535,701 | ||||||||||||
Equity contracts | — | — | (1,639,535 | ) | — | 1,894,090 | 254,555 | |||||||||||||||||
Foreign exchange contracts | (1,575,156 | ) | 7,632 | — | 4,987,758 | (240,915 | ) | 3,179,319 | ||||||||||||||||
Interest rate contracts | — | — | (214,544 | ) | — | (275,192 | ) | (489,736 | ) | |||||||||||||||
Volatility contracts | — | — | — | — | 506,070 | 506,070 | ||||||||||||||||||
Total | $ | (1,575,156 | ) | $ | 7,632 | $ | (1,854,079 | ) | $ | 4,987,758 | $ | 2,419,754 | $ | 3,985,909 | ||||||||||
* | 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 | $ | — | $ | — | $ | — | $ | — | $ | 599,992 | $ | 599,992 | ||||||||||||
Equity contracts | — | — | (532,990 | ) | — | (575,750 | ) | (1,108,740 | ) | |||||||||||||||
Foreign exchange contracts | 680,514 | (9,069 | ) | — | 3,601,404 | 1,564,189 | 5,837,038 | |||||||||||||||||
Interest rate contracts | — | — | 6,837,666 | — | 1,212,615 | 8,050,281 | ||||||||||||||||||
Volatility contracts | — | — | — | — | (39,318 | ) | (39,318 | ) | ||||||||||||||||
Total | $ | 680,514 | $ | (9,069 | ) | $ | 6,304,676 | $ | 3,601,404 | $ | 2,761,728 | $ | 13,339,253 | |||||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of December 31, 2010 | — | $ | — | — | $ | — | ||||||||||
Options written | 999,045,000 | 476,060 | 988,605,000 | 327,508 | ||||||||||||
Options closed or expired | (699,125,000 | ) | (320,026 | ) | (293,290,000 | ) | (85,186 | ) | ||||||||
Options exercised | (293,290,000 | ) | (85,186 | ) | (681,765,000 | ) | (142,507 | ) | ||||||||
Options outstanding as of June 30, 2011 | 6,630,000 | $ | 70,848 | 13,550,000 | $ | 99,815 | ||||||||||
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
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 P. 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 | ||
Dr. Sara J. Zervos, Vice President and Portfolio Manager | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. |
©2011 OppenheimerFunds, Inc. All rights reserved. |
Non-Service Shares | 7.19 | % | ||
Service Shares | 5.77 |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (1/2/03) | ||||||||||
Non-Service Shares | 41.75 | % | 6.83 | % | 9.84 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/06) | ||||||||||
Service Shares | 32.28 | % | N/A | 1.25 | % |
Gross Expense | Net Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 2.05 | % | 0.57 | % | ||||
Service Shares | 2.08 | 0.93 |
Chevron Corp. | 4.9 | % | ||
Humana, Inc. | 3.1 | |||
MetLife, Inc. | 2.9 | |||
JPMorgan Chase & Co. | 2.8 | |||
Wells Fargo & Co. | 2.8 | |||
Coca-Cola Co. (The) | 2.7 | |||
Goldman Sachs Group, Inc. (The) | 2.6 | |||
Ingersoll-Rand plc | 2.5 | |||
Ford Motor Co. | 2.5 | |||
Celanese Corp., Series A | 2.4 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
January 1, 2011 | June 30, 2011 | June 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,071.90 | $ | 4.12 | ||||||
Service shares | 1,000.00 | 1,057.70 | 5.37 | |||||||||
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 |
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
Shares | Value | |||||||
Common Stocks—94.3% | ||||||||
Consumer Discretionary—10.7% | ||||||||
Automobiles—2.5% | ||||||||
Ford Motor Co.1 | 14,470 | $ | 199,541 | |||||
Household Durables—2.0% | ||||||||
Mohawk Industries, Inc.1 | 2,630 | 157,774 | ||||||
Media—4.1% | ||||||||
Comcast Corp., Cl. A | 6,590 | 166,991 | ||||||
Viacom, Inc., Cl. B | 3,160 | 161,160 | ||||||
328,151 | ||||||||
Multiline Retail—1.7% | ||||||||
Target Corp. | 2,990 | 140,261 | ||||||
Specialty Retail—0.4% | ||||||||
Talbots, Inc. (The)1 | 10,180 | 34,001 | ||||||
Consumer Staples—6.1% | ||||||||
Beverages—2.7% | ||||||||
Coca-Cola Co. (The) | 3,280 | 220,711 | ||||||
Food & Staples Retailing—1.5% | ||||||||
Walgreen Co. | 2,744 | 116,510 | ||||||
Household Products—1.9% | ||||||||
Church & Dwight Co., Inc. | 3,710 | 150,403 | ||||||
Energy—11.2% | ||||||||
Oil, Gas & Consumable Fuels—11.2% | ||||||||
Apache Corp. | 690 | 85,139 | ||||||
Chevron Corp. | 3,830 | 393,877 | ||||||
Exxon Mobil Corp. | 2,064 | 167,968 | ||||||
Penn West Petroleum Ltd. | 3,020 | 69,702 | ||||||
Royal Dutch Shell plc, ADR | 2,600 | 184,938 | ||||||
901,624 | ||||||||
Financials—22.2% | ||||||||
Capital Markets—4.9% | ||||||||
Goldman Sachs Group, Inc. (The) | 1,580 | 210,282 | ||||||
State Street Corp. | 4,100 | 184,869 | ||||||
395,151 | ||||||||
Commercial Banks—9.5% | ||||||||
CIT Group, Inc.1 | 3,270 | 144,730 | ||||||
M&T Bank Corp. | 1,830 | 160,949 | ||||||
PNC Financial Services Group, Inc. | 1,880 | 112,067 | ||||||
U.S. Bancorp | 4,780 | 121,938 | ||||||
Wells Fargo & Co. | 8,000 | 224,480 | ||||||
764,164 | ||||||||
Diversified Financial Services—2.8% | ||||||||
JPMorgan Chase & Co. | 5,600 | 229,264 | ||||||
Insurance—5.0% | ||||||||
ACE Ltd. | 2,550 | 167,841 | ||||||
MetLife, Inc. | 5,360 | 235,143 | ||||||
402,984 | ||||||||
Health Care—14.8% | ||||||||
Biotechnology—3.0% | ||||||||
Amgen, Inc.1 | 1,430 | 83,441 | ||||||
Gilead Sciences, Inc.1 | 3,890 | 161,085 | ||||||
244,526 | ||||||||
Health Care Equipment & Supplies—2.4% | ||||||||
Medtronic, Inc. | 5,010 | 193,035 | ||||||
Health Care Providers & Services—7.3% | ||||||||
HCA Holdings, Inc.1 | 4,490 | 148,170 | ||||||
Humana, Inc. | 3,140 | 252,896 | ||||||
WellPoint, Inc. | 2,370 | 186,685 | ||||||
587,751 | ||||||||
Pharmaceuticals—2.1% | ||||||||
Pfizer, Inc. | 8,020 | 165,212 | ||||||
Industrials—7.3% | ||||||||
Aerospace & Defense—1.4% | ||||||||
AerCap Holdings NV1 | 8,870 | 115,399 | ||||||
Airlines—1.4% | ||||||||
United Continental Holdings, Inc.1 | 4,830 | 109,303 | ||||||
Electrical Equipment—2.0% | ||||||||
Babcock & Wilcox Co.1 | 870 | 24,108 | ||||||
Cooper Industries plc | 2,300 | 137,241 | ||||||
161,349 | ||||||||
Machinery—2.5% | ||||||||
Ingersoll-Rand plc | 4,440 | 201,620 | ||||||
Information Technology—6.4% | ||||||||
Internet Software & Services—0.9% | ||||||||
VeriSign, Inc. | 2,230 | 74,616 | ||||||
Semiconductors & Semiconductor Equipment—1.2% | ||||||||
Xilinx, Inc. | 2,550 | 92,999 | ||||||
Software—4.3% | ||||||||
Microsoft Corp. | 7,360 | 191,360 | ||||||
Oracle Corp. | 4,810 | 158,297 | ||||||
349,657 | ||||||||
Materials—5.6% | ||||||||
Chemicals—3.4% | ||||||||
Celanese Corp., Series A | 3,640 | 194,048 | ||||||
LyondellBasell Industries NV, Cl. A | 2,040 | 78,581 | ||||||
272,629 | ||||||||
Containers & Packaging—1.5% | ||||||||
Rock-Tenn Co., Cl. A | 1,810 | 120,075 | ||||||
Metals & Mining—0.7% | ||||||||
Allegheny Technologies, Inc. | 950 | 60,297 | ||||||
Telecommunication Services—2.0% | ||||||||
Diversified Telecommunication Services—1.1% | ||||||||
AT&T, Inc. | 2,872 | 90,210 |
Shares | Value | |||||||
Wireless Telecommunication Services—0.9% | ||||||||
Vodafone Group plc, Sponsored ADR | 2,790 | $ | 74,549 | |||||
Utilities—8.0% | ||||||||
Electric Utilities—5.5% | ||||||||
American Electric Power Co., Inc. | 2,080 | 78,374 | ||||||
Edison International, Inc. | 4,660 | 180,575 | ||||||
Entergy Corp. | 2,710 | 185,039 | ||||||
443,988 | ||||||||
Energy Traders—0.9% | ||||||||
GenOn Energy, Inc.1 | 18,820 | 72,645 | ||||||
Multi-Utilities—1.6% | ||||||||
NiSource, Inc. | 1,870 | 37,868 | ||||||
Public Service Enterprise Group, Inc. | 2,860 | 93,349 | ||||||
131,217 | ||||||||
Total Common Stocks (Cost $6,710,997) | 7,601,616 | |||||||
Investment Company—5.5% | ||||||||
Oppenheimer Institutional Money | ||||||||
Market Fund, Cl. E, 0.15%2,3 (Cost $446,372) | 446,372 | 446,372 | ||||||
Total Investments, at Value (Cost $7,157,369) | 99.8 | % | 8,047,988 | |||||
Other Assets Net of Liabilities | 0.2 | 16,434 | ||||||
Net Assets | 100.0 | % | $ | 8,064,422 | ||||
1. | Non-income producing security. | |
2. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2011, 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, 2010 | Additions | Reductions | June 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 230,823 | 2,305,994 | 2,090,445 | 446,372 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 446,372 | $ | 320 |
3. | Rate shown is the 7-day yield as of June 30, 2011. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability). |
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 | $ | 859,728 | $ | — | $ | — | $ | 859,728 | ||||||||
Consumer Staples | 487,624 | — | — | 487,624 | ||||||||||||
Energy | 901,624 | — | — | 901,624 | ||||||||||||
Financials | 1,791,563 | — | — | 1,791,563 | ||||||||||||
Health Care | 1,190,524 | — | — | 1,190,524 | ||||||||||||
Industrials | 587,671 | — | — | 587,671 | ||||||||||||
Information Technology | 517,272 | — | — | 517,272 | ||||||||||||
Materials | 453,001 | — | — | 453,001 | ||||||||||||
Telecommunication Services | 164,759 | — | — | 164,759 | ||||||||||||
Utilities | 647,850 | — | — | 647,850 | ||||||||||||
Investment Company | 446,372 | — | — | 446,372 | ||||||||||||
Total Assets | $ | 8,047,988 | $ | — | $ | — | $ | 8,047,988 | ||||||||
June 30, 2011 | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $6,710,997) | $ | 7,601,616 | ||
Affiliated companies (cost $446,372) | 446,372 | |||
8,047,988 | ||||
Cash | 1,457 | |||
Receivables and other assets: | ||||
Investments sold | 135,995 | |||
Dividends | 10,814 | |||
Shares of beneficial interest sold | 205 | |||
Other | 6,396 | |||
Total assets | 8,202,855 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 96,108 | |||
Shareholder communications | 14,048 | |||
Legal, auditing and other professional fees | 9,676 | |||
Trustees’ compensation | 5,209 | |||
Shares of beneficial interest redeemed | 4,943 | |||
Distribution and service plan fees | 4,940 | |||
Transfer and shareholder servicing agent fees | 649 | |||
Other | 2,860 | |||
Total liabilities | 138,433 | |||
Net Assets | $ | 8,064,422 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 754 | ||
Additional paid-in capital | 8,300,955 | |||
Accumulated net investment income | 26,954 | |||
Accumulated net realized loss on investments | (1,154,873 | ) | ||
Net unrealized appreciation on investments | 890,632 | |||
Net Assets | $ | 8,064,422 | ||
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 $105,536 and 11,695 shares of beneficial interest outstanding) | $ | 9.02 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $7,958,886 and 741,915 shares of beneficial interest outstanding) | $ | 10.73 |
For the Six Months Ended June 30, 2011 | ||||
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $995) | $ | 75,220 | ||
Affiliated companies | 320 | |||
Interest | 3 | |||
Total investment income | 75,543 | |||
Expenses | ||||
Management fees | 29,777 | |||
Distribution and service plan fees—Service shares | 9,798 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 51 | |||
Service shares | 3,919 | |||
Shareholder communications: | ||||
Non-Service shares | 142 | |||
Service shares | 9,162 | |||
Legal, auditing and other professional fees | 11,137 | |||
Trustees’ compensation | 3,889 | |||
Administration service fees | 750 | |||
Custodian fees and expenses | 148 | |||
Other | 3,225 | |||
Total expenses | 71,998 | |||
Less waivers and reimbursements of expenses | (30,421 | ) | ||
Net expenses | 41,577 | |||
Net Investment Income | 33,966 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 798,363 | |||
Net change in unrealized appreciation/depreciation on investments | (393,998 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 438,331 | ||
Six Months | Year | |||||||||
Ended | Ended | |||||||||
June 30, 2011 | December 31, | |||||||||
(Unaudited) | 2010 | |||||||||
Operations | ||||||||||
Net investment income | $ | 33,966 | $ | 60,182 | ||||||
Net realized gain | 798,363 | 524,533 | ||||||||
Net change in unrealized appreciation/depreciation | (393,998 | ) | 356,769 | |||||||
Net increase in net assets resulting from operations | 438,331 | 941,484 | ||||||||
Dividends and/or Distributions to Shareholders | ||||||||||
Dividends from net investment income: | ||||||||||
Non-Service shares | (904 | ) | (479 | ) | ||||||
Service shares | (66,745 | ) | (64,271 | ) | ||||||
(67,649 | ) | (64,750 | ) | |||||||
Beneficial Interest Transactions | ||||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||||
Non-Service shares | 7,422 | 42,114 | ||||||||
Service shares | 283,127 | (1,058,473 | ) | |||||||
290,549 | (1,016,359 | ) | ||||||||
Net Assets | ||||||||||
Total increase (decrease) | 661,231 | (139,625 | ) | |||||||
Beginning of period | 7,403,191 | 7,542,816 | ||||||||
End of period (including accumulated net investment income of $26,954 and $60,637, respectively) | $ | 8,064,422 | $ | 7,403,191 | ||||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.49 | $ | 7.22 | $ | 4.99 | $ | 11.73 | $ | 11.58 | $ | 11.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | .06 | .11 | .11 | .12 | .10 | (.03 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | .55 | 1.24 | 2.14 | (4.44 | ) | .59 | 1.61 | |||||||||||||||||
Total from investment operations | .61 | 1.35 | 2.25 | (4.32 | ) | .69 | 1.58 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.08 | ) | (.08 | ) | (.02 | ) | (2.42 | ) | (.10 | ) | (.01 | ) | ||||||||||||
Distributions from net realized gain | — | — | — | — | (.44 | ) | (1.15 | ) | ||||||||||||||||
Total dividends and/or distributions to shareholders | (.08 | ) | (.08 | ) | (.02 | ) | (2.42 | ) | (.54 | ) | (1.16 | ) | ||||||||||||
Net asset value, end of period | $ | 9.02 | $ | 8.49 | $ | 7.22 | $ | 4.99 | $ | 11.73 | $ | 11.58 | ||||||||||||
Total Return, at Net Asset Value2 | 7.19 | % | 18.85 | % | 45.08 | % | (36.43 | )% | 5.89 | % | 14.03 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 105 | $ | 92 | $ | 38 | $ | 6 | $ | 1,728 | $ | 2,657 | ||||||||||||
Average net assets (in thousands) | $ | 103 | $ | 57 | $ | 20 | $ | 857 | $ | 2,753 | $ | 2,695 | ||||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||||||
Net investment income (loss) | 1.45 | % | 1.46 | % | 1.75 | % | 1.07 | % | 0.80 | % | (0.29 | )% | ||||||||||||
Total expenses4 | 1.70 | % | 2.05 | % | 2.30 | % | 1.48 | % | 1.49 | % | 2.14 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.57 | % | 0.85 | % | 1.25 | % | 1.25 | % | 2.14 | % | ||||||||||||
Portfolio turnover rate | 52 | % | 109 | % | 122 | % | 175 | % | 142 | % | 124 | % |
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, 2011 | 1.70 | % | ||
Year Ended December 31, 2010 | 2.05 | % | ||
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 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2011 | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 20061 | ||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.23 | $ | 8.99 | $ | 6.79 | $ | 11.75 | $ | 11.57 | $ | 11.89 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | .04 | .08 | .09 | .08 | .06 | (.05 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | .55 | 1.24 | 2.12 | (4.97 | ) | .60 | .88 | |||||||||||||||||
Total from investment operations | .59 | 1.32 | 2.21 | (4.89 | ) | .66 | .83 | |||||||||||||||||
Dividends and/or distributions to shareholders: | �� | |||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.08 | ) | (.01 | ) | (.07 | ) | (.04 | ) | — | |||||||||||||
Distributions from net realized gain | — | — | — | — | (.44 | ) | (1.15 | ) | ||||||||||||||||
Total dividends and/or distributions to shareholders | (.09 | ) | (.08 | ) | (.01 | ) | (.07 | ) | (.48 | ) | (1.15 | ) | ||||||||||||
Net asset value, end of period | $ | 10.73 | $ | 10.23 | $ | 8.99 | $ | 6.79 | $ | 11.75 | $ | 11.57 | ||||||||||||
Total Return, at Net Asset Value3 | 5.77 | % | 14.81 | % | 32.57 | % | (41.62 | )% | 5.70 | % | 6.81 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,959 | $ | 7,311 | $ | 7,505 | $ | 4,690 | $ | 6,481 | $ | 455 | ||||||||||||
Average net assets (in thousands) | $ | 7,907 | $ | 7,008 | $ | 5,501 | $ | 5,561 | $ | 3,527 | $ | 268 | ||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income (loss) | 0.85 | % | 0.85 | % | 1.10 | % | 0.84 | % | 0.49 | % | (1.30 | )% | ||||||||||||
Total expenses5 | 1.81 | % | 2.08 | % | 2.17 | % | 2.13 | % | 1.63 | % | 2.89 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 0.93 | % | 1.15 | % | 1.50 | % | 1.50 | % | 2.88 | % | ||||||||||||
Portfolio turnover rate | 52 | % | 109 | % | 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, 2011 | 1.81 | % | ||
Year Ended December 31, 2010 | 2.08 | % | ||
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 | % |
Expiring | ||||
2016 | $ | 856,985 | ||
2017 | 999,882 | |||
Total | $ | 1,856,867 | ||
Federal tax cost of securities | $ | 7,256,359 | ||
Gross unrealized appreciation | $ | 966,793 | ||
Gross unrealized depreciation | (175,164 | ) | ||
Net unrealized appreciation | $ | 791,629 | ||
each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended June 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 2,149 | $ | 19,289 | 6,745 | $ | 50,146 | ||||||||||
Dividends and/or distributions reinvested | 101 | 904 | 65 | 479 | ||||||||||||
Redeemed | (1,391 | ) | (12,771 | ) | (1,196 | ) | (8,511 | ) | ||||||||
Net increase | 859 | $ | 7,422 | 5,614 | $ | 42,114 | ||||||||||
Service Shares | ||||||||||||||||
Sold | 77,973 | $ | 828,442 | 108,649 | $ | 1,008,324 | ||||||||||
Dividends and/or distributions reinvested | 6,284 | 66,745 | 7,063 | 64,271 | ||||||||||||
Redeemed | (57,136 | ) | (612,060 | ) | (235,966 | ) | (2,131,068 | ) | ||||||||
Net increase (decrease) | 27,121 | $ | 283,127 | (120,254 | ) | $ | (1,058,473 | ) | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 4,034,764 | $ | 3,962,340 |
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 |
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 | ||
Arthur S. Gabinet, Secretary | ||
Christina M. Nasta, 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 | ||
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 1.800.988.8287. 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. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. | ||
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its |
subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” | ||
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) Not applicable to semiannual reports. |
(2) | Exhibits attached hereto. | ||
(3) | Not applicable. |
(b) | Exhibit attached hereto. |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer |
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial Officer |