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)
For the Periods Ended 12/30/111
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 1.09 | % | -1.54 | % | 1.52 | % | ||||||
Service Shares | 0.83 | -1.80 | 1.25 |
For the Period Ended 12/30/111
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.84 | % | 0.80 | % | ||||
Service Shares | 1.09 | 1.05 |
Dollar Tree, Inc. | 2.6 | % | ||
Alexion Pharmaceuticals, Inc. | 2.5 | |||
Hansen Natural Corp. | 2.2 | |||
Kansas City Southern, Inc. | 2.1 | |||
Concho Resources, Inc. | 2.0 | |||
HMS Holdings Corp. | 1.9 | |||
Tractor Supply Co. | 1.8 | |||
Estee Lauder Cos., Inc. (The), Cl. A | 1.7 | |||
Gardner Denver, Inc. | 1.7 | |||
Chipotle Mexican Grill, Inc., Cl. A | 1.7 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 881.60 | $ | 3.78 | ||||||
Service shares | 1,000.00 | 880.50 | 4.96 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.06 | 4.06 | |||||||||
Service shares | 1,000.00 | 1,019.80 | 5.33 |
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
Shares | Value | |||||||
Common Stocks—98.0% | ||||||||
Consumer Discretionary—19.5% | ||||||||
Distributors—0.5% | ||||||||
LKQ Corp.1 | 99,510 | $ | 2,993,261 | |||||
Hotels, Restaurants & Leisure—3.6% | ||||||||
Chipotle Mexican Grill, Inc., Cl. A1 | 28,631 | 9,669,834 | ||||||
Panera Bread Co., Cl. A1 | 59,520 | 8,419,104 | ||||||
Tim Hortons, Inc. | 58,380 | 2,826,760 | ||||||
20,915,698 | ||||||||
Household Durables—0.9% | ||||||||
Tempur-Pedic International, Inc.1 | 96,710 | 5,080,176 | ||||||
Internet & Catalog Retail—0.3% | ||||||||
HomeAway, Inc.1 | 79,380 | 1,845,585 | ||||||
Multiline Retail—3.7% | ||||||||
Dollar Tree, Inc.1 | 181,315 | 15,069,090 | ||||||
Nordstrom, Inc. | 125,220 | 6,224,686 | ||||||
21,293,776 | ||||||||
Specialty Retail—6.5% | ||||||||
O’Reilly Automotive, Inc.1 | 35,700 | 2,854,215 | ||||||
PetSmart, Inc. | 97,900 | 5,021,291 | ||||||
Sally Beauty Holdings, Inc.1 | 160,740 | 3,396,436 | ||||||
Tiffany & Co. | 99,910 | 6,620,037 | ||||||
Tractor Supply Co. | 146,470 | 10,274,863 | ||||||
Ulta Salon, Cosmetics & Fragrance, Inc.1 | 148,120 | 9,615,950 | ||||||
37,782,792 | ||||||||
Textiles, Apparel & Luxury Goods—4.0% | ||||||||
Deckers Outdoor Corp.1 | 82,970 | 6,270,043 | ||||||
Fossil, Inc.1 | 57,560 | 4,567,962 | ||||||
lululemon athletica, Inc.1 | 103,810 | 4,843,775 | ||||||
Michael Kors Holdings Ltd.1 | 127,020 | 3,461,295 | ||||||
Under Armour, Inc., Cl. A1 | 54,600 | 3,919,734 | ||||||
23,062,809 | ||||||||
Consumer Staples—7.1% | ||||||||
Beverages—2.2% | ||||||||
Hansen Natural Corp.1 | 138,920 | 12,800,089 | ||||||
Food & Staples Retailing—2.1% | ||||||||
Fresh Market, Inc. (The)1 | 93,470 | 3,729,453 | ||||||
Whole Foods Market, Inc. | 123,860 | 8,618,179 | ||||||
12,347,632 | ||||||||
Personal Products—2.8% | ||||||||
Estee Lauder Cos., Inc. (The), Cl. A | 89,650 | 10,069,488 | ||||||
Herbalife Ltd. | 113,510 | 5,865,062 | ||||||
15,934,550 | ||||||||
Energy—8.8% | ||||||||
Energy Equipment & Services—6.0% | ||||||||
Atwood Oceanics, Inc.1 | 164,200 | 6,533,518 | ||||||
Carbo Ceramics, Inc. | 44,690 | 5,511,618 | ||||||
Core Laboratories NV | 66,090 | 7,530,956 | ||||||
Oceaneering International, Inc. | 63,770 | 2,941,710 | ||||||
Oil States International, Inc.1 | 102,650 | 7,839,381 | ||||||
Superior Energy Services, Inc.1 | 149,780 | 4,259,743 | ||||||
34,616,926 | ||||||||
Oil, Gas & Consumable Fuels—2.8% | ||||||||
Cabot Oil & Gas Corp., Cl. A | 63,180 | 4,795,362 | ||||||
Concho Resources, Inc.1 | 121,300 | 11,371,875 | ||||||
16,167,237 | ||||||||
Financials—5.8% | ||||||||
Capital Markets—1.5% | ||||||||
Affiliated Managers Group, Inc.1 | 52,650 | 5,051,768 | ||||||
LPL Investment Holdings, Inc.1 | 110,290 | 3,368,257 | ||||||
8,420,025 | ||||||||
Commercial Banks—2.2% | ||||||||
First Republic Bank1 | 158,250 | 4,844,033 | ||||||
Signature Bank1 | 128,940 | 7,735,111 | ||||||
12,579,144 | ||||||||
Insurance—2.1% | ||||||||
Arthur J. Gallagher & Co. | 160,940 | 5,381,834 | ||||||
ProAssurance Corp. | 85,920 | 6,858,134 | ||||||
12,239,968 | ||||||||
Health Care—13.5% | ||||||||
Biotechnology—3.1% | ||||||||
Alexion Pharmaceuticals, Inc.1 | 202,940 | 14,510,210 | ||||||
BioMarin Pharmaceutical, Inc.1 | 92,570 | 3,182,557 | ||||||
17,692,767 | ||||||||
Health Care Equipment & Supplies—1.8% | ||||||||
Cooper Cos., Inc. (The) | 57,790 | 4,075,351 | ||||||
Edwards Lifesciences Corp.1 | 46,160 | 3,263,512 | ||||||
IDEXX Laboratories, Inc.1 | 41,660 | 3,206,154 | ||||||
10,545,017 |
Shares | Value | |||||||
Health Care Providers & Services—4.0% | ||||||||
AmerisourceBergen Corp. | 205,340 | $ | 7,636,595 | |||||
Catalyst Health Solutions, Inc.1 | 92,800 | 4,825,600 | ||||||
HMS Holdings Corp.1 | 338,930 | 10,838,981 | ||||||
23,301,176 | ||||||||
Health Care Technology—2.4% | ||||||||
Cerner Corp.1 | 127,760 | 7,825,300 | ||||||
SXC Health Solutions Corp.1 | 107,270 | 6,058,610 | ||||||
13,883,910 | ||||||||
Pharmaceuticals—2.2% | ||||||||
Perrigo Co. | 56,770 | 5,523,721 | ||||||
Watson Pharmaceuticals, Inc.1 | 118,580 | 7,155,117 | ||||||
12,678,838 | ||||||||
Industrials—18.2% | ||||||||
Aerospace & Defense—3.8% | ||||||||
B/E Aerospace, Inc.1 | 181,170 | 7,013,091 | ||||||
Hexcel Corp.1 | 236,710 | 5,730,749 | ||||||
TransDigm Group, Inc.1 | 97,200 | 9,300,096 | ||||||
22,043,936 | ||||||||
Commercial Services & Supplies—2.4% | ||||||||
Clean Harbors, Inc.1 | 54,310 | 3,461,176 | ||||||
Stericycle, Inc.1 | 61,730 | 4,810,002 | ||||||
Waste Connections, Inc. | 163,980 | 5,434,297 | ||||||
13,705,475 | ||||||||
Electrical Equipment—3.7% | ||||||||
AMETEK, Inc. | 185,905 | 7,826,601 | ||||||
Polypore International, Inc.1 | 125,110 | 5,503,589 | ||||||
Roper Industries, Inc. | 96,860 | 8,414,228 | ||||||
21,744,418 | ||||||||
Machinery—5.4% | ||||||||
Gardner Denver, Inc. | 130,181 | 10,031,748 | ||||||
Joy Global, Inc. | 77,510 | 5,810,925 | ||||||
Pall Corp. | 50,530 | 2,887,790 | ||||||
Robbins & Myers, Inc. | 107,062 | 5,197,860 | ||||||
Wabtec Corp. | 106,080 | 7,420,296 | ||||||
31,348,619 | ||||||||
Marine—0.8% | ||||||||
Kirby Corp.1 | 66,820 | 4,399,429 | ||||||
Road & Rail—2.1% | ||||||||
Kansas City Southern, Inc.1 | 177,770 | 12,090,138 | ||||||
Information Technology—19.0% | ||||||||
Communications Equipment—1.6% | ||||||||
Aruba Networks, Inc.1 | 207,400 | 3,841,048 | ||||||
F5 Networks, Inc.1 | 27,220 | 2,888,586 | ||||||
Riverbed Technology, Inc.1 | 116,600 | 2,740,100 | ||||||
9,469,734 | ||||||||
Computers & Peripherals—1.0% | ||||||||
SanDisk Corp.1 | 118,800 | 5,846,148 | ||||||
Internet Software & Services—3.7% | ||||||||
Equinix, Inc.1 | 57,900 | 5,871,060 | ||||||
IAC/InterActiveCorp | 73,750 | 3,141,750 | ||||||
Mercadolibre, Inc. | 35,970 | 2,861,054 | ||||||
Rackspace Hosting, Inc.1 | 223,380 | 9,607,574 | ||||||
21,481,438 | ||||||||
IT Services—1.8% | ||||||||
Alliance Data Systems Corp.1 | 33,690 | 3,498,370 | ||||||
Teradata Corp.1 | 140,160 | 6,799,162 | ||||||
10,297,532 | ||||||||
Semiconductors & Semiconductor Equipment—2.8% | ||||||||
Avago Technologies Ltd. | 210,940 | 6,087,728 | ||||||
Cavuim, Inc.1 | 195,800 | 5,566,594 | ||||||
Cypress Semiconductor Corp. | 249,080 | 4,206,961 | ||||||
15,861,283 | ||||||||
Software—8.1% | ||||||||
Ariba, Inc.1 | 196,950 | 5,530,356 | ||||||
Check Point Software Technologies Ltd.1 | 112,540 | 5,912,852 | ||||||
Citrix Systems, Inc.1 | 86,480 | 5,251,066 | ||||||
Fortinet, Inc.1 | 298,510 | 6,510,503 | ||||||
MICROS Systems, Inc.1 | 74,030 | 3,448,317 | ||||||
Nuance Communications, Inc.1 | 243,720 | 6,131,995 | ||||||
Red Hat, Inc.1 | 157,870 | 6,518,452 | ||||||
TIBCO Software, Inc.1 | 318,930 | 7,625,616 | ||||||
46,929,157 | ||||||||
Materials—4.4% | ||||||||
Chemicals—3.0% | ||||||||
Airgas, Inc. | 78,650 | 6,140,992 | ||||||
Albemarle Corp. | 60,020 | 3,091,630 | ||||||
CF Industries Holdings, Inc. | 35,240 | 5,109,095 | ||||||
Sigma-Aldrich Corp. | 45,410 | 2,836,309 | ||||||
17,178,026 |
Shares | Value | |||||||
Containers & Packaging—0.5% | ||||||||
Ball Corp. | 85,850 | $ | 3,065,704 | |||||
Metals & Mining—0.9% | ||||||||
Allied Nevada Gold Corp.1 | 115,380 | 3,493,706 | ||||||
Silver Wheaton Corp. | 64,680 | 1,873,133 | ||||||
5,366,839 | ||||||||
Telecommunication Services—0.9% | ||||||||
Wireless Telecommunication Services—0.9% | ||||||||
SBA Communications Corp.1 | 124,300 | 5,339,928 | ||||||
Utilities—0.8% | ||||||||
Electric Utilities—0.8% | ||||||||
ITC Holdings Corp. | 61,890 | 4,696,213 | ||||||
Total Common Stocks (Cost $443,441,234) | 567,045,393 | |||||||
Investment Company—2.4% | ||||||||
Oppenheimer Institutional | ||||||||
Money Market Fund, | ||||||||
Cl. E, 0.20%2,3 (Cost $14,138,260) | 14,138,260 | 14,138,260 | ||||||
Total Investments, at Value (Cost $457,579,494) | 100.4 | % | 581,183,653 | |||||
Liabilities in Excess of Other Assets | (0.4 | ) | (2,391,076 | ) | ||||
Net Assets | 100.0 | % | $ | 578,792,577 | ||||
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2010 | Additions | Reductions | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 2,477,343 | 298,507,957 | 286,847,040 | 14,138,260 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 14,138,260 | $ | 29,298 |
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 | $ | 112,974,097 | $ | — | $ | — | $ | 112,974,097 | ||||||||
Consumer Staples | 41,082,271 | — | — | 41,082,271 | ||||||||||||
Energy | 50,784,163 | — | — | 50,784,163 | ||||||||||||
Financials | 33,239,137 | — | — | 33,239,137 | ||||||||||||
Health Care | 78,101,708 | — | — | 78,101,708 | ||||||||||||
Industrials | 105,332,015 | — | — | 105,332,015 | ||||||||||||
Information Technology | 109,885,292 | — | — | 109,885,292 | ||||||||||||
Materials | 25,610,569 | — | — | 25,610,569 | ||||||||||||
Telecommunication Services | 5,339,928 | — | — | 5,339,928 | ||||||||||||
Utilities | 4,696,213 | — | — | 4,696,213 | ||||||||||||
Investment Company | 14,138,260 | — | — | 14,138,260 | ||||||||||||
Total Assets | $ | 581,183,653 | $ | — | $ | — | $ | 581,183,653 | ||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $443,441,234) | $ | 567,045,393 | ||
Affiliated companies (cost $14,138,260) | 14,138,260 | |||
581,183,653 | ||||
Cash | 10,642 | |||
Receivables and other assets: | ||||
Investments sold | 4,950,623 | |||
Dividends | 146,929 | |||
Other | 25,495 | |||
Total assets | 586,317,342 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 7,107,703 | |||
Shares of beneficial interest redeemed | 218,488 | |||
Shareholder communications | 94,613 | |||
Transfer and shareholder servicing agent fees | 50,230 | |||
Trustees’ compensation | 23,054 | |||
Distribution and service plan fees | 7,115 | |||
Other | 23,562 | |||
Total liabilities | 7,524,765 | |||
Net Assets | $ | 578,792,577 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 12,320 | ||
Additional paid-in capital | 680,555,657 | |||
Accumulated net investment loss | (23,054 | ) | ||
Accumulated net realized loss on investments | (225,356,505 | ) | ||
Net unrealized appreciation on investments | 123,604,159 | |||
Net Assets | $ | 578,792,577 | ||
Net Asset Value Per Share | ||||
Non-Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $543,019,910 and 11,539,403 shares of beneficial interest outstanding) | $ | 47.06 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $35,772,667 and 780,440 shares of beneficial interest outstanding) | $ | 45.84 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $12,856) | $ | 1,694,660 | ||
Affiliated companies | 29,298 | |||
Interest | 400 | |||
Total investment income | 1,724,358 | |||
Expenses | ||||
Management fees | 4,602,216 | |||
Distribution and service plan fees—Service shares | 94,416 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 605,262 | |||
Service shares | 37,794 | |||
Shareholder communications: | ||||
Non-Service shares | 66,395 | |||
Service shares | 4,003 | |||
Trustees’ compensation | 27,965 | |||
Custodian fees and expenses | 4,518 | |||
Administration service fees | 1,500 | |||
Other | 49,607 | |||
Total expenses | 5,493,676 | |||
Less waivers and reimbursements of expenses | (265,165 | ) | ||
Net expenses | 5,228,511 | |||
Net Investment Loss | (3,504,153 | ) | ||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from unaffiliated companies | 77,531,562 | |||
Net change in unrealized appreciation/depreciation on investments | (62,965,525 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 11,061,884 | ||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment loss | $ | (3,504,153 | ) | $ | (1,731,317 | ) | ||
Net realized gain | 77,531,562 | 74,149,150 | ||||||
Net change in unrealized appreciation/depreciation | (62,965,525 | ) | 71,236,219 | |||||
Net increase in net assets resulting from operations | 11,061,884 | 143,654,052 | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (80,390,137 | ) | (72,544,702 | ) | ||||
Service shares | 3,579,422 | (348,697 | ) | |||||
(76,810,715 | ) | (72,893,399 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (65,748,831 | ) | 70,760,653 | |||||
Beginning of period | 644,541,408 | 573,780,755 | ||||||
End of period (including accumulated net investment loss of $23,054 and $20,834, respectively) | $ | 578,792,577 | $ | 644,541,408 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 46.55 | $ | 36.52 | $ | 27.54 | $ | 54.07 | $ | 50.85 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (.26 | ) | (.11 | ) | (.05 | ) | (.13 | ) | (.02 | ) | ||||||||||
Net realized and unrealized gain (loss) | .77 | 10.14 | 9.03 | (26.40 | ) | 3.24 | ||||||||||||||
Total from investment operations | .51 | 10.03 | 8.98 | (26.53 | ) | 3.22 | ||||||||||||||
Net asset value, end of period | $ | 47.06 | $ | 46.55 | $ | 36.52 | $ | 27.54 | $ | 54.07 | ||||||||||
Total Return, at Net Asset Value3 | 1.09 | % | 27.46 | % | 32.61 | % | (49.07 | )% | 6.33 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 543,020 | $ | 611,872 | $ | 547,683 | $ | 461,684 | $ | 1,002,442 | ||||||||||
Average net assets (in thousands) | $ | 605,083 | $ | 548,739 | $ | 478,968 | $ | 754,170 | $ | 1,045,592 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment loss | (0.53 | )% | (0.29 | )% | (0.17 | )% | (0.30 | )% | (0.04 | )% | ||||||||||
Total expenses5 | 0.84 | % | 0.85 | % | 0.86 | % | 0.71 | % | 0.69 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.76 | % | 0.71 | % | 0.68 | % | 0.69 | % | ||||||||||
Portfolio turnover rate | 91 | % | 95 | % | 102 | % | 78 | % | 112 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 45.46 | $ | 35.75 | $ | 27.03 | $ | 53.22 | $ | 50.19 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (.37 | ) | (.20 | ) | (.13 | ) | (.24 | ) | (.17 | ) | ||||||||||
Net realized and unrealized gain (loss) | .75 | 9.91 | 8.85 | (25.95 | ) | 3.20 | ||||||||||||||
Total from investment operations | .38 | 9.71 | 8.72 | (26.19 | ) | 3.03 | ||||||||||||||
Net asset value, end of period | $ | 45.84 | $ | 45.46 | $ | 35.75 | $ | 27.03 | $ | 53.22 | ||||||||||
Total Return, at Net Asset Value3 | 0.83 | % | 27.16 | % | 32.26 | % | (49.21 | )% | 6.04 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 35,773 | $ | 32,669 | $ | 26,098 | $ | 21,952 | $ | 47,270 | ||||||||||
Average net assets (in thousands) | $ | 37,775 | $ | 27,552 | $ | 22,605 | $ | 35,815 | $ | 49,421 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment loss | (0.78 | )% | (0.53 | )% | (0.44 | )% | (0.57 | )% | (0.31 | )% | ||||||||||
Total expenses5 | 1.09 | % | 1.10 | % | 1.12 | % | 0.98 | % | 0.96 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.01 | % | 0.97 | % | 0.95 | % | 0.96 | % | ||||||||||
Portfolio turnover rate | 91 | % | 95 | % | 102 | % | 78 | % | 112 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 | % |
Net Unrealized | |||||||||||
Appreciation | |||||||||||
Based on Cost of | |||||||||||
Undistributed | Undistributed | Accumulated | Securities and Other | ||||||||
Net Investment | Long-Term | Loss | Investments for Federal | ||||||||
Income | Gain | Carryforward1,2,3,4 | Income Tax Purposes | ||||||||
$ | — | $ | — | $ | 224,611,819 | $ | 122,859,464 |
Expiring | ||||
2017 | $ | 217,070,467 |
Reduction to | ||||
Accumulated | ||||
Reduction to | Net Investment | |||
Paid-in Capital | Loss | |||
$3,501,933 | $ | 3,501,933 |
Federal tax cost of securities | $ | 458,324,189 | ||
Gross unrealized appreciation | $ | 135,530,691 | ||
Gross unrealized depreciation | (12,671,227 | ) | ||
Net unrealized appreciation | $ | 122,859,464 | ||
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 665,252 | $ | 32,309,437 | 660,517 | $ | 26,701,795 | ||||||||||
Redeemed | (2,270,275 | ) | (112,699,574 | ) | (2,513,826 | ) | (99,246,497 | ) | ||||||||
Net decrease | (1,605,023 | ) | $ | (80,390,137 | ) | (1,853,309 | ) | $ | (72,544,702 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 366,560 | $ | 18,018,685 | 170,363 | $ | 6,822,078 | ||||||||||
Redeemed | (304,822 | ) | (14,439,263 | ) | (181,692 | ) | (7,170,775 | ) | ||||||||
Net increase (decrease) | 61,738 | $ | 3,579,422 | (11,329 | ) | $ | (348,697 | ) | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 577,573,605 | $ | 673,534,159 |
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 |
February 16, 2012
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Beverly L. Hamilton, Continued | venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989- June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank- Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2001) Age: 69 | Trustee Emeritus of Worcester Poly tech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005- March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003- March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004- August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006- May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
William F. Glavin, Jr., Continued | and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Zibelli, Jr., Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Ronald J. Zibelli, Jr., Vice President (since 2008) Age: 52 | Vice President of the Manager (since May 2006); a Chartered Financial Analyst. Prior to joining the Manager, Managing Director and Small Cap Growth Team Leader at Merrill Lynch Investment Managers (January 2002- May 2006). A portfolio manager and officer of 3 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005- April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
©2012 OppenheimerFunds, Inc. All rights reserved. |
December 31, 2011 |
Oppenheimer Balanced Fund/VA AnnualReport |
A Series of Oppenheimer Variable Account Funds |
ANNUAL REPORT |
Listing of Top Holdings Fund Performance |
Discussion Financial Statements |
For the Periods Ended 12/30/112
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 0.72% | -4.05% | 1.47% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/02) | ||||||||||
Service Shares | 0.38% | -4.30% | 1.40% |
For the Periods Ended 12/30/112
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios3 | Ratios3 | |||||||
Non-Service Shares | 0.93% | 0.69% | ||||||
Service Shares | 1.18 | 0.94 |
Top Ten Common Stock Holdings | ||||
Chevron Corp. | 3.5 | % | ||
U.S. Bancorp | 2.1 | |||
Coca-Cola Co. (The) | 2.0 | |||
Wells Fargo & Co. | 1.9 | |||
MetLife, Inc. | 1.6 | |||
Jupiter Telecommunications Co. Ltd. | 1.6 | |||
Goldman Sachs Group, Inc. (The) | 1.6 | |||
Exxon Mobil Corp. | 1.5 | |||
Pfizer, Inc. | 1.5 | |||
ACE Ltd. | 1.4 |
1. | Effective November 2011. | |
2. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. | |
3. | These Expense Ratios include the applicable indirect expenses attributable to the Fund’s investments in other investment companies. |
4. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 965.80 | $ | 3.31 | ||||||
Service Shares | 1,000.00 | 963.80 | 4.54 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.71 | 3.40 | |||||||||
Service Shares | 1,000.00 | 1,020.46 | 4.67 |
Class | Expense Ratios | |||
Non-Service Shares | 0.67 | % | ||
Service Shares | 0.92 |
Shares | Value | |||||||
Common Stocks—48.1% | ||||||||
Consumer Discretionary—6.5% | ||||||||
Automobiles—0.9% | ||||||||
Ford Motor Co.1 | 175,370 | $ | 1,886,981 | |||||
Household Durables—0.5% | ||||||||
Mohawk Industries, Inc.1 | 17,780 | 1,064,133 | ||||||
Media—3.8% | ||||||||
Comcast Corp., Cl. A | 118,380 | 2,806,790 | ||||||
Jupiter Telecommunications Co. Ltd. | 3,231 | 3,274,237 | ||||||
Viacom, Inc., Cl. B | 35,080 | 1,592,983 | ||||||
7,674,010 | ||||||||
Multiline Retail—1.3% | ||||||||
Target Corp. | 53,080 | 2,718,758 | ||||||
Consumer Staples—4.0% | ||||||||
Beverages—2.0% | ||||||||
Coca-Cola Co. (The) | 58,860 | 4,118,434 | ||||||
Food & Staples Retailing—1.3% | ||||||||
Wal-Mart Stores, Inc. | 45,590 | 2,724,458 | ||||||
Household Products—0.7% | ||||||||
Church & Dwight Co., Inc. | 29,050 | 1,329,328 | ||||||
Energy—7.3% | ||||||||
Energy Equipment & Services—0.4% | ||||||||
Nabors Industries Ltd.1 | 51,520 | 893,357 | ||||||
Oil, Gas & Consumable Fuels—6.9% | ||||||||
Apache Corp. | 12,290 | 1,113,228 | ||||||
Chevron Corp. | 68,690 | 7,308,612 | ||||||
Exxon Mobil Corp. | 37,000 | 3,136,120 | ||||||
Penn West Petroleum Ltd. | 30,730 | 608,454 | ||||||
Royal Dutch Shell plc, ADR | 26,970 | 1,971,237 | ||||||
14,137,651 | ||||||||
Financials—11.1% | ||||||||
Capital Markets—1.6% | ||||||||
Goldman Sachs Group, Inc. (The) | 35,530 | 3,212,978 | ||||||
Commercial Banks—5.2% | ||||||||
CIT Group, Inc.1 | 25,970 | 905,574 | ||||||
M&T Bank Corp. | 20,750 | 1,584,055 | ||||||
U.S. Bancorp | 158,000 | 4,273,900 | ||||||
Wells Fargo & Co. | 143,530 | 3,955,687 | ||||||
10,719,216 | ||||||||
Diversified Financial Services—1.3% | ||||||||
JPMorgan Chase & Co. | 81,040 | 2,694,580 | ||||||
Insurance—3.0% | ||||||||
ACE Ltd. | 40,870 | 2,865,804 | ||||||
MetLife, Inc. | 107,300 | 3,345,614 | ||||||
6,211,418 | ||||||||
Health Care—5.8% | ||||||||
Biotechnology—1.0% | ||||||||
Gilead Sciences, Inc.1 | 49,760 | 2,036,677 | ||||||
Health Care Equipment & Supplies—1.1% | ||||||||
Medtronic, Inc. | 57,750 | 2,208,938 | ||||||
Health Care Providers & Services—2.2% | ||||||||
Humana, Inc. | 18,400 | 1,612,024 | ||||||
UnitedHealth Group, Inc. | 40,010 | 2,027,707 | ||||||
WellPoint, Inc. | 13,700 | 907,625 | ||||||
4,547,356 | ||||||||
Pharmaceuticals—1.5% | ||||||||
Pfizer, Inc. | 143,630 | 3,108,153 | ||||||
Industrials—3.0% | ||||||||
Electrical Equipment—1.3% | ||||||||
Cooper Industries plc | 50,210 | 2,718,872 | ||||||
Industrial Conglomerates—1.3% | ||||||||
Tyco International Ltd. | 54,600 | 2,550,366 | ||||||
Trading Companies & Distributors—0.4% | ||||||||
AerCap Holdings NV1 | 73,620 | 831,170 | ||||||
Information Technology—4.7% | ||||||||
Communications Equipment—1.0% | ||||||||
Juniper Networks, Inc.1 | 102,000 | 2,081,820 | ||||||
Orbcomm, Inc.1 | 375 | 1,121 | ||||||
2,082,941 | ||||||||
Computers & Peripherals—0.3% | ||||||||
Hewlett-Packard Co. | 20,090 | 517,518 | ||||||
Internet Software & Services—0.3% | ||||||||
VeriSign, Inc. | 17,710 | 632,601 | ||||||
Semiconductors & Semiconductor Equipment—0.7% | ||||||||
Xilinx, Inc. | 45,620 | 1,462,577 | ||||||
Software—2.4% | ||||||||
Microsoft Corp. | 107,420 | 2,788,623 | ||||||
Oracle Corp. | 86,240 | 2,212,056 | ||||||
5,000,679 | ||||||||
Materials—1.5% | ||||||||
Chemicals—1.1% | ||||||||
Celanese Corp., Series A | 13,790 | 610,483 | ||||||
Mosaic Co. (The) | 35,010 | 1,765,554 | ||||||
2,376,037 | ||||||||
Containers & Packaging—0.4% | ||||||||
Rock-Tenn Co., Cl. A | 14,350 | 827,995 | ||||||
Telecommunication Services—1.7% | ||||||||
Diversified Telecommunication Services—0.7% | ||||||||
AT&T, Inc. | 51,330 | 1,552,219 |
Shares | Value | |||||||
Wireless Telecommunication Services—1.0% | ||||||||
Vodafone Group plc, Sponsored ADR | 72,840 | $ | 2,041,705 | |||||
Utilities—2.5% | ||||||||
Electric Utilities—1.6% | ||||||||
American Electric Power Co., Inc. | 16,520 | 682,441 | ||||||
Edison International, Inc. | 65,690 | 2,719,566 | ||||||
3,402,007 | ||||||||
Energy Traders—0.3% | ||||||||
GenOn Energy, Inc.1 | 208,040 | 542,984 | ||||||
Multi-Utilities—0.6% | ||||||||
Public Service Enterprise Group, Inc. | 38,850 | 1,282,439 | ||||||
Total Common Stocks (Cost $95,567,248) | 99,108,536 |
Principal | ||||||||
Amount | ||||||||
Asset-Backed Securities—4.3% | ||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/132 | $ | 125,000 | 124,718 | |||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 | 30,000 | 30,036 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/152 | 200,000 | 203,361 | ||||||
Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1.54%, 9/15/16 | 240,000 | 239,359 | ||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 | 63,097 | 63,447 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 | 60,000 | 60,771 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: | ||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15 | 70,000 | 70,304 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 | 120,000 | 119,838 | ||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 | 335,000 | 334,498 | ||||||
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables Nts., Series 2011-5, Cl. D, 4.72%, 12/8/17 | 205,000 | 209,733 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 | 18,188 | 18,197 | ||||||
CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 | 65,000 | 65,140 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.404%, 7/25/363 | 177,363 | 163,486 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/152 | 52,768 | 55,340 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 180,000 | 187,736 | ||||||
Citibank Omni Master Trust, Credit Card Receivables: | ||||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/182 | 475,000 | 519,207 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/182 | 370,000 | 402,724 | ||||||
Series 2009-A8, Cl. A8, 2.378%, 5/16/162,3 | 325,000 | 327,026 | ||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.078%, 1/20/413 | 240,000 | 240,290 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.034%, 2/25/333 | 8,285 | 7,957 | ||||||
Series 2005-16, Cl. 2AF2, 5.377%, 5/1/363 | 222,632 | 171,039 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.414%, 6/25/473 | 428,317 | 378,736 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 | 210,000 | 212,845 | ||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/152 | 104,466 | 104,976 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/152 | 290,000 | 290,555 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/132 | 70,000 | 69,769 | ||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/414 | 201,000 | 200,600 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 | 155,498 | 154,780 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.828%, 9/15/143 | 245,000 | 246,891 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.928%, 12/15/142,3 | 250,000 | 252,743 |
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 | $ | 255,000 | $ | 258,540 | ||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.828%, 10/20/142,3 | 240,000 | 242,118 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/232 | 230,000 | 229,983 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/152 | 315,000 | 318,683 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.628%, 3/15/163 | 255,000 | 255,717 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 | 220,000 | 220,565 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.428%, 1/15/152,3 | 240,000 | 241,833 | ||||||
Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/162 | 180,000 | 179,678 | ||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 | 84,342 | 84,339 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 | 235,000 | 235,014 | ||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/132 | 113,838 | 113,937 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 | 245,000 | 244,501 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 | 230,913 | 228,892 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/172 | 177,527 | 174,865 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 | 215,000 | 215,349 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/142 | 105,000 | 104,898 | ||||||
Total Asset-Backed Securities (Cost $8,956,068) | 8,875,014 | |||||||
Mortgage-Backed Obligations—28.2% | ||||||||
Government Agency—23.0% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—22.6% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
4.50%, 1/1/425 | 1,595,000 | 1,690,451 | ||||||
5.50%, 9/1/39 | 1,038,003 | 1,128,541 | ||||||
7%, 10/1/37 | 756,180 | 862,947 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2006-11, Cl. PS, 23.49%, 3/25/363 | 208,974 | 291,823 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17 | 292,502 | 313,107 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 355,826 | 409,262 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33 | 495,738 | 547,873 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 | 79,583 | 79,761 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17 | 3,816 | 3,815 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 88,424 | 88,878 | ||||||
Series 3025, Cl. SJ, 23.73%, 8/15/353 | 60,634 | 86,707 | ||||||
Series 3094, Cl. HS, 23.363%, 6/15/343 | 120,743 | 163,480 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 | 41,838 | 42,019 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 | 398,780 | 431,858 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 288,558 | 305,005 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 3,759 | 3,758 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 15.233%, 4/1/276 | 143,551 | 23,425 | ||||||
Series 192, Cl. IO, 13.427%, 2/1/286 | 41,272 | 7,891 | ||||||
Series 2130, Cl. SC, 50.18%, 3/15/296 | 116,974 | 23,846 | ||||||
Series 243, Cl. 6, 0.377%, 12/15/326 | 138,077 | 25,081 | ||||||
Series 2527, Cl. SG, 10.403%, 2/15/326 | 12,469 | 133 | ||||||
Series 2531, Cl. ST, 58.412%, 2/15/306 | 368,946 | 11,344 | ||||||
Series 2796, Cl. SD, 61.829%, 7/15/266 | 169,644 | 33,314 | ||||||
Series 2802, Cl. AS, 60.97%, 4/15/336 | 118,293 | 8,478 | ||||||
Series 2920, Cl. S, 63.683%, 1/15/356 | 932,789 | 158,091 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/266 | 123,887 | 15,878 | ||||||
Series 3451, Cl. SB, 20.751%, 5/15/386 | 725,978 | 86,535 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.812%, 6/1/267 | 41,694 | 38,195 | ||||||
Federal National Mortgage Assn.: | ||||||||
3.50%, 1/1/275 | 2,500,000 | 2,614,844 | ||||||
4%, 1/1/425 | 4,285,000 | 4,502,598 | ||||||
4.50%, 1/1/27-1/1/425 | 7,687,000 | 8,185,248 | ||||||
5%, 1/1/425 | 5,657,000 | 6,112,213 | ||||||
5.50%, 9/25/20 | 9,370 | 10,265 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn.: Continued | ||||||||
5.50%, 1/1/27-1/1/425 | $ | 2,644,000 | $ | 2,878,069 | ||||
6%, 3/1/37 | 644,704 | 711,313 | ||||||
6%, 1/1/425 | 2,025,000 | 2,230,032 | ||||||
6.50%, 1/1/425 | 680,000 | 756,713 | ||||||
7%, 11/1/17 | 119,583 | 127,915 | ||||||
7.50%, 1/1/33 | 176,098 | 209,822 | ||||||
8.50%, 7/1/32 | 5,673 | 6,937 | ||||||
Federal National Mortgage Assn., 15 yr.: | ||||||||
3%, 1/1/275 | 4,630,000 | 4,782,645 | ||||||
4%, 1/1/275 | 235,000 | 247,888 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 121,285 | 136,532 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 721,364 | 772,696 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 87,826 | 88,598 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 | 700,000 | 776,851 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 61,136 | 61,308 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 26,639 | 26,690 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 42,270 | 42,506 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | 266,714 | 278,672 | ||||||
Trust 2006-46, Cl. SW, 23.123%, 6/25/363 | 151,290 | 211,240 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 | 349,324 | 366,115 | ||||||
Trust 2009-36, Cl. FA, 1.234%, 6/25/373 | 358,304 | 362,778 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 | 433,702 | 457,191 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 | 530,387 | 545,953 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 | 190,903 | 202,069 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 | 278,638 | 301,981 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-65, Cl. S, 36.887%, 11/25/316 | 328,819 | 59,590 | ||||||
Trust 2001-81, Cl. S, 31.648%, 1/25/326 | 77,633 | 15,352 | ||||||
Trust 2002-47, Cl. NS, 34.45%, 4/25/326 | 185,860 | 35,476 | ||||||
Trust 2002-51, Cl. S, 34.703%, 8/25/326 | 170,663 | 32,581 | ||||||
Trust 2002-52, Cl. SD, 41.209%, 9/25/326 | 214,578 | 42,915 | ||||||
Trust 2002-77, Cl. SH, 41.713%, 12/18/326 | 113,096 | 22,106 | ||||||
Trust 2002-84, Cl. SA, 40.239%, 12/25/326 | 304,774 | 52,674 | ||||||
Trust 2002-9, Cl. MS, 33.177%, 3/25/326 | 121,884 | 23,634 | ||||||
Trust 2003-33, Cl. SP, 40.163%, 5/25/336 | 350,732 | 57,225 | ||||||
Trust 2003-4, Cl. S, 36.497%, 2/25/336 | 194,987 | 34,270 | ||||||
Trust 2003-46, Cl. IH, 16.403%, 6/1/236 | 1,063,523 | 132,960 | ||||||
Trust 2003-89, Cl. XS, 40.943%, 11/25/326 | 87,834 | 4,413 | ||||||
Trust 2004-54, Cl. DS, 51.305%, 11/25/306 | 182,972 | 34,373 | ||||||
Trust 2005-14, Cl. SE, 41.53%, 3/25/356 | 134,956 | 19,579 | ||||||
Trust 2005-40, Cl. SA, 60.391%, 5/25/356 | 505,274 | 89,975 | ||||||
Trust 2005-71, Cl. SA, 61.101%, 8/25/256 | 515,615 | 72,292 | ||||||
Trust 2005-93, Cl. SI, 18.704%, 10/25/356 | 96,809 | 14,289 | ||||||
Trust 2006-129, Cl. SM, 28.813%, 1/25/376 | 604,763 | 86,646 | ||||||
Trust 2006-60, Cl. DI, 38.798%, 4/25/356 | 81,947 | 11,823 | ||||||
Trust 2007-88, Cl. XI, 35.148%, 6/25/376 | 550,091 | 78,478 | ||||||
Trust 2008-55, Cl. SA, 25.574%, 7/25/386 | 381,957 | 42,398 | ||||||
Trust 2008-67, Cl. KS, 48.433%, 8/25/346 | 199,750 | 14,558 | ||||||
Trust 222, Cl. 2, 24.79%, 6/1/236 | 315,791 | 59,435 | ||||||
Trust 233, Cl. 2, 43.257%, 8/1/236 | 307,466 | 59,505 | ||||||
Trust 252, Cl. 2, 36.731%, 11/1/236 | 263,105 | 48,348 | ||||||
Trust 319, Cl. 2, 6.059%, 2/1/326 | 81,417 | 14,738 | ||||||
Trust 331, Cl. 9, 13.163%, 2/1/336 | 255,461 | 50,232 | ||||||
Trust 334, Cl. 17, 20.772%, 2/1/336 | 148,926 | 32,853 | ||||||
Trust 339, Cl. 12, 2.509%, 7/1/336 | 249,514 | 47,615 | ||||||
Trust 339, Cl. 7, 6.752%, 7/1/336 | 836,751 | 119,298 | ||||||
Trust 343, Cl. 13, 10.17%, 9/1/336 | 239,504 | 44,553 | ||||||
Trust 345, Cl. 9, 0%, 1/1/346,8 | 310,390 | 40,167 | ||||||
Trust 351, Cl. 10, 0.79%, 4/1/346 | 35,430 | 5,170 | ||||||
Trust 351, Cl. 8, 1.45%, 4/1/346 | 111,218 | 16,394 | ||||||
Trust 356, Cl. 10, 1.267%, 6/1/356 | 87,783 | 12,792 | ||||||
Trust 356, Cl. 12, 1.968%, 2/1/356 | 46,186 | 6,733 | ||||||
Trust 362, Cl. 13, 3.439%, 8/1/356 | 337,362 | 54,105 | ||||||
Trust 364, Cl. 16, 0.174%, 9/1/356 | 242,082 | 40,407 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.309%, 9/25/237 | 117,021 | 105,902 | ||||||
46,625,032 | ||||||||
GNMA/Guaranteed—0.2% | ||||||||
Government National Mortgage Assn., 8%, 4/15/23 | 50,341 | 59,309 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-21, Cl. SB, 91.36%, 1/16/276 | 211,360 | 41,625 | ||||||
Series 2002-15, Cl. SM, 82.507%, 2/16/326 | 246,720 | 45,794 | ||||||
Series 2002-76, Cl. SY, 83.178%, 12/16/266 | 540,644 | 109,381 | ||||||
Series 2004-11, Cl. SM, 80.843%, 1/17/306 | 197,888 | 45,101 | ||||||
Series 2007-17, Cl. AI, 21.004%, 4/16/376 | 475,917 | 89,263 | ||||||
390,473 | ||||||||
Other Agency—0.2% | ||||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.834%, 12/8/203 | 347,813 | 349,225 | ||||||
Non-Agency—5.2% | ||||||||
Commercial—3.7% | ||||||||
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 | 387,161 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.622%, 6/1/493 | 180,000 | 193,776 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.669%, 6/1/473 | $ | 244,346 | $ | 170,875 | ||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/442 | 67,207 | 67,053 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | 51,542 | 40,788 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.072%, 12/1/493 | 300,000 | 334,582 | ||||||
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 | 308,768 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 238,868 | 130,853 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/462 | 278,414 | 286,650 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.859%, 9/1/202,6 | 2,197,256 | 165,137 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 249,510 | 243,426 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 449,147 | 294,661 | ||||||
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 | 75,829 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 | 235,000 | 221,593 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 | 182,343 | 186,451 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.834%, 5/25/353 | 148,829 | 101,340 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.11%, 11/1/353 | 315,769 | 215,229 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/462 | 209,174 | 210,091 | ||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/432 | 340,000 | 353,925 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/494 | 127,552 | 128,776 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 | 355,000 | 366,823 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 | 40,000 | 43,409 | ||||||
Series 2007-LD11, Cl. A2, 5.802%, 6/15/493 | 268,798 | 271,887 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 | 332,593 | 279,692 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40 | 107,611 | 107,690 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40 | 415,000 | 456,450 | ||||||
Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 2.664%, 4/1/343 | 198,378 | 191,352 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 470,261 | 482,720 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.879%, 6/1/493 | 230,000 | 217,466 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.118%, 7/1/373 | 304,680 | 183,410 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 | 260,000 | 286,373 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.474%, 12/1/353 | $ | 153,943 | $ | 119,433 | ||||
Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/432 | 176,891 | 183,613 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.042%, 11/1/373 | 213,735 | 155,757 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.82%, 3/1/446 | 2,833,135 | 251,663 | ||||||
7,714,702 | ||||||||
Multifamily—0.3% | ||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.672%, 6/1/363 | 203,226 | 165,839 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.259%, 5/1/373 | 42,477 | 34,372 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.689%, 3/25/363 | 521,619 | 417,110 | ||||||
617,321 | ||||||||
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 | 347,679 | ||||||
Residential—1.0% | ||||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.544%, 5/1/363 | 80,000 | 70,893 | ||||||
Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.866%, 6/1/343 | 128,623 | 113,717 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 62,243 | 52,213 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 169,268 | 161,050 | ||||||
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 | 688,524 | 540,622 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 | 195,456 | 136,115 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 169,436 | 164,920 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 119,999 | 103,140 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 116,801 | 121,208 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 24,192 | 13,734 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 39,406 | 30,547 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.467%, 5/1/373 | 204,503 | 170,770 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 | 174,937 | 136,051 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.625%, 9/1/343 | 85,387 | 81,395 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.667%, 10/1/363 | 198,909 | 167,167 | ||||||
2,063,542 | ||||||||
Total Mortgage-Backed Obligations (Cost $56,907,510) | 58,107,974 |
Principal | ||||||||
Amount | Value | |||||||
U.S. Government Obligations—0.6% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
2%, 8/25/16 | $ | 65,000 | $ | 67,696 | ||||
2.50%, 5/27/16 | 100,000 | 106,063 | ||||||
5%, 2/16/17 | 115,000 | 135,958 | ||||||
5.25%, 4/18/16 | 195,000 | 230,030 | ||||||
5.50%, 7/18/16 | 110,000 | 131,364 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
2.375%, 4/11/169 | 190,000 | 201,032 | ||||||
4.875%, 12/15/16 | 160,000 | 188,755 | ||||||
5%, 3/15/169 | 120,000 | 140,028 | ||||||
Total U.S. Government Obligations (Cost $1,127,545) | 1,200,926 | |||||||
Non-Convertible Corporate Bonds and Notes—18.3% | ||||||||
Consumer Discretionary—3.0% | ||||||||
Automobiles—0.3% | ||||||||
Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts., 9/15/142 | 153,000 | 152,291 | ||||||
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 | 88,000 | 123,203 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 | 236,000 | 246,321 | ||||||
521,815 | ||||||||
Diversified Consumer Services—0.1% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 230,000 | 248,400 | ||||||
Hotels, Restaurants & Leisure—0.3% | ||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/152 | 349,000 | 374,101 | ||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 | 255,000 | 286,944 | ||||||
661,045 | ||||||||
Household Durables—0.3% | ||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 | 201,000 | 206,528 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 | 223,000 | 233,922 | ||||||
Whirlpool Corp.: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 | 90,000 | 93,567 | ||||||
8% Sr. Unsec. Nts., 5/1/12 | 180,000 | 184,037 | ||||||
718,054 | ||||||||
Leisure Equipment & Products—0.1% | ||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 | 215,000 | 225,985 | ||||||
Media—1.3% | ||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 138,000 | 196,932 | ||||||
Comcast Corp., 6.40% Sr. Unsec. Nts., 3/1/40 | 52,000 | 64,752 | ||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 | 188,000 | 207,740 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 | 182,000 | 210,208 | ||||||
Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 | 201,000 | 217,583 | ||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 | 78,000 | 84,128 | ||||||
Interpublic Group of Cos., Inc. (The): | ||||||||
6.25% Sr. Unsec. Nts., 11/15/14 | 80,000 | 85,400 | ||||||
10% Sr. Unsec. Nts., 7/15/17 | 264,000 | 302,940 | ||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 | 218,000 | 245,250 | ||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 | 130,000 | 150,098 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 122,000 | 160,126 | ||||||
Time Warner, Inc., 4% Sr. Unsec. Unsub. Nts., 1/15/22 | 203,000 | 209,734 | ||||||
Virgin Media Secured Finance plc: | ||||||||
5.25% Sr. Sec. Nts., 1/15/21 | 132,000 | 140,053 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 | 282,000 | 301,035 | ||||||
2,575,979 | ||||||||
Multiline Retail—0.3% | ||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 | 127,000 | 130,891 | ||||||
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 | 336,000 | 357,659 | ||||||
Target Corp., 7% Bonds, 1/15/38 | 46,000 | 64,408 | ||||||
552,958 | ||||||||
Specialty Retail—0.3% | ||||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 | 198,000 | 210,870 | ||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 240,000 | 243,000 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/192 | 214,000 | 224,700 | ||||||
678,570 |
Principal | ||||||||
Amount | Value | |||||||
Consumer Staples—1.2% | ||||||||
Beverages—0.2% | ||||||||
Anheuser-Busch Inbev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19 | $ | 111,000 | $ | 143,926 | ||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 | 55,000 | 60,185 | ||||||
Pernod-Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/222 | 211,000 | 221,399 | ||||||
425,510 | ||||||||
Food & Staples Retailing—0.2% | ||||||||
CVS Caremark Corp., 6.125% Sr. Unsec. Unsub. Nts., 9/15/39 | 80,000 | 97,521 | ||||||
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40 | 63,000 | 64,785 | ||||||
Kroger Co. (The), 5% Sr. Nts., 4/15/13 | 199,000 | 208,270 | ||||||
370,576 | ||||||||
Food Products—0.4% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 29,000 | 30,436 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 155,000 | 188,888 | ||||||
Kraft Foods, Inc.: | ||||||||
6% Sr. Unsec. Nts., 2/11/13 | 207,000 | 218,160 | ||||||
6.50% Sr. Unsec. Unsub. Nts., 2/9/40 | 120,000 | 156,388 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 | 240,000 | 260,400 | ||||||
854,272 | ||||||||
Household Products—0.1% | ||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/212 | 233,000 | 245,581 | ||||||
Tobacco—0.3% | ||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 | 177,000 | 275,834 | ||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 | 149,000 | 156,856 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 | 214,000 | 229,619 | ||||||
662,309 | ||||||||
Energy—2.5% | ||||||||
Energy Equipment & Services—0.6% | ||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 | 235,000 | 245,096 | ||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 | 286,000 | 319,817 | ||||||
Precision Drilling Corp.: | ||||||||
6.50% Sr. Unsec. Nts., 12/15/212 | 102,000 | 104,550 | ||||||
6.625% Sr. Unsec. Nts., 11/15/20 | 97,000 | 99,668 | ||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 | 244,000 | 256,764 | ||||||
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 | 242,000 | 251,833 | ||||||
1,277,728 | ||||||||
Oil, Gas & Consumable Fuels—1.9% | ||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 | 145,000 | 161,640 | ||||||
BG Energy Capital plc, 4% Sr. Unsec. Nts., 10/15/212 | 152,000 | 156,930 | ||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 | 199,000 | 208,950 | ||||||
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/132 | 213,000 | 226,074 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 | 215,000 | 230,050 | ||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 | 330,000 | 365,234 | ||||||
Encana Corp., 3.90% Sr. Unsec. Unsub. Nts., 11/15/21 | 79,000 | 79,493 | ||||||
Energy Transfer Partners LP, 4.65% Sr. Unsec. Unsub. Nts., 6/1/21 | 172,000 | 168,744 | ||||||
EQT Corp., 4.875% Sr. Unsec. Unsub. Nts., 11/15/21 | 130,000 | 131,432 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 383,000 | 403,854 | ||||||
Marathon Petroleum Corp., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 | 110,000 | 115,082 | ||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 | 195,000 | 209,625 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 245,000 | 259,918 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 212,000 | 237,440 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/142 | 140,000 | 150,500 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/152 | 393,000 | 388,715 | ||||||
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12 | 214,000 | 215,395 | ||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/212 | 165,000 | 168,731 | ||||||
3,877,807 |
Principal | ||||||||
Amount | Value | |||||||
Financials—5.6% | ||||||||
Capital Markets—1.3% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/192 | $ | 405,000 | $ | 429,052 | ||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 232,000 | 196,624 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
5.25% Sr. Unsec. Nts., 7/27/21 | 326,000 | 318,497 | ||||||
6.25% Sr. Nts., 2/1/41 | 206,000 | 202,412 | ||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/212 | 314,000 | 289,883 | ||||||
Morgan Stanley: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/202 | 114,000 | 103,789 | ||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 595,000 | 574,843 | ||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 | 223,000 | 217,861 | ||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 | 237,000 | 240,025 | ||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 | 94,000 | 93,210 | ||||||
2,666,196 | ||||||||
Commercial Banks—1.0% | ||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/122 | 258,000 | 262,526 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 | 433,000 | 426,505 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353 | 510,000 | 425,850 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/202 | 174,000 | 145,779 | ||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 | 147,000 | 153,246 | ||||||
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 | 227,000 | 232,579 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 | 162,000 | 174,353 | ||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 | 306,000 | 324,687 | ||||||
2,145,525 | ||||||||
Consumer Finance—0.5% | ||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 | 223,000 | 233,187 | ||||||
American Express Credit Corp., 2.80% Sr. Unsec. Unsub. Nts., 9/19/16 | 209,000 | 210,301 | ||||||
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21 | 205,000 | 211,291 | ||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16 | 312,000 | 303,734 | ||||||
958,513 | ||||||||
Diversified Financial Services—0.9% | ||||||||
Bank of America Corp., 3.75% Sr. Unsec. Unsub. Nts., 7/12/16 | 230,000 | 213,222 | ||||||
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 | 669,000 | 715,037 | ||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/673,4 | 300,000 | 213,750 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/132 | 120,000 | 106,153 | ||||||
JPMorgan Chase & Co.: | ||||||||
5.40% Sr. Unsec. Nts., 1/6/42 | 60,000 | 62,729 | ||||||
7.90% Perpetual Bonds, Series 110 | 379,000 | 404,879 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 193,000 | 183,612 | ||||||
1,899,382 | ||||||||
Insurance—1.5% | ||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 | 60,000 | 71,915 | ||||||
CNA Financial Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 | 197,000 | 201,319 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 | 114,000 | 117,264 | ||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/122 | 212,000 | 216,706 | ||||||
Hartford Financial Services Group, Inc. (The), 6.625% Sr. Unsec. Unsub. Nts., 3/30/40 | 139,000 | 138,155 | ||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 | 228,000 | 211,718 | ||||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/212 | 342,000 | 335,624 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 | 466,000 | 391,440 | ||||||
Prudential Financial, Inc., 5.375% Sr. Unsec. Unsub. Nts., 6/21/20 | 386,000 | 413,674 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds2,10 | 455,000 | 389,030 | ||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 | 146,000 | 150,538 | ||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 | 241,000 | 245,050 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/373,4 | 252,000 | 228,060 | ||||||
3,110,493 | ||||||||
Real Estate Investment Trusts—0.4% | ||||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 | 123,000 | 123,794 | ||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 | 54,000 | 54,000 |
Principal | ||||||||
Amount | Value | |||||||
Real Estate Investment Trusts Continued | ||||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 | $ | 216,000 | $ | 225,990 | ||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 | 93,000 | 93,070 | ||||||
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/122 | 226,000 | 231,603 | ||||||
728,457 | ||||||||
Health Care—0.4% | ||||||||
Biotechnology—0.1% | ||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 | 145,000 | 159,867 | ||||||
Health Care Providers & Services—0.2% | ||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 | 124,000 | 158,786 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 | 145,000 | 156,655 | ||||||
315,441 | ||||||||
Pharmaceuticals—0.1% | ||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/182 | 245,000 | 253,269 | ||||||
Industrials—1.3% | ||||||||
Aerospace & Defense—0.2% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 230,000 | 236,900 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 205,000 | 225,500 | ||||||
462,400 | ||||||||
Commercial Services & Supplies—0.2% | ||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 235,000 | 256,150 | ||||||
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16 | 203,000 | 204,269 | ||||||
460,419 | ||||||||
Industrial Conglomerates—0.4% | ||||||||
General Electric Capital Corp.: | ||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 | 215,000 | 217,632 | ||||||
4.65% Sr. Unsec. Nts., 10/17/21 | 203,000 | 212,198 | ||||||
5.25% Sr. Unsec. Nts., 10/19/12 | 34,000 | 35,197 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 | 428,000 | 422,650 | ||||||
887,677 | ||||||||
Machinery—0.3% | ||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/162 | 214,000 | 221,490 | ||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 | 97,000 | 103,704 | ||||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/172 | 192,000 | 208,320 | ||||||
533,514 | ||||||||
Professional Services—0.0% | ||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 | 35,000 | 36,313 | ||||||
Road & Rail—0.2% | ||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 | 62,000 | 70,357 | ||||||
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18 | 185,000 | 204,425 | ||||||
274,782 | ||||||||
Information Technology—0.8% | ||||||||
Communications Equipment—0.1% | ||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 | 71,000 | 80,430 | ||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 | 93,000 | 101,891 | ||||||
182,321 | ||||||||
Computers & Peripherals—0.2% | ||||||||
Hewlett-Packard Co.: | ||||||||
2.35% Sr. Unsec. Unsub. Nts., 3/15/15 | 216,000 | 215,152 | ||||||
4.65% Sr. Unsec. Nts., 12/9/21 | 167,000 | 176,479 | ||||||
391,631 | ||||||||
Electronic Equipment & Instruments—0.2% | ||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 | 430,000 | 431,014 | ||||||
Office Electronics—0.1% | ||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 | 223,000 | 234,207 | ||||||
Semiconductors & Semiconductor Equipment—0.1% | ||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 | 157,000 | 181,234 | ||||||
Software—0.1% | ||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 | 264,000 | 265,844 | ||||||
Materials—1.3% | ||||||||
Chemicals—0.4% | ||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 | 101,000 | 125,502 | ||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 | 374,000 | 385,194 | ||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 | 210,000 | 235,200 | ||||||
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 | 140,000 | 171,269 | ||||||
917,165 | ||||||||
Containers & Packaging—0.1% | ||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 | 180,000 | 190,029 |
Principal | ||||||||
Amount | Value | |||||||
Metals & Mining—0.7% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | $ | 330,000 | $ | 350,997 | ||||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 | 307,000 | 339,235 | ||||||
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 | 216,000 | 224,263 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 | 14,000 | 15,258 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 75,000 | 81,520 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 177,000 | 190,853 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 | 94,000 | 96,846 | ||||||
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/162 | 35,000 | 38,230 | ||||||
1,337,202 | ||||||||
Paper & Forest Products—0.1% | ||||||||
International Paper Co., 4.75% Sr. Unsec. Unsub. Nts., 2/15/22 | 172,000 | 183,117 | ||||||
Telecommunication Services—1.0% | ||||||||
Diversified Telecommunication Services—0.7% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 236,000 | 290,234 | ||||||
British Telecommunications plc, 9.875% Bonds, 12/15/30 | 142,000 | 200,367 | ||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 | 82,000 | 80,574 | ||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 | 230,000 | 236,325 | ||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 | 225,000 | 250,511 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 134,000 | 170,389 | ||||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 | 192,000 | 208,800 | ||||||
1,437,200 | ||||||||
Wireless Telecommunication Services—0.3% | ||||||||
America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16 | 349,000 | 349,849 | ||||||
American Tower Corp.: | ||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | 50,000 | 50,160 | ||||||
7% Sr. Unsec. Nts., 10/15/17 | 162,000 | 183,207 | ||||||
583,216 | ||||||||
Utilities—1.2% | ||||||||
Electric Utilities—1.0% | ||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/122 | 205,000 | 208,721 | ||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 | 154,000 | 158,714 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 | 138,000 | 154,772 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 | 239,000 | 242,524 | ||||||
Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41 | 120,000 | 129,399 | ||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 | 230,000 | 233,273 | ||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22 | 198,000 | 254,036 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/212 | 322,000 | 338,161 | ||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/192 | 235,000 | 308,556 | ||||||
2,028,156 | ||||||||
Energy Traders—0.1% | ||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 | 212,000 | 227,064 | ||||||
Multi-Utilities—0.1% | ||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 | 194,000 | 204,628 | ||||||
Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41 | 53,000 | 54,303 | ||||||
258,931 | ||||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $36,798,681) | 37,637,168 | |||||||
Shares | ||||||||
Investment Companies—15.9% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%11,12 (Cost $32,784,414) | 32,784,414 | 32,784,414 | ||||||
Total Investments, at Value (Cost $232,141,466) | 115.4 | % | 237,714,032 | |||||
Liabilities in Excess of Other Assets | (15.4 | ) | (31,779,971 | ) | ||||
Net Assets | 100.0 | % | $ | 205,934,061 | ||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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 $11,723,347 or 5.69% of the Fund’s net assets as of December 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 December 30, 2011 was $1,000,078, which represents 0.49% 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) | ||||||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41 | 11/2/11 | $ | 200,984 | $ | 200,600 | $ | (384 | ) | ||||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67 | 1/5/11-10/11/11 | 251,672 | 213,750 | (37,922 | ) | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 | 7/14/10 | 125,957 | 128,776 | 2,819 | ||||||||||||
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 | 231,246 | 228,892 | (2,354 | ) | |||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 | 2/24/11-7/26/11 | 254,109 | 228,060 | (26,049 | ) | |||||||||||
$ | 1,063,968 | $ | 1,000,078 | $ | (63,890 | ) | ||||||||||
5. | When-issued security or delayed delivery to be delivered and settled after December 30, 2011. See Note 1 of the accompanying Notes. | |
6. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. 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 or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $2,771,932 or 1.35% of the Fund’s net assets as of December 30, 2011. | |
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 $144,097 or 0.07% of the Fund’s net assets as of December 30, 2011. | |
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 $212,701. 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 December 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 | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 45,755,638 | 100,641,276 | 113,612,500 | 32,784,414 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 32,784,414 | $ | 80,528 |
12. | Rate shown is the 7-day yield as of December 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 | $ | 13,343,882 | $ | — | $ | — | $ | 13,343,882 | ||||||||
Consumer Staples | 8,172,220 | — | — | 8,172,220 | ||||||||||||
Energy | 15,031,008 | �� | — | — | 15,031,008 | |||||||||||
Financials | 22,838,192 | — | — | 22,838,192 | ||||||||||||
Health Care | 11,901,124 | — | — | 11,901,124 | ||||||||||||
Industrials | 6,100,408 | — | — | 6,100,408 | ||||||||||||
Information Technology | 9,696,316 | — | — | 9,696,316 | ||||||||||||
Materials | 3,204,032 | — | — | 3,204,032 | ||||||||||||
Telecommunication Services | 3,593,924 | — | — | 3,593,924 | ||||||||||||
Utilities | 5,227,430 | — | — | 5,227,430 | ||||||||||||
Asset-Backed Securities | — | 8,875,014 | — | 8,875,014 | ||||||||||||
Mortgage-Backed Obligations | — | 58,107,974 | — | 58,107,974 | ||||||||||||
U.S. Government Obligations | — | 1,200,926 | — | 1,200,926 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | — | 37,637,168 | — | 37,637,168 | ||||||||||||
Investment Company | 32,784,414 | — | — | 32,784,414 | ||||||||||||
Total Investments, at Value | 131,892,950 | 105,821,082 | — | 237,714,032 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | 18,316 | — | — | 18,316 | ||||||||||||
Foreign currency exchange contracts | — | 28,920 | — | 28,920 | ||||||||||||
Total Assets | $ | 131,911,266 | $ | 105,850,002 | $ | — | $ | 237,761,268 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | $ | (11,188 | ) | $ | — | $ | — | $ | (11,188 | ) | ||||||
Foreign currency exchange contracts | — | (8,731 | ) | — | (8,731 | ) | ||||||||||
Total Liabilities | $ | (11,188 | ) | $ | (8,731 | ) | $ | — | $ | (19,919 | ) | |||||
Counterparty/ | Contract | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | Amount (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Brown Brothers Harriman | ||||||||||||||||||||||||
Japanese Yen (JPY) | Sell | 36,617 JPY | 1/6/12 | $ | 475,728 | $ | 208 | $ | — | |||||||||||||||
Bank of America | ||||||||||||||||||||||||
Japanese Yen (JPY) | Sell | 61,566 JPY | 1/4/12-1/5/12 | 799,924 | — | 8,731 | ||||||||||||||||||
Chase Manhattan Bank | ||||||||||||||||||||||||
Swiss Franc (CHF) | Sell | 4,647 CHF | 1/3/12 | 4,947,229 | 28,712 | — | ||||||||||||||||||
$ | 28,920 | $ | 8,731 | |||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Long Bonds | Buy | 24 | 3/21/12 | $ | 3,475,500 | $ | 42,776 | |||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 1 | 3/21/12 | 131,125 | 6 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 54 | 3/30/12 | 11,909,531 | (3,064 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 37 | 3/30/12 | 4,560,539 | (17,547 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 21 | 3/21/12 | 3,363,938 | 20,631 | |||||||||||||||
$ | 42,802 | |||||||||||||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $199,357,052) | $ | 204,929,618 | ||
Affiliated companies (cost $32,784,414) | 32,784,414 | |||
237,714,032 | ||||
Cash | 55,568 | |||
Unrealized appreciation on foreign currency exchange contracts | 28,920 | |||
Receivables and other assets: | ||||
Investments sold (including $834,575 sold on a when-issued or delayed delivery basis) | 2,110,172 | |||
Interest, dividends and principal paydowns | 934,679 | |||
Futures margins | 18,316 | |||
Other | 15,397 | |||
Total assets | 240,877,084 | |||
Liabilities | ||||
Unrealized depreciation on foreign currency exchange contracts | 8,731 | |||
Payables and other liabilities: | ||||
Investments purchased on a when-issued or delayed delivery basis | 34,608,626 | |||
Shares of beneficial interest redeemed | 134,661 | |||
Shareholder communications | 45,714 | |||
Transfer and shareholder servicing agent fees | 17,606 | |||
Distribution and service plan fees | 15,095 | |||
Trustees’ compensation | 13,626 | |||
Futures margins | 11,188 | |||
Other | 87,776 | |||
Total liabilities | 34,943,023 | |||
Net Assets | $ | 205,934,061 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 18,310 | ||
Additional paid-in capital | 261,404,840 | |||
Accumulated net investment income | 3,885,373 | |||
Accumulated net realized loss on investments and foreign currency transactions | (64,994,840 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 5,620,378 | |||
Net Assets | $ | 205,934,061 | ||
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 $128,383,141 and 11,366,261 shares of beneficial interest outstanding) | $ | 11.30 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $77,550,920 and 6,943,916 shares of beneficial interest outstanding) | $ | 11.17 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Interest | $ | 3,740,550 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $41,729) | 1,555,903 | |||
Affiliated companies | 80,528 | |||
Total investment income | 5,376,981 | |||
Expenses | ||||
Management fees | 1,695,109 | |||
Distribution and service plan fees—Service shares | 212,975 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 141,905 | |||
Service shares | 85,192 | |||
Shareholder communications: | ||||
Non-Service shares | 34,918 | |||
Service shares | 20,972 | |||
Custodian fees and expenses | 23,781 | |||
Trustees’ compensation | 11,530 | |||
Administration service fees | 1,500 | |||
Other | 51,445 | |||
Total expenses | 2,279,327 | |||
Less waivers and reimbursements of expenses | (545,502 | ) | ||
Net expenses | 1,733,825 | |||
Net Investment Income | 3,643,156 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies | 7,451,196 | |||
Closing and expiration of futures contracts | 1,402,952 | |||
Foreign currency transactions | 721,809 | |||
Net realized gain | 9,575,957 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (10,948,759 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (559,038 | ) | ||
Futures contracts | 50,474 | |||
Net change in unrealized appreciation/depreciation | (11,457,323 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 1,761,790 | ||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 3,643,156 | $ | 4,859,704 | ||||
Net realized gain | 9,575,957 | 16,046,665 | ||||||
Net change in unrealized appreciation/depreciation | (11,457,323 | ) | 7,623,134 | |||||
Net increase in net assets resulting from operations | 1,761,790 | 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 | (20,174,392 | ) | (25,243,141 | ) | ||||
Service shares | (10,697,145 | ) | (8,416,068 | ) | ||||
(30,871,537 | ) | (33,659,209 | ) | |||||
Net Assets | ||||||||
Total decrease | (34,267,736 | ) | (8,341,513 | ) | ||||
Beginning of period | 240,201,797 | 248,543,310 | ||||||
End of period (including accumulated net investment income of $3,885,373 and $5,128,069, respectively) | $ | 205,934,061 | $ | 240,201,797 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.47 | $ | 10.30 | $ | 8.45 | $ | 16.41 | $ | 17.69 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .20 | .23 | .25 | .41 | .43 | |||||||||||||||
Net realized and unrealized gain (loss) | (.11 | ) | 1.09 | 1.60 | (7.03 | ) | .19 | |||||||||||||
Total from investment operations | .09 | 1.32 | 1.85 | (6.62 | ) | .62 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.15 | ) | — | (.39 | ) | (.46 | ) | |||||||||||
Distributions from net realized gain | — | — | — | (.95 | ) | (1.44 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (.26 | ) | (.15 | ) | — | (1.34 | ) | (1.90 | ) | |||||||||||
Net asset value, end of period | $ | 11.30 | $ | 11.47 | $ | 10.30 | $ | 8.45 | $ | 16.41 | ||||||||||
Total Return, at Net Asset Value3 | 0.72 | % | 12.91 | % | 21.89 | % | (43.47 | )% | 3.79 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 128,383 | $ | 150,622 | $ | 159,797 | $ | 169,621 | $ | 385,948 | ||||||||||
Average net assets (in thousands) | $ | 141,848 | $ | 151,620 | $ | 159,013 | $ | 295,669 | $ | 418,103 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 1.70 | % | 2.13 | % | 2.71 | % | 3.14 | % | 2.55 | % | ||||||||||
Total expenses5 | 0.91 | % | 0.91 | % | 0.89 | % | 0.76 | % | 0.75 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.67 | % | 0.65 | % | 0.60 | % | 0.67 | % | 0.73 | % | ||||||||||
Portfolio turnover rate6 | 102 | % | 54 | % | 87 | % | 67 | % | 68 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 0.93 | % | ||
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 | % |
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 30, 2011 | $ | 450,804,195 | $ | 453,759,282 | ||||
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 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.35 | $ | 10.19 | $ | 8.38 | $ | 16.28 | $ | 17.57 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .16 | .20 | .22 | .37 | .38 | |||||||||||||||
Net realized and unrealized gain (loss) | (.11 | ) | 1.08 | 1.59 | (6.97 | ) | .19 | |||||||||||||
Total from investment operations | .05 | 1.28 | 1.81 | (6.60 | ) | .57 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.23 | ) | (.12 | ) | — | (.35 | ) | (.42 | ) | |||||||||||
Distributions from net realized gain | — | — | — | (.95 | ) | (1.44 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (.23 | ) | (.12 | ) | — | (1.30 | ) | (1.86 | ) | |||||||||||
Net asset value, end of period | $ | 11.17 | $ | 11.35 | $ | 10.19 | $ | 8.38 | $ | 16.28 | ||||||||||
Total Return, at Net Asset Value3 | 0.38 | % | 12.68 | % | 21.60 | % | (43.62 | )% | 3.49 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 77,551 | $ | 89,580 | $ | 88,746 | $ | 68,798 | $ | 121,399 | ||||||||||
Average net assets (in thousands) | $ | 85,157 | $ | 87,280 | $ | 77,101 | $ | 100,164 | $ | 117,012 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 1.45 | % | 1.87 | % | 2.42 | % | 2.90 | % | 2.30 | % | ||||||||||
Total expenses5 | 1.16 | % | 1.16 | % | 1.15 | % | 1.01 | % | 1.00 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.92 | % | 0.90 | % | 0.85 | % | 0.92 | % | 0.98 | % | ||||||||||
Portfolio turnover rate6 | 102 | % | 54 | % | 87 | % | 67 | % | 68 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 1.18 | % | ||
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 | % |
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 30, 2011 | $ | 450,804,195 | $ | 453,759,282 | ||||
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 |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $34,608,626 | |||
Sold securities | 834,575 |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4 | Tax Purposes | |||||||||
$3,890,265 | $— | $64,721,622 | $5,355,887 |
1. | As of December 30, 2011, the Fund had $58,137,466 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2016 | $ | 13,408,759 | ||
2017 | 44,728,707 | |||
Total | $ | 58,137,466 | ||
2. | As of December 30, 2011, the Fund had $6,584,156 of post-October losses available to offset future realized capital gains, if any. | |
3. | During the fiscal year ended December 30, 2011, the Fund utilized $15,143,099 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
4. | During the fiscal year ended December 31, 2010, the Fund utilized $15,850,248 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Increase to | Increase to | |||
Accumulated | Accumulated | |||
Net Investment | Net Realized Loss | |||
Income | on Investments | |||
$272,137 | $272,137 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $5,157,989 | $3,211,807 |
Federal tax cost of securities | $ | 232,371,885 | ||
Federal tax cost of other investments | (5,355,361 | ) | ||
Total federal tax cost | $ | 227,016,524 | ||
Gross unrealized appreciation | $ | 8,427,376 | ||
Gross unrealized depreciation | (3,071,489 | ) | ||
Net unrealized appreciation | $ | 5,355,887 | ||
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 252,001 | $ | 2,909,335 | 272,126 | $ | 2,909,287 | ||||||||||
Dividends and/or distributions reinvested | 287,056 | 3,355,682 | 209,000 | 2,184,050 | ||||||||||||
Redeemed | (2,302,830 | ) | (26,439,409 | ) | (2,866,355 | ) | (30,336,478 | ) | ||||||||
Net decrease | (1,763,773 | ) | $ | (20,174,392 | ) | (2,385,229 | ) | $ | (25,243,141 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 423,625 | $ | 4,837,026 | 627,983 | $ | 6,716,376 | ||||||||||
Dividends and/or distributions reinvested | 155,505 | 1,802,307 | 99,204 | 1,027,757 | ||||||||||||
Redeemed | (1,531,184 | ) | (17,336,478 | ) | (1,542,514 | ) | (16,160,201 | ) | ||||||||
Net decrease | (952,054 | ) | $ | (10,697,145 | ) | (815,327 | ) | $ | (8,416,068 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 175,187,163 | $ | 188,834,785 | ||||
U.S. government and government agency obligations | 737,646 | 771,994 | ||||||
To Be Announced (TBA) mortgage-related securities | 450,804,195 | 453,759,282 |
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 | Statement of Assets and | Statement of Assets and | ||||||||||||||
as Hedging Instruments | Liabilities Location | Value | Liabilities Location | Value | ||||||||||||
Interest rate contracts | Futures margins | $ | 18,316 | * | Futures margins | $ | 11,188 | * | ||||||||
Foreign exchange contracts | Unrealized depreciation on foreign currency exchange contracts | 28,920 | Unrealized appreciation on foreign currency exchange contracts | 8,731 | ||||||||||||
Total | $ | 47,236 | $ | 19,919 | ||||||||||||
* | 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 | Closing and | |||||||||||||||
Accounted for as | expiration of futures | Foreign currency | ||||||||||||||
Hedging Instruments | contracts | transactions | Total | |||||||||||||
Foreign exchange contracts | $ | — | $ | (4,185 | ) | $ | (4,185 | ) | ||||||||
Interest rate contracts | 1,402,952 | — | 1,402,952 | |||||||||||||
Total | $ | 1,402,952 | $ | (4,185 | ) | $ | 1,398,767 | |||||||||
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||
Derivatives Not | Translation of assets and | |||||||||||
Accounted for as | liabilities denominated in | |||||||||||
Hedging Instruments | Futures contracts | foreign currencies | Total | |||||||||
Foreign exchange contracts | $ | — | $ | 20,189 | $ | 20,189 | ||||||
Interest rate contracts | 50,474 | — | 50,474 | |||||||||
Total | $ | 50,474 | $ | 20,189 | $ | 70,663 | ||||||
February 16, 2012
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Beverly L. Hamilton, Continued | Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization)(since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005- March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004- August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
William F. Glavin, Jr., Continued | (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Memani, Strzalkowski, Williams, Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Krishna Memani, Vice President (since 2009) Age: 51 | Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Peter A. Strzalkowski, Vice President (since 2009) Age: 46 | Vice President of the Manager (since August 2007), a Chartered Financial Analyst and a member of the Manager’s Investment Grade Fixed Income Team (since April 2009). Prior to joining the Manager, Managing Partner and Chief Investment Officer of Vector Capital Management, LLC, a structured products money management firm he founded, (July 2006-August 2007); a Senior Portfolio Manager at Highland Capital Management, L.P. (June 2005-July 2006) and a Senior Fixed Income Portfolio Manager at Microsoft Corp. (June 2003-June 2005); a Vice President and Senior Fixed Income Portfolio Manager at First Citizens Bank Trust, Capital Management Group (April 2000-June 2003); a Vice President and Fixed Income Portfolio Manager at Centura Banks (November 1998-April 2000). A portfolio manager and officer of 7 portfolios in the OppenheimerFunds complex. | |
Mitch Williams, Vice President (since 2011) Age: 43 | Vice President of the Manager (since July 2006); a Chartered Financial Analyst and a Senior Research Analyst of the Manager (since April 2002). Prior to joining the manager, Vice President and Research Analyst for Evergreen Funds (October 2000-January 2002). A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
December 31, 2011 |
Oppenheimer |
Capital Appreciation |
Annual Report |
Fund/VA |
A Series of Oppenheimer Variable Account Funds |
ANNUAL REPORT |
Listing of Top Holdings Fund Performance Discussion Financial Statements |
1234 |
For the Periods Ended 12/30/111
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | –1.15 | % | –0.56 | % | 1.23 | % | ||||||
Service Shares | –1.37 | % | –0.81 | % | 0.97 | % |
For the Fiscal Year Ended 12/30/111
Non-Service Shares | 0.80 | % | ||
Service Shares | 1.05 |
Top Ten Common Stock Holdings | ||||
Apple, Inc. | 6.5 | % | ||
QUALCOMM, Inc. | 4.6 | |||
Google, Inc., Cl. A | 3.4 | |||
McDonald’s Corp. | 2.4 | |||
Oracle Corp. | 2.1 | |||
Allergan, Inc. | 2.1 | |||
Union Pacific Corp. | 2.1 | |||
Costco Wholesale Corp. | 2.0 | |||
Occidental Petroleum Corp. | 1.9 | |||
Coca-Cola Co. (The) | 1.9 |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenheimer Capital Appreciation Fund/VA (Non-Service) S&P 500 Index Russell 1000 Growth Index |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenheimer Capital Appreciation Fund/VA (Service) S&P 500 Index Russell 1000 Growth Index |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 937.30 | $ | 3.84 | ||||||
Service shares | 1,000.00 | 936.30 | 5.06 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.11 | 4.01 | |||||||||
Service shares | 1,000.00 | 1,019.85 | 5.28 |
Class | Expense Ratios | |||
Non-Service shares | 0.79 | % | ||
Service shares | 1.04 |
Shares | Value | |||||||
Common Stocks—99.0% | ||||||||
Consumer Discretionary—15.4% | ||||||||
Auto Components—1.1% | ||||||||
Johnson Controls, Inc. | 345,170 | $ | 10,790,014 | |||||
Hotels, Restaurants & Leisure—3.3% | ||||||||
McDonald’s Corp. | 240,060 | 24,085,220 | ||||||
Yum! Brands, Inc. | 161,580 | 9,534,836 | ||||||
33,620,056 | ||||||||
Internet & Catalog Retail—1.4% | ||||||||
Amazon.com, Inc.1 | 80,064 | 13,859,078 | ||||||
Media—1.6% | ||||||||
Walt Disney Co. (The) | 420,360 | 15,763,500 | ||||||
Specialty Retail—4.2% | ||||||||
Bed Bath & Beyond, Inc.1 | 77,280 | 4,479,922 | ||||||
O’Reilly Automotive, Inc.1 | 198,330 | 15,856,484 | ||||||
Tiffany & Co. | 153,330 | 10,159,646 | ||||||
TJX Cos., Inc. (The) | 194,880 | 12,579,504 | ||||||
43,075,556 | ||||||||
Textiles, Apparel & Luxury Goods—3.8% | ||||||||
Coach, Inc. | 214,130 | 13,070,495 | ||||||
Nike, Inc., Cl. B | 159,740 | 15,394,144 | ||||||
Ralph Lauren Corp. | 73,590 | 10,161,307 | ||||||
38,625,946 | ||||||||
Consumer Staples—11.7% | ||||||||
Beverages—4.0% | ||||||||
Brown-Forman Corp., Cl. B | 104,700 | 8,429,397 | ||||||
Coca-Cola Co. (The) | 270,190 | 18,905,194 | ||||||
SABMiller plc | 377,520 | 13,234,908 | ||||||
40,569,499 | ||||||||
Food & Staples Retailing—2.0% | ||||||||
Costco Wholesale Corp. | 239,690 | 19,970,971 | ||||||
Food Products—3.1% | ||||||||
Mead Johnson Nutrition Co., Cl. A | 57,800 | 3,972,594 | ||||||
Nestle SA | 271,734 | 15,621,884 | ||||||
Unilever NV CVA | 338,928 | 11,655,105 | ||||||
31,249,583 | ||||||||
Household Products—1.5% | ||||||||
Colgate-Palmolive Co. | 169,090 | 15,622,225 | ||||||
Personal Products—0.6% | ||||||||
Estee Lauder Cos., Inc. (The), Cl. A | 54,320 | 6,101,222 | ||||||
Tobacco—0.5% | ||||||||
Philip Morris International, Inc. | 64,880 | 5,091,782 | ||||||
Energy—11.3% | ||||||||
Energy Equipment & Services—5.3% | ||||||||
Baker Hughes, Inc. | 193,570 | 9,415,245 | ||||||
Cameron International Corp.1 | 208,180 | 10,240,374 | ||||||
Ensco plc, Sponsored ADR | 148,610 | 6,972,781 | ||||||
National Oilwell Varco, Inc. | 168,250 | 11,439,318 | ||||||
Schlumberger Ltd. | 236,260 | 16,138,921 | ||||||
54,206,639 | ||||||||
Oil, Gas & Consumable Fuels—6.0% | ||||||||
Apache Corp. | 100,230 | 9,078,833 | ||||||
Chevron Corp. | 171,580 | 18,256,112 | ||||||
ConocoPhillips | 187,230 | 13,643,450 | ||||||
Occidental Petroleum Corp. | 206,680 | 19,365,916 | ||||||
60,344,311 | ||||||||
Financials—1.8% | ||||||||
Capital Markets—0.2% | ||||||||
Charles Schwab Corp. (The) | 181,470 | 2,043,352 | ||||||
Commercial Banks—0.6% | ||||||||
Standard Chartered plc | 264,590 | 5,760,745 | ||||||
Consumer Finance—1.0% | ||||||||
American Express Co. | 219,650 | 10,360,891 | ||||||
Health Care—12.1% | ||||||||
Biotechnology—2.1% | ||||||||
Alexion Pharmaceuticals, Inc.1 | 67,730 | 4,842,695 | ||||||
Celgene Corp.1 | 130,230 | 8,803,548 | ||||||
Vertex Pharmaceuticals, Inc.1 | 229,680 | 7,627,673 | ||||||
21,273,916 | ||||||||
Health Care Equipment & Supplies—1.3% | ||||||||
Baxter International, Inc. | 266,400 | 13,181,472 | ||||||
Life Sciences Tools & Services—1.7% | ||||||||
Mettler-Toledo International, Inc.1 | 49,000 | 7,237,790 | ||||||
Thermo Fisher Scientific, Inc.1 | 224,650 | 10,102,511 | ||||||
17,340,301 | ||||||||
Pharmaceuticals—7.0% | ||||||||
Allergan, Inc. | 245,170 | 21,511,216 | ||||||
Bristol-Myers Squibb Co. | 499,230 | 17,592,865 | ||||||
Novo Nordisk AS, Cl. B | 152,384 | 17,511,438 | ||||||
Roche Holding AG | 83,549 | 14,160,546 | ||||||
70,776,065 | ||||||||
Industrials—15.0% | ||||||||
Aerospace & Defense—3.4% | ||||||||
Goodrich Corp. | 78,122 | 9,663,691 | ||||||
Precision Castparts Corp. | 71,670 | 11,810,499 | ||||||
United Technologies Corp. | 174,990 | 12,790,019 | ||||||
34,264,209 |
Shares | Value | |||||||
Air Freight & Logistics—1.4% | ||||||||
United Parcel Service, Inc., Cl. B | 192,050 | $ | 14,056,140 | |||||
Electrical Equipment—1.3% | ||||||||
Emerson Electric Co. | 278,810 | 12,989,758 | ||||||
Industrial Conglomerates—1.5% | ||||||||
Danaher Corp. | 332,420 | 15,637,037 | ||||||
Machinery—5.3% | ||||||||
Caterpillar, Inc. | 151,360 | 13,713,216 | ||||||
Cummins, Inc. | 43,420 | 3,821,828 | ||||||
Deere & Co. | 93,600 | 7,239,960 | ||||||
Joy Global, Inc. | 181,857 | 13,633,819 | ||||||
Parker-Hannifin Corp. | 202,230 | 15,420,038 | ||||||
53,828,861 | ||||||||
Road & Rail—2.1% | ||||||||
Union Pacific Corp. | 196,220 | 20,787,547 | ||||||
Information Technology—26.4% | ||||||||
Communications Equipment—5.2% | ||||||||
Juniper Networks, Inc.1 | 305,190 | 6,228,928 | ||||||
QUALCOMM, Inc. | 843,470 | 46,137,809 | ||||||
52,366,737 | ||||||||
Computers & Peripherals—6.5% | ||||||||
Apple, Inc.1 | 162,590 | 65,848,950 | ||||||
Electronic Equipment & Instruments—1.0% | ||||||||
Corning, Inc. | 828,440 | 10,753,151 | ||||||
Internet Software & Services—4.8% | ||||||||
eBay, Inc.1 | 473,620 | 14,364,895 | ||||||
Google, Inc., Cl. A1 | 52,670 | 34,019,553 | ||||||
48,384,448 | ||||||||
IT Services—2.7% | ||||||||
International Business Machines Corp. | 86,300 | 15,868,844 | ||||||
Visa, Inc., Cl. A | 113,257 | 11,498,983 | ||||||
27,367,827 | ||||||||
Semiconductors & Semiconductor | ||||||||
Equipment—1.1% | ||||||||
Broadcom Corp., Cl. A | 395,580 | 11,614,229 | ||||||
Software—5.1% | ||||||||
Intuit, Inc. | 300,400 | 15,798,036 | ||||||
Oracle Corp. | 845,390 | 21,684,254 | ||||||
Vmware, Inc., Cl. A1 | 167,190 | 13,908,536 | ||||||
51,390,826 | ||||||||
Materials—5.3% | ||||||||
Chemicals—3.7% | ||||||||
Albemarle Corp. | 82,010 | 4,224,335 | ||||||
Ecolab, Inc. | 197,680 | 11,427,881 | ||||||
Mosaic Co. (The) | 77,660 | 3,916,394 | ||||||
Praxair, Inc. | 173,052 | 18,499,259 | ||||||
38,067,869 | ||||||||
Metals & Mining—1.6% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., Cl. B | 281,190 | 10,344,980 | ||||||
Rio Tinto plc | 113,948 | 5,529,995 | ||||||
15,874,975 | ||||||||
Total Common Stocks (Cost $735,719,310) | 1,002,859,688 | |||||||
Investment Company—0.8% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%2,3 (Cost $8,136,365) | 8,136,365 | 8,136,365 | ||||||
Total Investments, at Value (Cost $743,855,675) | 99.8 | % | 1,010,996,053 | |||||
Other Assets Net of Liabilities | 0.2 | 2,202,155 | ||||||
Net Assets | 100.0 | % | $ | 1,013,198,208 | ||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Nore 1 of the accompanying Note. | |
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 December 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 | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 72,534 | 147,246,660 | 139,182,829 | 8,136,365 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 8,136,365 | $ | 7,315 |
3. | Rate shown is the 7-day yield as of December 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 | $ | 155,734,150 | $ | — | $ | — | $ | 155,734,150 | ||||||||
Consumer Staples | 105,370,374 | 13,234,908 | — | 118,605,282 | ||||||||||||
Energy | 114,550,950 | — | — | 114,550,950 | ||||||||||||
Financials | 12,404,243 | 5,760,745 | — | 18,164,988 | ||||||||||||
Health Care | 122,571,754 | — | — | 122,571,754 | ||||||||||||
Industrials | 151,563,552 | — | — | 151,563,552 | ||||||||||||
Information Technology | 267,726,168 | — | — | 267,726,168 | ||||||||||||
Materials | 53,942,844 | — | — | 53,942,844 | ||||||||||||
Investment Company | 8,136,365 | — | — | 8,136,365 | ||||||||||||
Total Assets | $ | 992,000,400 | $ | 18,995,653 | $ | — | $ | 1,010,996,053 | ||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $735,719,310) | $ | 1,002,859,688 | ||
Affiliated companies (cost $8,136,365) | 8,136,365 | |||
1,010,996,053 | ||||
Cash | 2,683 | |||
Receivables and other assets: | ||||
Dividends | 2,875,070 | |||
Shares of beneficial interest sold | 276,097 | |||
Other | 101,548 | |||
Total assets | 1,014,251,451 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 607,498 | |||
Shareholder communications | 213,049 | |||
Transfer and shareholder servicing agent fees | 86,922 | |||
Distribution and service plan fees | 71,553 | |||
Trustees’ compensation | 39,042 | |||
Legal, auditing and other professional fees | 26,000 | |||
Other | 9,179 | |||
Total liabilities | 1,053,243 | |||
Net Assets | $ | 1,013,198,208 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 25,573 | ||
Additional paid-in capital | 1,040,394,286 | |||
Accumulated net investment income | 3,993,822 | |||
Accumulated net realized loss on investments and foreign currency transactions | (298,600,481 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 267,385,008 | |||
Net Assets | $ | 1,013,198,208 | ||
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 $637,868,461 and 16,045,913 shares of beneficial interest outstanding) | $ | 39.75 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $375,329,747 and 9,526,732 shares of beneficial interest outstanding) | $ | 39.40 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $298,519) | $ | 15,258,739 | ||
Affiliated companies | 7,315 | |||
Interest | 716 | |||
Total investment income | 15,266,770 | |||
Expenses | ||||
Management fees | 7,570,152 | |||
Distribution and service plan fees—Service shares | 1,018,862 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 714,086 | |||
Service shares | 407,595 | |||
Shareholder communications: | ||||
Non-Service shares | 104,964 | |||
Service shares | 59,333 | |||
Trustees’ compensation | 52,240 | |||
Custodian fees and expenses | 33,816 | |||
Administration service fees | 1,500 | |||
Other | 73,144 | |||
Total expenses | 10,035,692 | |||
Less waivers and reimbursements of expenses | (91,612 | ) | ||
Net expenses | 9,944,080 | |||
Net Investment Income | 5,322,690 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies | 51,490,189 | |||
Foreign currency transactions | 7,557,246 | |||
Net realized gain | 59,047,435 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (66,910,317 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (7,021,334 | ) | ||
Net change in unrealized appreciation/depreciation | (73,931,651 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (9,561,526 | ) | |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 5,322,690 | $ | 3,239,641 | ||||
Net realized gain | 59,047,435 | 159,280,200 | ||||||
Net change in unrealized appreciation/depreciation | (73,931,651 | ) | (38,941,658 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (9,561,526 | ) | 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 | (125,913,455 | ) | (385,079,054 | ) | ||||
Service shares | (43,268,026 | ) | (59,987,624 | ) | ||||
(169,181,481 | ) | (445,066,678 | ) | |||||
Net Assets | ||||||||
Total decrease | (181,877,193 | ) | (323,284,529 | ) | ||||
Beginning of period | 1,195,075,401 | 1,518,359,930 | ||||||
End of period (including accumulated net investment income of $3,993,822 and $1,761,658, respectively) | $ | 1,013,198,208 | $ | 1,195,075,401 | ||||
1 | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.35 | $ | 36.94 | $ | 25.67 | $ | 47.18 | $ | 41.43 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | .23 | .11 | .09 | .10 | .07 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (.69 | ) | 3.36 | 11.27 | (21.55 | ) | 5.78 | |||||||||||||||||
Total from investment operations | (.46 | ) | 3.47 | 11.36 | (21.45 | ) | 5.85 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.14 | ) | (.06 | ) | (.09 | ) | (.06 | ) | (.10 | ) | ||||||||||||||
Net asset value, end of period | $ | 39.75 | $ | 40.35 | $ | 36.94 | $ | 25.67 | $ | 47.18 | ||||||||||||||
Total Return, at Net Asset Value3 | (1.15 | )% | 9.42 | % | 44.52 | % | (45.52 | )% | 14.15 | % | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 637,868 | $ | 771,086 | $ | 1,074,190 | $ | 829,931 | $ | 1,631,791 | ||||||||||||||
Average net assets (in thousands) | $ | 713,770 | $ | 976,242 | $ | 927,670 | $ | 1,256,525 | $ | 1,631,686 | ||||||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||||||
Net investment income | 0.57 | % | 0.31 | % | 0.29 | % | 0.25 | % | 0.15 | % | ||||||||||||||
Total expenses5 | 0.80 | % | 0.79 | % | 0.78 | % | 0.66 | % | 0.65 | % | ||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.79 | % | 0.78 | % | 0.66 | % | 0.65 | % | ||||||||||||||
Portfolio turnover rate | 27 | % | 58 | % | 46 | % | 67 | % | 59 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 30, | Year Ended December 31, | |||||||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 39.99 | $ | 36.64 | $ | 25.42 | $ | 46.78 | $ | 41.09 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | .13 | .02 | .01 | — | 3 | (.05 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | (.68 | ) | 3.33 | 11.21 | (21.36 | ) | 5.74 | |||||||||||||||||
Total from investment operations | (.55 | ) | 3.35 | 11.22 | (21.36 | ) | 5.69 | |||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (.04 | ) | — | — | 3 | — | — | 3 | ||||||||||||||||
Net asset value, end of period | $ | 39.40 | $ | 39.99 | $ | 36.64 | $ | 25.42 | $ | 46.78 | ||||||||||||||
Total Return, at Net Asset Value4 | (1.37 | )% | 9.15 | % | 44.15 | % | (45.66 | )% | 13.86 | % | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 375,330 | $ | 423,989 | $ | 444,170 | $ | 313,931 | $ | 546,887 | ||||||||||||||
Average net assets (in thousands) | $ | 407,413 | $ | 427,640 | $ | 368,634 | $ | 454,558 | $ | 510,874 | ||||||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||||||
Net investment income (loss) | 0.32 | % | 0.06 | % | 0.03 | % | 0.00 | %6 | (0.10 | )% | ||||||||||||||
Total expenses7 | 1.05 | % | 1.04 | % | 1.04 | % | 0.91 | % | 0.91 | % | ||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.04 | % | 1.03 | % | 0.91 | % | 0.91 | % | ||||||||||||||
Portfolio turnover rate | 27 | % | 58 | % | 46 | % | 67 | % | 59 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Less than $0.005 per share. | |
4. | 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. | |
5. | Annualized for periods less than one full year. | |
6. | Less than 0.005%. | |
7. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 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 | % |
Net Unrealized | |||||||||||||
Appreciation | |||||||||||||
Based on Cost | |||||||||||||
of Securities and | |||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | ||||||||||
Net Investment | Long-Term | Loss | for Federal Income | ||||||||||
Income | Gain | Carryforward1,2,3,4 | Tax Purposes | ||||||||||
$5,355,106 | $ | — | $ | 296,790,277 | $ | 265,435,167 |
1. | As of December 30, 2011, the Fund had $289,995,783 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2016 | $ | 109,362,611 | ||
2017 | 180,633,172 | |||
Total | $ | 289,995,783 | ||
2. | As of December 30, 2011, the Fund had $6,794,494 of post-October losses available to offset future realized capital gains, if any. | |
3. | During the fiscal year ended December 30, 2011, the Fund utilized $62,322,990 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
4. | During the fiscal year ended December 31, 2010, the Fund utilized $72,900,879 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Increase | Increase to | |||
to Accumulated | Accumulated Net | |||
Net Investment | Realized Loss | |||
Income | on Investments | |||
$43,660 | $ | 43,660 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 3,134,186 | $ | 1,796,034 |
Federal tax cost of securities | $ | 745,805,516 | ||
Gross unrealized appreciation | $ | 298,208,830 | ||
Gross unrealized depreciation | (32,773,663 | ) | ||
Net unrealized appreciation | $ | 265,435,167 | ||
each class. Transactions in shares of beneficial interest were as follows:
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,249,985 | $ | 50,511,923 | 2,554,247 | $ | 93,160,063 | ||||||||||
Dividends and/or distributions reinvested | 63,634 | 2,685,368 | 48,307 | 1,796,034 | ||||||||||||
Redeemed | (4,379,711 | ) | (179,110,746 | ) | (12,572,941 | ) | (480,035,151 | ) | ||||||||
Net decrease | (3,066,092 | ) | $ | (125,913,455 | ) | (9,970,387 | ) | $ | (385,079,054 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 696,209 | $ | 28,336,802 | 1,613,467 | $ | 57,695,403 | ||||||||||
Dividends and/or distributions reinvested | 10,709 | 448,818 | — | — | ||||||||||||
Redeemed | (1,782,789 | ) | (72,053,646 | ) | (3,133,549 | ) | (117,683,027 | ) | ||||||||
Net decrease | (1,075,871 | ) | $ | (43,268,026 | ) | (1,520,082 | ) | $ | (59,987,624 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 299,307,755 | $ | 476,954,733 |
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 |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for | ||||
as Hedging Instruments | Foreign currency transactions | |||
Foreign exchange contracts | $ | 65,057 |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for | Translation of assets and liabilities | |||
as Hedging Instruments | denominated in foreign currencies | |||
Foreign exchange contracts | $ | 1,356 |
February 16, 2012
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Beverly L. Hamilton, Continued | Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999—March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004- August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Gabinet, Mss. Van Cleave and Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Julie Van Cleave, Vice President (since 2010) Age: 52 | Vice President of the Manager (since April 2010); a Chartered Financial Analyst. Prior to joining the Manager, a Managing Director, U.S. Large-Cap Growth Equity, and lead portfolio manager at Deutsche Asset Management (December 2002-February 2009). Prior to 2002, a Managing Director, a portfolio manager and a team leader with Mason Street Advisors, a wholly owned subsidiary of Northwestern Mutual Life. A portfolio manager and officer of 3 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005- April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
December 31, 2011 Oppenheimer Core Bond Fund/VAAnnual Report A Series of Oppenheimer Variable Account Funds A N N UA L R E P O RT Fund Allocations Fund Performance Discussion Financial Statements |
Peter A. Strzalkowski, CFA
For the Periods Ended 12/30/111
1-Year | 5-Year | 10-Year | ||||
Non-Service Shares | 8.27% | -3.40% | 1.11% | |||
1-Year | 5-Year | Since Inception (5/1/02) | ||||
Service Shares | 7.93% | -3.64% | 0.80% |
For the Period Ended 12/30/111
Gross | Net | |||||||||||
Expense | Expense | |||||||||||
Ratios2 | Ratios2 | |||||||||||
Non-Service Shares | 0.79 | % | 0.77 | % | ||||||||
Service Shares | 1.04 | 1.02 |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. | |
2. | These Expense Ratios include the applicable indirect expenses attributable to the Fund’s investments in other investment companies. |
Corporate Bonds & Notes — Top Ten Industries | ||||
Oil, Gas & Consumable Fuels | 4.3 | % | ||
Insurance | 3.4 | |||
Capital Markets | 3.0 | |||
Media | 2.9 | |||
Commercial Banks | 2.4 | |||
Electric Utilities | 2.3 | |||
Diversified Financial Services | 2.3 | |||
Diversified Telecommunication Services | 1.6 | |||
Metals & Mining | 1.5 | |||
Energy Equipment & Services | 1.5 |
Credit Rating Breakdown | NRSRO Only Total | |||
AAA | 63.1 | % | ||
AA | 1.5 | |||
A | 9.8 | |||
BBB | 17.0 | |||
BB | 5.5 | |||
B | 0.6 | |||
CCC | 2.3 | |||
CC | 0.0 | * | ||
D | 0.2 | |||
Total | 100.0 | % | ||
* | Represents a value of less than 0.05%. |
3. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenheimer Core Bond Fund/VA(NonService) Citigroup Broad Investment Grade Bond Index Barclays Capital U.S. Aggregate Bond Index Barclays Capital Credit Index |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenheimer Core Bond Fund/VA (Service) Citigroup Broad Investment Grade Bond Index Barclays Capital U.S. Aggregate Bond Index Barclays Capital Credit Index |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 1,042.30 | $ | 3.85 | ||||||
Service shares | 1,000.00 | 1,040.10 | 5.13 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.31 | 3.81 | |||||||||
Service shares | 1,000.00 | 1,020.05 | 5.08 |
Class | Expense Ratios | |||
Non-Service shares | 0.75 | % | ||
Service shares | 1.00 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—10.3% | ||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/131 | $ | 235,000 | $ | 234,471 | ||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 | 280,000 | 280,317 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/151 | 660,000 | 671,093 | ||||||
Ally Master Owner Trust, Asset-Backed Nts., Series 2011-1, Cl. A2, 2.15%, 1/15/16 | 230,000 | 232,599 | ||||||
Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1.54%, 9/15/16 | 545,000 | 543,545 | ||||||
AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 | 13,802 | 13,879 | ||||||
AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2, 0.77%, 12/9/13 | 195,640 | 195,618 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 | 120,000 | 121,541 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: | ||||||||
Series 2011-2, Cl. A3, 1.61%, 10/8/15 | 140,000 | 140,607 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 | 235,000 | 234,683 | ||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 | 650,000 | 649,027 | ||||||
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables Nts.: | ||||||||
Series 2011-5, Cl. D, 4.72%, 12/8/17 | 435,000 | 445,042 | ||||||
Series 2011-5, Cl. D., 1.55%, 7/8/16 | 360,000 | 359,921 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 | 35,467 | 35,483 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.394%, 9/25/362 | 19,776 | 5,814 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.404%, 7/25/362 | 343,755 | 316,859 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/151 | 102,238 | 107,220 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 310,000 | 323,323 | ||||||
Citibank Omni Master Trust, Credit Card Receivables: | ||||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/181 | 915,000 | 1,000,157 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/181 | 725,000 | 789,121 | ||||||
Series 2009-A8, Cl. A8, 2.378%, 5/16/161,2 | 620,000 | 623,866 | ||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.078%, 1/20/412 | 465,000 | 465,563 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.034%, 2/25/332 | 15,723 | 15,101 | ||||||
Series 2005-16, Cl. 2AF2, 5.377%, 5/1/362 | 432,896 | 332,575 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.414%, 6/25/472 | 35,693 | 31,561 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 | 400,000 | 405,419 | ||||||
DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/151 | 206,383 | 207,391 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/151 | 570,000 | 571,091 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/131 | 134,000 | 133,557 | ||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/413 | 435,000 | 434,133 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 | 304,650 | 303,242 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.75%, 10/15/121 | 163,213 | 163,194 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts., Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 670,000 | 683,012 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.828%, 9/15/142 | $ | 470,000 | $ | 473,627 | ||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.928%, 12/15/141,2 | 490,000 | 495,377 | ||||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 | 490,000 | 496,803 | ||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.828%, 10/20/141,2 | 460,000 | 464,060 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/231 | 445,000 | 444,967 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/151 | 1,015,000 | 1,026,867 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.394%, 8/25/362 | 63,521 | 19,359 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,4 | 3,370,016 | 303,301 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 | 440,000 | 441,130 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.428%, 1/15/151,2 | 485,000 | 488,705 | ||||||
Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/161 | 365,000 | 364,348 | ||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 | 181,803 | 181,798 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 | 485,000 | 485,029 | ||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/131 | 219,052 | 219,242 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 | 465,000 | 464,053 | ||||||
Santander Drive Auto Receivables Trust 2011-4, Automobile Receivables Nts., Series 2011-4, Cl. A3, 1.64%, 9/15/15 | 40,000 | 40,010 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/173 | 437,701 | 433,871 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/171 | 369,547 | 364,004 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 | 440,000 | 440,715 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/141 | 205,000 | 204,801 | ||||||
Total Asset-Backed Securities (Cost $21,965,197) | 18,922,092 | |||||||
Mortgage-Backed Obligations—68.7% | ||||||||
Government Agency—56.9% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—56.5% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
4.50%, 1/1/425 | 3,455,000 | 3,661,760 | ||||||
5%, 12/15/34 | 19,762 | 21,279 | ||||||
5.50%, 9/1/39 | 1,311,162 | 1,425,525 | ||||||
6%, 5/15/18-10/15/29 | 2,556,913 | 2,819,008 | ||||||
6.50%, 4/15/18-4/1/34 | 575,095 | 647,369 | ||||||
7%, 8/15/16-10/1/37 | 704,099 | 808,842 | ||||||
8%, 4/1/16 | 164,882 | 178,703 | ||||||
9%, 8/1/22-5/1/25 | 62,719 | 72,329 | ||||||
10.50%, 11/14/20 | 2,662 | 3,227 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 151, Cl. F, 9%, 5/15/21 | 15,444 | 17,675 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 47,509 | 53,813 | ||||||
Series 2006-11, Cl. PS, 23.49%, 3/25/362 | 401,801 | 561,097 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 5,663 | 6,334 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 | 17,019 | 19,724 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 663,971 | 761,453 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 | 45,826 | 52,599 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 6,825 | 7,633 | ||||||
Series 2066, Cl. Z, 6.50%, 6/15/28 | 740,183 | 849,508 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 562,840 | 658,104 | ||||||
Series 2220, Cl. PD, 8%, 3/15/30 | 2,717 | 3,244 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 159,913 | 185,282 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | $ | 774,966 | $ | 879,599 | ||||
Series 2470, Cl. LF, 1.278%, 2/15/322 | 6,794 | 6,919 | ||||||
Series 2500, Cl. FD, 0.778%, 3/15/322 | 151,899 | 152,645 | ||||||
Series 2526, Cl. FE, 0.678%, 6/15/292 | 216,768 | 217,531 | ||||||
Series 2538, Cl. F, 0.878%, 12/15/322 | 856,802 | 862,726 | ||||||
Series 2551, Cl. FD, 0.678%, 1/15/332 | 142,836 | 143,267 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 | 74,057 | 74,222 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17 | 5,687 | 5,685 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 69,000 | 77,333 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 134,215 | 134,904 | ||||||
Series 3025, Cl. SJ, 23.73%, 8/15/352 | 76,803 | 109,830 | ||||||
Series 3094, Cl. HS, 23.363%, 6/15/342 | 222,910 | 301,810 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 | 86,664 | 87,040 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 | 58,249 | 63,080 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 65,158 | 68,872 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 11,643 | 11,640 | ||||||
Federal Home Loan Mortgage Corp., | ||||||||
Interest-Only Stripped | ||||||||
Mtg.-Backed Security: | ||||||||
Series 205, Cl. IO, 13.265%, 9/1/296 | 19,360 | 3,354 | ||||||
Series 206, Cl. IO, 10.491%, 12/1/296 | 238,719 | 43,411 | ||||||
Series 2074, Cl. S, 63.15%, 7/17/286 | 4,152 | 889 | ||||||
Series 2079, Cl. S, 73.948%, 7/17/286 | 7,129 | 1,537 | ||||||
Series 2130, Cl. SC, 50.33%, 3/15/296 | 274,054 | 55,868 | ||||||
Series 243, Cl. 6, 0.377%, 12/15/326 | 269,732 | 48,995 | ||||||
Series 2526, Cl. SE, 40.405%, 6/15/296 | 9,790 | 1,976 | ||||||
Series 2527, Cl. SG, 10.406%, 2/15/326 | 145,042 | 1,546 | ||||||
Series 2531, Cl. ST, 56.547%, 2/15/306 | 111,449 | 3,427 | ||||||
Series 2796, Cl. SD, 61.789%, 7/15/266 | 441,997 | 86,799 | ||||||
Series 2802, Cl. AS, 62.443%, 4/15/336 | 232,163 | 16,640 | ||||||
Series 2819, Cl. S, 53.364%, 6/15/346 | 91,180 | 18,501 | ||||||
Series 2920, Cl. S, 63.715%, 1/15/356 | 1,665,099 | 282,204 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/356 | 95,608 | 14,714 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/266 | 247,773 | 31,756 | ||||||
Series 3451, Cl. SB, 20.75%, 5/15/386 | 274,136 | 32,676 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.804%, 6/1/267 | 104,236 | 95,487 | ||||||
Federal National Mortgage Assn.: | ||||||||
2.579%, 10/1/362 | 185,087 | 195,812 | ||||||
3.50%, 1/1/275 | 5,535,000 | 5,789,264 | ||||||
4%, 1/1/425 | 9,480,000 | 9,961,407 | ||||||
4.50%, 1/1/27-1/1/425 | 16,305,000 | 17,361,225 | ||||||
5%, 2/25/22-7/25/22 | 16,175 | 17,433 | ||||||
5%, 1/1/425 | 12,283,000 | 13,271,401 | ||||||
5.50%, 1/1/27-1/1/425 | 6,616,000 | 7,203,121 | ||||||
6%, 1/1/425 | 3,815,000 | 4,201,270 | ||||||
6.50%, 5/25/17-1/1/34 | 1,043,267 | 1,142,030 | ||||||
6.50%, 1/1/425 | 1,611,000 | 1,792,741 | ||||||
7%, 11/1/17-7/25/35 | 493,426 | 545,939 | ||||||
7.50%, 1/1/33 | 11,253 | 13,408 | ||||||
8.50%, 7/1/32 | 20,802 | 25,436 | ||||||
Federal National Mortgage Assn., 15 yr.: | ||||||||
3%, 1/1/275 | 10,010,000 | 10,340,017 | ||||||
4%, 1/1/275 | 490,000 | 516,873 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1989-17, Cl. E, 10.40%, 4/25/19 | 11,430 | 12,731 | ||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 | 557,768 | 630,536 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | 446,810 | 497,067 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 228,301 | 257,001 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 367,654 | 421,439 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 20,234 | 21,597 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 28,123 | 32,659 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 | 647,052 | 729,510 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 10,455 | 11,308 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 3,964,000 | 4,413,662 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,424,695 | 1,526,075 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 234,006 | 236,062 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 120,341 | 120,681 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 54,062 | 54,165 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 74,529 | 74,946 | ||||||
Trust 2006-46, Cl. SW, 23.123%, 6/25/362 | 294,847 | 411,682 | ||||||
Trust 2006-50, Cl. KS, 23.124%, 6/25/362 | 431,309 | 601,834 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 | 715,327 | 749,709 | ||||||
Trust 2009-36, Cl. FA, 1.234%, 6/25/372 | 563,821 | 570,861 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 38.447%, 11/18/316 | 25,535 | 4,596 | ||||||
Trust 2001-63, Cl. SD, 35.722%, 12/18/316 | 8,219 | 1,464 | ||||||
Trust 2001-65, Cl. S, 36.948%, 11/25/316 | 640,666 | 116,105 | ||||||
Trust 2001-68, Cl. SC, 26.238%, 11/25/316 | 5,426 | 983 | ||||||
Trust 2001-81, Cl. S, 31.868%, 1/25/326 | 175,653 | 34,736 | ||||||
Trust 2002-28, Cl. SA, 38.371%, 4/25/326 | 4,862 | 901 | ||||||
Trust 2002-38, Cl. SO, 53.992%, 4/25/326 | 12,050 | 2,197 | ||||||
Trust 2002-39, Cl. SD, 43.567%, 3/18/326 | 7,968 | 1,596 | ||||||
Trust 2002-47, Cl. NS, 34.496%, 4/25/326 | 483,784 | 92,342 | ||||||
Trust 2002-48, Cl. S, 34.501%, 7/25/326 | 7,945 | 1,500 | ||||||
Trust 2002-51, Cl. S, 34.75%, 8/25/326 | 444,115 | 84,784 | ||||||
Trust 2002-52, Cl. SD, 40.908%, 9/25/326 | 560,808 | 112,159 | ||||||
Trust 2002-52, Cl. SL, 36.61%, 9/25/326 | 5,025 | 959 | ||||||
Trust 2002-53, Cl. SK, 41.633%, 4/25/326 | 27,763 | 5,723 | ||||||
Trust 2002-56, Cl. SN, 36.625%, 7/25/326 | 10,833 | 2,047 | ||||||
Trust 2002-60, Cl. SM, 37.002%, 8/25/326 | 86,925 | 13,456 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 2002-7, Cl. SK, 36.625%, 1/25/326 | $ | 40,260 | $ | 6,447 | ||||
Trust 2002-77, Cl. BS, 31.49%, 12/18/326 | 52,703 | 8,904 | ||||||
Trust 2002-77, Cl. IS, 49.219%, 12/18/326 | 20,530 | 4,195 | ||||||
Trust 2002-77, Cl. JS, 29.15%, 12/18/326 | 86,882 | 13,978 | ||||||
Trust 2002-77, Cl. SA, 30.879%, 12/18/326 | 83,124 | 13,979 | ||||||
Trust 2002-77, Cl. SH, 41.744%, 12/18/326 | 236,071 | 46,144 | ||||||
Trust 2002-84, Cl. SA, 40.331%, 12/25/326 | 595,074 | 102,847 | ||||||
Trust 2002-9, Cl. MS, 33.469%, 3/25/326 | 9,056 | 1,756 | ||||||
Trust 2002-90, Cl. SN, 38.32%, 8/25/326 | 44,719 | 6,922 | ||||||
Trust 2002-90, Cl. SY, 42.875%, 9/25/326 | 29,782 | 4,743 | ||||||
Trust 2003-26, Cl. DI, 11.339%, 4/25/336 | 19,479 | 3,223 | ||||||
Trust 2003-33, Cl. SP, 40.253%, 5/25/336 | 644,497 | 105,155 | ||||||
Trust 2003-4, Cl. S, 36.576%, 2/25/336 | 410,619 | 72,169 | ||||||
Trust 2003-89, Cl. XS, 40.742%, 11/25/326 | 257,718 | 12,950 | ||||||
Trust 2004-54, Cl. DS, 51.344%, 11/25/306 | 406,838 | 76,427 | ||||||
Trust 2005-14, Cl. SE, 41.553%, 3/25/356 | 321,895 | 46,700 | ||||||
Trust 2005-40, Cl. SA, 60.463%, 5/25/356 | 910,791 | 162,186 | ||||||
Trust 2005-40, Cl. SB, 70.886%, 5/25/356 | 43,208 | 7,327 | ||||||
Trust 2005-71, Cl. SA, 61.213%, 8/25/256 | 1,064,192 | 149,205 | ||||||
Trust 2005-93, Cl. SI, 18.704%, 10/25/356 | 858,372 | 126,692 | ||||||
Trust 2006-129, Cl. SM, 28.813%, 1/25/376 | 359,365 | 51,487 | ||||||
Trust 2006-60, Cl. DI, 38.843%, 4/25/356 | 219,501 | 31,667 | ||||||
Trust 2008-55, Cl. SA, 20.914%, 7/25/386 | 174,277 | 19,345 | ||||||
Trust 2008-67, Cl. KS, 48.436%, 8/25/346 | 1,862,074 | 135,713 | ||||||
Trust 221, Cl. 2, 38.599%, 5/1/236 | 7,095 | 1,299 | ||||||
Trust 222, Cl. 2, 25.595%, 6/1/236 | 797,465 | 150,091 | ||||||
Trust 252, Cl. 2, 36.807%, 11/1/236 | 688,313 | 126,484 | ||||||
Trust 294, Cl. 2, 15.406%, 2/1/286 | 77,542 | 12,792 | ||||||
Trust 301, Cl. 2, 2.112%, 4/1/296 | 8,385 | 1,516 | ||||||
Trust 303, Cl. IO, 7.301%, 11/1/296 | 121,718 | 21,862 | ||||||
Trust 320, Cl. 2, 11.724%, 4/1/326 | 542,817 | 94,745 | ||||||
Trust 321, Cl. 2, 1.699%, 4/1/326 | 1,669,799 | 301,875 | ||||||
Trust 324, Cl. 2, 0.501%, 7/1/326 | 17,319 | 3,083 | ||||||
Trust 331, Cl. 5, 0%, 2/1/336,8 | 23,882 | 4,034 | ||||||
Trust 331, Cl. 9, 13.237%, 2/1/336 | 450,538 | 88,590 | ||||||
Trust 334, Cl. 12, 0.423%, 2/1/336 | 42,634 | 7,058 | ||||||
Trust 334, Cl. 17, 20.883%, 2/1/336 | 314,392 | 69,355 | ||||||
Trust 339, Cl. 12, 2.511%, 7/1/336 | 598,401 | 114,193 | ||||||
Trust 339, Cl. 7, 4.65%, 7/1/336 | 1,407,874 | 200,725 | ||||||
Trust 343, Cl. 13, 10.169%, 9/1/336 | 571,447 | 106,302 | ||||||
Trust 343, Cl. 18, 1.089%, 5/1/346 | 156,841 | 26,048 | ||||||
Trust 345, Cl. 9, 0%, 1/1/346,8 | 590,152 | 76,371 | ||||||
Trust 351, Cl. 10, 0.79%, 4/1/346 | 214,546 | 31,305 | ||||||
Trust 351, Cl. 8, 1.45%, 4/1/346 | 338,575 | 49,908 | ||||||
Trust 356, Cl. 10, 1.266%, 6/1/356 | 277,143 | 40,385 | ||||||
Trust 356, Cl. 12, 1.97%, 2/1/356 | 138,557 | 20,198 | ||||||
Trust 362, Cl. 13, 3.439%, 8/1/356 | 498,643 | 79,971 | ||||||
Trust 364, Cl. 15, 4.816%, 9/1/356 | 30,226 | 4,711 | ||||||
Trust 364, Cl. 16, 0.173%, 9/1/356 | 581,279 | 97,023 | ||||||
Trust 365, Cl. 16, 2.414%, 3/1/366 | 901,114 | 146,806 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.278%, 9/25/237 | 247,603 | 224,077 | ||||||
104,288,809 | ||||||||
GNMA/Guaranteed—0.4% | ||||||||
Government National Mortgage Assn.: | ||||||||
7%, 12/29/23-3/15/26 | 24,890 | 28,843 | ||||||
8.50%, 8/1/17-12/15/17 | 89,649 | 101,221 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 74,144 | 88,350 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 | 31,700 | 38,060 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 71.063%, 7/16/286 | 15,299 | 3,310 | ||||||
Series 2001-21, Cl. SB, 91.534%, 1/16/276 | 545,428 | 107,416 | ||||||
Series 2002-15, Cl. SM, 82.478%, 2/16/326 | 571,974 | 106,165 | ||||||
Series 2004-11, Cl. SM, 73.936%, 1/17/306 | 451,877 | 102,989 | ||||||
Series 2007-17, Cl. AI, 21.009%, 4/16/376 | 170,572 | 31,993 | ||||||
608,347 | ||||||||
Non-Agency—11.8% | ||||||||
Commercial—8.7% | ||||||||
Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.304%, 4/14/296 | 5,269,927 | 145,432 | ||||||
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 | 774,322 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.622%, 6/1/492 | 385,000 | 414,465 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 3.287%, 6/22/241,6 | 2,702,173 | 131,511 | ||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/441 | 134,414 | 134,106 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | $ | 67,367 | $ | 64,310 | ||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | 321,377 | 254,324 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 376,206 | 381,230 | ||||||
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 | 875,000 | 931,627 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/461 | 581,251 | 598,446 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.857%, 9/1/201,6 | 4,602,164 | 345,880 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 | 515,654 | 503,080 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 199,832 | 131,099 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.857%, 11/1/372 | 383,103 | 233,851 | ||||||
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 | 1,280,000 | 1,386,588 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 | 495,000 | 466,759 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 | 351,661 | 359,584 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 | 380,206 | 350,790 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.834%, 5/25/352 | 566,538 | 385,765 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.11%, 11/1/352 | 656,173 | 447,249 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/461 | 396,095 | 397,831 | ||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/431 | 710,000 | 739,079 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/493 | 1,270,963 | 1,283,164 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 | 646,709 | 543,845 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40 | 880,000 | 967,894 | ||||||
Lehman Brothers Commercial Conduit Mortgage Trust, Interest- Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 57.776%, 2/18/306 | 3,192,227 | 51,436 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/241 | 132,743 | 108,327 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 904,998 | 928,973 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.879%, 6/1/492 | 490,000 | 463,298 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 31.725%, 5/18/326 | 41,277,456 | 96,548 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.118%, 7/1/372 | $ | 591,438 | $ | 356,032 | ||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 | 520,000 | 572,745 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.474%, 12/1/352 | 360,667 | 279,814 | ||||||
Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/431 | 358,437 | 372,057 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.777%, 4/1/372 | 182,781 | 147,685 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.042%, 11/1/372 | 455,796 | 332,157 | ||||||
16,081,303 | ||||||||
Multifamily—0.5% | ||||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.672%, 6/1/362 | 415,587 | 339,132 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.259%, 5/1/372 | 155,749 | 126,031 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.689%, 3/25/362 | 508,897 | 406,937 | ||||||
872,100 | ||||||||
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 | 350,000 | 380,274 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 77.143%, 10/23/176 | 562 | 55 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 3.603%, 10/23/177 | 832 | 816 | ||||||
381,145 | ||||||||
Residential—2.4% | ||||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.544%, 5/1/362 | 155,000 | 137,355 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 231,189 | 193,936 | ||||||
CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass-Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 | 339,202 | 326,136 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 36,141 | 34,989 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 | 373,766 | 260,289 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 380,681 | 370,535 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 524,442 | 450,761 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.375%, 10/25/362 | 44,682 | 40,319 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 232,844 | 241,629 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: | ||||||||
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 54,626 | 31,012 | ||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 1,914 | 1,087 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 23,792 | 13,952 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | $ | 153,247 | $ | 118,795 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 3A1, 2.505%, 5/1/342 | 238,564 | 219,579 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 2.61%, 2/1/372 | 59,121 | 39,307 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.467%, 5/1/372 | 849,883 | 709,694 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 | 356,352 | 277,141 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.625%, 9/1/342 | 230,777 | 219,987 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 | 469,449 | 451,553 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.667%, 10/1/362 | 389,016 | 326,937 | ||||||
4,464,993 | ||||||||
Total Mortgage-Backed Obligations (Cost $124,323,010) | 126,696,697 | |||||||
U.S. Government Obligations—1.7% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
2%, 8/25/16 | 180,000 | 187,467 | ||||||
2.50%, 5/27/16 | 255,000 | 270,459 | ||||||
5%, 2/16/17 | 295,000 | 348,763 | ||||||
5.25%, 4/18/16 | 515,000 | 607,516 | ||||||
5.50%, 7/18/16 | 295,000 | 352,295 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
2.375%, 4/11/169 | 485,000 | 513,160 | ||||||
4.875%, 12/15/16 | 415,000 | 489,583 | ||||||
5%, 3/15/16 | 320,000 | 373,407 | ||||||
Total U.S. Government Obligations (Cost $2,949,907) | 3,142,650 | |||||||
Corporate Bonds and Notes—42.4% | ||||||||
Consumer Discretionary—7.0% | ||||||||
Automobiles—0.6% | ||||||||
Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts., 9/15/141 | 348,000 | 346,388 | ||||||
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 | 192,000 | 268,806 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 | 513,000 | 535,436 | ||||||
1,150,630 | ||||||||
Diversified Consumer Services—0.3% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 475,000 | 513,000 | ||||||
Hotels, Restaurants & Leisure—0.7% | ||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/151 | 753,000 | 807,159 | ||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 | 526,000 | 591,893 | ||||||
1,399,052 | ||||||||
Household Durables—0.8% | ||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 | 435,000 | 446,963 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 | 429,000 | 450,011 | ||||||
Whirlpool Corp.: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 | 152,000 | 158,025 | ||||||
8% Sr. Unsec. Nts., 5/1/12 | 380,000 | 388,522 | ||||||
1,443,521 | ||||||||
Leisure Equipment & Products—0.2% | ||||||||
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 | 395,000 | 415,182 | ||||||
Media—2.9% | ||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 292,000 | 416,697 | ||||||
Comcast Corp., 6.40% Sr. Unsec. Nts., 3/1/40 | 112,000 | 139,465 | ||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 | 404,000 | 446,420 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 | 359,000 | 414,641 | ||||||
Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 | 431,000 | 466,558 | ||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 | 149,000 | 160,706 | ||||||
Interpublic Group of Cos., Inc. (The): | ||||||||
6.25% Sr. Unsec. Nts., 11/15/14 | 190,000 | 202,825 | ||||||
10% Sr. Unsec. Nts., 7/15/17 | 528,000 | 605,880 | ||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 | 438,000 | 492,750 |
Principal | ||||||||
Amount | Value | |||||||
Media Continued | ||||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 | $ | 281,000 | $ | 324,443 | ||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 257,000 | 337,314 | ||||||
Time Warner, Inc., 4% Sr. Unsec. Unsub. Nts., 1/15/22 | 439,000 | 453,563 | ||||||
Virgin Media Secured Finance plc: | ||||||||
5.25% Sr. Sec. Nts., 1/15/21 | 230,000 | 244,032 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 | 555,000 | 592,463 | ||||||
5,297,757 | ||||||||
Multiline Retail—0.7% | ||||||||
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 | 261,000 | 268,997 | ||||||
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 | 765,000 | 814,312 | ||||||
Target Corp., 7% Bonds, 1/15/38 | 103,000 | 144,217 | ||||||
1,227,526 | ||||||||
Specialty Retail—0.8% | ||||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 | 426,000 | 453,690 | ||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 477,000 | 482,963 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/191 | 460,000 | 483,000 | ||||||
1,419,653 | ||||||||
Consumer Staples—2.9% | ||||||||
Beverages—0.5% | ||||||||
Anheuser-Busch Inbev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19 | 246,000 | 318,970 | ||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 | 119,000 | 130,217 | ||||||
Pernod-Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/221 | 459,000 | 481,620 | ||||||
930,807 | ||||||||
Food & Staples Retailing—0.4% | ||||||||
CVS Caremark Corp., 6.125% Sr. Unsec. Unsub. Nts., 9/15/39 | 174,000 | 212,109 | ||||||
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40 | 133,000 | 136,768 | ||||||
Kroger Co. (The), 5% Sr. Nts., 4/15/13 | 443,000 | 463,636 | ||||||
812,513 | ||||||||
Food Products—0.9% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 210,000 | 220,401 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 200,000 | 243,726 | ||||||
Kraft Foods, Inc.: | ||||||||
6% Sr. Unsec. Nts., 2/11/13 | 410,000 | 432,105 | ||||||
6.50% Sr. Unsec. Unsub. Nts., 2/9/40 | 262,000 | 341,447 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 | 470,000 | 509,950 | ||||||
1,747,629 | ||||||||
Household Products—0.3% | ||||||||
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/211 | 463,000 | 488,000 | ||||||
Tobacco—0.8% | ||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 | 358,000 | 557,902 | ||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 | 311,000 | 327,398 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 | 460,000 | 493,574 | ||||||
1,378,874 | ||||||||
Energy—5.8% | ||||||||
Energy Equipment & Services—1.5% | ||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 | 524,000 | 546,511 | ||||||
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 | 593,000 | 663,116 | ||||||
Precision Drilling Corp.: | ||||||||
6.50% Sr. Unsec. Nts., 12/15/211 | 217,000 | 222,425 | ||||||
6.625% Sr. Unsec. Nts., 11/15/20 | 208,000 | 213,720 | ||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 | 499,000 | 525,103 | ||||||
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 | 496,000 | 516,154 | ||||||
2,687,029 | ||||||||
Oil, Gas & Consumable Fuels—4.3% | ||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 | 316,000 | 352,265 | ||||||
BG Energy Capital plc, 4% Sr. Unsec. Nts., 10/15/211 | 329,000 | 339,671 | ||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 | 427,000 | 448,350 | ||||||
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/131 | 457,000 | 485,050 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 | 445,000 | 476,150 | ||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 | 665,000 | 736,003 | ||||||
Encana Corp., 3.90% Sr. Unsec. Unsub. Nts., 11/15/21 | 169,000 | 170,055 | ||||||
Energy Transfer Partners LP, 4.65% Sr. Unsec. Unsub. Nts., 6/1/21 | 374,000 | 366,921 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
EQT Corp., 4.875% Sr. Unsec. Unsub. Nts., 11/15/21 | $ | 281,000 | $ | 284,095 | ||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 757,000 | 798,217 | ||||||
Marathon Petroleum Corp., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 | 240,000 | 251,088 | ||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 | 419,000 | 450,425 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 466,000 | 494,375 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 427,000 | 478,240 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/141 | 270,000 | 290,250 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/151 | 764,000 | 755,669 | ||||||
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12 | 441,000 | 443,875 | ||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/211 | 339,000 | 346,666 | ||||||
7,967,365 | ||||||||
Financials—12.9% | ||||||||
Capital Markets—3.0% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/191 | 800,000 | 847,510 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 477,000 | 404,266 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
5.25% Sr. Unsec. Nts., 7/27/21 | 703,000 | 686,821 | ||||||
6.25% Sr. Nts., 2/1/41 | 443,000 | 435,284 | ||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/211 | 598,000 | 552,070 | ||||||
Morgan Stanley: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/201 | 262,000 | 238,534 | ||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 1,285,000 | 1,241,467 | ||||||
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 | 433,000 | 423,022 | ||||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 | 509,000 | 515,496 | ||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 | 181,000 | 179,479 | ||||||
5,523,949 | ||||||||
Commercial Banks—2.4% | ||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/121 | 507,000 | 515,895 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 | 845,000 | 832,325 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/352 | 1,090,000 | 910,150 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/201 | 356,000 | 298,261 | ||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 | 308,000 | 321,087 | ||||||
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 | 466,000 | 477,454 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 | 367,000 | 394,984 | ||||||
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 | 581,000 | 616,481 | ||||||
4,366,637 | ||||||||
Consumer Finance—1.0% | ||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 | 441,000 | 461,146 | ||||||
American Express Credit Corp., 2.80% Sr. Unsec. Unsub. Nts., 9/19/16 | 450,000 | 452,800 | ||||||
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21 | 439,000 | 452,472 | ||||||
SLM Corp., 6.25% Sr. Nts., 1/25/16 | 602,000 | 586,051 | ||||||
1,952,469 | ||||||||
Diversified Financial Services—2.3% | ||||||||
Bank of America Corp., 3.75% Sr. Unsec. Unsub. Nts., 7/12/16 | 495,000 | 458,890 | ||||||
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 | 1,462,000 | 1,562,606 | ||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/672,3 | 666,000 | 474,525 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/131 | 320,000 | 283,075 | ||||||
JPMorgan Chase & Co.: | ||||||||
5.40% Sr. Unsec. Nts., 1/6/42 | 135,000 | 141,140 | ||||||
7.90% Perpetual Bonds, Series 110 | 869,000 | 928,337 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 416,000 | 395,765 | ||||||
4,244,338 | ||||||||
Insurance—3.4% | ||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 | 125,000 | 149,824 | ||||||
CNA Financial Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 | 368,000 | 376,069 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 | 260,000 | 267,444 | ||||||
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/121 | 455,000 | �� | 465,101 | |||||
Hartford Financial Services Group, Inc. (The), 6.625% Sr. Unsec. Unsub. Nts., 3/30/40 | 306,000 | 304,141 |
Principal | ||||||||
Amount | Value | |||||||
Insurance Continued | ||||||||
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 | $ | 441,000 | $ | 409,507 | ||||
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/211 | 685,000 | 672,230 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 | 945,000 | 793,800 | ||||||
Prudential Financial, Inc., 5.375% Sr. Unsec. Unsub. Nts., 6/21/20 | 833,000 | 892,720 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds1,10 | 875,000 | 748,136 | ||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 | 320,000 | 329,947 | ||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 | 463,000 | 470,781 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/372,3 | 513,000 | 464,265 | ||||||
6,343,965 | ||||||||
Real Estate Investment Trusts—0.8% | ||||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 | 237,000 | 238,529 | ||||||
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 | 103,000 | 103,000 | ||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 | 464,000 | 485,460 | ||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 | 180,000 | 180,135 | ||||||
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/121 | 439,000 | 449,883 | ||||||
1,457,007 | ||||||||
Health Care—0.8% | ||||||||
Biotechnology—0.2% | ||||||||
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 | 291,000 | 320,836 | ||||||
Health Care Providers & Services—0.3% | ||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 | 237,000 | 303,487 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 | 300,000 | 324,114 | ||||||
627,601 | ||||||||
Pharmaceuticals—0.3% | ||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/181 | 495,000 | 511,706 | ||||||
Industrials—3.0% | ||||||||
Aerospace & Defense—0.5% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 477,000 | 491,310 | ||||||
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 | 420,000 | 462,000 | ||||||
953,310 | ||||||||
Commercial Services & Supplies—0.5% | ||||||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 473,000 | 515,570 | ||||||
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16 | 434,000 | 436,713 | ||||||
952,283 | ||||||||
Industrial Conglomerates—1.0% | ||||||||
General Electric Capital Corp.: | ||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 | 460,000 | 465,631 | ||||||
4.65% Sr. Unsec. Nts., 10/17/21 | 446,000 | 466,208 | ||||||
5.25% Sr. Unsec. Nts., 10/19/12 | 28,000 | 28,986 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 | 852,000 | 841,350 | ||||||
1,802,175 | ||||||||
Machinery—0.6% | ||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/161 | 457,000 | 472,995 | ||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 | 216,000 | 230,928 | ||||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/171 | 412,000 | 447,020 | ||||||
1,150,943 | ||||||||
Professional Services—0.1% | ||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 | 76,000 | 78,850 | ||||||
Road & Rail—0.3% | ||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 | 130,000 | 147,523 | ||||||
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18 | 400,000 | 442,000 | ||||||
589,523 | ||||||||
Information Technology—1.8% | ||||||||
Communications Equipment—0.2% | ||||||||
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 | 144,000 | 163,126 | ||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 | 179,000 | 196,113 | ||||||
359,239 | ||||||||
Computers & Peripherals—0.4% | ||||||||
Hewlett-Packard Co.: | ||||||||
2.35% Sr. Unsec. Unsub. Nts., 3/15/15 | 490,000 | 488,076 | ||||||
4.65% Sr. Unsec. Nts., 12/9/21 | 363,000 | 383,605 | ||||||
871,681 | ||||||||
Electronic Equipment & Instruments—0.5% | ||||||||
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 | 875,000 | 877,062 | ||||||
Office Electronics—0.2% Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 | 435,000 | 456,861 |
Principal | ||||||||
Amount | Value | |||||||
Semiconductors & Semiconductor Equipment—0.2% | ||||||||
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 | $ | 306,000 | $ | 353,233 | ||||
Software—0.3% | ||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 | 517,000 | 520,611 | ||||||
Materials—3.0% | ||||||||
Chemicals—1.1% | ||||||||
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 | 200,000 | 248,518 | ||||||
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 | 842,000 | 867,202 | ||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 | 440,000 | 492,800 | ||||||
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 | 285,000 | 348,654 | ||||||
1,957,174 | ||||||||
Containers & Packaging—0.2% | ||||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 | 370,000 | 390,615 | ||||||
Metals & Mining—1.5% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 698,000 | 742,411 | ||||||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 | 669,000 | 739,245 | ||||||
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 | 465,000 | 482,788 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 | 28,000 | 30,516 | ||||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 245,000 | 266,297 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 432,000 | 465,810 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 | 80,000 | 82,422 | ||||||
2,809,489 | ||||||||
Paper & Forest Products—0.2% | ||||||||
International Paper Co., 4.75% Sr. Unsec. Unsub. Nts., 2/15/22 | 365,000 | 388,591 | ||||||
Telecommunication Services—2.3% | ||||||||
Diversified Telecommunication Services—1.6% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 518,000 | 637,038 | ||||||
British Telecommunications plc, 9.875% Bonds, 12/15/30 | 298,000 | 420,488 | ||||||
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 | 158,000 | 155,252 | ||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 | 477,000 | 490,118 | ||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 | 447,000 | 497,682 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 286,000 | 363,665 | ||||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 | 412,000 | 448,050 | ||||||
3,012,293 | ||||||||
Wireless Telecommunication Services—0.7% | ||||||||
America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16 | 774,000 | 775,884 | ||||||
American Tower Corp.: | ||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | 130,000 | 130,416 | ||||||
7% Sr. Unsec. Nts., 10/15/17 | 337,000 | 381,116 | ||||||
1,287,416 | ||||||||
Utilities—2.9% | ||||||||
Electric Utilities—2.3% | ||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/121 | 447,000 | 455,114 | ||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 | 342,000 | 352,469 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 | 292,000 | 327,488 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 | 464,000 | 470,842 | ||||||
Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41 | 261,000 | 281,443 | ||||||
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 | 470,000 | 476,689 | ||||||
Oncor Electric Delivery Co., 7% Debs., 9/1/22 | 409,000 | 524,752 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/211 | 655,000 | 687,874 | ||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/191 | 510,000 | 669,632 | ||||||
4,246,303 | ||||||||
Energy Traders—0.3% | ||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 | 455,000 | 487,330 | ||||||
Multi-Utilities—0.3% | ||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 | 424,000 | 447,228 | ||||||
Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41 | 116,000 | 118,852 | ||||||
566,080 | ||||||||
Total Corporate Bonds and Notes (Cost $76,704,877) | 78,338,108 | |||||||
Shares | ||||||||
Investment Company—15.3% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%11,12 (Cost $28,319,973) | 28,319,973 | 28,319,973 | ||||||
Total Investments, at Value (Cost $254,262,964) | 138.4 | % | 255,419,520 | |||||
Liabilities in Excess of Other Assets | (38.4 | ) | (70,854,222 | ) | ||||
Net Assets | 100.0 | % | $ | 184,565,298 | ||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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 $24,761,703 or 13.42% of the Fund’s net assets as of December 30, 2011. | |
2. | Represents the current interest rate for a variable or increasing rate security. | |
3. | Restricted security. The aggregate value of restricted securities as of December 30, 2011 was $3,393,259, which represents 1.84% 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) | ||||||||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41 | 11/2/11 | $ | 434,965 | $ | 434,133 | $ | (832 | ) | ||||||||
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67 | 1/5/11-10/11/11 | 543,979 | 474,525 | (69,454 | ) | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial | ||||||||||||||||
Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 | 7/14/10 | 1,255,075 | 1,283,164 | 28,089 | ||||||||||||
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 | 303,301 | (2,977,815 | ) | |||||||||||
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 | 438,271 | 433,871 | (4,400 | ) | |||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 | 2/24/11-7/26/11 | 517,024 | 464,265 | (52,759 | ) | |||||||||||
$ | 6,470,430 | $ | 3,393,259 | $ | (3,077,171 | ) | ||||||||||
4. | 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. | |
5. | When-issued security or delayed delivery to be delivered and settled after December 30, 2011. See Note 1 of the accompanying Notes. | |
6. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. 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 or asset-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 $5,329,467 or 2.89% of the Fund’s net assets as of December 30, 2011. | |
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 $320,380 or 0.17% of the Fund’s net assets as of December 30, 2011. | |
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 $513,160. 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 December 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 | December 30,2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 25,899,825 | 93,303,874 | 90,883,726 | 28,319,973 |
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 28,319,973 | $ | 57,584 |
12. | Rate shown is the 7-day yield as of December 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 | $ | — | $ | 18,922,092 | $ | — | $ | 18,922,092 | ||||||||
Mortgage-Backed Obligations | — | 126,696,697 | — | 126,696,697 | ||||||||||||
U.S. Government Obligations | — | 3,142,650 | — | 3,142,650 | ||||||||||||
Corporate Bonds and Notes | — | 78,338,108 | — | 78,338,108 | ||||||||||||
Investment Company | 28,319,973 | — | — | 28,319,973 | ||||||||||||
Total Investments, at Value | 28,319,973 | 227,099,547 | — | 255,419,520 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | 50,877 | — | — | 50,877 | ||||||||||||
Total Assets | $ | 28,370,850 | $ | 227,099,547 | $ | — | $ | 255,470,397 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | $ | (25,518 | ) | $ | — | $ | — | $ | (25,518 | ) | ||||||
Total Liabilities | $ | (25,518 | ) | $ | — | $ | — | $ | (25,518 | ) | ||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Long Bonds | Buy | 45 | 3/21/12 | $ | 6,516,563 | $ | 70,811 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 110 | 3/30/12 | 24,260,156 | (5,569 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 79 | 3/30/12 | 9,737,367 | (37,808 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 11 | 3/21/12 | 1,442,375 | 6,347 | |||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 54 | 3/21/12 | 8,650,125 | 52,435 | |||||||||||||||
$ | 86,216 | |||||||||||||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $225,942,991) | $ | 227,099,547 | ||
Affiliated companies (cost $28,319,973) | 28,319,973 | |||
255,419,520 | ||||
Cash | 78,759 | |||
Receivables and other assets: | ||||
Investments sold on a when-issued or delayed delivery basis | 1,815,274 | |||
Interest, dividends and principal paydowns | 1,479,073 | |||
Shares of beneficial interest sold | 1,270,462 | |||
Futures margins | 50,877 | |||
Other | 46,178 | |||
Total assets | 260,160,143 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased on a when-issued or delayed delivery basis | 75,414,943 | |||
Shareholder communications | 52,011 | |||
Futures margins | 25,518 | |||
Shares of beneficial interest redeemed | 18,977 | |||
Trustees’ compensation | 16,770 | |||
Transfer and shareholder servicing agent fees | 15,453 | |||
Distribution and service plan fees | 12,568 | |||
Other | 38,605 | |||
Total liabilities | 75,594,845 | |||
Net Assets | $ | 184,565,298 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 23,514 | ||
Additional paid-in capital | 264,231,050 | |||
Accumulated net investment income | 8,902,644 | |||
Accumulated net realized loss on investments | (89,834,682 | ) | ||
Net unrealized appreciation on investments | 1,242,772 | |||
Net Assets | $ | 184,565,298 | ||
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 $122,271,102 and 15,520,149 shares of beneficial interest outstanding) | $ | 7.88 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $62,294,196 and 7,993,566 shares of beneficial interest outstanding) | $ | 7.79 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Interest | $ | 8,013,498 | ||
Dividends from affiliated companies | 57,584 | |||
Fee income on when-issued securities | 2,053,668 | |||
Total investment income | 10,124,750 | |||
Expenses | ||||
Management fees | 1,115,919 | |||
Distribution and service plan fees—Service shares | 146,541 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 127,352 | |||
Service shares | 58,632 | |||
Shareholder communications: | ||||
Non-Service shares | 34,078 | |||
Service shares | 15,296 | |||
Custodian fees and expenses | 20,464 | |||
Trustees’ compensation | 14,794 | |||
Administration service fees | 1,500 | |||
Other | 50,062 | |||
Total expenses | 1,584,638 | |||
Less waivers and reimbursements of expenses | (43,913 | ) | ||
Net expenses | 1,540,725 | |||
Net Investment Income | 8,584,025 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on: | ||||
Investments from unaffiliated companies | 4,215,975 | |||
Closing and expiration of futures contracts | 2,940,895 | |||
Net realized gain | 7,156,870 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (1,183,198 | ) | ||
Futures contracts | 71,994 | |||
Net change in unrealized appreciation/depreciation | (1,111,204 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 14,629,691 | ||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 8,584,025 | $ | 10,146,680 | ||||
Net realized gain | 7,156,870 | 8,147,844 | ||||||
Net change in unrealized appreciation/depreciation | (1,111,204 | ) | 2,718,458 | |||||
Net increase in net assets resulting from operations | 14,629,691 | 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 | (12,784,495 | ) | (17,432,675 | ) | ||||
Service shares | 4,335,577 | (5,299,305 | ) | |||||
(8,448,918 | ) | (22,731,980 | ) | |||||
Net Assets | ||||||||
Total decrease | (4,554,105 | ) | (5,194,514 | ) | ||||
Beginning of period | 189,119,403 | 194,313,917 | ||||||
End of period (including accumulated net investment income of $8,902,644 and $10,595,621, respectively) | $ | 184,565,298 | $ | 189,119,403 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.73 | $ | 7.07 | $ | 6.45 | $ | 11.06 | $ | 11.16 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .36 | .40 | .48 | .66 | .55 | |||||||||||||||
Net realized and unrealized gain (loss) | .25 | .40 | .14 | (4.82 | ) | (.08 | ) | |||||||||||||
Total from investment operations | .61 | .80 | .62 | (4.16 | ) | .47 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.46 | ) | (.14 | ) | — | (.45 | ) | (.57 | ) | |||||||||||
Net asset value, end of period | $ | 7.88 | $ | 7.73 | $ | 7.07 | $ | 6.45 | $ | 11.06 | ||||||||||
Total Return, at Net Asset Value3 | 8.27 | % | 11.42 | % | 9.61 | % | (39.05 | )% | 4.39 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 122,271 | $ | 132,557 | $ | 137,597 | $ | 156,339 | $ | 325,661 | ||||||||||
Average net assets (in thousands) | $ | 127,341 | $ | 136,333 | $ | 137,631 | $ | 271,355 | $ | 345,723 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 4.71 | % | 5.32 | % | 7.40 | % | 6.76 | % | 5.07 | % | ||||||||||
Total expenses5 | 0.77 | % | 0.79 | % | 0.75 | % | 0.63 | % | 0.68 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75 | % | 0.70 | % | 0.61 | % | 0.62 | % | 0.68 | % | ||||||||||
Portfolio turnover rate6 | 99 | % | 98 | % | 143 | % | 51 | % | 89 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 0.79 | % | ||
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 | % |
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 30, 2011 | $ | 911,850,847 | $ | 909,531,196 | ||||
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 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.65 | $ | 6.99 | $ | 6.41 | $ | 10.98 | $ | 11.10 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .34 | .37 | .46 | .63 | .52 | |||||||||||||||
Net realized and unrealized gain (loss) | .24 | .41 | .12 | (4.77 | ) | (.08 | ) | |||||||||||||
Total from investment operations | .58 | .78 | .58 | (4.14 | ) | .44 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.44 | ) | (.12 | ) | — | (.43 | ) | (.56 | ) | |||||||||||
Net asset value, end of period | $ | 7.79 | $ | 7.65 | $ | 6.99 | $ | 6.41 | $ | 10.98 | ||||||||||
Total Return, at Net Asset Value3 | 7.93 | % | 11.28 | % | 9.05 | % | (39.07 | )% | 4.09 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 62,294 | $ | 56,562 | $ | 56,717 | $ | 63,093 | $ | 103,542 | ||||||||||
Average net assets (in thousands) | $ | 58,629 | $ | 57,313 | $ | 52,648 | $ | 101,597 | $ | 70,116 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 4.42 | % | 5.06 | % | 7.16 | % | 6.55 | % | 4.85 | % | ||||||||||
Total expenses5 | 1.02 | % | 1.04 | % | 1.01 | % | 0.88 | % | 0.92 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.00 | % | 0.95 | % | 0.86 | % | 0.87 | % | 0.92 | % | ||||||||||
Portfolio turnover rate6 | 99 | % | 98 | % | 143 | % | 51 | % | 89 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 1.04 | % | ||
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 | % |
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 30, 2011 | $ | 911,850,847 | $ | 909,531,196 | ||||
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 |
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 75,414,943 | ||
Sold securities | 1,815,274 |
1. | Significant Accounting Policies Continued |
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of December 30, 2011 is as follows: |
Cost | $ | 3,281,116 | ||
Market Value | $ | 303,301 | ||
Market Value as a % of Net Assets | 0.16 | % |
Net Unrealized | ||||||||||||
Appreciation Based on | ||||||||||||
Undistributed | Cost of Securities and | |||||||||||
Net Investment | Undistributed | Accumulated Loss | Other Investments for | |||||||||
Income | Long-Term Gain | Carryforward1,2,3 | Federal Income Tax Purposes | |||||||||
$9,181,275 | $ | — | $ | 89,702,948 | $ | 1,097,897 |
1. | As of December 30, 2011, the Fund had $89,702,948 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2014 | $ | 609,788 | ||
2015 | 1,245,459 | |||
2016 | 12,777,851 | |||
2017 | 75,069,850 | |||
Total | $ | 89,702,948 | ||
2. | During the fiscal year ended December 30, 2011, the Fund utilized $5,723,749 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
3. | During the fiscal year ended December 31, 2010, the Fund utilized $8,990,701 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Increase to | ||||
Increase to | Accumulated Net | |||
Accumulated Net | Realized Loss | |||
Investment Income | on Investments | |||
$457,876 | $ | 457,876 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 10,734,878 | $ | 3,475,516 |
Federal tax cost of securities | $ | 254,321,623 | ||
Federal tax cost of other investments | (17,388,462 | ) | ||
Total federal tax cost | $ | 236,933,161 | ||
Gross unrealized appreciation | $ | 7,268,695 | ||
Gross unrealized depreciation | (6,170,798 | ) | ||
Net unrealized appreciation | $ | 1,097,897 | ||
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,525,561 | $ | 11,724,677 | 1,228,005 | $ | 9,215,341 | ||||||||||
Dividends and/or distributions reinvested | 1,028,657 | 7,632,636 | 357,672 | 2,543,053 | ||||||||||||
Redeemed | (4,179,877 | ) | (32,141,808 | ) | (3,913,294 | ) | (29,191,069 | ) | ||||||||
Net decrease | (1,625,659 | ) | $ | (12,784,495 | ) | (2,327,617 | ) | $ | (17,432,675 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 2,658,754 | $ | 20,149,296 | 1,784,838 | $ | 13,294,523 | ||||||||||
Dividends and/or distributions reinvested | 422,074 | 3,102,242 | 132,264 | 932,463 | ||||||||||||
Redeemed | (2,480,364 | ) | (18,915,961 | ) | (2,632,411 | ) | (19,526,291 | ) | ||||||||
Net increase (decrease) | 600,464 | $ | 4,335,577 | (715,309 | ) | $ | (5,299,305 | ) | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 130,891,879 | $ | 132,306,983 | ||||
U.S. government and government agency obligations | 1,812,430 | 1,894,880 | ||||||
To Be Announced (TBA) mortgage-related securities | 911,850,847 | 909,531,196 |
Fee Schedule | ||||
Up to $1 billion | 0.60 | % | ||
Over $1 billion | 0.50 |
Asset Derivatives | Liability Derivatives | |||||||
Statement | Statement | |||||||
Derivatives Not | of Assets | of Assets | ||||||
Accounted for as | and Liabilities | and Liabilities | ||||||
Hedging Instruments | Location | Value | Location | Value | ||||
Interest rate contracts | Futures margins | $50,877* | Futures margins | $25,518* |
* | 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 | Closing and | |||
Accounted for as | expiration of | |||
Hedging Instruments | futures contracts | |||
Interest rate contracts | $ | 2,940,895 |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not | ||||
Accounted for as | ||||
Hedging Instruments | Futures contracts | |||
Interest rate contracts | $ | 71,994 |
The Board of Trustees and Shareholders of Oppenheimer Variable Account Funds: |
February 16, 2012
ADVISORY AGREEMENT Unaudited
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: | |
UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | ||
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and |
Beverly L. Hamilton, Continued | Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281- 1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005- December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Memani, Strzalkowski, Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Krishna Memani, Vice President (since 2009) Age: 51 | Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Peter A. Strzalkowski, Vice President (since 2009) Age: 46 | Vice President of the Manager (since August 2007), a Chartered Financial Analyst and a member of the Manager’s Investment Grade Fixed Income Team (since April 2009). Prior to joining the Manager, Managing Partner and Chief Investment Officer of Vector Capital Management, LLC, a structured products money management firm he founded, (July 2006-August 2007); a Senior Portfolio Manager at Highland Capital Management, L.P. (June 2005-July 2006) and a Senior Fixed Income Portfolio Manager at Microsoft Corp. (June 2003-June 2005); a Vice President and Senior Fixed Income Portfolio Manager at First Citizens Bank Trust, Capital Management Group (April 2000-June 2003); a Vice President and Fixed Income Portfolio Manager at Centura Banks (November 1998-April 2000). A portfolio manager and officer of 7 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003- October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
December 31, 2011 Annual Report ANNUAL REPORT Listing of Top Holdings Fund Performance Discussion Financial Statements |
For the Periods Ended 12/30/111
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Share | -8.29 | % | -1.12 | % | 5.37 | % | ||||||
Service Shares | -8.53 | % | -1.36 | % | 5.12 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/03) | ||||||||||
Class 3 | -8.27 | % | -1.12 | % | 9.39 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/3/04) | ||||||||||
Class 4 | -8.49 | % | -1.37 | % | 5.02 | % |
Expense Ratios | ||||
For the Period Ended 12/30/111 | ||||
Non-Service Shares | 0.76 | % | ||
Service Shares | 1.01 | |||
Class 3 | 0.76 | |||
Class 4 | 1.01 |
Percentages are as of December 30, 2011, and are based on the total market value of investments.
Telefonaktiebolaget LM Ericsson, B Shares | 3.9 | % | ||
eBay, Inc. | 3.1 | |||
Siemens AG | 2.6 | |||
McDonald’s Corp. | 2.2 | |||
Altera Corp. | 2.2 | |||
Intuit, Inc. | 2.1 | |||
SAP AG | 2.0 | |||
European Aeronautic Defense & Space Co. | 1.9 | |||
Aetna, Inc. | 1.9 | |||
Colgate-Palmolive Co. | 1.8 |
Percentages are as of December 30, 2011, and are based on net assets.
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | July 1, 2011 | December 30, 2011 | December 30, 2011 | |||||||||
Non-Service shares | $ | 1,000.00 | $ | 852.80 | $ | 3.54 | ||||||
Service shares | 1,000.00 | 851.60 | 4.70 | |||||||||
Class 3 | 1,000.00 | 852.90 | 3.54 | |||||||||
Class 4 | 1,000.00 | 851.60 | 4.70 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.26 | 3.86 | |||||||||
Service shares | 1,000.00 | 1,020.00 | 5.13 | |||||||||
Class 3 | 1,000.00 | 1,021.26 | 3.86 | |||||||||
Class 4 | 1,000.00 | 1,020.00 | 5.13 |
Class | Expense Ratios | |||
Non-Service shares | 0.76 | % | ||
Service shares | 1.01 | |||
Class 3 | 0.76 | |||
Class 4 | 1.01 |
Shares | Value | |||||||
Common Stocks—98.3% | ||||||||
Consumer Discretionary—18.1% | ||||||||
Automobiles—1.5% | ||||||||
Bayerische Motoren Werke (BMW) AG, Preference | 771,969 | $ | 36,517,785 | |||||
Diversified Consumer Services—0.0% | ||||||||
Zee Learn Ltd.1 | 492,103 | 110,273 | ||||||
Hotels, Restaurants & Leisure—4.1% | ||||||||
Carnival Corp. | 1,124,146 | 36,692,125 | ||||||
Lottomatica SpA1 | 552,870 | 8,273,787 | ||||||
McDonald’s Corp. | 529,050 | 53,079,587 | ||||||
98,045,499 | ||||||||
Household Durables—0.6% | ||||||||
Sony Corp. | 759,800 | 13,693,158 | ||||||
Leisure Equipment & Products—0.3% | ||||||||
Nintendo Co. Ltd. | 61,000 | 8,400,676 | ||||||
Media—4.5% | ||||||||
Grupo Televisa SA, Sponsored GDR | 1,333,226 | 28,077,740 | ||||||
McGraw-Hill Cos., Inc. (The) | 634,460 | 28,531,666 | ||||||
Walt Disney Co. (The) | 1,102,240 | 41,334,000 | ||||||
Wire & Wireless India Ltd.1 | 2,281,600 | 255,635 | ||||||
Zee Entertainment Enterprises Ltd. | 4,094,715 | 9,086,944 | ||||||
107,285,985 | ||||||||
Multiline Retail—0.9% | ||||||||
Pinault-Printemps-Redoute SA | 146,730 | 21,012,974 | ||||||
Specialty Retail—3.8% | ||||||||
Abercrombie & Fitch Co., Cl. A | 87,250 | 4,261,290 | ||||||
Industria de Diseno Textil SA | 439,965 | 36,033,114 | ||||||
Kingfisher plc | 1,924,960 | 7,494,525 | ||||||
Tiffany & Co. | 650,960 | 43,132,610 | ||||||
90,921,539 | ||||||||
Textiles, Apparel & Luxury Goods—2.4% | ||||||||
LVMH Moet Hennessy Louis Vuitton SA | 281,770 | 39,698,068 | ||||||
Tod’s SpA | 227,470 | 18,497,140 | ||||||
58,195,208 | ||||||||
Consumer Staples—9.5% | ||||||||
Beverages—4.2% | ||||||||
Carlsberg AS, Cl. B | 199,346 | 14,057,272 | ||||||
Companhia de Bebidas das Americas, Sponsored ADR, Preference | 865,575 | 31,238,602 | ||||||
Fomento Economico Mexicano SA de CV, UBD | 5,543,613 | 38,744,550 | ||||||
Grupo Modelo SA de CV, Series C | 2,376,754 | 14,988,094 | ||||||
99,028,518 | ||||||||
Food & Staples Retailing—0.6% | ||||||||
E-Mart Co. Ltd.1 | 61,139 | 14,807,102 | ||||||
Food Products—2.9% | ||||||||
Nestle SA | 522,946 | 30,063,967 | ||||||
Unilever plc | 1,159,843 | 38,960,436 | ||||||
69,024,403 | ||||||||
Household Products—1.8% | ||||||||
Colgate-Palmolive Co. | 475,810 | 43,960,086 | ||||||
Energy—3.9% | ||||||||
Energy Equipment & Services—2.5% | ||||||||
Technip SA | 419,990 | 39,253,414 | ||||||
Transocean Ltd. | 505,762 | 19,416,203 | ||||||
58,669,617 | ||||||||
Oil, Gas & Consumable Fuels—1.4% | ||||||||
Total SA | 548,830 | 28,057,704 | ||||||
YPF Sociedad Anonima SA, Sponsored ADR | 166,670 | 5,780,116 | ||||||
33,837,820 | ||||||||
Financials—13.8% | ||||||||
Capital Markets—3.6% | ||||||||
Credit Suisse Group AG | 1,254,268 | 29,470,558 | ||||||
Goldman Sachs Group, Inc. (The) | 259,310 | 23,449,403 | ||||||
UBS AG1 | 2,716,046 | 32,327,685 | ||||||
85,247,646 | ||||||||
Commercial Banks—2.7% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 3,367,795 | 28,945,218 | ||||||
Itau Unibanco Holding SA, ADR, | ||||||||
Preference | 578,240 | 10,732,134 | ||||||
Societe Generale SA, Cl. A | 290,239 | 6,441,556 | ||||||
Sumitomo Mitsui Financial | ||||||||
Group, Inc. | 655,000 | 18,245,031 | ||||||
64,363,939 | ||||||||
Diversified Financial Services—1.9% | ||||||||
BM&F BOVESPA SA | 4,348,400 | 22,846,439 | ||||||
Investor AB, B Shares | 1,276,082 | 23,712,306 | ||||||
46,558,745 | ||||||||
Insurance—5.3% | ||||||||
Aflac, Inc. | 482,310 | 20,864,731 | ||||||
Allianz SE | 324,402 | 31,031,582 | ||||||
Dai-ichi Life Insurance Co. | 21,622 | 21,265,238 | ||||||
Fidelity National Financial, Inc., Cl. A | 821,110 | 13,080,282 | ||||||
Prudential plc | 2,651,717 | 26,128,476 | ||||||
XL Group plc | 709,690 | 14,030,571 | ||||||
126,400,880 |
Shares | Value | |||||||
Real Estate Management & Development—0.3% | ||||||||
DLF Ltd. | 2,418,376 | $ | 8,312,929 | |||||
Health Care—10.3% | ||||||||
Biotechnology—2.5% | ||||||||
Amgen, Inc. | 353,590 | 22,704,014 | ||||||
Amylin Pharmaceuticals, Inc.1 | 1,101,708 | 12,537,437 | ||||||
Gilead Sciences, Inc.1 | 299,030 | 12,239,298 | ||||||
Theravance, Inc.1 | 598,130 | 13,218,673 | ||||||
60,699,422 | ||||||||
Health Care Equipment & Supplies—1.2% | ||||||||
Zimmer Holdings, Inc.1 | 552,170 | 29,496,921 | ||||||
Health Care Providers & Services—3.7% | ||||||||
Aetna, Inc. | 1,057,270 | 44,606,221 | ||||||
WellPoint, Inc. | 657,315 | 43,547,119 | ||||||
88,153,340 | ||||||||
Pharmaceuticals—2.9% | ||||||||
Allergan, Inc. | 104,180 | 9,140,753 | ||||||
Bayer AG | 444,545 | 28,422,343 | ||||||
Mitsubishi Tanabe Pharma Corp. | 826,300 | 13,075,658 | ||||||
Roche Holding AG | 104,226 | 17,665,048 | ||||||
68,303,802 | ||||||||
Industrials—12.2% | ||||||||
Aerospace & Defense—2.8% | ||||||||
Embraer SA, ADR | 903,943 | 22,797,442 | ||||||
European Aeronautic Defense & Space Co. | 1,452,460 | 45,187,675 | ||||||
67,985,117 | ||||||||
�� | ||||||||
Building Products—1.6% | ||||||||
Assa Abloy AB, Cl. B | 1,514,863 | 37,992,365 | ||||||
Commercial Services & Supplies—0.2% | ||||||||
Mulitplus SA | 253,800 | 4,388,179 | ||||||
Electrical Equipment—2.0% | ||||||||
Emerson Electric Co. | 461,440 | 21,498,490 | ||||||
Nidec Corp. | 208,300 | 18,104,807 | ||||||
Prysmian SpA | 683,137 | 8,442,341 | ||||||
48,045,638 | ||||||||
Industrial Conglomerates—4.7% | ||||||||
3M Co. | 397,600 | 32,495,848 | ||||||
Koninklijke Philips Electronics NV | 850,531 | 17,823,292 | ||||||
Siemens AG | 653,062 | 62,495,832 | ||||||
112,814,972 | ||||||||
Machinery—0.7% | ||||||||
Fanuc Ltd. | 115,300 | 17,646,278 | ||||||
Road & Rail—0.2% | ||||||||
All America Latina Logistica | 732,200 | 3,650,696 | ||||||
Information Technology—27.7% | ||||||||
Communications Equipment—5.0% | ||||||||
Juniper Networks, Inc.1 | 1,264,000 | 25,798,240 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 9,267,681 | 94,139,824 | ||||||
119,938,064 | ||||||||
Electronic Equipment & Instruments—4.1% | ||||||||
Corning, Inc. | 1,391,750 | 18,064,915 | ||||||
Hoya Corp. | 686,800 | 14,794,263 | ||||||
Keyence Corp. | 99,374 | 23,962,342 | ||||||
Kyocera Corp. | 172,300 | 13,856,529 | ||||||
Murata Manufacturing Co. Ltd. | 553,500 | 28,440,854 | ||||||
99,118,903 | ||||||||
Internet Software & Services—4.5% | ||||||||
eBay, Inc.1 | 2,487,240 | 75,437,989 | ||||||
Google, Inc., Cl. A1 | 50,320 | 32,501,688 | ||||||
107,939,677 | ||||||||
IT Services—2.2% | ||||||||
Automatic Data Processing, Inc. | 430,640 | 23,258,866 | ||||||
Infosys Ltd. | 557,544 | 29,057,276 | ||||||
52,316,142 | ||||||||
Semiconductors & Semiconductor Equipment—5.0% | ||||||||
Altera Corp. | 1,430,470 | 53,070,437 | ||||||
Maxim Integrated Products, Inc. | 1,475,275 | 38,416,161 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 11,696,184 | 29,280,054 | ||||||
120,766,652 | ||||||||
Software—6.9% | ||||||||
Adobe Systems, Inc.1 | 1,012,583 | 28,625,721 | ||||||
Intuit, Inc. | 960,780 | 50,527,420 | ||||||
Microsoft Corp. | 1,430,270 | 37,129,809 | ||||||
SAP AG | 918,335 | 48,552,365 | ||||||
164,835,315 | ||||||||
Materials—0.8% | ||||||||
Chemicals—0.8% | ||||||||
Linde AG | 125,495 | 18,670,356 |
Shares | Value | |||||||
Telecommunication Services—1.3% | ||||||||
Wireless Telecommunication Services—1.3% | ||||||||
KDDI Corp. | 4,861 | $ | 31,261,466 | |||||
Utilities—0.7% | ||||||||
Electric Utilities—0.7% | ||||||||
Fortum OYJ | 809,831 | 17,229,805 | ||||||
Total Common Stocks (Cost $1,934,470,323) | 2,355,647,892 | |||||||
Investment Company—1.5% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%2,3 (Cost $36,459,796) | 36,459,796 | 36,459,796 | ||||||
Total Investments, at Value (Cost $1,970,930,119) | 99.8 | % | 2,392,107,688 | |||||
Other Assets | ||||||||
Net of Liabilities | 0.2 | 3,684,164 | ||||||
Net Assets | 100.0 | % | $ | 2,395,791,852 | ||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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 December 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 | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 32,313,050 | 286,291,896 | 282,145,150 | 36,459,796 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 36,459,796 | $ | 47,412 |
3. | Rate shown is the 7-day yield as of December 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 | $ | 354,020,944 | $ | 80,162,153 | $ | — | $ | 434,183,097 | ||||||||
Consumer Staples | 226,820,109 | — | — | 226,820,109 | ||||||||||||
Energy | 53,254,023 | 39,253,414 | — | 92,507,437 | ||||||||||||
Financials | 237,343,654 | 93,540,485 | — | 330,884,139 | ||||||||||||
Health Care | 246,653,485 | — | — | 246,653,485 | ||||||||||||
Industrials | 221,069,937 | 71,453,308 | — | 292,523,245 | ||||||||||||
Information Technology | 570,774,929 | 94,139,824 | — | 664,914,753 | ||||||||||||
Materials | 18,670,356 | — | — | 18,670,356 | ||||||||||||
Telecommunication Services | 31,261,466 | — | — | 31,261,466 | ||||||||||||
Utilities | — | 17,229,805 | — | 17,229,805 | ||||||||||||
Investment Company | 36,459,796 | — | — | 36,459,796 | ||||||||||||
Total Assets | $ | 1,996,328,699 | $ | 395,778,989 | $ | — | $ | 2,392,107,688 | ||||||||
Transfers out | Transfers into | |||||||
of Level 1* | Level 2* | |||||||
Assets Table | ||||||||
Investments, at Value: | ||||||||
Common Stocks | ||||||||
Consumer Discretionary | $ | (130,855,018 | ) | $ | 130,855,018 | |||
Energy | (38,067,652 | ) | 38,067,652 | |||||
Financials | (104,693,932 | ) | 104,693,932 | |||||
Industrials | (79,427,212 | ) | 79,427,212 | |||||
Total Assets | $ | (353,043,814 | ) | $ | 353,043,814 | |||
* | 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 | $ | 988,577,799 | 41.3 | % | ||||
Germany | 225,690,263 | 9.4 | ||||||
Japan | 222,746,300 | 9.3 | ||||||
France | 179,651,391 | 7.5 | ||||||
Sweden | 155,844,495 | 6.5 | ||||||
Switzerland | 109,527,258 | 4.6 | ||||||
Brazil | 95,653,492 | 4.0 | ||||||
Mexico | 81,810,384 | 3.4 | ||||||
United Kingdom | 72,583,437 | 3.0 | ||||||
Spain | 64,978,332 | 2.7 | ||||||
India | 46,823,057 | 2.0 | ||||||
Italy | 35,213,268 | 1.5 | ||||||
Taiwan | 29,280,054 | 1.2 | ||||||
The Netherlands | 17,823,292 | 0.8 | ||||||
Finland | 17,229,805 | 0.7 | ||||||
Korea, Republic of South | 14,807,102 | 0.6 | ||||||
Denmark | 14,057,272 | 0.6 | ||||||
Ireland | 14,030,571 | 0.6 | ||||||
Argentina | 5,780,116 | 0.3 | ||||||
Total | $ | 2,392,107,688 | 100.0 | % | ||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,934,470,323) | $ | 2,355,647,892 | ||
Affiliated companies (cost $36,459,796) | 36,459,796 | |||
2,392,107,688 | ||||
Cash | 1,183 | |||
Receivables and other assets: | ||||
Interest and dividends | 3,826,892 | |||
Investments sold | 1,130,602 | |||
Shares of beneficial interest sold | 875,239 | |||
Other | 206,193 | |||
Total assets | 2,398,147,797 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 1,482,555 | |||
Shareholder communications | 284,355 | |||
Distribution and service plan fees | 216,755 | |||
Transfer and shareholder servicing agent fees | 204,876 | |||
Trustees’ compensation | 54,687 | |||
Other | 112,717 | |||
Total liabilities | 2,355,945 | |||
Net Assets | $ | 2,395,791,852 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 87,548 | ||
Additional paid-in capital | 1,980,631,676 | |||
Accumulated net investment income | 46,346,747 | |||
Accumulated net realized loss on investments and foreign currency transactions | (52,649,142 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 421,375,023 | |||
Net Assets | $ | 2,395,791,852 | ||
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 $1,165,140,987 and 42,424,056 shares of beneficial interest outstanding) | $ | 27.46 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,003,838,754 and 36,885,726 shares of beneficial interest outstanding) | $ | 27.21 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $158,342,670 and 5,726,574 shares of beneficial interest outstanding) | $ | 27.65 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $68,469,441 and 2,511,586 shares of beneficial interest outstanding) | $ | 27.26 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $5,118,609) | $ | 78,653,007 | ||
Affiliated companies | 47,412 | |||
Interest | 1,697 | |||
Total investment income | 78,702,116 | |||
Expenses | ||||
Management fees | 17,004,569 | |||
Distribution and service plan fees: | ||||
Service shares | 2,728,483 | |||
Class 4 shares | 196,728 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 1,335,935 | |||
Service shares | 1,091,567 | |||
Class 3 shares | 187,877 | |||
Class 4 shares | 78,686 | |||
Shareholder communications: | ||||
Non-Service shares | 134,206 | |||
Service shares | 109,469 | |||
Class 3 shares | 18,868 | |||
Class 4 shares | 7,880 | |||
Custodian fees and expenses | 302,416 | |||
Trustees’ compensation | 54,922 | |||
Administration service fees | 1,500 | |||
Other | 100,255 | |||
Total expenses | 23,353,361 | |||
Less waivers and reimbursements of expenses | (27,171 | ) | ||
Net expenses | 23,326,190 | |||
Net Investment Income | 55,375,926 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (net of foreign capital gains tax of $58,482) | (43,828,208 | ) | ||
Foreign currency transactions | 38,895,302 | |||
Net realized loss | (4,932,906 | ) | ||
Net change in unrealized appreciation/depreciation on: | ||||
Investments (net of foreign capital gains tax of $26,446) | (221,671,448 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (44,974,031 | ) | ||
Net change in unrealized appreciation/depreciation | (266,645,479 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (216,202,459 | ) | |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | ||||||||
December 30, | December 31, | ||||||||
20111 | 2010 | ||||||||
Operations | |||||||||
Operations | |||||||||
Net investment income | $ | 55,375,926 | $ | 28,998,191 | |||||
Net realized gain (loss) | (4,932,906 | ) | 61,465,998 | ||||||
Net change in unrealized appreciation/depreciation | (266,645,479 | ) | 297,995,320 | ||||||
Net increase (decrease) in net assets resulting from operations | (216,202,459 | ) | 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 | (124,782,917 | ) | (133,425,702 | ) | |||||
Service shares | 5,153,335 | (16,572,723 | ) | ||||||
Class 3 shares | (27,368,355 | ) | (29,607,611 | ) | |||||
Class 4 shares | (5,984,377 | ) | (6,420,742 | ) | |||||
(152,982,314 | ) | (186,026,778 | ) | ||||||
Net Assets | |||||||||
Total increase (decrease) | (401,043,286 | ) | 167,354,587 | ||||||
Beginning of period | 2,796,835,138 | 2,629,480,551 | |||||||
End of period (including accumulated net investment income of $46,346,747 and $23,680,132, respectively) | $ | 2,395,791,852 | $ | 2,796,835,138 | |||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.30 | $ | 26.50 | $ | 20.21 | $ | 36.60 | $ | 36.79 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .65 | .33 | .33 | .55 | .45 | |||||||||||||||
Net realized and unrealized gain (loss) | (3.11 | ) | 3.85 | 6.94 | (14.46 | ) | 1.69 | |||||||||||||
Total from investment operations | (2.46 | ) | 4.18 | 7.27 | (13.91 | ) | 2.14 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.38 | ) | (.50 | ) | (.46 | ) | (.50 | ) | ||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.38 | ) | (.38 | ) | (.98 | ) | (2.48 | ) | (2.33 | ) | ||||||||||
Net asset value, end of period | $ | 27.46 | $ | 30.30 | $ | 26.50 | $ | 20.21 | $ | 36.60 | ||||||||||
Total Return, at Net Asset Value3 | (8.29 | )% | 15.96 | % | 39.77 | % | (40.19 | )% | 6.32 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,165,141 | $ | 1,410,764 | $ | 1,364,597 | $ | 1,150,113 | $ | 2,193,638 | ||||||||||
Average net assets (in thousands) | $ | 1,335,403 | $ | 1,336,110 | $ | 1,206,240 | $ | 1,679,720 | $ | 2,302,726 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 2.17 | % | 1.22 | % | 1.51 | % | 1.95 | % | 1.21 | % | ||||||||||
Total expenses5 | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | ||||||||||
Portfolio turnover rate | 13 | % | 15 | % | 11 | % | 19 | % | 18 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.04 | $ | 26.28 | $ | 20.02 | $ | 36.27 | $ | 36.49 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .56 | .26 | .27 | .47 | .33 | |||||||||||||||
Net realized and unrealized gain (loss) | (3.08 | ) | 3.82 | 6.90 | (14.32 | ) | 1.72 | |||||||||||||
Total from investment operations | (2.52 | ) | 4.08 | 7.17 | (13.85 | ) | 2.05 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.31 | ) | (.32 | ) | (.43 | ) | (.38 | ) | (.44 | ) | ||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.31 | ) | (.32 | ) | (.91 | ) | (2.40 | ) | (2.27 | ) | ||||||||||
Net asset value, end of period | $ | 27.21 | $ | 30.04 | $ | 26.28 | $ | 20.02 | $ | 36.27 | ||||||||||
Total Return, at Net Asset Value3 | (8.53 | )% | 15.70 | % | 39.36 | % | (40.33 | )% | 6.08 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,003,839 | $ | 1,101,584 | $ | 980,485 | $ | 772,107 | $ | 1,300,989 | ||||||||||
Average net assets (in thousands) | $ | 1,091,128 | $ | 997,627 | $ | 830,887 | $ | 1,051,239 | $ | 1,180,656 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 1.90 | % | 0.96 | % | 1.23 | % | 1.70 | % | 0.91 | % | ||||||||||
Total expenses5 | 1.01 | % | 1.01 | % | 1.00 | % | 0.90 | % | 0.89 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.01 | % | 1.01 | % | 1.00 | % | 0.90 | % | 0.89 | % | ||||||||||
Portfolio turnover rate | 13 | % | 15 | % | 11 | % | 19 | % | 18 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 30, | Year Ended December 31, | |||||||||||||||||||
Class 3 Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.50 | $ | 26.67 | $ | 20.34 | $ | 36.82 | $ | 36.99 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .66 | .33 | .33 | .56 | .45 | |||||||||||||||
Net realized and unrealized gain (loss) | (3.13 | ) | 3.88 | 6.98 | (14.56 | ) | 1.71 | |||||||||||||
Total from investment operations | (2.47 | ) | 4.21 | 7.31 | (14.00 | ) | 2.16 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.38 | ) | (.38 | ) | (.50 | ) | (.46 | ) | (.50 | ) | ||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.38 | ) | (.38 | ) | (.98 | ) | (2.48 | ) | (2.33 | ) | ||||||||||
Net asset value, end of period | $ | 27.65 | $ | 30.50 | $ | 26.67 | $ | 20.34 | $ | 36.82 | ||||||||||
Total Return, at Net Asset Value3 | (8.27 | )% | 15.97 | % | 39.70 | % | (40.19 | )% | 6.34 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 158,343 | $ | 202,621 | $ | 206,356 | $ | 175,971 | $ | 361,621 | ||||||||||
Average net assets (in thousands) | $ | 187,804 | $ | 196,495 | $ | 182,553 | $ | 269,650 | $ | 391,270 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 2.17 | % | 1.22 | % | 1.49 | % | 1.95 | % | 1.22 | % | ||||||||||
Total expenses5 | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | ||||||||||
Expenses after payments, waivers and/or | ||||||||||||||||||||
reimbursements and reduction | ||||||||||||||||||||
to custodian expenses | 0.76 | % | 0.76 | % | 0.75 | % | 0.65 | % | 0.65 | % | ||||||||||
Portfolio turnover rate | 13 | % | 15 | % | 11 | % | 19 | % | 18 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 30, | Year Ended December 31, | |||||||||||||||||||
Class 4 Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 30.08 | $ | 26.32 | $ | 20.03 | $ | 36.28 | $ | 36.49 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .57 | .26 | .27 | .47 | .34 | |||||||||||||||
Net realized and unrealized gain (loss) | (3.08 | ) | 3.82 | 6.92 | (14.34 | ) | 1.70 | |||||||||||||
Total from investment operations | (2.51 | ) | 4.08 | 7.19 | (13.87 | ) | 2.04 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.31 | ) | (.32 | ) | (.42 | ) | (.36 | ) | (.42 | ) | ||||||||||
Distributions from net realized gain | — | — | (.48 | ) | (2.02 | ) | (1.83 | ) | ||||||||||||
Total dividends and/or distributions to shareholders | (.31 | ) | (.32 | ) | (.90 | ) | (2.38 | ) | (2.25 | ) | ||||||||||
Net asset value, end of period | $ | 27.26 | $ | 30.08 | $ | 26.32 | $ | 20.03 | $ | 36.28 | ||||||||||
Total Return, at Net Asset Value3 | (8.49 | )% | 15.67 | % | 39.38 | % | (40.35 | )% | 6.06 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 68,469 | $ | 81,866 | $ | 78,043 | $ | 63,099 | $ | 123,542 | ||||||||||
Average net assets (in thousands) | $ | 78,655 | $ | 76,519 | $ | 66,965 | $ | 93,909 | $ | 122,385 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 1.93 | % | 0.97 | % | 1.22 | % | 1.69 | % | 0.93 | % | ||||||||||
Total expenses5 | 1.01 | % | 1.01 | % | 1.00 | % | 0.91 | % | 0.90 | % | ||||||||||
Expenses after payments, waivers and/or | ||||||||||||||||||||
reimbursements and reduction | ||||||||||||||||||||
to custodian expenses | 1.01 | % | 1.01 | % | 1.00 | % | 0.91 | % | 0.90 | % | ||||||||||
Portfolio turnover rate | 13 | % | 15 | % | 11 | % | 19 | % | 18 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 | % |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on Cost of | ||||||||||||
Undistributed | Undistributed | Accumulated | Securities and Other | |||||||||
Net Investment | Long-Term | Loss | Investments for Federal | |||||||||
Income | Gain | Carryforward1,2,3,4 | Income Tax Purposes | |||||||||
$51,001,105 | $ | — | $ | 23,697,429 | $ | 387,823,483 |
1. | As of December 30, 2011, the Fund had $19,156,083 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2017 | $ | 17,214,823 | ||
No expiration | 1,941,260 | |||
Total | $ | 19,156,083 | ||
2. | As of December 30, 2011, the Fund had $4,541,346 of post-October losses available to offset future realized capital gains, if any. | |
3. | During the fiscal year ended December 30, 2011, the Fund did not utilize any capital loss carryforward. | |
4. | During the fiscal year ended December 31, 2010, the Fund utilized $61,984,330 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Reduction to | ||||
Reduction to | Accumulated | |||
Accumulated | Net Realized Loss | |||
Net Investment Income | on Investments | |||
$850,798 | $ | 850,798 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 31,858,513 | $ | 35,078,144 |
Federal tax cost of securities | $ | 2,004,481,659 | ||
Gross unrealized appreciation | $ | 523,872,404 | ||
Gross unrealized depreciation | (136,048,921 | ) | ||
Net unrealized appreciation | $ | 387,823,483 | ||
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 2,898,558 | $ | 85,697,523 | 3,002,141 | $ | 81,399,571 | ||||||||||
Dividends and/or distributions reinvested | 544,183 | 17,234,287 | 719,257 | 19,240,136 | ||||||||||||
Redeemed | (7,582,244 | ) | (227,714,727 | ) | (8,659,048 | ) | (234,065,409 | ) | ||||||||
Net decrease | (4,139,503 | ) | $ | (124,782,917 | ) | (4,937,650 | ) | $ | (133,425,702 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 5,113,489 | $ | 150,060,254 | 4,081,506 | $ | 109,511,274 | ||||||||||
Dividends and/or distributions reinvested | 361,125 | 11,357,368 | 453,129 | 12,039,643 | ||||||||||||
Redeemed | (5,264,551 | ) | (156,264,287 | ) | (5,166,594 | ) | (138,123,640 | ) | ||||||||
Net increase (decrease) | 210,063 | $ | 5,153,335 | (631,959 | ) | $ | (16,572,723 | ) | ||||||||
Class 3 Shares | ||||||||||||||||
Sold | 210,150 | $ | 6,434,653 | 201,269 | $ | 5,485,318 | ||||||||||
Dividends and/or distributions reinvested | 76,748 | 2,447,497 | 106,384 | 2,863,873 | ||||||||||||
Redeemed | (1,203,693 | ) | (36,250,505 | )1 | (1,401,659 | ) | (37,956,802 | )2 | ||||||||
Net decrease | (916,795 | ) | $ | (27,368,355 | ) | (1,094,006 | ) | $ | (29,607,611 | ) | ||||||
Class 4 Shares | ||||||||||||||||
Sold | 153,872 | $ | 4,648,188 | 83,546 | $ | 2,267,578 | ||||||||||
Dividends and/or distributions reinvested | 26,011 | 819,361 | 35,118 | 934,492 | ||||||||||||
Redeemed | (389,690 | ) | (11,451,926 | )1 | (362,658 | ) | (9,622,812 | )2 | ||||||||
Net decrease | (209,807 | ) | $ | (5,984,377 | ) | (243,994 | ) | $ | (6,420,742 | ) | ||||||
1. | Net of redemption fees of $1,073 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 | $ | 356,222,355 | $ | 489,405,781 |
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 |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for | ||||
as Hedging Instruments | Foreign currency transactions | |||
Foreign exchange contracts | $ | 203,036 |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for | Translation of assets and liabilities | |||
as Hedging Instruments | denominated in foreign currencies | |||
Foreign exchange contracts | $ | 2,260 |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: | |
UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | ||
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000—June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and |
Beverly L. Hamilton, Continued | Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005- June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005- December 2006) and President (February 2005- March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Bhaman, Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Rajeev Bhaman, Vice President (since 2004) Age: 48 | Senior Vice President of the Manager (since May 2006); Vice President of the Manager (January 1997-May 2006); a Chartered Financial Analyst. An officer of 3 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003- October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
A Series of Oppenheimer Variable Account Funds | ||||
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
©2012 OppenheimerFunds, Inc. All rights reserved. |
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | –2.34 | % | –21.43 | % | –7.84 | % | ||||||
Service Shares | –2.56 | % | –21.42 | % | –7.94 | % |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (5/1/07) | ||||||||||
Class 3 | –1.88 | % | N/A | –23.25 | % | |||||||
Class 4 | –2.06 | % | N/A | –23.20 | % |
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.98 | % | 0.75 | % | ||||
Service Shares | 1.23 | 1.00 | ||||||
Class 3 Shares | 0.98 | 0.75 | ||||||
Class 4 Shares | 1.23 | 1.00 |
NRSRO Only Total | ||||
AAA | 10.5 | % | ||
BBB | 2.1 | |||
BB | 15.7 | |||
B | 49.6 | |||
CCC | 17.0 | |||
CC | 0.8 | |||
Unrated | 4.3 | |||
Total | 100.0 | % | ||
Media | 9.1 | % | ||
Oil, Gas & Consumable Fuels | 6.7 | |||
Hotels, Restaurants & Leisure | 5.7 | |||
Capital Markets | 5.6 | |||
Aerospace & Defense | 3.8 | |||
Paper & Forest Products | 3.1 | |||
Health Care Providers & Services | 3.0 | |||
Energy Equipment & Services | 2.9 | |||
Machinery | 2.6 | |||
Auto Components | 2.4 |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. | |
2. | The JPMorgan Domestic High Yield Index is an index of high yield fixed income securities issued by developed countries. The index is unmanaged and cannot be purchased directly by investors. Index performance is shown for illustrative purposes only and does not predict or depict the performance of the Fund. |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | July 1, 2011 | December 30, 2011 | December 30, 2011 | |||||||||
Non-Service Shares | $ | 1,000.00 | $ | 931.40 | $ | 3.64 | ||||||
Service shares | 1,000.00 | 927.20 | 4.84 | |||||||||
Class 3 | 1,000.00 | 932.00 | 3.64 | |||||||||
Class 4 | 1,000.00 | 932.70 | 4.86 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 1,021.31 | 3.81 | |||||||
Service shares | 1,000.00 | 1,020.05 | 5.08 | |||||||||
Class 3 | 1,000.00 | 1,021.31 | 3.81 | |||||||||
Class 4 | 1,000.00 | 1,020.05 | 5.08 |
Class | Expense Ratios | |||
Non-Service shares | 0.75 | % | ||
Service shares | 1.00 | |||
Class 3 | 0.75 | |||
Class 4 | 1.00 |
Principal | ||||||||
Amount | Value | |||||||
Loan Participations—5.2% | ||||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/181 | $ | 155,000 | $ | 142,794 | ||||
Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan: | ||||||||
Tranche B, 3.91%, 1/29/161 | 430,000 | 319,036 | ||||||
Tranche B, 3.91%, 1/29/161,2 | 30,000 | 22,258 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.855%, 10/19/151,3 | 1,480,568 | 882,171 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/31/15 | 696,875 | 723,298 | ||||||
OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, Tranche B, 10%, 10/31/131 | 420,000 | 409,500 | ||||||
PQ Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.50%, 7/30/151,2 | 625,000 | 556,446 | ||||||
Realogy Corp., Extended Sr. Sec. Credit Facilities 1st Lien Term Loan: | ||||||||
Tranche B, 4%, 10/10/161,2 | 62,376 | 55,971 | ||||||
Tranche B, 4.522%, 10/10/161,2 | 791,174 | 709,937 | ||||||
Revel Entertainment LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 7.50%, 2/17/171,2 | 300,000 | 275,250 | ||||||
Samson Investment Co., Sr. Sec. Credit Facilities Bridge Loan, 6.50%, 12/20/121,2 | 1,120,000 | 1,120,000 | ||||||
Walter Investment Management Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 11%, 9/28/161,2 | 325,000 | 328,859 | ||||||
Walter Investment Management Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 9/28/161 | 330,000 | 333,919 | ||||||
Total Loan Participations (Cost $5,890,695) | 5,879,439 | |||||||
Corporate Bonds and Notes—80.7% | ||||||||
Consumer Discretionary—18.8% | ||||||||
Auto Components—2.4% | ||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | 610,000 | 667,950 | ||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/174 | 1,365,000 | 1,378,650 | ||||||
Visteon Corp., 6.75% Sr. Nts., 4/15/194 | 690,000 | 691,725 | ||||||
2,738,325 | ||||||||
Automobiles—0.1% | ||||||||
Jaguar Land Rover plc, 7.75% Sr. Unsec. Bonds, 5/15/184 | 110,000 | 105,325 | ||||||
Hotels, Restaurants & Leisure—5.7% | ||||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/164 | 510,000 | 526,575 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 2,608,000 | 1,799,520 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/174 | 660,000 | 618,750 | ||||||
Isle of Capri Casinos, Inc.: | ||||||||
7% Sr. Unsec. Sub. Nts., 3/1/14 | 405,000 | 380,700 | ||||||
7.75% Sr. Unsec. Unsub. Nts., 3/15/19 | 585,000 | 538,200 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 455,000 | 481,163 | ||||||
MGM Mirage, Inc., 6.625% Sr. Unsec. Nts., 7/15/15 | 955,000 | 912,025 | ||||||
Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 | 840,000 | 567,000 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | 435,000 | 475,238 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 560,000 | 165,200 | ||||||
6,464,371 | ||||||||
Household Durables—0.7% | ||||||||
Beazer Homes USA, Inc.: | ||||||||
6.875% Sr. Unsec. Nts., 7/15/15 | 280,000 | 210,700 | ||||||
9.125% Sr. Unsec. Nts., 5/15/19 | 790,000 | 543,125 | ||||||
753,825 | ||||||||
Media—9.1% | ||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 | 325,000 | 271,375 | ||||||
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 | 760,000 | 646,000 | ||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 719,000 | 627,328 | ||||||
Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/154 | 740,000 | 534,650 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/174 | 620,000 | 660,300 | ||||||
Clear Channel Communications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 | 860,000 | 821,300 | ||||||
CSC Holdings LLC, 6.75% Sr. Unsec. Nts., 11/15/214 | 1,895,000 | 2,003,963 | ||||||
Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/194 | 350,000 | 312,375 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 | 535,000 | 526,975 |
Principal | ||||||||
Amount | Value | |||||||
Media Continued | ||||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 | $ | 1,010,000 | $ | 959,500 | ||||
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/194 | 395,000 | 416,725 | ||||||
Newport Television LLC/NTV Finance Corp., 12.719% Sr. Nts., 3/15/173,4 | 607,469 | 545,203 | ||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 | 535,000 | 551,050 | ||||||
Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 | 705,000 | 731,438 | ||||||
UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/214 | 350,000 | 356,125 | ||||||
Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 | 320,000 | 294,400 | ||||||
10,258,707 | ||||||||
Specialty Retail—0.5% | ||||||||
Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 | 545,000 | 535,463 | ||||||
Michaels Stores, Inc., 7.75% Sr. Unsec. Nts., 11/1/18 | 45,000 | 45,675 | ||||||
581,138 | ||||||||
Textiles, Apparel & Luxury Goods—0.3% | ||||||||
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 | 400,000 | 362,000 | ||||||
Consumer Staples—2.5% | ||||||||
Food Products—2.2% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/164 | 620,000 | 554,900 | ||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/173,4 | 1,202,532 | 931,962 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/174 | 266,000 | 271,320 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/155 | 690,000 | 727,950 | ||||||
2,486,132 | ||||||||
Household Products—0.3% | ||||||||
Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/18 | 250,000 | 274,688 | ||||||
Energy—9.6% | ||||||||
Energy Equipment & Services—2.9% | ||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 | 475,000 | 446,500 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 | 615,000 | 581,175 | ||||||
Offshore Group Investments Ltd., 11.50% Sr. Sec. Nts., 8/1/15 | 765,000 | 830,981 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 | 575,000 | 590,813 | ||||||
SESI LLC, 6.375% Sr. Unsec. Nts., 5/1/19 | 795,000 | 812,888 | ||||||
3,262,357 | ||||||||
Oil, Gas & Consumable Fuels—6.7% | ||||||||
Arch Coal, Inc., 7% Sr. Unsec. Nts., 6/15/194 | 110,000 | 112,750 | ||||||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 8.75% Sr. Unsec. Nts., 6/15/184 | 440,000 | 462,000 | ||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 | 760,000 | 503,500 | ||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 | 225,000 | 236,250 | ||||||
Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 | 665,000 | 699,081 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 | 510,000 | 553,350 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 | 110,000 | 119,350 | ||||||
James River Coal Co., 7.875% Sr. Unsec. Unsub. Nts., 4/1/19 | 160,000 | 121,600 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 | 1,035,000 | 1,128,150 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/214 | 795,000 | 816,863 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/154 | 895,000 | 892,763 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 | 195,000 | 142,350 | ||||||
Quicksilver Resources, Inc.: | ||||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 50,000 | 52,000 | ||||||
11.75% Sr. Nts., 1/1/16 | 500,000 | 570,000 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Unsec. Nts., 1/15/20 | 560,000 | 581,000 | �� | |||||
9.875% Sr. Unsec. Nts., 5/15/164 | 305,000 | 327,875 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 | 345,000 | 312,225 | ||||||
7,631,107 | ||||||||
Financials—10.9% | ||||||||
Capital Markets—5.6% | ||||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 300,000 | 291,000 |
Principal | ||||||||
Amount | Value | |||||||
Capital Markets Continued | ||||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 | $ | 360,000 | $ | 325,800 | ||||
Nationstar Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 | 1,955,000 | 1,945,212 | ||||||
Nuveen Investments, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 9/15/15 | 535,000 | 452,075 | ||||||
10.50% Sr. Unsec. Unsub. Nts., 11/15/15 | 565,000 | 563,588 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 | 1,125,000 | 1,252,969 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 | 630,000 | 456,750 | ||||||
Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 1,500,000 | 622,500 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/19 | 625,000 | 384,375 | ||||||
6,294,269 | ||||||||
Commercial Banks—0.5% | ||||||||
CIT Group, Inc., 7% Sec. Bonds, 5/2/174 | 560,000 | 560,000 | ||||||
Consumer Finance—0.8% | ||||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 10/15/184 | 430,000 | 434,300 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 | 455,000 | 502,775 | ||||||
937,075 | ||||||||
Insurance—0.9% | ||||||||
International Lease Finance Corp.: | ||||||||
8.625% Sr. Unsec. Unsub. Nts., 9/15/15 | 410,000 | 421,788 | ||||||
8.75% Sr. Unsec. Unsub. Nts., 3/15/17 | 622,000 | 642,215 | ||||||
1,064,003 | ||||||||
Real Estate Investment Trusts—1.9% | ||||||||
DuPont Fabros Technology LP, 8.50% Sr. Unsec. Nts., 12/15/17 | 255,000 | 274,125 | ||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 | 1,155,000 | 1,114,575 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 | 695,000 | 701,950 | ||||||
2,090,650 | ||||||||
Real Estate Management & Development—1.2% | ||||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/153,4 | 883,277 | 570,102 | ||||||
Realogy Corp., 11.50% Sr. Unsec. Unsub. Nts., 4/15/17 | 365,000 | 286,525 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/131,4 | 530,000 | 516,750 | ||||||
1,373,377 | ||||||||
Health Care—5.6% | ||||||||
Biotechnology—0.2% | ||||||||
Grifols, Inc., 8.25% Sr. Sec. Nts., 2/1/18 | 195,000 | 205,725 | ||||||
Health Care Equipment & Supplies—1.7% | ||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 | 570,000 | 464,550 | ||||||
Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 | 290,000 | 287,100 | ||||||
Biomet, Inc.: | ||||||||
10.375% Sr. Unsec. Nts., 10/15/173 | 305,000 | 331,688 | ||||||
11.625% Sr. Unsec. Sub. Nts., 10/15/17 | 275,000 | 299,750 | ||||||
Chiron Merger Sub, Inc., 10.50% Sec. Nts., 11/1/184 | 290,000 | 284,925 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 290,000 | 292,175 | ||||||
1,960,188 | ||||||||
Health Care Providers & Services—3.0% | ||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/153 | 445,151 | 459,618 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 | 340,000 | 280,925 | ||||||
HealthSouth Corp., 8.125% Sr. Unsec. Unsub. Nts., 2/15/20 | 514,000 | 520,425 | ||||||
inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/184 | 310,000 | 285,200 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 | 620,000 | 523,900 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/184 | 240,000 | 250,800 | ||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 | 315,000 | 250,425 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 | 335,000 | 252,088 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/184 | 200,000 | 206,500 | ||||||
US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)6 | 435,000 | 7,613 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 375,000 | 374,063 | ||||||
3,411,557 | ||||||||
Health Care Technology—0.1% | ||||||||
MedAssets, Inc., 8% Sr. Unsec. Nts., 11/15/18 | 75,000 | 73,875 | ||||||
Life Sciences Tools & Services—0.2% | ||||||||
Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/194 | 220,000 | 232,100 | ||||||
Pharmaceuticals—0.4% | ||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 150,000 | 140,625 |
Principal | ||||||||
Amount | Value | |||||||
Pharmaceuticals Continued | ||||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/184 | $ | 190,000 | $ | 190,475 | ||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75% Sr. Unsec. Nts., 9/15/18 | 145,000 | 148,806 | ||||||
479,906 | ||||||||
Industrials—12.3% | ||||||||
Aerospace & Defense—3.8% | ||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 | 240,000 | 262,800 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 | 1,085,000 | 949,375 | ||||||
Hawker Beechcraft Acquisition Co. LLC: | ||||||||
8.50% Sr. Unsec. Nts., 4/1/15 | 1,405,000 | 266,950 | ||||||
9.75% Sr. Unsec. Sub. Nts., 4/1/17 | 240,000 | 24,000 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Nts., 3/15/214 | 805,000 | 792,925 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 | 267,000 | 275,010 | ||||||
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 | 920,000 | 993,600 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 | 650,000 | 715,000 | ||||||
4,279,660 | ||||||||
Air Freight & Logistics—0.5% | ||||||||
AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/184 | 510,000 | 527,850 | ||||||
Airlines—0.5% | ||||||||
American Airlines 2011-2 Class A Pass Through Trust, 8.625% Sec. Certificates, 4/15/23 | 560,000 | 571,200 | ||||||
Building Products—0.9% | ||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/174 | 265,000 | 232,538 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 | 860,000 | 765,400 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/174 | 67,000 | 68,875 | ||||||
1,066,813 | ||||||||
Commercial Services & Supplies—1.8% | ||||||||
R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 | 1,130,000 | 1,101,750 | ||||||
West Corp.: | ||||||||
7.875% Sr. Unsec. Nts., 1/15/19 | 305,000 | 304,238 | ||||||
8.625% Sr. Unsec. Nts., 10/1/18 | 635,000 | 644,525 | ||||||
2,050,513 | ||||||||
Machinery—2.6% | ||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/165 | 680,000 | 675,716 | ||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/164 | 150,000 | 155,250 | ||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 | 685,000 | 725,244 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 1,005,000 | 989,925 | ||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 | 335,000 | 348,400 | ||||||
2,894,535 | ||||||||
Marine—0.8% | ||||||||
Marquette Transportation Co./ Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 | 780,000 | 789,750 | ||||||
Navios Maritime Holdings, Inc./ Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 | 160,000 | 153,200 | ||||||
942,950 | ||||||||
Professional Services—0.4% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/154 | 280,000 | 253,400 | ||||||
TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/18 | 150,000 | 172,125 | ||||||
425,525 | ||||||||
Road & Rail—1.0% | ||||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 | 670,000 | 703,500 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/154 | 1,045,000 | 449,350 | ||||||
1,152,850 | ||||||||
Information Technology—5.9% | ||||||||
Communications Equipment—0.3% | ||||||||
Avaya, Inc., 7% Sr. Sec. Nts., 4/1/194 | 290,000 | 282,750 | ||||||
Computers & Peripherals—0.9% | ||||||||
Seagate HDD Cayman: | ||||||||
6.875% Sr. Unsec. Nts., 5/1/20 | 535,000 | 552,388 | ||||||
7% Sr. Unsec. Nts., 11/1/214 | 475,000 | 489,250 | ||||||
1,041,638 | ||||||||
Electronic Equipment & Instruments—0.5% | ||||||||
CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 | 550,000 | 555,500 | ||||||
Internet Software & Services—1.1% | ||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 | 1,245,000 | 1,279,238 |
Principal | ||||||||
Amount | Value | |||||||
IT Services—1.2% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | $ | 535,000 | $ | 419,975 | ||||
First Data Corp.: | ||||||||
8.875% Sr. Sec. Nts., 8/15/204 | 395,000 | 396,975 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 | 595,000 | 562,275 | ||||||
1,379,225 | ||||||||
Semiconductors & Semiconductor Equipment—1.8% | ||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 | 600,000 | 619,500 | ||||||
Freescale Semiconductor, Inc.: | ||||||||
9.25% Sr. Sec. Nts., 4/15/184 | 525,000 | 563,719 | ||||||
10.75% Sr. Unsec. Nts., 8/1/20 | 503,000 | 526,893 | ||||||
NXP BV/NXP Funding LLC, 9.75% Sr. Sec. Nts., 8/1/184 | 245,000 | 268,275 | ||||||
1,978,387 | ||||||||
Software—0.1% | ||||||||
SunGard Data Systems, Inc., 7.375% Sr. Unsec. Nts., 11/15/18 | 160,000 | 164,600 | ||||||
Materials—7.4% | ||||||||
Chemicals—1.8% | ||||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 | 260,000 | 262,600 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: | ||||||||
8.875% Sr. Sec. Nts., 2/1/18 | 345,000 | 325,163 | ||||||
9% Sec. Nts., 11/15/20 | 380,000 | 315,400 | ||||||
Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/17 | 241,000 | 264,498 | ||||||
LyondellBasell Industries NV, 6% Sr. Nts., 11/15/214 | 440,000 | 458,700 | ||||||
Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 | 615,000 | 470,475 | ||||||
2,096,836 | ||||||||
Construction Materials—0.7% | ||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/214 | 435,000 | 457,838 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 | 325,000 | 284,781 | ||||||
742,619 | ||||||||
Containers & Packaging—0.8% | ||||||||
Polymer Group, Inc., 7.75% Sr. Sec. | ||||||||
Nts., 2/1/194 | 650,000 | 676,000 | ||||||
Solo Cup Co., 8.50% Sr. Sub. | ||||||||
Nts., 2/15/14 | 245,000 | 226,625 | ||||||
902,625 | ||||||||
Metals & Mining—1.0% | ||||||||
Aleris International, Inc., 7.625% Sr. Unsec. Nts., 2/15/18 | 1,050,000 | 1,029,000 | ||||||
Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 | 135,000 | 145,463 | ||||||
1,174,463 | ||||||||
Paper & Forest Products—3.1% | ||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/184 | 369,000 | 408,668 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/154 | 985,000 | 976,381 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/164 | 1,117,000 | 597,595 | ||||||
Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 | 475,000 | 488,063 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/146 | 1,025,000 | 763,625 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/155 | 375,000 | 226,875 | ||||||
3,461,207 | ||||||||
Telecommunication Services—4.0% | ||||||||
Diversified Telecommunication Services—2.3% | ||||||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | 335,000 | 338,350 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 480,000 | 448,200 | ||||||
Intelsat Bermuda Ltd.: | ||||||||
11.25% Sr. Unsec. Nts., 2/4/17 | 585,000 | 567,450 | ||||||
11.50% Sr. Unsec. Nts., 2/4/173 | 710 | 687 | ||||||
Level 3 Financing, Inc.: | ||||||||
9.25% Sr. Unsec. Unsub. Nts., 11/1/14 | 80,000 | 82,200 | ||||||
9.375% Sr. Unsec. Unsub. Nts., 4/1/19 | 540,000 | 566,325 | ||||||
Windstream Corp., 7.50% Sr. Unsec. Nts., 6/1/224 | 570,000 | 570,000 | ||||||
2,573,212 | ||||||||
Wireless Telecommunication Services—1.7% | ||||||||
Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 | 700,000 | 614,250 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 510,000 | 476,850 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 590,000 | 542,800 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 135,000 | 109,856 | ||||||
Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/184 | 220,000 | 231,550 | ||||||
1,975,306 | ||||||||
Utilities—3.7% | ||||||||
Electric Utilities—1.9% | ||||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 835,000 | 546,925 |
Principal | ||||||||
Amount | Value | |||||||
Electric Utilities Continued | ||||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 | $ | 527,000 | $ | 558,620 | ||||
Texas Competitive Electric Holdings Co. LLC: | ||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 2,325,000 | 837,000 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 | 410,000 | 143,500 | ||||||
2,086,045 | ||||||||
Energy Traders—1.7% | ||||||||
AES Corp. (The), 8% Sr. Unsec. Unsub. Nts., 10/15/17 | 245,000 | 270,725 | ||||||
Calpine Corp., 7.50% Sr. Sec. Nts., 2/15/214 | 255,000 | 274,125 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 | 530,000 | 559,150 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/184 | 75,000 | 74,063 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/174 | 540,000 | 556,200 | ||||||
NRG Energy, Inc., 7.625% Sr. Unsec. Nts., 1/15/18 | 160,000 | 160,800 | ||||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 | 15,000 | 15,338 | ||||||
1,910,401 | ||||||||
Gas Utilities—0.1% | ||||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 | 170,000 | 150,450 | ||||||
Total Corporate Bonds and Notes (Cost $98,243,294) | 91,267,098 | |||||||
Shares | ||||||||
Preferred Stocks—1.4% | ||||||||
Ally Financial, Inc., 7%, Non-Vtg.4 | 894 | 640,914 | ||||||
GMAC Capital Trust I, 8.125% Cum. | 10,000 | 193,400 | ||||||
Greektown Superholdings, Inc., Series A-17 | 11,550 | 751,905 | ||||||
Total Preferred Stocks (Cost $2,195,603) | 1,586,219 | |||||||
Common Stocks—3.0% | ||||||||
AbitibiBowater, Inc.7 | 27,638 | 402,133 | ||||||
American Media Operations, Inc.7 | 58,065 | 929,040 | ||||||
Dana Holding Corp.7 | 19,738 | 239,817 | ||||||
Gaylord Entertainment Co., Cl. A7 | 12,561 | 303,223 | ||||||
Global Aviation Holdings, Inc.7 | 300 | 3,000 | ||||||
Greektown Superholdings, Inc.7 | 874 | 52,929 | ||||||
Huntsman Corp. | 6,611 | 66,110 | ||||||
Kaiser Aluminum Corp. | 458 | 21,013 | ||||||
LyondellBasell Industries NV, Cl. A | 12,828 | 416,782 | ||||||
Orbcomm, Inc.7 | 1,127 | 3,370 | ||||||
Range Resources Corp. | 1,965 | 121,712 | ||||||
Solutia, Inc.7 | 5,507 | 95,161 | ||||||
Visteon Corp.7 | 10,807 | 539,702 | ||||||
Walter Industries, Inc. | 1,011 | 61,226 | ||||||
Whiting Petroleum Corp.7 | 2,034 | 94,967 | ||||||
Total Common Stocks (Cost $5,763,505) | 3,350,185 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/177 (Cost $3,168,495) | 11,017 | 396 | ||||||
Shares | ||||||||
Investment Company—10.6% | ||||||||
Oppenheimer Institutional | ||||||||
Money Market Fund, | ||||||||
Cl. E, 0.20%8,9 (Cost $11,964,562) | 11,964,562 | 11,964,562 | ||||||
Total Investments, at Value (Cost $127,226,154) | 100.9 | % | 114,047,899 | |||||
Liabilities in Excess of Other Assets | (0.9 | ) | (971,484 | ) | ||||
Net Assets | 100.0 | % | $ | 113,076,415 | ||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | When-issued security or delayed delivery to be delivered and settled after December 30, 2011. See Note 1 of the accompanying Notes. | |
3. | Interest or dividend is paid-in-kind, when applicable. | |
4. | 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 $26,455,142 or 23.40% of the Fund’s net assets as of December 30, 2011. |
5. | Restricted security. The aggregate value of restricted securities as of December 30, 2011 was $1,630,541, which represents 1.44% 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) | ||||||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 | 4/21/10-5/3/11 | $ | 688,172 | $ | 675,716 | $ | (12,456 | ) | ||||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/15 | 3/7/11-4/6/11 | 341,158 | 226,875 | (114,283 | ) | |||||||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 | 4/28/10-5/4/11 | 703,283 | 727,950 | 24,667 | ||||||||||||
$ | 1,732,613 | $ | 1,630,541 | $ | (102,072 | ) | ||||||||||
6. | 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. | |
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 December 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 | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 4,033,152 | 64,468,224 | 56,536,814 | 11,964,562 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 11,964,562 | $ | 9,835 |
9. | Rate shown is the 7-day yield as of December 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: | ||||||||||||||||
Loan Participations | $ | — | $ | 5,879,439 | $ | — | $ | 5,879,439 | ||||||||
Corporate Bonds and Notes | — | 91,267,098 | — | 91,267,098 | ||||||||||||
Preferred Stocks | — | 834,314 | 751,905 | 1,586,219 | ||||||||||||
Common Stocks | 1,825,514 | 1,468,742 | 55,929 | 3,350,185 | ||||||||||||
Rights, Warrants and Certificates | — | — | 396 | 396 | ||||||||||||
Investment Company | 11,964,562 | — | — | 11,964,562 | ||||||||||||
Total Assets | $ | 13,790,076 | $ | 99,449,593 | $ | 808,230 | $ | 114,047,899 | ||||||||
Change in | ||||||||||||||||||||||||
unrealized | Transfers | |||||||||||||||||||||||
Value as of | Realized | appreciation/ | out of | Value as of | ||||||||||||||||||||
December 31, 2010 | gain (loss) | depreciation | Sales | Level 3 | December 30, 2011 | |||||||||||||||||||
Assets Table | ||||||||||||||||||||||||
Investments, at Value: | ||||||||||||||||||||||||
Common Stocks | $ | 1,036,161 | $ | (208,776 | ) | $ | 959,338 | $ | — | $ | (1,730,794 | )a | $ | 55,929 | ||||||||||
Corporate Bonds and Notes | 87,082 | (1,591,368 | ) | 1,612,742 | (108,456 | ) | — | — | ||||||||||||||||
Preferred Stocks | 1,226,957 | (1,097,476 | ) | 622,424 | — | — | 751,905 | |||||||||||||||||
Rights, Warrants and Certificates | 403 | (4,340 | ) | 4,333 | — | — | 396 | |||||||||||||||||
Total Assets | $ | 2,350,603 | $ | (2,901,960 | ) | $ | 3,198,837 | $ | (108,456 | ) | $ | (1,730,794 | ) | $ | 808,230 | |||||||||
a. | Transferred from Level 3 because of the presence of a readily available unadjusted quoted market price for these securities. |
Change in unrealized | ||||
appreciation/depreciation | ||||
Common Stocks | $ | (33,440 | ) | |
Preferred Stocks | (403,095 | ) | ||
Rights, Warrants and Certificates | (3,168,099 | ) | ||
Total | $ | (3,604,634 | ) | |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $115,261,592) | $ | 102,083,337 | ||
Affiliated companies (cost $11,964,562) | 11,964,562 | |||
114,047,899 | ||||
Cash | 68,417 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 2,238,917 | |||
Shares of beneficial interest sold | 154,689 | |||
Investments sold | 34,212 | |||
Other | 14,135 | |||
Total assets | 116,558,269 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased (including $3,051,790 purchased on a when-issued or delayed delivery basis) | 3,308,552 | |||
Shareholder communications | 56,741 | |||
Shares of beneficial interest redeemed | 31,872 | |||
Distribution and service plan fees | 12,875 | |||
Trustees’ compensation | 12,415 | |||
Transfer and shareholder servicing agent fees | 9,619 | |||
Other | 49,780 | |||
Total liabilities | 3,481,854 | |||
Net Assets | $ | 113,076,415 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 59,230 | ||
Additional paid-in capital | 337,809,203 | |||
Accumulated net investment income | 10,456,939 | |||
Accumulated net realized loss on investments | (222,070,702 | ) | ||
Net unrealized depreciation on investments | (13,178,255 | ) | ||
Net Assets | $ | 113,076,415 | ||
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 $47,499,698 and 24,979,229 shares of beneficial interest outstanding) | $ | 1.90 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $54,393,841 and 28,460,077 shares of beneficial interest outstanding) | $ | 1.91 | ||
Class 3 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $4,034,676 and 2,101,852 shares of beneficial interest outstanding) | $ | 1.92 | ||
Class 4 Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $7,148,200 and 3,689,262 shares of beneficial interest outstanding) | $ | 1.94 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Interest | $ | 11,742,695 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $14,196) | 212,439 | |||
Affiliated companies | 9,835 | |||
Total investment income | 11,964,969 | |||
Expenses | ||||
Management fees | 965,572 | |||
Distribution and service plan fees: | ||||
Service shares | 151,041 | |||
Class 4 shares | 19,634 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 55,024 | |||
Service shares | 60,423 | |||
Class 3 shares | 5,436 | |||
Class 4 shares | 7,859 | |||
Shareholder communications: | ||||
Non-Service shares | 24,900 | |||
Service shares | 27,028 | |||
Class 3 shares | 2,462 | |||
Class 4 shares | 3,470 | |||
Custodian fees and expenses | 31,643 | |||
Trustees’ compensation | 9,745 | |||
Administration service fees | 1,500 | |||
Other | 68,359 | |||
Total expenses | 1,434,096 | |||
Less waivers and reimbursements of expenses | (298,448 | ) | ||
Net expenses | 1,135,648 | |||
Net Investment Income | 10,829,321 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 736,886 | |||
Swap contracts | (48,715 | ) | ||
Net realized gain | 688,171 | |||
Net change in unrealized appreciation/depreciation on investments | (13,278,671 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (1,761,179 | ) | |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 10,829,321 | $ | 12,056,923 | ||||
Net realized gain | 688,171 | 6,278,337 | ||||||
Net change in unrealized appreciation/depreciation | (13,278,671 | ) | (249,331 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,761,179 | ) | 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 | (8,185,815 | ) | (10,126,348 | ) | ||||
Service shares | (2,768,423 | ) | (5,260,981 | ) | ||||
Class 3 shares | (1,395,931 | ) | 929,124 | |||||
Class 4 shares | 485,879 | (118,291 | ) | |||||
(11,864,290 | ) | (14,576,496 | ) | |||||
Net Assets | ||||||||
Total decrease | (25,806,597 | ) | (4,732,902 | ) | ||||
Beginning of period | 138,883,012 | 143,615,914 | ||||||
End of period (including accumulated net investment income of $10,456,939 and $11,799,334, respectively) | $ | 113,076,415 | $ | 138,883,012 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 2.13 | $ | 1.98 | $ | 1.58 | $ | 7.95 | $ | 8.55 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .17 | .18 | .17 | .54 | .57 | |||||||||||||||
Net realized and unrealized gain (loss) | (.21 | ) | .10 | .23 | (6.44 | ) | (.56 | ) | ||||||||||||
Total from investment operations | (.04 | ) | .28 | .40 | (5.90 | ) | .01 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.13 | ) | — | (.47 | ) | (.61 | ) | |||||||||||
Net asset value, end of period | $ | 1.90 | $ | 2.13 | $ | 1.98 | $ | 1.58 | $ | 7.95 | ||||||||||
Total Return, at Net Asset Value3 | (2.34 | )% | 14.81 | % | 25.32 | % | (78.67 | )% | (0.10 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 47,500 | $ | 61,563 | $ | 67,385 | $ | 111,040 | $ | 294,819 | ||||||||||
Average net assets (in thousands) | $ | 54,997 | $ | 59,598 | $ | 71,782 | $ | 211,186 | $ | 335,702 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 8.55 | % | 9.01 | % | 9.78 | % | 9.30 | % | 6.96 | % | ||||||||||
Total expenses5 | 0.98 | % | 0.98 | % | 0.94 | % | 0.80 | % | 0.75 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75 | % | 0.69 | % | 0.57 | % | 0.78 | % | 0.74 | % | ||||||||||
Portfolio turnover rate | 54 | % | 132 | % | 128 | % | 53 | %6 | 67 | %6 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 0.98 | % | ||
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 | % |
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 | ||||
Year Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 2.14 | $ | 1.99 | $ | 1.58 | $ | 7.89 | $ | 8.50 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .17 | .17 | .16 | .54 | .55 | |||||||||||||||
Net realized and unrealized gain (loss) | (.21 | ) | .10 | .25 | (6.40 | ) | (.57 | ) | ||||||||||||
Total from investment operations | (.04 | ) | .27 | .41 | (5.86 | ) | (.02 | ) | ||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.19 | ) | (.12 | ) | — | (.45 | ) | (.59 | ) | |||||||||||
Net asset value, end of period | $ | 1.91 | $ | 2.14 | $ | 1.99 | $ | 1.58 | $ | 7.89 | ||||||||||
Total Return, at Net Asset Value3 | (2.56 | )% | 14.44 | % | 25.95 | % | (78.57 | )% | (0.47 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 54,394 | $ | 63,713 | $ | 64,440 | $ | 43,375 | $ | 157,333 | ||||||||||
Average net assets (in thousands) | $ | 60,391 | $ | 63,661 | $ | 54,202 | $ | 116,236 | $ | 169,569 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 8.31 | % | 8.76 | % | 9.60 | % | 9.13 | % | 6.71 | % | ||||||||||
Total expenses5 | 1.23 | % | 1.23 | % | 1.21 | % | 1.05 | % | 1.01 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.00 | % | 0.94 | % | 0.80 | % | 1.03 | % | 1.00 | % | ||||||||||
Portfolio turnover rate | 54 | % | 132 | % | 128 | % | 53 | %6 | 67 | %6 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 1.23 | % | ||
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 | % |
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 | ||||
Year Ended December 31, 2007 | $ | 30,798,147 | $ | 24,096,458 |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Class 3 Shares | 20111 | 2010 | 2009 | 2008 | 20072 | |||||||||||||||
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 income3 | .17 | .18 | .17 | .56 | .37 | |||||||||||||||
Net realized and unrealized gain (loss) | (.20 | ) | .10 | .25 | (6.50 | ) | (.65 | ) | ||||||||||||
Total from investment operations | (.03 | ) | .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 | $ | 1.92 | $ | 2.14 | $ | 1.99 | $ | 1.57 | $ | 7.98 | ||||||||||
Total Return, at Net Asset Value4 | (1.88 | )% | 14.69 | % | 26.75 | % | (78.89 | )% | (3.39 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,034 | $ | 6,034 | $ | 4,684 | $ | 1,582 | $ | 4,921 | ||||||||||
Average net assets (in thousands) | $ | 5,432 | $ | 5,279 | $ | 3,568 | $ | 5,292 | $ | 3,750 | ||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||
Net investment income | 8.52 | % | 8.97 | % | 9.86 | % | 9.29 | % | 6.90 | % | ||||||||||
Total expenses6 | 0.98 | % | 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 | 54 | % | 132 | % | 128 | % | 53 | %7 | 67 | %7 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | For the period from May 1, 2007 (inception of offering) to December 31, 2007. | |
3. | Per share amounts calculated based on the average shares outstanding during the period. | |
4. | 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. | |
5. | Annualized for periods less than one full year. | |
6. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 30, 2011 | 0.98 | % | ||
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 | % |
7. | 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 |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Class 4 Shares | 20111 | 2010 | 2009 | 2008 | 20072 | |||||||||||||||
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 income3 | .17 | .18 | .16 | .54 | .36 | |||||||||||||||
Net realized and unrealized gain (loss) | (.20 | ) | .09 | .26 | (6.46 | ) | (.65 | ) | ||||||||||||
Total from investment operations | (.03 | ) | .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 | $ | 1.94 | $ | 2.16 | $ | 2.01 | $ | 1.59 | $ | 7.97 | ||||||||||
Total Return, at Net Asset Value4 | (2.06 | )% | 14.27 | % | 26.42 | % | (78.63 | )% | (3.51 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,148 | $ | 7,573 | $ | 7,107 | $ | 4,167 | $ | 9,476 | ||||||||||
Average net assets (in thousands) | $ | 7,852 | $ | 7,278 | $ | 6,285 | $ | 10,658 | $ | 7,201 | ||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||
Net investment income | 8.29 | % | 8.74 | % | 9.62 | % | 9.00 | % | 6.61 | % | ||||||||||
Total expenses6 | 1.23 | % | 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 | 54 | % | 132 | % | 128 | % | 53 | %7 | 67 | %7 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | For the period from May 1, 2007 (inception of offering) to December 31, 2007. | |
3. | Per share amounts calculated based on the average shares outstanding during the period. | |
4. | 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. | |
5. | Annualized for periods less than one full year. | |
6. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended December 30, 2011 | 1.23 | % | ||
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 | % |
7. | 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 |
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 3,051,790 |
Cost | $ | 975,916 | ||
Market Value | $ | 771,238 | ||
Market Value as a % of Net Assets | 0.68 | % |
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost | ||||||||||||
Undistributed | Undistributed | Accumulated | of Securities and Other | |||||||||
Net Investment | Long-Term | Loss | Investments for Federal | |||||||||
Income | Gain | Carryforward1,2,3,4,5 | Income Tax Purposes | |||||||||
$10,661,122 | $ | — | $ | 222,009,823 | $ | 13,406,221 |
1. | As of December 30, 2011, the Fund had $220,562,166 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2012 | $ | 128,504 | ||
2016 | 48,495,519 | |||
2017 | 171,938,143 | |||
Total | $ | 220,562,166 | ||
2. | As of December 30, 2011, the Fund had $1,447,657 of post-October losses available to offset future realized capital gains, if any. | |
3. | During the fiscal year ended December 30, 2011, the Fund utilized $1,949,628 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
4. | During the fiscal year ended December 31, 2010, the Fund utilized $4,432,223 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
5. | During the fiscal year ended December 30, 2011, $6,579,675 of unused capital loss carryforward expired. |
Reduction | ||||||||
Increase | to Accumulated | |||||||
Reduction | to Accumulated Net | Net Realized Loss | ||||||
to Paid-in Capital | Investment Income | on Investments | ||||||
$6,579,675 | $ | 9,412 | $ | 6,570,263 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 12,181,128 | $ | 8,242,335 |
Federal tax cost of securities | $ | 127,393,293 | ||
Federal tax cost of other investments | 60,827 | |||
Total federal tax cost | $ | 127,454,120 | ||
Gross unrealized appreciation | $ | 2,140,166 | ||
Gross unrealized depreciation | (15,546,387 | ) | ||
Net unrealized depreciation | $ | (13,406,221 | ) | |
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 4,435,498 | $ | 8,942,368 | 11,152,476 | $ | 21,983,381 | ||||||||||
Dividends and/or distributions reinvested | 2,648,241 | 5,402,411 | 1,954,567 | 3,674,586 | ||||||||||||
Redeemed | (11,071,648 | ) | (22,530,594 | ) | (18,147,101 | ) | (35,784,315 | ) | ||||||||
Net decrease | (3,987,909 | ) | $ | (8,185,815 | ) | (5,040,058 | ) | $ | (10,126,348 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 3,015,631 | $ | 6,027,667 | 2,939,505 | $ | 5,849,488 | ||||||||||
Dividends and/or distributions reinvested | 2,691,923 | 5,518,442 | 2,040,930 | 3,877,767 | ||||||||||||
Redeemed | (7,087,393 | ) | (14,314,532 | ) | (7,528,455 | ) | (14,988,236 | ) | ||||||||
Net decrease | (1,379,839 | ) | $ | (2,768,423 | ) | (2,548,020 | ) | $ | (5,260,981 | ) | ||||||
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class 3 Shares | ||||||||||||||||
Sold | 805,055 | $ | 1,675,197 | 2,054,702 | $ | 4,093,320 | ||||||||||
Dividends and/or distributions reinvested | 269,673 | 555,527 | 160,066 | 304,126 | ||||||||||||
Redeemed | (1,789,726 | ) | (3,626,655 | )1 | (1,747,107 | ) | (3,468,322 | )2 | ||||||||
Net increase (decrease) | (714,998 | ) | $ | (1,395,931 | ) | 467,661 | $ | 929,124 | ||||||||
Class 4 Shares | ||||||||||||||||
Sold | 1,952,890 | $ | 4,030,364 | 1,725,510 | $ | 3,440,558 | ||||||||||
Dividends and/or distributions reinvested | 338,821 | 704,748 | 200,967 | 385,856 | ||||||||||||
Redeemed | (2,103,972 | ) | (4,249,233 | )1 | (1,958,189 | ) | (3,944,705 | )2 | ||||||||
Net increase (decrease) | 187,739 | $ | 485,879 | (31,712 | ) | $ | (118,291 | ) | ||||||||
1. | Net of redemption fees of $621 and $235 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. |
Purchases | Sales | |||||||
Investment securities | $ | 61,907,194 | $ | 77,618,929 |
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 |
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||
Derivatives Not Accounted for as Hedging Instruments | Investments from unaffiliated companies* | Swap contracts | Total | |||||||||
Credit contracts | $ | — | $ | (48,715 | ) | $ | (48,715 | ) | ||||
Interest rate contracts | 1,901 | — | 1,901 | |||||||||
Total | $ | 1,901 | $ | (48,715 | ) | $ | (46,814 | ) | ||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
February 16, 2012
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital |
Beverly L. Hamilton, Continued | (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004- 2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004- March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006- September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008- June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006- December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Welsh, Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Joseph Welsh, Vice President (since 2009) Age: 47 | Head of the Manager’s High Yield Corporate Debt Team (since April 2009); Senior Vice President of the Manager (since May 2009); Vice President of the Manager (December 2000-April 2009); Assistant Vice President of the Manager (December 1996-November 2000); a high yield bond analyst of the Manager (January 1995- December 1996); a CFA. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005- April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
A Series of Oppenheimer Variable Account Funds | ||
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
©2012 OppenheimerFunds, Inc. All rights reserved. |
December 31, 2011 Oppenheimer Main Street Fund®/VA Annual Report A Series of Oppenheimer Variable Account Funds |
ANNUAL REPORT Listing of Top Holdings Fund Performance Discussion Financial Statements |
For the Periods Ended 12/30/111
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | –0.01 | % | –0.88 | % | 2.77 | % | ||||||
Service Shares | –0.32 | % | –1.13 | % | 2.51 | % |
For the Period Ended 12/30/111
Non-Service Shares | 0.78 | % | ||
Service Shares | 1.03 |
Top Ten Common Stock Holdings | ||||
Apple, Inc. | 6.6 | % | ||
Chevron Corp. | 5.0 | |||
Philip Morris International, Inc. | 4.2 | |||
Abbott Laboratories | 3.6 | |||
eBay, Inc. | 3.5 | |||
McGraw-Hill Cos., Inc. (The) | 3.3 | |||
CIT Group, Inc. | 3.3 | |||
Google, Inc., Cl. A | 3.2 | |||
Ford Motor Co. | 2.8 | |||
Tyco International Ltd. | 2.7 |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service Shares | $ | 1,000.00 | $ | 972.70 | $ | 3.82 | ||||||
Service Shares | 1,000.00 | 971.60 | 5.05 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service Shares | 1,000.00 | 1,021.21 | 3.91 | |||||||||
Service Shares | 1,000.00 | 1,019.95 | 5.18 |
Class | Expense Ratios | |||
| | ||||
Non-Service Shares | 0.77 | % | ||
Service Shares | 1.02 |
Shares | Value | |||||||
Common Stocks—100.1% | ||||||||
Consumer Discretionary—11.3% | ||||||||
Automobiles—2.8% | ||||||||
Ford Motor Co.1 | 3,597,200 | $ | 38,705,872 | |||||
Hotels, Restaurants & Leisure—2.1% | ||||||||
Hyatt Hotels Corp., Cl. A1 | 512,288 | 19,282,520 | ||||||
McDonald’s Corp. | 93,336 | 9,364,401 | ||||||
28,646,921 | ||||||||
Media—3.3% | ||||||||
McGraw-Hill Cos., Inc. (The) | 1,038,811 | 46,715,331 | ||||||
Specialty Retail—3.1% | ||||||||
AutoZone, Inc.1 | 42,550 | 13,827,474 | ||||||
CarMax, Inc.1 | 249,930 | 7,617,866 | ||||||
TJX Cos., Inc. (The) | 344,260 | 22,221,983 | ||||||
43,667,323 | ||||||||
Consumer Staples—11.1% | ||||||||
Beverages—2.4% | ||||||||
Dr. Pepper Snapple Group, Inc. | 862,620 | 34,056,238 | ||||||
Food Products—4.5% | ||||||||
General Mills, Inc. | 384,400 | 15,533,604 | ||||||
J.M. Smucker Co. (The) | 339,750 | 26,558,258 | ||||||
Mead Johnson Nutrition Co., Cl. A | 242,472 | 16,665,101 | ||||||
Sara Lee Corp. | 214,480 | 4,057,962 | ||||||
62,814,925 | ||||||||
Tobacco—4.2% | ||||||||
Philip Morris International, Inc. | 740,059 | 58,079,830 | ||||||
Energy—12.3% | ||||||||
Energy Equipment & Services—1.3% | ||||||||
National Oilwell Varco, Inc. | 277,840 | 18,890,342 | ||||||
Oil, Gas & Consumable Fuels—11.0% | ||||||||
Chevron Corp. | 662,489 | 70,488,830 | ||||||
Kinder Morgan, Inc. | 576,310 | 18,539,893 | ||||||
Noble Energy, Inc. | 321,000 | 30,299,190 | ||||||
Occidental Petroleum Corp. | 360,130 | 33,744,181 | ||||||
153,072,094 | ||||||||
Financials—16.6% | ||||||||
Capital Markets—1.1% | ||||||||
Blackstone Group LP (The) | 1,123,300 | 15,737,433 | ||||||
Commercial Banks—3.7% | ||||||||
CIT Group, Inc.1 | 1,304,640 | 45,492,797 | ||||||
M&T Bank Corp. | 88,580 | 6,762,197 | ||||||
52,254,994 | ||||||||
Consumer Finance—1.4% | ||||||||
Discover Financial Services | 794,510 | 19,068,240 | ||||||
Diversified Financial Services—6.8% | ||||||||
Citigroup, Inc. | 1,103,709 | 29,038,584 | ||||||
CME Group, Inc. | 85,050 | 20,724,134 | ||||||
JPMorgan Chase & Co. | 1,111,860 | 36,969,345 | ||||||
MSCI, Inc., Cl. A1 | 225,280 | 7,418,470 | ||||||
94,150,533 | ||||||||
Insurance—3.6% | ||||||||
Berkshire Hathaway, Inc., Cl. B1 | 96,510 | 7,363,713 | ||||||
Marsh & McLennan Cos., Inc. | 768,000 | 24,284,160 | ||||||
Progressive Corp. | 976,210 | 19,045,857 | ||||||
50,693,730 | ||||||||
Health Care—13.5% | ||||||||
Biotechnology—2.5% | ||||||||
Celgene Corp.1 | 499,432 | 33,761,603 | ||||||
Health Care Providers & | ||||||||
Services—2.9% | ||||||||
DaVita, Inc.1 | 99,970 | 7,578,726 | ||||||
WellPoint, Inc. | 497,580 | 32,964,675 | ||||||
40,543,401 | ||||||||
Life Sciences Tools & Services—1.2% | ||||||||
Waters Corp.1 | 228,410 | 16,913,761 | ||||||
Pharmaceuticals—6.9% | ||||||||
Abbott Laboratories | 883,770 | 49,694,387 | ||||||
Allergan, Inc. | 147,020 | 12,899,535 | ||||||
Bristol-Myers Squibb Co. | 964,310 | 33,982,284 | ||||||
96,576,206 | ||||||||
Industrials—9.8% | ||||||||
Aerospace & Defense—2.2% | ||||||||
Boeing Co. (The) | 407,210 | 29,868,854 | ||||||
Air Freight & Logistics—2.4% | ||||||||
United Parcel Service, Inc., Cl. B | 458,000 | 33,521,020 | ||||||
Industrial Conglomerates—2.7% | ||||||||
Tyco International Ltd. | 814,210 | 38,031,749 | ||||||
Machinery—0.5% | ||||||||
Xylem, Inc. | 290,260 | 7,456,779 | ||||||
Road & Rail—2.0% | ||||||||
CSX Corp. | 1,275,610 | 26,864,347 | ||||||
QR National Ltd. | 439,800 | 1,538,407 | ||||||
28,402,754 |
Shares | Value | |||||||
Information Technology—19.9% | ||||||||
Communications Equipment—2.5% | ||||||||
QUALCOMM, Inc. | 641,851 | $ | 35,109,250 | |||||
Computers & Peripherals—6.6% | ||||||||
Apple, Inc.1 | 226,922 | 91,903,410 | ||||||
Internet Software & Services—6.7% | ||||||||
eBay, Inc.1 | 1,614,455 | 48,966,420 | ||||||
Google, Inc., Cl. A1 | 69,250 | 44,728,575 | ||||||
93,694,995 | ||||||||
Software—4.1% | ||||||||
Check Point Software Technologies Ltd.1 | 247,890 | 13,024,141 | ||||||
Microsoft Corp. | 1,215,657 | 31,558,456 | ||||||
Oracle Corp. | 478,290 | 12,268,139 | ||||||
56,850,736 | ||||||||
Materials—2.0% | ||||||||
Chemicals—1.7% | ||||||||
Praxair, Inc. | 225,230 | 24,077,082 | ||||||
Construction Materials—0.3% | ||||||||
Vulcan Materials Co. | 89,990 | 3,541,107 | ||||||
Telecommunication Services—2.1% | ||||||||
Wireless Telecommunication Services—2.1% | ||||||||
America Movil SAB de CV, ADR, Series L | 1,302,422 | 29,434,737 | ||||||
Utilities—1.5% | ||||||||
Energy Traders—1.5% | ||||||||
AES Corp. (The)1 | 1,769,160 | 20,946,854 | ||||||
Total Investments, at Value (Cost $1,097,413,107) | 100.1 | % | 1,397,188,104 | |||||
Liabilities in Excess of Other Assets | (0.1 | ) | (1,142,965 | ) | ||||
Net Assets | 100.0 | % | $ | 1,396,045,139 | ||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
1. | Non-income producing security. |
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2010 | Additions | Reductions | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 21,709,488 | 346,291,600 | 368,001,088 | — |
Income | ||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 40,596 |
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 | $ | 157,735,447 | $ | — | $ | — | $ | 157,735,447 | ||||||||
Consumer Staples | 154,950,993 | — | — | 154,950,993 | ||||||||||||
Energy | 171,962,436 | — | — | 171,962,436 | ||||||||||||
Financials | 231,904,930 | — | — | 231,904,930 | ||||||||||||
Health Care | 187,794,971 | — | — | 187,794,971 | ||||||||||||
Industrials | 137,281,156 | — | — | 137,281,156 | ||||||||||||
Information Technology | 277,558,391 | — | — | 277,558,391 | ||||||||||||
Materials | 27,618,189 | — | — | 27,618,189 | ||||||||||||
Telecommunication Services | 29,434,737 | — | — | 29,434,737 | ||||||||||||
Utilities | 20,946,854 | — | — | 20,946,854 | ||||||||||||
Total Assets | $ | 1,397,188,104 | $ | — | $ | — | $ | 1,397,188,104 | ||||||||
Assets | ||||
Investments, at value (cost $1,097,413,107)—see accompanying statement of investments | $ | 1,397,188,104 | ||
Receivables and other assets: | ||||
Investments sold | 5,146,954 | |||
Dividends | 1,240,087 | |||
Other | 66,345 | |||
Total assets | 1,403,641,490 | |||
Liabilities | ||||
Bank overdraft | 191,177 | |||
Payables and other liabilities: | ||||
Investments purchased | 3,496,879 | |||
Shares of beneficial interest redeemed | 3,289,111 | |||
Shareholder communications | 235,774 | |||
Distribution and service plan fees | 189,380 | |||
Transfer and shareholder servicing agent fees | 119,165 | |||
Trustees’ compensation | 38,860 | |||
Other | 36,005 | |||
Total liabilities | 7,596,351 | |||
Net Assets | $ | 1,396,045,139 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 67,825 | ||
Additional paid-in capital | 1,460,842,471 | |||
Accumulated net investment income | 4,690,401 | |||
Accumulated net realized loss on investments and foreign currency transactions | (369,330,555 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 299,774,997 | |||
Net Assets | $ | 1,396,045,139 | ||
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 $392,860,646 and 18,970,441 shares of beneficial interest outstanding) | $ | 20.71 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,003,184,493 and 48,854,175 shares of beneficial interest outstanding) | $ | 20.53 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $25,083) | $ | 23,791,054 | ||
Affiliated companies | 40,596 | |||
Interest | 966 | |||
Total investment income | 23,832,616 | |||
Expenses | ||||
Management fees | 9,967,881 | |||
Distribution and service plan fees—Service shares | 2,736,862 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 426,553 | |||
Service shares | 1,094,745 | |||
Shareholder communications: | ||||
Non-Service shares | 46,649 | |||
Service shares | 119,403 | |||
Trustees’ compensation | 62,646 | |||
Custodian fees and expenses | 8,713 | |||
Administration service fees | 1,500 | |||
Other | 87,403 | |||
Total expenses | 14,552,355 | |||
Less waivers and reimbursements of expenses | (22,856 | ) | ||
Net expenses | 14,529,499 | |||
Net Investment Income | 9,303,117 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 60,130,397 | |||
Foreign currency transactions | (118,065 | ) | ||
Net realized gain | 60,012,332 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (72,248,813 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | 68,522 | |||
Net change in unrealized appreciation/depreciation | (72,180,291 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (2,864,842 | ) | |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 9,303,117 | $ | 12,343,744 | ||||
Net realized gain | 60,012,332 | 122,769,693 | ||||||
Net change in unrealized appreciation/depreciation | (72,180,291 | ) | 110,123,026 | |||||
Net increase (decrease) in net assets resulting from operations | (2,864,842 | ) | 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 | (73,098,026 | ) | (66,941,748 | ) | ||||
Service shares | (172,844,897 | ) | (135,835,930 | ) | ||||
(245,942,923 | ) | (202,777,678 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | (259,130,529 | ) | 26,328,422 | |||||
Beginning of period | 1,655,175,668 | 1,628,847,246 | ||||||
End of period (including accumulated net investment income of $4,690,401 and $13,277,741, respectively) | $ | 1,396,045,139 | $ | 1,655,175,668 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.88 | $ | 18.18 | $ | 14.56 | $ | 25.61 | $ | 24.78 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .16 | .17 | .21 | .29 | .33 | |||||||||||||||
Net realized and unrealized gain (loss) | (.16 | ) | 2.73 | 3.71 | (9.64 | ) | .75 | |||||||||||||
Total from investment operations | — | 2.90 | 3.92 | (9.35 | ) | 1.08 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.20 | ) | (.30 | ) | (.32 | ) | (.25 | ) | ||||||||||
Distributions from net realized gain | — | — | — | (1.38 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.17 | ) | (.20 | ) | (.30 | ) | (1.70 | ) | (.25 | ) | ||||||||||
Net asset value, end of period | $ | 20.71 | $ | 20.88 | $ | 18.18 | $ | 14.56 | $ | 25.61 | ||||||||||
Total Return, at Net Asset Value3 | (0.01 | )% | 16.11 | % | 28.29 | % | (38.47 | )% | 4.43 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 392,861 | $ | 469,720 | $ | 474,637 | $ | 432,360 | $ | 907,727 | ||||||||||
Average net assets (in thousands) | $ | 426,354 | $ | 454,937 | $ | 430,517 | $ | 670,994 | $ | 1,006,655 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 0.79 | % | 0.93 | % | 1.35 | % | 1.42 | % | 1.28 | % | ||||||||||
Total expenses5 | 0.78 | % | 0.78 | % | 0.78 | % | 0.66 | % | 0.65 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.78 | % | 0.78 | % | 0.78 | % | 0.66 | % | 0.65 | % | ||||||||||
Portfolio turnover rate | 38 | % | 45 | % | 128 | % | 132 | % | 111 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 20.71 | $ | 18.04 | $ | 14.42 | $ | 25.38 | $ | 24.58 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .11 | .13 | .17 | .24 | .26 | |||||||||||||||
Net realized and unrealized gain (loss) | (.17 | ) | 2.70 | 3.70 | (9.56 | ) | .75 | |||||||||||||
Total from investment operations | (.06 | ) | 2.83 | 3.87 | (9.32 | ) | 1.01 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.16 | ) | (.25 | ) | (.26 | ) | (.21 | ) | ||||||||||
Distributions from net realized gain | — | — | — | (1.38 | ) | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.12 | ) | (.16 | ) | (.25 | ) | (1.64 | ) | (.21 | ) | ||||||||||
Net asset value, end of period | $ | 20.53 | $ | 20.71 | $ | 18.04 | $ | 14.42 | $ | 25.38 | ||||||||||
Total Return, at Net Asset Value3 | (0.32 | )% | 15.83 | % | 27.99 | % | (38.63 | )% | 4.15 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,003,184 | $ | 1,185,456 | $ | 1,154,210 | $ | 1,020,103 | $ | 1,464,690 | ||||||||||
Average net assets (in thousands) | $ | 1,094,254 | $ | 1,193,630 | $ | 1,029,909 | $ | 1,268,430 | $ | 1,315,488 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 0.54 | % | 0.68 | % | 1.10 | % | 1.20 | % | 1.03 | % | ||||||||||
Total expenses5 | 1.03 | % | 1.03 | % | 1.03 | % | 0.91 | % | 0.90 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.03 | % | 1.03 | % | 1.03 | % | 0.91 | % | 0.90 | % | ||||||||||
Portfolio turnover rate | 38 | % | 45 | % | 128 | % | 132 | % | 111 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 | % |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on Cost of | ||||||||||||
Undistributed | Undistributed | Accumulated | Securities and Other | |||||||||
Net Investment | Long-Term | Loss | Investments for Federal | |||||||||
Income | Gain | Carryforward1,2,3,4 | Income Tax Purposes | |||||||||
$4,457,825 | $ | — | $ | 365,662,510 | $ | 296,378,380 |
1. | As of December 30, 2011, the Fund had $360,688,381 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2016 | $ | 28,492,724 | ||
2017 | 332,195,657 | |||
Total | $ | 360,688,381 | ||
2. | As of December 30, 2011, the Fund had $4,974,129 of post-October losses available to offset future realized capital gains, if any. | |
3. | During the fiscal year ended December 30, 2011, the Fund utilized $71,694,516 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
4. | During the fiscal year ended December 31, 2010, the Fund utilized $117,805,966 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Reduction | Reduction | |||||||
to Accumulated | to Accumulated Net | |||||||
Increase to | Net Investment | Realized Loss | ||||||
Paid-in Capital | Income | on Investments | ||||||
$303,331 | $ | 7,567,693 | $ | 7,264,362 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 10,322,764 | $ | 16,130,363 |
Federal tax cost of securities | $ | 1,100,809,724 | ||
Gross unrealized appreciation | $ | 330,799,821 | ||
Gross unrealized depreciation | (34,421,441 | ) | ||
Net unrealized appreciation | $ | 296,378,380 | ||
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 2,028,214 | $ | 41,337,389 | 2,851,462 | $ | 52,574,153 | ||||||||||
Dividends and/or distributions reinvested | 176,503 | 3,755,987 | 279,275 | 5,119,114 | ||||||||||||
Redeemed | (5,726,116 | ) | (118,191,402 | ) | (6,743,462 | ) | (124,635,015 | ) | ||||||||
Net decrease | (3,521,399 | ) | $ | (73,098,026 | ) | (3,612,725 | ) | $ | (66,941,748 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 2,150,725 | $ | 42,852,883 | 7,702,331 | $ | 136,115,255 | ||||||||||
Dividends and/or distributions reinvested | 310,633 | 6,566,777 | 604,682 | 11,011,249 | ||||||||||||
Redeemed | (10,851,128 | ) | (222,264,557 | ) | (15,049,192 | ) | (282,962,434 | ) | ||||||||
Net decrease | (8,389,770 | ) | $ | (172,844,897 | ) | (6,742,179 | ) | $ | (135,835,930 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 567,679,021 | $ | 792,267,202 |
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 |
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. |
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. |
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. |
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. |
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce |
5. | Risk Exposures and the Use of Derivative Instruments Continued the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. | |
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. |
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. | ||
Credit Related Contingent Features. The Fund’s agreements with derivative counterparties have several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. |
The effect of derivative instruments on the Statement of Operations is as follows: |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as Hedging Instruments | Foreign currency transactions | |||
Foreign exchange contracts | $ | 977 |
6. | Pending Litigation Continued |
Denver, Colorado
February 16, 2012
ADVISORY AGREEMENT Unaudited
ADVISORY AGREEMENT Unaudited / Continued
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1995) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. |
Beverly L. Hamilton, Continued | Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004- March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006- September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008- June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006- December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Govil, Ram, Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Manind Govil, Vice President (since 2009) Age: 42 | Senior Vice President and the Main Street Team Leader of the Manager (since May 2009); a Chartered Financial Analyst. Prior to joining the Manager, managed the RS Largecap Alpha fund (August 2005-March 2009) first with Guardian Life Insurance Company of America then with RS Investment Management Co. LLC, subsequent to their merger; head of equity investments at The Guardian Life Insurance Company of America (August 2005- October 2006) when Guardian Life Insurance acquired an interest in RS Investment Management Co. LLC; lead portfolio manager — large cap blend/core equity, co-head of equities and head of equity research (2001-July 2005); lead portfolio manager — core equity (April 1996-July 2005), at Mercantile Capital Advisers, Inc. A portfolio manager and officer of 4 portfolios in the OppenheimerFunds complex. | |
Benjamin Ram, Vice President (since 2009) Age: 39 | Vice President of the Manager (since May 2009). Prior to joining the Manager, a sector manager for financial investments and a co-portfolio manager for mid-cap portfolios with the RS Core Equity Team of RS Investment Management Co. LLC (January 2006-May 2009) first with Guardian Life Insurance Company of America then with RS Investment Management Co. LLC, subsequent to their merger; a financials analyst (2003-2005) and co-portfolio manager (2005-2006) at Mercantile Capital Advisers, Inc; a bank analyst at Legg Mason Securities (2000-2003); a senior financial analyst at the CitiFinancial division of Citigroup, Inc. (1997-2000). A portfolio manager and officer of 3 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
©2012 OppenheimerFunds, Inc. All rights reserved. |
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | -2.21 | % | 0.34 | % | 6.44 | % | ||||||
Service Shares | -2.38 | % | 0.10 | % | 6.22 | % |
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.83 | % | 0.80 | % | ||||
Service Shares | 1.08 | 1.05 |
Top Ten Common Stock Holdings | ||||
Robert Half International, Inc. | 1.7 | % | ||
HollyFrontier Corp. | 1.6 | |||
Questcor Pharmaceuticals, Inc. | 1.5 | |||
Old Dominion Freight Line, Inc. | 1.4 | |||
AES Corp. (The) | 1.4 | |||
Digital Realty Trust, Inc. | 1.2 | |||
MSCI, Inc., Cl. A | 1.2 | |||
PVH Corp. | 1.2 | |||
KBR, Inc. | 1.1 | |||
Toll Brothers, Inc. | 1.1 |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 908.50 | $ | 3.79 | ||||||
Service shares | 1,000.00 | 907.70 | 4.99 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.11 | 4.01 | |||||||||
Service shares | 1,000.00 | 1,019.85 | 5.28 |
Class | Expense Ratios | |||
Non-Service shares | 0.79 | % | ||
Service shares | 1.04 |
Shares | Value | |||||||
Common Stocks—98.7% | ||||||||
Consumer Discretionary—16.4% | ||||||||
Auto Components—1.1% | ||||||||
Dana Holding Corp.1 | 712,970 | $ | 8,662,586 | |||||
Standard Motor Products, Inc. | 21,980 | 440,699 | ||||||
9,103,285 | ||||||||
Distributors—0.8% | ||||||||
Pool Corp. | 215,280 | 6,479,928 | ||||||
Diversified Consumer Services—0.5% | ||||||||
Bridgepoint Education, Inc.1 | 61,970 | 1,425,310 | ||||||
Capella Education Co.1 | 5,760 | 207,648 | ||||||
Coinstar, Inc.1 | 35,650 | 1,627,066 | ||||||
DeVry, Inc. | 5,730 | 220,376 | ||||||
ITT Educational Services, Inc.1 | 1,321 | 75,152 | ||||||
Regis Corp. | 46,380 | 767,589 | ||||||
Service Corp. International | 13,780 | 146,757 | ||||||
4,469,898 | ||||||||
Hotels, Restaurants & Leisure—2.2% | ||||||||
AFC Enterprises, Inc.1 | 15,432 | 226,850 | ||||||
Ameristar Casinos, Inc. | 76,357 | 1,320,213 | ||||||
Bob Evans Farms, Inc. | 20,790 | 697,297 | ||||||
Brinker International, Inc. | 85,980 | 2,300,825 | ||||||
Cheesecake Factory, Inc. (The)1 | 50,250 | 1,474,838 | ||||||
Cracker Barrel Old Country Store, Inc. | 57,270 | 2,886,981 | ||||||
Dunkin’ Brands Group, Inc.1 | 280,160 | 6,998,397 | ||||||
Jack in the Box, Inc.1 | 5,780 | 120,802 | ||||||
Marriott Vacations Worldwide Corp.1 | 6,470 | 111,025 | ||||||
P.F. Chang’s China Bistro, Inc. | 2,862 | 88,464 | ||||||
Papa John’s International, Inc.1 | 53,648 | 2,021,457 | ||||||
Shuffle Master, Inc.1 | 6,370 | 74,656 | ||||||
Texas Roadhouse, Inc., Cl. A | 72,990 | 1,087,551 | ||||||
Wyndham Worldwide Corp. | 930 | 35,182 | ||||||
19,444,538 | ||||||||
Household Durables—1.4% | ||||||||
American Greetings Corp., Cl. A | 66,590 | 833,041 | ||||||
CSS Industries, Inc. | 12,790 | 254,777 | ||||||
Helen of Troy Ltd.1 | 26,660 | 818,462 | ||||||
Jarden Corp. | 31,960 | 954,965 | ||||||
Toll Brothers, Inc.1 | 470,540 | 9,608,427 | ||||||
Universal Electronics, Inc.1 | 500 | 8,435 | ||||||
12,478,107 | ||||||||
Internet & Catalog Retail—0.1% | ||||||||
Expedia, Inc. | 9,215 | 267,419 | ||||||
HSN, Inc. | 3,440 | 124,734 | ||||||
TripAdvisor, Inc.1 | 5,885 | 148,361 | ||||||
540,514 | ||||||||
Leisure Equipment & Products—0.0% | ||||||||
Polaris Industries, Inc. | 1,531 | 85,705 | ||||||
Media—1.6% | ||||||||
Cinemark Holdings, Inc. | 37,240 | 688,568 | ||||||
Dish Network Corp., Cl. A | 30,260 | 861,805 | ||||||
Global Sources Ltd.1 | 17,700 | 85,845 | ||||||
IMAX Corp.1 | 448,540 | 8,221,738 | ||||||
Interpublic Group of Cos., Inc. (The) | 174,040 | 1,693,409 | ||||||
Journal Communications, Inc.1 | 58,170 | 255,948 | ||||||
Sinclair Broadcast Group, Inc., Cl. A | 162,333 | 1,839,233 | ||||||
Valassis Communications, Inc.1 | 18,900 | 363,447 | ||||||
14,009,993 | ||||||||
Multiline Retail—0.7% | ||||||||
Big Lots, Inc.1 | 53,480 | 2,019,405 | ||||||
Dillard’s, Inc., Cl. A | 50,820 | 2,280,802 | ||||||
Fred’s, Inc. | 24,420 | 356,044 | ||||||
Saks, Inc.1 | 160,760 | 1,567,410 | ||||||
6,223,661 | ||||||||
Specialty Retail—6.0% | ||||||||
Aaron’s, Inc. | 18,160 | 484,509 | ||||||
Advance Auto Parts, Inc. | 14,970 | 1,042,361 | ||||||
AnnTaylor Stores Corp.1 | 63,470 | 1,572,787 | ||||||
Ascena Retail Group, Inc.1 | 66,740 | 1,983,513 | ||||||
CarMax, Inc.1 | 206,340 | 6,289,243 | ||||||
Casual Male Retail Group, Inc.1 | 11,200 | 38,304 | ||||||
Cato Corp., Cl. A | 82,214 | 1,989,579 | ||||||
Chico’s FAS, Inc. | 150,280 | 1,674,119 | ||||||
Children’s Place Retail Stores, Inc.1 | 130,860 | 6,951,283 | ||||||
Dick’s Sporting Goods, Inc. | 7,640 | 281,763 | ||||||
DSW, Inc., Cl. A | 3,943 | 174,320 | ||||||
Express, Inc.1 | 108,710 | 2,167,677 | ||||||
Finish Line, Inc. (The), Cl. A | 103,110 | 1,988,476 | ||||||
Foot Locker, Inc. | 99,850 | 2,380,424 | ||||||
GameStop Corp., Cl. A1 | 90,090 | 2,173,872 | ||||||
GNC Holdings, Inc., Cl. A1 | 4,390 | 127,091 | ||||||
Group 1 Automotive, Inc. | 12,540 | 649,572 | ||||||
hhgregg, Inc.1 | 2,890 | 41,761 | ||||||
Hibbett Sports, Inc.1 | 2,640 | 119,275 | ||||||
Men’s Wearhouse, Inc. (The) | 57,460 | 1,862,279 | ||||||
Monro Muffler Brake, Inc. | 173,320 | 6,723,083 | ||||||
Pep Boys-Manny, Moe & Jack | 36,600 | 402,600 | ||||||
PetSmart, Inc. | 2,520 | 129,251 | ||||||
Pier 1 Imports, Inc.1 | 107,950 | 1,503,744 | ||||||
RadioShack Corp. | 7,115 | 69,087 | ||||||
Rent-A-Center, Inc. | 15,290 | 565,730 | ||||||
Sally Beauty Holdings, Inc.1 | 80,520 | 1,701,388 |
Shares | Value | |||||||
Specialty Retail Continued | ||||||||
Select Comfort Corp.1 | 80,730 | $ | 1,751,034 | |||||
Tractor Supply Co. | 49,522 | 3,473,968 | ||||||
Wet Seal, Inc., Cl. A1 | 357,070 | 1,164,048 | ||||||
Williams-Sonoma, Inc. | 28,300 | 1,089,550 | ||||||
52,565,691 | ||||||||
Textiles, Apparel & Luxury Goods—2.0% | ||||||||
Fossil, Inc.1 | 89,647 | 7,114,386 | ||||||
Iconix Brand Group, Inc.1 | 4,950 | 80,636 | ||||||
PVH Corp. | 148,100 | 10,439,569 | ||||||
17,634,591 | ||||||||
Consumer Staples—2.5% | ||||||||
Beverages—0.2% | ||||||||
Constellation Brands, Inc., Cl. A1 | 82,810 | 1,711,683 | ||||||
Cott Corp.1 | 6,340 | 39,688 | ||||||
Dr. Pepper Snapple Group, Inc. | 1,080 | 42,638 | ||||||
1,794,009 | ||||||||
Food & Staples Retailing—0.4% | ||||||||
Casey’s General Stores, Inc. | 33,090 | 1,704,466 | ||||||
Ruddick Corp. | 21,220 | 904,821 | ||||||
Spartan Stores, Inc. | 29,650 | 548,525 | ||||||
Susser Holdings Corp.1 | 7,330 | 165,805 | ||||||
Weis Markets, Inc. | 7,410 | 295,955 | ||||||
3,619,572 | ||||||||
Food Products—1.0% | ||||||||
Darling International, Inc.1 | 47,260 | 628,085 | ||||||
Hormel Foods Corp. | 1,330 | 38,956 | ||||||
Smithfield Foods, Inc.1 | 3,360 | 81,581 | ||||||
TreeHouse Foods, Inc.1 | 88,586 | 5,791,753 | ||||||
Tyson Foods, Inc., Cl. A | 102,090 | 2,107,138 | ||||||
8,647,513 | ||||||||
Household Products—0.5% | ||||||||
Church & Dwight Co., Inc. | 103,960 | 4,757,210 | ||||||
Personal Products—0.3% | ||||||||
Elizabeth Arden, Inc.1 | 4,980 | 184,459 | ||||||
Medifast, Inc.1 | 63,920 | 876,982 | ||||||
Prestige Brands Holdings, Inc.1 | 32,990 | 371,797 | ||||||
USANA Health Sciences, Inc.1 | 30,010 | 911,404 | ||||||
2,344,642 | ||||||||
Tobacco—0.1% | ||||||||
Universal Corp. | 19,570 | 899,437 | ||||||
Energy—6.7% | ||||||||
Energy Equipment & Services—1.5% | ||||||||
Bolt Technology Corp. | 24,350 | 278,564 | ||||||
Helix Energy Solutions Group, Inc.1 | 95,060 | 1,501,948 | ||||||
Helmerich & Payne, Inc. | 5,620 | 327,983 | ||||||
ION Geophysical Corp.1 | 71,170 | 436,272 | ||||||
Matrix Service Co.1 | 32,970 | 311,237 | ||||||
Nabors Industries Ltd.1 | 14,930 | 258,886 | ||||||
Newpark Resources, Inc.1 | 264,660 | 2,514,270 | ||||||
Parker Drilling Co.1 | 164,760 | 1,181,329 | ||||||
Patterson-UTI Energy, Inc. | 53,410 | 1,067,132 | ||||||
Pioneer Drilling Co.1 | 58,660 | 567,829 | ||||||
Precision Drilling Corp.1 | 145,640 | 1,494,266 | ||||||
RPC, Inc. | 86,380 | 1,576,435 | ||||||
Superior Energy Services, Inc.1 | 52,590 | 1,495,660 | ||||||
Tesco Corp.1 | 42,120 | 532,397 | ||||||
13,544,208 | ||||||||
Oil, Gas & Consumable Fuels—5.2% | ||||||||
CVR Energy, Inc.1 | 97,704 | 1,829,996 | ||||||
Delek US Holdings, Inc. | 15,360 | 175,258 | ||||||
Energy Partners Ltd.1 | 18,410 | 268,786 | ||||||
Energy XXI (Bermuda) Ltd.1 | 106,600 | 3,398,408 | ||||||
Gran Tierra Energy, Inc.1 | 8,470 | 40,656 | ||||||
HollyFrontier Corp. | 591,960 | 13,851,864 | ||||||
Kosmos Energy Ltd.1 | 278,990 | 3,420,417 | ||||||
MarkWest Energy Partners LP | 120,678 | 6,644,531 | ||||||
PAA Natural Gas Storage LP | 246,700 | 4,625,625 | ||||||
Petrobras Argentina SA, ADR | 38,200 | 482,084 | ||||||
Stone Energy Corp.1 | 61,710 | 1,627,910 | ||||||
Tesoro Corp.1 | 83,280 | 1,945,421 | ||||||
Ultrapar Participacoes SA, Sponsored ADR | 75,630 | 1,300,836 | ||||||
VAALCO Energy, Inc.1 | 228,720 | 1,381,469 | ||||||
W&T Offshore, Inc. | 87,780 | 1,861,814 | ||||||
Warren Resources, Inc.1 | 113,020 | 368,445 | ||||||
Western Refining, Inc.1 | 125,050 | 1,661,915 | ||||||
44,885,435 | ||||||||
Financials—20.7% | ||||||||
Capital Markets—1.0% | ||||||||
Apollo Global Management LLC | 149,000 | 1,849,090 | ||||||
Federated Investors, Inc., Cl. B | 104,960 | 1,590,144 | ||||||
Financial Engines, Inc.1 | 53,940 | 1,204,480 | ||||||
KBW, Inc. | 243,010 | 3,688,892 | ||||||
Knight Capital Group, Inc., Cl. A1 | 27,950 | 330,369 | ||||||
8,662,975 |
Shares | Value | |||||||
Commercial Banks—2.4% | ||||||||
BBVA Banco Frances SA, ADR | 76,043 | $ | 370,329 | |||||
CapitalSource, Inc. | 1,322,410 | 8,860,147 | ||||||
Cardinal Financial Corp. | 1,580 | 16,969 | ||||||
Century Bancorp, Inc., Cl. A | 11,660 | 329,278 | ||||||
Columbia Banking System, Inc. | 4,500 | 86,715 | ||||||
First Horizon National Corp. | 12,962 | 103,696 | ||||||
First Midwest Bancorp, Inc. | 312,830 | 3,168,968 | ||||||
FirstMerit Corp. | 363,590 | 5,501,117 | ||||||
Fulton Financial Corp. | 101,530 | 996,009 | ||||||
Grupo Financiero Galicia SA, ADR | 123,750 | 733,838 | ||||||
National Bankshares, Inc. | 8,901 | 248,516 | ||||||
Republic Bancorp, Inc., Cl. A | 11,030 | 252,587 | ||||||
State Bank Financial Corp.1 | 2,190 | 33,091 | ||||||
Washington Banking Co. | 11,740 | 139,823 | ||||||
20,841,083 | ||||||||
Consumer Finance—0.4% | ||||||||
Advance America Cash Advance Centers, Inc. | 112,870 | 1,010,187 | ||||||
EZCORP, Inc., Cl. A1 | 20,960 | 552,715 | ||||||
First Cash Financial Services, Inc.1 | 2,183 | 76,601 | ||||||
World Acceptance Corp.1 | 17,337 | 1,274,270 | ||||||
2,913,773 | ||||||||
Diversified Financial Services—2.2% | ||||||||
Encore Capital Group, Inc.1 | 31,420 | 667,989 | ||||||
Life Partners Holdings, Inc. | 50,329 | 325,125 | ||||||
Moody’s Corp. | 210,050 | 7,074,484 | ||||||
MSCI, Inc., Cl. A1 | 318,920 | 10,502,036 | ||||||
NASDAQ OMX Group, Inc. (The)1 | 11,610 | 284,561 | ||||||
18,854,195 | ||||||||
Insurance—4.9% | ||||||||
Alterra Capital Holdings Ltd. | 118,210 | 2,793,302 | ||||||
American Equity Investment Life Holding Co. | 140,620 | 1,462,448 | ||||||
American Financial Group, Inc. | 63,980 | 2,360,222 | ||||||
American Safety Insurance Holdings Ltd.1 | 18,530 | 403,028 | ||||||
AmTrust Financial Services, Inc. | 87,528 | 2,078,790 | ||||||
Arch Capital Group Ltd.1 | 91,030 | 3,389,047 | ||||||
Assured Guaranty Ltd. | 11,600 | 152,424 | ||||||
Brown & Brown, Inc. | 282,540 | 6,393,880 | ||||||
CNO Financial Group, Inc.1 | 205,110 | 1,294,244 | ||||||
FBL Financial Group, Inc., Cl. A | 24,334 | 827,843 | ||||||
Fidelity National Financial, Inc., Cl. A | 151,710 | 2,416,740 | ||||||
Global Indemnity plc1 | 5,062 | 100,379 | ||||||
HCC Insurance Holdings, Inc. | 69,410 | 1,908,775 | ||||||
Horace Mann Educators Corp. | 71,279 | 977,235 | ||||||
Maiden Holdings Ltd. | 112,880 | 988,829 | ||||||
Meadowbrook Insurance Group, Inc. | 125,190 | 1,337,029 | ||||||
National Financial Partners Corp.1 | 18,660 | 252,283 | ||||||
National Interstate Corp. | 10,850 | 267,670 | ||||||
National Western Life Insurance Co., Cl. A | 2,410 | 328,146 | ||||||
Primerica, Inc. | 104,700 | 2,433,228 | ||||||
Principal Financial Group, Inc. (The) | 23,440 | 576,624 | ||||||
ProAssurance Corp. | 20 | 1,596 | ||||||
Protective Life Corp. | 78,250 | 1,765,320 | ||||||
Reinsurance Group of America, Inc. | 36,360 | 1,899,810 | ||||||
RLI Corp. | 1,690 | 123,133 | ||||||
StanCorp Financial Group, Inc. | 1,960 | 72,030 | ||||||
Symetra Financial Corp. | 172,160 | 1,561,491 | ||||||
Torchmark Corp. | 34,565 | 1,499,775 | ||||||
Tower Group, Inc. | 69,800 | 1,407,866 | ||||||
Universal Insurance Holdings, Inc. | 20,710 | 74,142 | ||||||
Unum Group | 69,650 | 1,467,526 | ||||||
42,614,855 | ||||||||
Real Estate Investment Trusts—9.3% | ||||||||
American Campus Communities, Inc. | 56,320 | 2,363,187 | ||||||
Associated Estates Realty Corp. | 77,180 | 1,231,021 | ||||||
BioMed Realty Trust, Inc. | 77,100 | 1,393,968 | ||||||
BRE Properties, Inc., Cl. A | 48,980 | 2,472,510 | ||||||
Camden Property Trust | 7,580 | 471,779 | ||||||
Chatham Lodging Trust | 152,860 | 1,647,831 | ||||||
Colonial Properties Trust | 4,610 | 96,165 | ||||||
CubeSmart | 186,130 | 1,980,423 | ||||||
CYS Investments, Inc. | 279,340 | 3,670,528 | ||||||
DDR Corp. | 1,400 | 17,038 | ||||||
Digital Realty Trust, Inc. | 157,910 | 10,527,860 | ||||||
Douglas Emmett, Inc. | 38,360 | 699,686 | ||||||
EastGroup Properties, Inc. | 39,130 | 1,701,372 | ||||||
Equity Lifestyle Properties, Inc. | 32,090 | 2,140,082 | ||||||
Essex Property Trust, Inc. | 15,770 | 2,215,843 | ||||||
Extra Space Storage, Inc. | 102,160 | 2,475,337 | ||||||
Federal Realty Investment Trust | 19,040 | 1,727,880 | ||||||
Glimcher Realty Trust | 100,630 | 925,796 | ||||||
Hatteras Financial Corp. | 227,210 | 5,991,528 | ||||||
Highwoods Properties, Inc. | 960 | 28,483 | ||||||
Home Properties of New York, Inc. | 39,970 | 2,301,073 | ||||||
Hospitality Properties Trust | 71,330 | 1,639,163 | ||||||
Kilroy Realty Corp. | 3,290 | 125,250 | ||||||
LaSalle Hotel Properties | 345,758 | 8,370,801 | ||||||
LTC Properties, Inc. | 24,350 | 751,441 |
Shares | Value | |||||||
Real Estate Investment Trusts Continued | ||||||||
Mid-America Apartment Communities, Inc. | 101,919 | $ | 6,375,033 | |||||
National Retail Properties, Inc. | 59,260 | 1,563,279 | ||||||
Post Properties, Inc. | 38,090 | 1,665,295 | ||||||
PS Business Parks, Inc. | 2,210 | 122,500 | ||||||
Realty Income Corp. | 24,100 | 842,536 | ||||||
Sovran Self Storage, Inc. | 29,630 | 1,264,312 | ||||||
Starwood Property Trust, Inc. | 316,420 | 5,856,934 | ||||||
Sun Communities, Inc. | 37,420 | 1,366,953 | ||||||
Tanger Factory Outlet Centers, Inc. | 83,880 | 2,459,362 | ||||||
Taubman Centers, Inc. | 36,160 | 2,245,536 | ||||||
Universal Health Realty Income Trust | 7,490 | 292,110 | ||||||
Weingarten Realty Investors | 790 | 17,238 | ||||||
81,037,133 | ||||||||
Real Estate Management & Development—0.0% | ||||||||
MI Developments, Inc. | 9,000 | 287,820 | ||||||
Thrifts & Mortgage Finance—0.5% | ||||||||
BankUnited, Inc. | 162,620 | 3,576,014 | ||||||
Dime Community Bancshares, Inc. | 3,790 | 47,754 | ||||||
First Defiance Financial Corp. | 29,910 | 436,387 | ||||||
Flushing Financial Corp. | 3,390 | 42,816 | ||||||
OceanFirst Financial Corp. | 11,940 | 156,056 | ||||||
Ocwen Financial Corp.1 | 40 | 579 | ||||||
Walker & Dunlop, Inc.1 | 14,400 | 180,864 | ||||||
4,440,470 | ||||||||
Health Care—10.2% | ||||||||
Biotechnology—1.4% | ||||||||
Aveo Pharmaceuticals, Inc.1 | 89,140 | 1,533,208 | ||||||
Halozyme Therapeutics, Inc.1 | 351,680 | 3,344,477 | ||||||
Indevus Pharmaceuticals, Inc.1 | 2,500 | 25 | ||||||
Inhibitex, Inc.1 | 140,240 | 1,534,226 | ||||||
Medivation, Inc.1 | 36,810 | 1,697,309 | ||||||
Myriad Genetics, Inc.1 | 88,364 | 1,850,342 | ||||||
PDL BioPharma, Inc. | 387,212 | 2,400,714 | ||||||
United Therapeutics Corp.1 | 4,610 | 217,823 | ||||||
12,578,124 | ||||||||
Health Care Equipment & Supplies—1.6% | ||||||||
Bard (C.R.), Inc. | 8,950 | 765,225 | ||||||
Cantel Medical Corp. | 5,780 | 161,435 | ||||||
ConMed Corp.1 | 13,930 | 357,583 | ||||||
Dexcom, Inc.1 | 352,310 | 3,280,006 | ||||||
Greatbatch, Inc.1 | 205,800 | 4,548,180 | ||||||
ICU Medical, Inc.1 | 5,120 | 230,400 | ||||||
IDEXX Laboratories, Inc.1 | 1,226 | 94,353 | ||||||
Invacare Corp. | 600 | 9,174 | ||||||
Orthofix International NV1 | 55,850 | 1,967,596 | ||||||
ResMed, Inc.1 | 56,630 | 1,438,402 | ||||||
RTI Biologics, Inc.1 | 5,280 | 23,443 | ||||||
Vascular Solutions, Inc.1 | 510 | 5,676 | ||||||
Wright Medical Group, Inc.1 | 25,620 | 422,730 | ||||||
Young Innovations, Inc. | 10,110 | 299,559 | ||||||
13,603,762 | ||||||||
Health Care Providers & Services—4.0% | ||||||||
AmSurg Corp.1 | 56,440 | 1,469,698 | ||||||
Assisted Living Concepts, Inc. | 4,190 | 62,389 | ||||||
Bio-Reference Laboratories, Inc.1 | 25,570 | 416,024 | ||||||
Brookdale Senior Living, Inc.1 | 12,304 | 213,967 | ||||||
Centene Corp.1 | 59,920 | 2,372,233 | ||||||
Chemed Corp. | 24,670 | 1,263,351 | ||||||
DaVita, Inc.1 | 3,170 | 240,318 | ||||||
Ensign Group, Inc. (The) | 49,660 | 1,216,670 | ||||||
ExamWorks Group, Inc.1 | 15,300 | 145,044 | ||||||
Health Management Associates, Inc., Cl. A1 | 186,650 | 1,375,611 | ||||||
HealthSouth Corp.1 | 320,030 | 5,654,930 | ||||||
Healthspring, Inc.1 | 41,380 | 2,256,865 | ||||||
HMS Holdings Corp.1 | 156,060 | 4,990,799 | ||||||
Laboratory Corp. of America Holdings1 | 1,960 | 168,501 | ||||||
LifePoint Hospitals, Inc.1 | 48,025 | 1,784,129 | ||||||
Lincare Holdings, Inc. | 75,556 | 1,942,545 | ||||||
Magellan Health Services, Inc.1 | 1,653 | 81,774 | ||||||
MedQuist Holdings, Inc.1 | 61,490 | 591,534 | ||||||
Metropolitan Health Networks, Inc.1 | 122,670 | 916,345 | ||||||
Molina Healthcare, Inc.1 | 26,250 | 586,163 | ||||||
Patterson Cos., Inc. | 48,080 | 1,419,322 | ||||||
PSS World Medical, Inc.1 | 74,930 | 1,812,557 | ||||||
Schein (Henry), Inc.1 | 1,860 | 119,840 | ||||||
Select Medical Holdings Corp.1 | 103,530 | 877,934 | ||||||
Triple-S Management Corp., Cl. B1 | 21,207 | 424,564 | ||||||
U.S. Physical Therapy, Inc. | 36,375 | 715,860 | ||||||
Universal Health Services, Inc., Cl. B | 44,400 | 1,725,384 | ||||||
34,844,351 | ||||||||
Health Care Technology—0.1% | ||||||||
Allscripts Healthcare Solutions, Inc.1 | 6,860 | 129,928 | ||||||
HealthStream, Inc.1 | 7,970 | 147,047 | ||||||
MedAssets, Inc.1 | 12,520 | 115,810 | ||||||
Transcend Services, Inc.1 | 17,290 | 410,292 | ||||||
803,077 |
Shares | Value | |||||||
Life Sciences Tools & Services—0.9% | ||||||||
Cambrex Corp.1 | 99,400 | $ | 713,692 | |||||
eResearch Technology, Inc.1 | 17,250 | 80,903 | ||||||
Harvard Bioscience, Inc.1 | 63,310 | 245,010 | ||||||
PerkinElmer, Inc. | 4,730 | 94,600 | ||||||
Waters Corp.1 | 85,890 | 6,360,155 | ||||||
7,494,360 | ||||||||
Pharmaceuticals—2.2% | ||||||||
Hi-Tech Pharmacal Co., Inc.1 | 43,390 | 1,687,437 | ||||||
Medicines Co. (The)1 | 132,730 | 2,474,087 | ||||||
Obagi Medical Products, Inc.1 | 25,380 | 257,861 | ||||||
Questcor Pharmaceuticals, Inc.1 | 324,300 | 13,484,394 | ||||||
Warner Chilcott plc, Cl. A1 | 113,000 | 1,709,690 | ||||||
19,613,469 | ||||||||
Industrials—16.1% | ||||||||
Aerospace & Defense—1.6% | ||||||||
B/E Aerospace, Inc.1 | 200,688 | 7,768,632 | ||||||
Ceradyne, Inc.1 | 9,851 | 263,810 | ||||||
Cubic Corp. | 12,410 | 540,952 | ||||||
Curtiss-Wright Corp. | 47,620 | 1,682,415 | ||||||
Exelis, Inc. | 134,440 | 1,216,682 | ||||||
LMI Aerospace, Inc.1 | 14,280 | 250,614 | ||||||
Moog, Inc., Cl. A1 | 12,920 | 567,576 | ||||||
Orbital Sciences Corp.1 | 90,870 | 1,320,341 | ||||||
13,611,022 | ||||||||
Air Freight & Logistics—0.6% | ||||||||
Hub Group, Inc., Cl. A1 | 146,140 | 4,739,320 | ||||||
Park-Ohio Holdings Corp.1 | 6,560 | 117,030 | ||||||
4,856,350 | ||||||||
Airlines—0.3% | ||||||||
Alaska Air Group, Inc.1 | 30,770 | 2,310,519 | ||||||
Spirit Airlines, Inc.1 | 1,860 | 29,016 | ||||||
2,339,535 | ||||||||
Commercial Services & Supplies—2.1% | ||||||||
Acco Brands Corp.1 | 3,620 | 34,933 | ||||||
Brink’s Co. (The) | 14,370 | 386,266 | ||||||
Cintas Corp. | 22,519 | 783,886 | ||||||
Consolidated Graphics, Inc.1 | 21,810 | 1,052,987 | ||||||
Corrections Corp. of America1 | 72,530 | 1,477,436 | ||||||
Deluxe Corp. | 95,566 | 2,175,082 | ||||||
Intersections, Inc. | 19,400 | 215,146 | ||||||
KAR Auction Services, Inc.1 | 87,540 | 1,181,790 | ||||||
Knoll, Inc. | 115,020 | 1,708,047 | ||||||
Miller (Herman), Inc. | 82,000 | 1,512,900 | ||||||
Multi-Color Corp. | 8,120 | 208,928 | ||||||
Quad Graphics, Inc. | 8,949 | 128,329 | ||||||
R.R. Donnelley & Sons Co. | 31,530 | 454,978 | ||||||
Steelcase, Inc., Cl. A | 140,910 | 1,051,189 | ||||||
Sykes Enterprises, Inc.1 | 87,490 | 1,370,093 | ||||||
Tetra Tech, Inc.1 | 79,750 | 1,721,803 | ||||||
United Stationers, Inc. | 5,470 | 178,103 | ||||||
Waste Connections, Inc. | 91,645 | 3,037,115 | ||||||
18,679,011 | ||||||||
Construction & Engineering—2.1% | ||||||||
Aecom Technology Corp.1 | 221,069 | 4,547,389 | ||||||
Chicago Bridge & Iron Co. NV | 25,150 | 950,670 | ||||||
EMCOR Group, Inc. | 12,622 | 338,396 | ||||||
KBR, Inc. | 354,810 | 9,888,555 | ||||||
Primoris Services Corp. | 66,440 | 991,949 | ||||||
URS Corp.1 | 51,770 | 1,818,162 | ||||||
18,535,121 | ||||||||
Electrical Equipment—1.7% | ||||||||
Belden, Inc. | 36,400 | 1,211,392 | ||||||
Brady Corp., Cl. A | 17,070 | 538,900 | ||||||
EnerSys, Inc.1 | 8,181 | 212,461 | ||||||
Generac Holdings, Inc.1 | 119,310 | 3,344,259 | ||||||
General Cable Corp.1 | 168,420 | 4,212,184 | ||||||
Regal-Beloit Corp. | 101,970 | 5,197,411 | ||||||
14,716,607 | ||||||||
Industrial Conglomerates—0.0% | ||||||||
Standex International Corp. | 10,490 | 358,443 | ||||||
Machinery—2.1% | ||||||||
Actuant Corp., Cl. A | 68,950 | 1,564,476 | ||||||
AGCO Corp.1 | 36,900 | 1,585,593 | ||||||
Albany International Corp., Cl. A | 35,660 | 824,459 | ||||||
Barnes Group, Inc. | 27,500 | 663,025 | ||||||
Blount International, Inc.1 | 64,040 | 929,861 | ||||||
Briggs & Stratton Corp. | 24,990 | 387,095 | ||||||
Douglas Dynamics, Inc. | 21,400 | 312,868 | ||||||
Duoyuan Global Water, Inc., ADR1 | 19,520 | 18,934 | ||||||
Freightcar America, Inc.1 | 96,380 | 2,019,161 | ||||||
Gardner Denver, Inc. | 1,236 | 95,246 | ||||||
John Bean Technologies Corp. | 9,500 | 146,015 | ||||||
Kadant, Inc.1 | 31,010 | 701,136 | ||||||
Kennametal, Inc. | 40,010 | 1,461,165 | ||||||
Lincoln Electric Holdings, Inc. | 3,390 | 132,617 | ||||||
Miller Industries, Inc. | 17,650 | 277,635 | ||||||
Navistar International Corp.1 | 20,108 | 761,691 |
Shares | Value | |||||||
Machinery Continued | ||||||||
Sauer-Danfoss, Inc.1 | 29,300 | $ | 1,060,953 | |||||
TriMas Corp.1 | 51,170 | 918,502 | ||||||
Wabtec Corp. | 61,490 | 4,301,226 | ||||||
Xylem, Inc. | 5,300 | 136,157 | ||||||
18,297,815 | ||||||||
Professional Services—3.0% | ||||||||
CBIZ, Inc.1 | 149,860 | 915,645 | ||||||
Dun & Bradstreet Corp. | 1,356 | 101,469 | ||||||
GP Strategies Corp.1 | 34,700 | 467,756 | ||||||
ICF International, Inc.1 | 32,650 | 809,067 | ||||||
Insperity, Inc. | 13,770 | 349,070 | ||||||
Kelly Services, Inc., Cl. A | 34,090 | 466,351 | ||||||
Kforce, Inc.1 | 1,670 | 20,591 | ||||||
Korn-Ferry International1 | 368,460 | 6,285,928 | ||||||
Navigant Consulting, Inc.1 | 3,780 | 43,130 | ||||||
On Assignment, Inc.1 | 21,900 | 244,842 | ||||||
Robert Half International, Inc. | 528,520 | 15,041,679 | ||||||
Towers Watson & Co., Cl. A | 14,290 | 856,400 | ||||||
TrueBlue, Inc.1 | 38,390 | 532,853 | ||||||
26,134,781 | ||||||||
Road & Rail—2.2% | ||||||||
Genesee & Wyoming, Inc., Cl. A1 | 73,231 | 4,436,334 | ||||||
Knight Transportation, Inc. | 75,320 | 1,178,005 | ||||||
Old Dominion Freight Line, Inc.1 | 311,400 | 12,621,042 | ||||||
RailAmerica, Inc.1 | 8,300 | 123,587 | ||||||
Werner Enterprises, Inc. | 20,250 | 488,025 | ||||||
18,846,993 | ||||||||
Trading Companies & Distributors—0.4% | ||||||||
Applied Industrial Technologies, Inc. | 69,950 | 2,460,142 | ||||||
Beacon Roofing Supply, Inc.1 | 24,930 | 504,334 | ||||||
Interline Brands, Inc.1 | 64,640 | 1,006,445 | ||||||
3,970,921 | ||||||||
Transportation Infrastructure—0.0% | ||||||||
Wesco Aircraft Holdings, Inc.1 | 7,890 | 110,381 | ||||||
Information Technology—15.6% | ||||||||
Communications Equipment—1.8% | ||||||||
Aruba Networks, Inc.1 | 386,760 | 7,162,795 | ||||||
Brocade Communications Systems, Inc.1 | 97,020 | 503,534 | ||||||
Finisar Corp.1 | 364,090 | 6,096,687 | ||||||
Ituran Location & Control Ltd. | 21,751 | 297,336 | ||||||
Plantronics, Inc. | 42,344 | 1,509,140 | ||||||
Riverbed Technology, Inc.1 | 7,574 | 177,989 | ||||||
15,747,481 | ||||||||
Computers & Peripherals—1.6% | ||||||||
Cray, Inc.1 | 29,830 | 193,000 | ||||||
Electronics for Imaging, Inc.1 | 85,710 | 1,221,368 | ||||||
Lexmark International, Inc., Cl. A | 3,660 | 121,036 | ||||||
QLogic Corp.1 | 134,120 | 2,011,800 | ||||||
STEC, Inc.1 | 19,087 | 163,957 | ||||||
Synaptics, Inc.1 | 75,680 | 2,281,752 | ||||||
Western Digital Corp.1 | 260,700 | 8,068,665 | ||||||
14,061,578 | ||||||||
Electronic Equipment & Instruments—1.3% | ||||||||
Avnet, Inc.1 | 6,772 | 210,541 | ||||||
AVX Corp. | 103,950 | 1,326,402 | ||||||
Brightpoint, Inc.1 | 86,070 | 926,113 | ||||||
Daktronics, Inc. | 27,150 | 259,826 | ||||||
DDi Corp. | 48,710 | 454,464 | ||||||
Electro Scientific Industries, Inc.1 | 19,830 | 287,138 | ||||||
Elster Group SE, ADR1 | 21,950 | 285,350 | ||||||
Flextronics International Ltd.1 | 61,540 | 348,316 | ||||||
Itron, Inc.1 | 2,423 | 86,671 | ||||||
Jabil Circuit, Inc. | 80,360 | 1,579,878 | ||||||
Littlefuse, Inc. | 14,440 | 620,631 | ||||||
Molex, Inc. | 66,410 | 1,584,543 | ||||||
Newport Corp.1 | 56,170 | 764,474 | ||||||
Tech Data Corp.1 | 4,000 | 197,640 | ||||||
TTM Technologies, Inc.1 | 39,360 | 431,386 | ||||||
Vishay Intertechnology, Inc.1 | 142,830 | 1,284,042 | ||||||
X-Rite, Inc.1 | 28,350 | 131,544 | ||||||
Zygo Corp.1 | 3,680 | 64,952 | ||||||
10,843,911 | ||||||||
Internet Software & Services—0.9% | ||||||||
Ancestry.com, Inc.1 | 3,933 | 90,302 | ||||||
AOL, Inc.1 | 12,915 | 195,017 | ||||||
Demand Media, Inc.1 | 24,711 | 164,328 | ||||||
Digital River, Inc.1 | 8,983 | 134,925 | ||||||
j2 Global, Inc. | 132,664 | 3,733,165 | ||||||
Monster Worldwide, Inc.1 | 9,880 | 78,348 | ||||||
OpenTable, Inc.1 | 2,970 | 116,216 | ||||||
QuinStreet, Inc.1 | 24,490 | 229,226 | ||||||
United Online, Inc. | 105,770 | 575,389 | ||||||
ValueClick, Inc.1 | 124,250 | 2,024,033 | ||||||
WebMD Health Corp., Cl. A1 | 5,725 | 214,974 | ||||||
7,555,923 | ||||||||
IT Services—2.4% | ||||||||
Acxiom Corp.1 | 115,750 | 1,413,308 | ||||||
Alliance Data Systems Corp.1 | 921 | 95,637 |
Shares | Value | |||||||
IT Services Continued | ||||||||
Amdocs Ltd.1 | 41,520 | $ | 1,184,566 | |||||
Booz Allen Hamilton Holding Corp.1 | 29,520 | 509,220 | ||||||
Broadridge Financial Solutions, Inc. | 37,760 | 851,488 | ||||||
CACI International, Inc., Cl. A1 | 92,636 | 5,180,205 | ||||||
CGI Group, Inc., Cl. A1 | 80,230 | 1,512,336 | ||||||
Convergys Corp.1 | 61,224 | 781,830 | ||||||
CSG Systems International, Inc.1 | 63,526 | 934,467 | ||||||
Euronet Worldwide, Inc.1 | 41,234 | 762,004 | ||||||
FleetCor Technologies, Inc.1 | 6,584 | 196,664 | ||||||
Genpact Ltd.1 | 42,560 | 636,272 | ||||||
Global Payments, Inc. | 4,205 | 199,233 | ||||||
Henry (Jack) & Associates, Inc. | 6,260 | 210,399 | ||||||
ManTech International Corp. | 49,820 | 1,556,377 | ||||||
Maximus, Inc. | 5,640 | 233,214 | ||||||
NeuStar, Inc., Cl. A1 | 60,430 | 2,064,893 | ||||||
SAIC, Inc.1 | 136,080 | 1,672,423 | ||||||
ServiceSource International, Inc.1 | 8,170 | 128,187 | ||||||
Total System Services, Inc. | 19,020 | 372,031 | ||||||
VeriFone Systems, Inc.1 | 3,340 | 118,637 | ||||||
20,613,391 | ||||||||
Semiconductors & Semiconductor Equipment—4.4% | ||||||||
ASM International NV | 19,120 | 557,922 | ||||||
Atmel Corp.1 | 46,660 | 377,946 | ||||||
ATMI, Inc.1 | 36,730 | 735,702 | ||||||
Brooks Automation, Inc. | 168,149 | 1,726,890 | ||||||
Cabot Microelectronics Corp.1 | 2,570 | 121,433 | ||||||
Cavuim, Inc.1 | 188,170 | 5,349,673 | ||||||
Cypress Semiconductor Corp. | 86,571 | 1,462,184 | ||||||
Entegris, Inc.1 | 144,220 | 1,258,320 | ||||||
Entropic Communications, Inc.1 | 140,480 | 717,853 | ||||||
Fairchild Semiconductor International, Inc., Cl. A1 | 25,220 | 303,649 | ||||||
GT Advanced Technologies, Inc.1 | 211,290 | 1,529,740 | ||||||
IXYS Corp.1 | 32,160 | 348,293 | ||||||
KLA-Tencor Corp. | 1,850 | 89,263 | ||||||
Kulicke & Soffa Industries, Inc.1 | 120,140 | 1,111,295 | ||||||
Lattice Semiconductor Corp.1 | 313,260 | 1,860,764 | ||||||
LSI Corp.1 | 252,150 | 1,500,293 | ||||||
Magnachip Semiconductor Corp., Depositary Shares1 | 6,750 | 50,490 | ||||||
Micrel, Inc. | 51,819 | 523,890 | ||||||
Nanometrics, Inc.1 | 94,328 | 1,737,522 | ||||||
OmniVision Technologies, Inc.1 | 19,080 | 233,444 | ||||||
Photronics, Inc.1 | 98,220 | 597,178 | ||||||
Rudolph Technologies, Inc.1 | 34,840 | 322,618 | ||||||
Semtech Corp.1 | 370,219 | 9,188,836 | ||||||
Skyworks Solutions, Inc.1 | 429,910 | 6,973,140 | ||||||
38,678,338 | ||||||||
Software—3.2% | ||||||||
BMC Software, Inc.1 | 7,210 | 236,344 | ||||||
Cadence Design Systems, Inc.1 | 169,150 | 1,759,160 | ||||||
Ebix, Inc. | 7,550 | 166,855 | ||||||
FactSet Research Systems, Inc. | 40,652 | 3,548,107 | ||||||
Fair Isaac Corp. | 3,610 | 129,382 | ||||||
Fortinet, Inc.1 | 191,100 | 4,167,891 | ||||||
Informatica Corp.1 | 2,101 | 77,590 | ||||||
JDA Software Group, Inc.1 | 44,700 | 1,447,833 | ||||||
Manhattan Associates, Inc.1 | 2,295 | 92,902 | ||||||
Monotype Imaging Holdings, Inc.1 | 28,920 | 450,863 | ||||||
NetScout Systems, Inc.1 | 14,190 | 249,744 | ||||||
Progress Software Corp.1 | 90 | 1,742 | ||||||
Solarwinds, Inc.1 | 135,740 | 3,793,933 | ||||||
Synopsys, Inc.1 | 54,990 | 1,495,728 | ||||||
TIBCO Software, Inc.1 | 358,306 | 8,567,096 | ||||||
Websense, Inc.1 | 87,920 | 1,646,742 | ||||||
27,831,912 | ||||||||
Materials—5.6% | ||||||||
Chemicals—2.1% | ||||||||
American Vanguard Corp. | 25,730 | 343,238 | ||||||
Chemtura Corp.1 | 7,994 | 90,652 | ||||||
Cytec Industries, Inc. | 148,906 | 6,648,653 | ||||||
Ferro Corp.1 | 218,270 | 1,067,340 | ||||||
Fuller (H.B.) Co. | 70,890 | 1,638,268 | ||||||
Huntsman Corp. | 15,653 | 156,530 | ||||||
Innospec, Inc.1 | 3,940 | 110,596 | ||||||
Koppers Holdings, Inc. | 22,280 | 765,541 | ||||||
Kronos Worldwide, Inc. | 42,830 | 772,653 | ||||||
LSB Industries, Inc.1 | 26,630 | 746,439 | ||||||
Methanex Corp. | 12,160 | 277,491 | ||||||
Olin Corp. | 82,690 | 1,624,859 | ||||||
PolyOne Corp. | 99,370 | 1,147,724 | ||||||
Schulman (A.), Inc. | 21,670 | 458,971 | ||||||
Tredegar Corp. | 32,564 | 723,572 | ||||||
Valspar Corp. (The) | 18,800 | 732,636 | ||||||
Westlake Chemical Corp. | 19,450 | 782,668 | ||||||
18,087,831 |
Shares | Value | |||||||
Containers & Packaging—1.5% | ||||||||
Boise, Inc. | 204,367 | $ | 1,455,093 | |||||
Graphic Packaging Holding Co.1 | 244,550 | 1,041,783 | ||||||
Myers Industries, Inc. | 22,500 | 277,650 | ||||||
Packaging Corp. of America | 329,380 | 8,313,551 | ||||||
Sealed Air Corp. | 93,140 | 1,602,939 | ||||||
Silgan Holdings, Inc. | 8,506 | 328,672 | ||||||
13,019,688 | ||||||||
Metals & Mining—1.4% | ||||||||
Century Aluminum Co.1 | 412,040 | 3,506,460 | ||||||
Compass Minerals International, Inc. | 66,310 | 4,565,444 | ||||||
Nevsun Resources Ltd. | 13,970 | 77,254 | ||||||
Noranda Aluminum Holding Corp. | 23,220 | 191,565 | ||||||
Pan American Silver Corp. | 46,370 | 1,011,330 | ||||||
Steel Dynamics, Inc. | 125,990 | 1,656,769 | ||||||
Worthington Industries, Inc. | 105,490 | 1,727,926 | ||||||
12,736,748 | ||||||||
Paper & Forest Products—0.6% | ||||||||
Buckeye Technologies, Inc. | 85,850 | 2,870,824 | ||||||
Glatfelter | 116,700 | 1,647,804 | ||||||
KapStone Paper & Packing Corp.1 | 17,050 | 268,367 | ||||||
Mercer International, Inc.1 | 34,350 | 209,535 | ||||||
4,996,530 | ||||||||
Telecommunication Services—0.9% | ||||||||
Diversified Telecommunication Services—0.6% | ||||||||
AboveNet, Inc.1 | 1,830 | 118,968 | ||||||
Brasil Telecom SA, ADR | 35,060 | 623,717 | ||||||
Cincinnati Bell, Inc.1 | 78,602 | 238,164 | ||||||
Nortel Inversora SA, Sponsored ADR1 | 17,370 | 402,637 | ||||||
Telecom Argentina SA, Sponsored ADR | 83,160 | 1,486,901 | ||||||
Telecom Corp. of New Zealand Ltd., Sponsored ADR | 146,020 | 1,166,700 | ||||||
Vonage Holdings Corp.1 | 498,240 | 1,220,688 | ||||||
5,257,775 | ||||||||
Wireless Telecommunication Services—0.3% | ||||||||
Cellcom Israel Ltd. | 41,590 | 702,871 | ||||||
Partner Communications Co. Ltd., Sponsored ADR | 17,760 | 156,998 | ||||||
Telephone & Data Systems, Inc. | 2,990 | 77,411 | ||||||
USA Mobility, Inc. | 99,322 | 1,377,596 | ||||||
2,314,876 | ||||||||
Utilities—4.0% | ||||||||
Electric Utilities—0.8% | ||||||||
Cleco Corp. | 2,090 | 79,629 | ||||||
Companhia Energetica de Minas Gerais, Sponsored ADR | 96,060 | 1,708,907 | ||||||
Companhia Paranaense de Energia-Copel, Sponsored ADR | 87,091 | 1,827,169 | ||||||
El Paso Electric Co. | 7,880 | 272,963 | ||||||
Empire District Electric Co. | 40 | 844 | ||||||
NV Energy, Inc. | 62,310 | 1,018,769 | ||||||
Portland General Electric Co. | 87,270 | 2,207,058 | ||||||
UniSource Energy Corp. | 1,910 | 70,517 | ||||||
7,185,856 | ||||||||
Energy Traders—1.4% | ||||||||
AES Corp. (The)1 | 1,038,060 | 12,290,630 | ||||||
Gas Utilities—0.1% | ||||||||
Atmos Energy Corp. | 26,400 | 880,440 | ||||||
Laclede Group, Inc. (The) | 220 | 8,903 | ||||||
889,343 | ||||||||
Multi-Utilities—1.2% | ||||||||
Avista Corp. | 33,140 | 853,355 | ||||||
CenterPoint Energy, Inc. | 69,840 | 1,403,086 | ||||||
CMS Energy Corp. | 105,780 | 2,335,603 | ||||||
NorthWestern Corp. | 47,760 | 1,709,330 | ||||||
Teco Energy, Inc. | 128,100 | 2,451,834 | ||||||
Vectren Corp. | 38,680 | 1,169,296 | ||||||
9,922,504 | ||||||||
Water Utilities—0.5% | ||||||||
Aqua America, Inc. | 189,060 | 4,168,773 | ||||||
Total Common Stocks (Cost $771,498,099) | 858,777,452 | |||||||
Investment Companies—2.0% | ||||||||
BlackRock Kelso Capital Corp. | 3,200 | 26,112 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%2,3 | 17,286,356 | 17,286,356 | ||||||
Prospect Capital Corp. | 21,344 | 198,286 | ||||||
Total Investment Companies (Cost $17,504,820) | 17,510,754 | |||||||
Total Investments, at Value (Cost $789,002,919) | 100.7 | % | 876,288,206 | |||||
Liabilities in Excess of Other Assets | (0.7 | ) | (5,814,120 | ) | ||||
Net Assets | 100.0 | % | $ | 870,474,086 | ||||
* | December 30, 2011 represents the last business day of Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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 December 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 | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 13,940,550 | 259,986,336 | 256,640,530 | 17,286,356 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 17,286,356 | $ | 27,488 |
3. | Rate shown is the 7-day yield as of December 30, 2011. |
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 | $ | 143,035,911 | $ | — | $ | — | $ | 143,035,911 | ||||||||
Consumer Staples | 22,062,383 | — | — | 22,062,383 | ||||||||||||
Energy | 58,429,643 | — | — | 58,429,643 | ||||||||||||
Financials | 179,652,304 | — | — | 179,652,304 | ||||||||||||
Health Care | 88,937,118 | — | 25 | 88,937,143 | ||||||||||||
Industrials | 140,438,046 | — | 18,934 | 140,456,980 | ||||||||||||
Information Technology | 135,332,534 | — | — | 135,332,534 | ||||||||||||
Materials | 48,840,797 | — | — | 48,840,797 | ||||||||||||
Telecommunication Services | 7,572,651 | — | — | 7,572,651 | ||||||||||||
Utilities | 34,457,106 | — | — | 34,457,106 | ||||||||||||
Investment Companies | 17,510,754 | — | — | 17,510,754 | ||||||||||||
Total Assets | $ | 876,269,247 | $ | — | $ | 18,959 | $ | 876,288,206 | ||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $771,716,563) | $ | 859,001,850 | ||
Affiliated companies (cost $17,286,356) | 17,286,356 | |||
876,288,206 | ||||
Cash | 128,190 | |||
Receivables and other assets: | ||||
Investments sold | 8,857,653 | |||
Dividends | 1,051,426 | |||
Other | 20,217 | |||
Total assets | 886,345,692 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Investments purchased | 11,463,544 | |||
Shares of beneficial interest redeemed | 3,860,364 | |||
Shareholder communications | 255,470 | |||
Distribution and service plan fees | 164,443 | |||
Transfer and shareholder servicing agent fees | 73,970 | |||
Trustees’ compensation | 17,259 | |||
Other | 36,556 | |||
Total liabilities | 15,871,606 | |||
Net Assets | $ | 870,474,086 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 51,115 | ||
Additional paid-in capital | 864,347,106 | |||
Accumulated net investment income | 3,886,759 | |||
Accumulated net realized loss on investments and foreign currency transactions | (85,096,181 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 87,285,287 | |||
Net Assets | $ | 870,474,086 | ||
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 $79,721,990 and 4,642,305 shares of beneficial interest outstanding) | $ | 17.17 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $790,752,096 and 46,472,920 shares of beneficial interest outstanding) | $ | 17.02 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $65,983) | $ | 12,575,002 | ||
Affiliated companies | 27,488 | |||
Interest | 569 | |||
Total investment income | 12,603,059 | |||
Expenses | ||||
Management fees | 6,299,582 | |||
Distribution and service plan fees — Service shares | 2,058,442 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 86,822 | |||
Service shares | 823,389 | |||
Shareholder communications: | ||||
Non-Service shares | 22,908 | |||
Service shares | 216,334 | |||
Trustees’ compensation | 36,886 | |||
Custodian fees and expenses | 5,171 | |||
Administration service fees | 1,500 | |||
Other | 104,687 | |||
Total expenses | 9,655,721 | |||
Less waivers and reimbursements of expenses | (343,594 | ) | ||
Net expenses | 9,312,127 | |||
Net Investment Income | 3,290,932 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain on investments from: | ||||
Unaffiliated companies | 130,487,197 | |||
Foreign currency transactions | 34,071 | |||
Net realized gain | 130,521,268 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (149,915,063 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (23,810 | ) | ||
Net change in unrealized appreciation/depreciation | (149,938,873 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (16,126,673 | ) | |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 3,290,932 | $ | 3,898,427 | ||||
Net realized gain | 130,521,268 | 52,686,058 | ||||||
Net change in unrealized appreciation/depreciation | (149,938,873 | ) | 128,474,710 | |||||
Net increase (decrease) in net assets resulting from operations | (16,126,673 | ) | 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 | (13,898,613 | ) | (4,150,760 | ) | ||||
Service shares | (50,982,214 | ) | 33,619,248 | |||||
(64,880,827 | ) | 29,468,488 | ||||||
Net Assets | ||||||||
Total increase (decrease) | (84,812,393 | ) | 211,125,213 | |||||
Beginning of period | 955,286,479 | 744,161,266 | ||||||
End of period (including accumulated net investment income of $3,886,759 and $4,175,047, respectively) | $ | 870,474,086 | $ | 955,286,479 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.66 | $ | 14.40 | $ | 10.65 | $ | 18.20 | $ | 19.15 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .10 | .10 | .08 | .12 | .09 | |||||||||||||||
Net realized and unrealized gain (loss) | (.48 | ) | 3.25 | 3.78 | (6.73 | ) | (.30 | ) | ||||||||||||
Total from investment operations | (.38 | ) | 3.35 | 3.86 | (6.61 | ) | (.21 | ) | ||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.09 | ) | (.11 | ) | (.08 | ) | (.06 | ) | ||||||||||
Distributions from net realized gain | — | — | — | (.86 | ) | (.68 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (.11 | ) | (.09 | ) | (.11 | ) | (.94 | ) | (.74 | ) | ||||||||||
Net asset value, end of period | $ | 17.17 | $ | 17.66 | $ | 14.40 | $ | 10.65 | $ | 18.20 | ||||||||||
Total Return, at Net Asset Value3 | (2.21 | )% | 23.41 | % | 37.20 | % | (37.83 | )% | (1.21 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 79,722 | $ | 95,576 | $ | 81,814 | $ | 58,478 | $ | 93,939 | ||||||||||
Average net assets (in thousands) | $ | 86,796 | $ | 88,063 | $ | 69,585 | $ | 80,406 | $ | 94,815 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 0.58 | % | 0.68 | % | 0.71 | % | 0.80 | % | 0.48 | % | ||||||||||
Total expenses5 | 0.83 | % | 0.85 | % | 0.91 | % | 0.75 | % | 0.73 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.80 | % | 0.82 | % | 0.75 | % | 0.73 | % | ||||||||||
Portfolio turnover rate | 108 | % | 73 | % | 140 | % | 130 | % | 115 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.50 | $ | 14.28 | $ | 10.54 | $ | 18.03 | $ | 18.98 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .06 | .07 | .05 | .08 | .05 | |||||||||||||||
Net realized and unrealized gain (loss) | (.47 | ) | 3.21 | 3.76 | (6.67 | ) | (.29 | ) | ||||||||||||
Total from investment operations | (.41 | ) | 3.28 | 3.81 | (6.59 | ) | (.24 | ) | ||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.07 | ) | (.06 | ) | (.07 | ) | (.04 | ) | (.03 | ) | ||||||||||
Distributions from net realized gain | — | — | — | (.86 | ) | (.68 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (.07 | ) | (.06 | ) | (.07 | ) | (.90 | ) | (.71 | ) | ||||||||||
Net asset value, end of period | $ | 17.02 | $ | 17.50 | $ | 14.28 | $ | 10.54 | $ | 18.03 | ||||||||||
Total Return, at Net Asset Value3 | (2.38 | )% | 23.06 | % | 36.88 | % | (38.00 | )% | (1.39 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 790,752 | $ | 859,710 | $ | 662,347 | $ | 551,644 | $ | 821,642 | ||||||||||
Average net assets (in thousands) | $ | 823,201 | $ | 730,069 | $ | 612,651 | $ | 769,150 | $ | 766,102 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 0.34 | % | 0.45 | % | 0.47 | % | 0.52 | % | 0.23 | % | ||||||||||
Total expenses5 | 1.08 | % | 1.10 | % | 1.15 | % | 0.99 | % | 0.97 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 1.05 | % | 1.07 | % | 0.99 | % | 0.97 | % | ||||||||||
Portfolio turnover rate | 108 | % | 73 | % | 140 | % | 130 | % | 115 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 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 | % |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on Cost | ||||||||||||
of Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3 | Tax Purposes | |||||||||
$2,648,726 | $ | — | $ | 80,902,957 | $ | 84,353,340 |
1. | As of December 30, 2011, the Fund had $80,902,957 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2017 | $ | 80,902,957 |
2. | During the fiscal year ended December 30, 2011, the Fund utilized $126,312,039 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
3. | During the fiscal year ended December 31, 2010, the Fund utilized $46,424,238 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Increase to | Increase to | |||||||
Accumulated | Accumulated Net | |||||||
Reduction to | Net Investment | Realized Loss | ||||||
Paid-in Capital | Income | on Investments | ||||||
$5 | $ | 225,673 | $ | 225,668 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 3,804,893 | $ | 3,402,470 |
Federal tax cost of securities | $ | 791,934,866 | ||
Gross unrealized appreciation | $ | 123,193,164 | ||
Gross unrealized depreciation | (38,839,824 | ) | ||
Net unrealized appreciation | $ | 84,353,340 | ||
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 1,642,399 | $ | 27,944,106 | 2,793,780 | $ | 42,429,352 | ||||||||||
Dividends and/or distributions reinvested | 30,896 | 569,104 | 36,202 | 548,102 | ||||||||||||
Redeemed | (2,443,618 | ) | (42,411,823 | ) | (3,098,803 | ) | (47,128,214 | ) | ||||||||
Net decrease | (770,323 | ) | $ | (13,898,613 | ) | (268,821 | ) | $ | (4,150,760 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 6,217,855 | $ | 105,066,282 | 11,844,155 | $ | 173,858,907 | ||||||||||
Dividends and/or distributions reinvested | 176,916 | 3,235,789 | 189,911 | 2,854,368 | ||||||||||||
Redeemed | (9,038,872 | ) | (159,284,285 | ) | (9,301,032 | ) | (143,094,027 | ) | ||||||||
Net increase (decrease) | (2,644,101 | ) | $ | (50,982,214 | ) | 2,733,034 | $ | 33,619,248 | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 974,052,024 | $ | 1,035,161,207 |
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 |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||
Derivatives Not Accounted for as Hedging Instruments | Foreign currency transactions | |||
Foreign exchange contracts | $ | 564 |
February 16, 2012
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
Fund, Length of Service, Age | the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1998) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1998) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
Fund, Length of Service, Age | the Fund Complex Currently Overseen | |
Beverly L. Hamilton, Continued | complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999 — March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005- March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003- March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004- August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007- December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
Fund, Length of Service, Age | the Fund Complex Currently Overseen | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Ziehl, Vardharaj, Anello, Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite or until his or her resignation, retirement, death or removal. | |
Matthew P. Ziehl, Vice President (since 2009) Age: 44 | Vice President of the Manager (since May 2009); a Chartered Financial Analyst. Prior to joining the Manager, a portfolio manager with RS Investment Management Co. LLC (October 2006-May 2009); a managing director at The Guardian Life Insurance Company of America (December 2001-October 2006) when Guardian Life Insurance acquired an interest in RS Investment Management Co. LLC; a team leader and co-portfolio manager with Salomon Brothers Asset Management, Inc. for small growth portfolios (January 2001-December 2001). A portfolio manager and officer of 2 portfolios in the OppenheimerFunds complex. | |
Raman Vardharaj, Vice President (since 2009) Age: 40 | Vice President of the Manager (since May 2009); a Chartered Financial Analyst. Prior to joining the Manager, a sector manager and a senior quantitative analyst creating stock selection models, monitoring portfolio risks and analyzing portfolio performance across the RS Core Equity Team of RS Investment Management Co. LLC (October 2006-May 2009); a quantitative analyst at The Guardian Life Insurance Company of America (1998-October 2006) when Guardian Life Insurance acquired an interest in RS Investment Management Co. LLC. A portfolio manager and officer of 2 portfolios in the OppenheimerFunds complex. | |
Raymond Anello, Vice President (since 2011) Age: 47 | Vice President of the Manager and sector manager for energy and utilities for the Manager’s Main Street Investment Team (since May 2009); a Chartered Financial Analyst. Prior to joining the Manager, a portfolio manager of the RS All Cap Dividend product (July 2007-April 2009) and a sector manager for energy and utilities for various other RS Investments products; joined Guardian Life Insurance Company in October 1999 and transitioned to RS Investments in October 2006 in connection with Guardian Life Insurance Company’s acquisition of an interest in RS Investments. A portfolio manager and officer of 2 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since March 1997); Director of Investment Brand Management of the Manager (since November 1997); Senior Vice President of OppenheimerFunds Distributor, Inc. (since December 1997). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in | |
Fund, Length of Service, Age | the Fund Complex Currently Overseen | |
Brian W. Wixted, Continued | OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
December 31, 2011 |
Current Yield | ||||
For the 7-Day Period Ended 12/30/111 | ||||
With Compounding | 0.01 | % | ||
Without Compounding | 0.01 | |||
For the 12-Month Period Ended 12/30/111 | ||||
With Compounding | 0.01 | % | ||
Without Compounding | 0.01 |
1. | December 30, 2011 was the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes to Financial Statements. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | July 1, 2011 | December 30, 2011 | December 30, 2011 | |||||||||
$ | 1,000.00 | $ | 1,000.10 | $ | 1.35 | |||||||
Hypothetical (5% return before expenses) | ||||||||||||
1,000.00 | 1,023.71 | 1.37 |
Expense Ratio | ||||
0.27 | % |
Maturity | Final Legal | Principal | ||||||||||||||
Date** | Maturity Date*** | Amount | Value | |||||||||||||
Certificates of Deposit — 25.0% | ||||||||||||||||
Yankee Certificates of Deposit — 25.0% | ||||||||||||||||
Bank of Nova Scotia, Houston TX: | ||||||||||||||||
0.30% | 2/7/12 | 2/7/12 | $ | 1,600,000 | $ | 1,600,000 | ||||||||||
0.52% | 5/24/12 | 5/24/12 | 3,000,000 | 3,000,000 | ||||||||||||
0.52% | 5/25/12 | 5/25/12 | 3,600,000 | 3,600,000 | ||||||||||||
National Australia Bank, New York: | ||||||||||||||||
0.29% | 2/21/12 | 2/21/12 | 3,300,000 | 3,300,000 | ||||||||||||
0.29% | 2/21/12 | 2/21/12 | 1,800,000 | 1,800,000 | ||||||||||||
0.31% | 1/9/12 | 1/9/12 | 3,100,000 | 3,100,000 | ||||||||||||
Nordea Bank Finland plc, New York, 0.35% | 1/13/12 | 1/13/12 | 2,800,000 | 2,800,000 | ||||||||||||
Rabobank Nederland NV, New York: | ||||||||||||||||
0.37% | 2/9/12 | 2/9/12 | 5,000,000 | 5,000,000 | ||||||||||||
0.46%1 | 2/16/12 | 5/16/12 | 2,500,000 | 2,500,000 | ||||||||||||
Royal Bank of Canada, New York: | ||||||||||||||||
0.44%1 | 1/1/12 | 9/10/12 | 4,000,000 | 4,000,000 | ||||||||||||
0.61%1 | 3/14/12 | 12/11/12 | 3,000,000 | 3,000,000 | ||||||||||||
0.77% | 11/28/12 | 11/28/12 | 1,300,000 | 1,300,000 | ||||||||||||
Swedbank AB, New York, 0.06% | 1/3/12 | 1/3/12 | 5,000,000 | 5,000,000 | ||||||||||||
Toronto Dominion Bank, New York, 0.36%1 | 1/12/12 | 1/12/12 | 1,000,000 | 1,000,000 | ||||||||||||
Total Certificates of Deposit (Cost $41,000,000) | �� | 41,000,000 | ||||||||||||||
Direct Bank Obligations — 15.0% | ||||||||||||||||
DnB NOR Bank ASA: | ||||||||||||||||
0.04%2 | 1/4/12 | 1/4/12 | 2,600,000 | 2,599,991 | ||||||||||||
0.05%2 | 1/5/12 | 1/5/12 | 4,300,000 | 4,299,976 | ||||||||||||
ING (US) Funding LLC, 0.26% | 1/11/12 | 1/11/12 | 6,800,000 | 6,799,508 | ||||||||||||
Nordea North America, Inc.: | ||||||||||||||||
0.33% | 2/7/12 | 2/7/12 | 1,000,000 | 999,661 | ||||||||||||
0.40% | 1/24/12 | 1/24/12 | 1,700,000 | 1,699,566 | ||||||||||||
Westpac Banking Corp.: | ||||||||||||||||
0.25%2 | 2/16/12 | 2/16/12 | 1,800,000 | 1,799,425 | ||||||||||||
0.26%2 | 2/9/12 | 2/9/12 | 4,000,000 | 3,998,895 | ||||||||||||
0.30%2 | 1/9/12 | 1/9/12 | 2,500,000 | 2,499,833 | ||||||||||||
Total Direct Bank Obligations (Cost $24,696,855) | 24,696,855 | |||||||||||||||
Short-Term Notes — 54.6% | ||||||||||||||||
Banks — 4.9% | ||||||||||||||||
HSBC USA, Inc.: | ||||||||||||||||
0.23% | 2/16/12 | 2/16/12 | 5,000,000 | 4,998,531 | ||||||||||||
0.23% | 2/22/12 | 2/22/12 | 2,000,000 | 1,999,336 | ||||||||||||
0.25% | 2/10/12 | 2/10/12 | 1,100,000 | 1,099,694 | ||||||||||||
8,097,561 | ||||||||||||||||
Diversified Financial Services — 3.7% | ||||||||||||||||
General Electric Capital Corp., 0.34% | 6/19/12 | 6/19/12 | 2,400,000 | 2,396,147 | ||||||||||||
General Electric Capital Services: | ||||||||||||||||
0.29% | 4/5/12 | 4/5/12 | 2,400,000 | 2,398,163 | ||||||||||||
0.29% | 4/10/12 | 4/10/12 | 1,200,000 | 1,199,033 | ||||||||||||
5,993,343 | ||||||||||||||||
Electric Utilities — 1.5% | ||||||||||||||||
Electricite De France, 0.43%2 | 1/27/12 | 1/27/12 | 2,400,000 | 2,399,255 |
Maturity | Final Legal | Principal | ||||||||||||||
Date** | Maturity Date*** | Amount | Value | |||||||||||||
Leasing & Factoring — 8.9% | ||||||||||||||||
American Honda Finance Corp.: | ||||||||||||||||
0.68%1 | 3/29/12 | 6/29/12 | $ | 1,500,000 | $ | 1,500,000 | ||||||||||
0.74%1,3 | 3/27/12 | 3/27/12 | 2,000,000 | 2,000,255 | ||||||||||||
0.82%1,3 | 3/26/12 | 9/26/12 | 1,500,000 | 1,500,000 | ||||||||||||
5.10%3 | 3/27/12 | 3/27/12 | 1,300,000 | 1,313,806 | ||||||||||||
Toyota Motor Credit Corp.: | ||||||||||||||||
0.35% | 2/2/12 | 2/2/12 | 3,000,000 | 2,999,067 | ||||||||||||
0.60%1 | 1/18/12 | 10/18/12 | 3,000,000 | 3,000,000 | ||||||||||||
0.75%1 | 3/17/12 | 12/17/12 | 2,300,000 | 2,300,000 | ||||||||||||
14,613,128 | ||||||||||||||||
Municipal — 11.3% | ||||||||||||||||
Austin Cnty., TX Industrial Development Corp. Revenue Bonds, Justin Industries, Inc., Series 1984, 0.10%1 | 1/7/12 | 1/7/12 | 5,000,000 | 5,000,000 | ||||||||||||
Carroll Cnty., KY Solid Waste Disposal Revenue Bonds, North American Stainless Project, Series 2006, 0.09%1 | 1/7/12 | 1/7/12 | 4,300,000 | 4,300,000 | ||||||||||||
Chicago, IL Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 1998, 0.24%1 | 1/7/12 | 1/7/12 | 1,215,000 | 1,215,000 | ||||||||||||
Cobb Cnty., GA Development Authority Revenue Bonds, Presbyterian Village-Austell, Inc., 0.32%1 | 1/7/12 | 1/7/12 | 2,570,000 | 2,570,000 | ||||||||||||
Health Care Revenue Bonds, SFO Associates Project, Series 1994, 0.27%1 | 1/7/12 | 1/7/12 | 1,500,000 | 1,500,000 | ||||||||||||
IL Finance Authority, Freedman Seating Co. Project, Series 2005, 0.24%1 | 1/7/12 | 1/7/12 | 1,085,000 | 1,085,000 | ||||||||||||
San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.27%1 | 1/7/12 | 1/7/12 | 2,900,000 | 2,900,000 | ||||||||||||
18,570,000 | ||||||||||||||||
Personal Products — 4.2% | ||||||||||||||||
Reckitt Benckiser Treasury Services plc: | ||||||||||||||||
0.42%2 | 1/30/12 | 1/30/12 | 2,000,000 | 1,999,323 | ||||||||||||
0.50%2 | 3/9/12 | 3/9/12 | 2,800,000 | 2,797,356 | ||||||||||||
0.70%2 | 7/6/12 | 7/6/12 | 2,000,000 | 1,992,728 | ||||||||||||
6,789,407 | ||||||||||||||||
Receivables Finance — 9.1% | ||||||||||||||||
Alpine Securitization Corp., 0.23% | 1/20/12 | 1/20/12 | 6,600,000 | 6,599,199 | ||||||||||||
Market Street Funding LLC, 0.05%2 | 1/3/12 | 1/3/12 | 5,163,000 | 5,162,986 | ||||||||||||
Mont Blanc Capital Corp., 0.32%2 | 1/11/12 | 1/11/12 | 1,500,000 | 1,499,867 | ||||||||||||
Sheffield Receivables Corp., 0.25%2 | 1/13/12 | 1/13/12 | 1,700,000 | 1,699,858 | ||||||||||||
14,961,910 | ||||||||||||||||
Special Purpose Financial — 11.0% | ||||||||||||||||
Concord Minutemen Cap. Corp. LLC: | ||||||||||||||||
0.35% | 1/10/12 | 1/10/12 | 5,000,000 | 4,999,563 | ||||||||||||
0.37% | 1/12/12 | 1/12/12 | 1,000,000 | 999,887 | ||||||||||||
0.52% | 2/8/12 | 2/8/12 | 2,300,000 | 2,298,738 | ||||||||||||
Crown Point Capital Co., 0.20% | 1/3/12 | 1/3/12 | 4,000,000 | 3,999,956 | ||||||||||||
FCAR Owner Trust I, 0.28% | 1/9/12 | 1/9/12 | 3,000,000 | 2,999,813 | ||||||||||||
Lexington Parker Capital Co. LLC, 0.47%2 | 2/2/12 | 2/2/12 | 2,800,000 | 2,798,830 | ||||||||||||
18,096,787 | ||||||||||||||||
Total Short-Term Notes (Cost $89,521,391) | 89,521,391 |
Maturity | Final Legal | Principal | ||||||||||||||
Date** | Maturity Date*** | Amount | Value | |||||||||||||
U.S. Government Obligations — 3.7% | ||||||||||||||||
U.S. Treasury Nts.: | ||||||||||||||||
0.75% | 5/31/12 | 5/31/12 | $ | 2,000,000 | $ | 2,003,805 | ||||||||||
1.00% | 4/30/12 | 4/30/12 | 1,000,000 | 1,002,267 | ||||||||||||
1.38% | 2/15/12 | 2/15/12 | 2,000,000 | 2,002,559 | ||||||||||||
4.50% | 3/31/12 | 3/31/12 | 1,000,000 | 1,010,245 | ||||||||||||
Total U.S. Government Obligations (Cost $6,018,876) | 6,018,876 | |||||||||||||||
Total Investments, at Value (Cost $161,237,122) | 98.3 | % | 161,237,122 | |||||||||||||
Other Assets Net of Liabilities | 1.7 | 2,736,272 | ||||||||||||||
Net Assets | 100.0 | % | $ | 163,973,394 | ||||||||||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
** | 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 as determined under Rule 2a-7. | |
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 $35,548,323 or 21.68% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. | |
3. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $4,814,061 or 2.94% of the Fund’s net assets as of December 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: | ||||||||||||||||
Certificates of Deposit | $ | — | $ | 41,000,000 | $ | — | $ | 41,000,000 | ||||||||
Direct Bank Obligations | — | 24,696,855 | — | 24,696,855 | ||||||||||||
Short-Term Notes | — | 89,521,391 | — | 89,521,391 | ||||||||||||
U.S. Government Obligations | — | 6,018,876 | — | 6,018,876 | ||||||||||||
Total Assets | $ | — | $ | 161,237,122 | $ | — | $ | 161,237,122 | ||||||||
Assets | ||||
Investments, at value (cost $161,237,122) — see accompanying statement of investments | $ | 161,237,122 | ||
Cash | 2,936,335 | |||
Receivables and other assets: | ||||
Interest | 70,460 | |||
Shares of beneficial interest sold | 54,913 | |||
Other | 13,757 | |||
Total assets | 164,312,587 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 273,299 | |||
Shareholder communications | 18,659 | |||
Legal, auditing and other professional fees | 18,237 | |||
Transfer and shareholder servicing agent fees | 14,215 | |||
Trustees’ compensation | 8,479 | |||
Dividends | 619 | |||
Other | 5,685 | |||
Total liabilities | 339,193 | |||
Net Assets | $ | 163,973,394 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 163,971 | ||
Additional paid-in capital | 163,807,120 | |||
Accumulated net investment income | 2,303 | |||
Net Assets — applicable to 163,971,175 shares of beneficial interest outstanding | $ | 163,973,394 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share | $ | 1.00 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Interest | $ | 462,320 | ||
Expenses | ||||
Management fees | 702,396 | |||
Transfer and shareholder servicing agent fees | 156,086 | |||
Shareholder communications | 34,071 | |||
Trustees’ compensation | 16,805 | |||
Custodian fees and expenses | 1,869 | |||
Administration service fees | 1,500 | |||
Other | 41,072 | |||
Total expenses | 953,799 | |||
Less waivers and reimbursements of expenses | (507,756 | ) | ||
Net expenses | 446,043 | |||
Net Investment Income | 16,277 | |||
Net Realized Gain on Investments | 2,219 | |||
Net Increase in Net Assets Resulting from Operations | $ | 18,496 | ||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 16,277 | $ | 11,351 | ||||
Net realized gain | 2,219 | 68 | ||||||
Net increase in net assets resulting from operations | 18,496 | 11,419 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income | (16,277 | ) | (46,794 | ) | ||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions | 14,274,020 | (31,222,151 | ) | |||||
Net Assets | ||||||||
Total increase (decrease) | 14,276,239 | (31,257,526 | ) | |||||
Beginning of period | 149,697,155 | 180,954,681 | ||||||
End of period (including accumulated net investment income of $2,303 and $0, respectively) | $ | 163,973,394 | $ | 149,697,155 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||||||||||||||
December 30, | December 31, | |||||||||||||||||||
20111 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Income from investment operations-net investment income and net realized gain2 | — | 3 | — | 3 | — | 3 | .03 | .05 | ||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | — | 3 | — | 3 | — | 3 | (.03 | ) | (.05 | ) | ||||||||||
Distributions from net realized gain | — | — | — | — | — | 3 | ||||||||||||||
Total dividends and/or distributions to shareholders | — | 3 | — | 3 | — | 3 | (.03 | ) | (.05 | ) | ||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Total Return4 | 0.01 | % | 0.03 | % | 0.32 | % | 2.78 | % | 4.98 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 163,973 | $ | 149,697 | $ | 180,955 | $ | 243,356 | $ | 189,749 | ||||||||||
Average net assets (in thousands) | $ | 156,127 | $ | 164,258 | $ | 218,079 | $ | 212,564 | $ | 181,271 | ||||||||||
Ratios to average net assets:5 | ||||||||||||||||||||
Net investment income | 0.01 | % | 0.01 | % | 0.35 | % | 2.72 | % | 4.86 | % | ||||||||||
Total expenses | 0.61 | % | 0.61 | % | 0.57 | % | 0.50 | % | 0.50 | % | ||||||||||
Expenses after payments, waivers and/or | ||||||||||||||||||||
reimbursements and reduction to custodian expenses | 0.29 | % | 0.35 | % | 0.48 | % | 0.50 | % | 0.50 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Less than $0.005 per share. | |
4. | 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. | |
5. | Annualized for periods less than one full year. |
The following is a summary of significant accounting policies consistently followed by the Fund. |
Undistributed Net | Undistributed | Accumulated Loss | |||||||
Investment Income | Long-Term Gains | Carryforward | |||||||
$ | 14,033 | $ | — | $ | — |
Reduction | Reduction to | ||||||||
to Accumulated | Accumulated Net | ||||||||
Reduction to | Net Investment | Realized Gain | |||||||
Paid-in Capital | Loss | on Investments | |||||||
$ | 84 | $ | 2,303 | $ | 2,219 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 16,277 | $ | 46,794 |
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Sold | 112,694,489 | $ | 112,694,489 | 64,871,083 | $ | 64,871,083 | ||||||||||
Dividends and/or distributions reinvested | 16,277 | 16,277 | 46,794 | 46,794 | ||||||||||||
Redeemed | (98,436,746 | ) | (98,436,746 | ) | (96,140,028 | ) | (96,140,028 | ) | ||||||||
Net increase (decrease) | 14,274,020 | $ | 14,274,020 | (31,222,151 | ) | $ | (31,222,151 | ) | ||||||||
Fee Schedule | ||||
Up to $500 million | 0.450 | % | ||
Next $500 million | 0.425 | |||
Next $500 million | 0.400 | |||
Over $1.5 billion | 0.375 |
February 16, 2012
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Beverly L. Hamilton, Continued | company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005- March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003- March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005- December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Proctor, Vandehey, Wixted, and Ms. Wolf, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Carol E. Wolf, Vice President (since 1998) Age: 60 | Senior Vice President of the Manager (since June 2000) and of HarbourView Asset Management Corporation (since June 2003); Vice President of the Manager (June 1990-June 2000). A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Christopher Proctor, Vice President (since 2010) Age: 43 | Vice President of the Manager (since August 2008) and a Senior Analyst in the Money Market Fund Group responsible for leading the money market research team. A CFA and CTP with 20 years of credit research, trading and portfolio management experience in the money fund industry. Prior to joining the Manager, a Vice President at Calamos Asset Management (January 2007-March 2008) and Scudder-Kemper Investments (1999-2002), where he managed over $15 billion in institutional and retail money market products. A Managing Director and Co-Founder of Elmhurst Capital Management (June 2004-January 2007) and a Senior Manager of Research for Etrade Global Asset Management (2002-2004). A portfolio manager and officer of 5 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005- April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999- June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
1-Year | 5-Year | 10-Year | ||||||||||
Non-Service Shares | 0.85 | % | 5.33 | % | 7.03 | % | ||||||
Service Shares | 0.65 | % | 5.08 | % | 6.71 | % |
Gross | Net | |||||||
Expense | Expense | |||||||
Ratios | Ratios | |||||||
Non-Service Shares | 0.78 | % | 0.72 | % | ||||
Service Shares | 1.03 | 0.97 |
* | Represents a value of less than 0.05%. |
Corporate Bonds & Notes–Top Ten Industries | ||||
Oil, Gas & Consumable Fuels | 4.3 | % | ||
Commercial Banks | 2.4 | |||
Electric Utilities | 1.8 | |||
Media | 1.4 | |||
Hotels, Restaurants & Leisure | 1.2 | |||
Diversified Telecommunication Services | 1.0 | |||
Wireless Telecommunication Services | 1.0 | |||
Capital Markets | 0.9 | |||
Metals & Mining | 0.9 | |||
Energy Traders | 0.9 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 962.40 | $ | 3.55 | ||||||
Service shares | 1,000.00 | 961.50 | 4.78 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.46 | 3.66 | |||||||||
Service shares | 1,000.00 | 1,020.21 | 4.92 |
Class | Expense Ratios | |||
Non-Service Shares | 0.72 | % | ||
Service Shares | 0.97 |
Shares | Value | |||||||
Wholly-Owned Subsidiary—0.1% | ||||||||
Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd.1,2 (Cost $1,500,000) | 15,000 | $ | 1,482,519 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—1.0% | ||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.254%, 5/25/343 | $ | 924,857 | 779,615 | |||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.394%, 9/25/363 | 349,382 | 102,707 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 | 75,367 | 75,678 | ||||||
Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.377%, 5/1/363 | 946,187 | 726,914 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.414%, 6/25/473 | 4,747,180 | 4,197,656 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | ||||||||
Series 2005-G, Cl. 2A, 0.508%, 12/15/353 | 170,607 | 93,939 | ||||||
Series 2006-H, Cl. 2A1A, 0.428%, 11/15/363 | 66,437 | 18,683 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 | 520,000 | 527,045 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/154 | 720,000 | 721,378 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/255,6 | 1,820,063 | — | ||||||
GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.828%, 10/20/143,4 | 270,000 | 272,383 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/234 | 580,000 | 579,958 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 | 1,046,000 | 562,302 | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: | ||||||||
Series 2007-1A, Cl. B, 2.152%, 8/15/223,6 | 7,870,000 | 5,115,500 | ||||||
Series 2007-1A, Cl. C, 3.452%, 8/15/223,6 | 5,270,000 | 3,320,100 | ||||||
Series 2007-1A, Cl. D, 5.452%, 8/15/223,6 | 5,270,000 | 3,425,500 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.394%, 8/25/363 | 1,188,754 | 362,295 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/295,6 | 66,744 | 6,007 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 | 189,500 | 164,109 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/176 | 227,466 | 225,476 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.946%, 6/15/393 | 2,487,000 | 1,257,532 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 3.383%, 5/1/373,4,7 | 170,566 | 89,780 | ||||||
Total Asset-Backed Securities (Cost $32,000,626) | 22,624,557 | |||||||
Mortgage-Backed Obligations—19.9% | ||||||||
Government Agency—7.5% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—7.1% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
4.50%, 1/1/428 | 4,305,000 | 4,562,627 | ||||||
5%, 9/15/33 | 1,552,261 | 1,671,403 | ||||||
5.50%, 9/1/39 | 1,427,254 | 1,551,743 | ||||||
6%, 5/15/18-10/1/37 | 764,536 | 838,676 | ||||||
6.50%, 3/15/18-8/15/32 | 1,738,287 | 1,957,263 | ||||||
7%, 10/1/31-10/1/37 | 442,310 | 507,122 | ||||||
7.50%, 1/1/32 | 707,518 | 846,381 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | 798,690 | 911,282 | ||||||
Series 151, Cl. F, 9%, 5/15/21 | 23,166 | 26,513 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 641,374 | 726,477 | ||||||
Series 1897, Cl. K, 7%, 9/15/26 | 1,453,093 | 1,676,511 | ||||||
Series 2006-11, Cl. PS, 23.49%, 3/25/363 | 465,443 | 649,970 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 590,196 | 676,847 | ||||||
Series 2106, Cl. FG, 0.728%, 12/15/283 | 1,008,882 | 1,012,239 | ||||||
Series 2122, Cl. F, 0.728%, 2/15/293 | 30,094 | 30,144 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 | 830,754 | 921,580 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 449,972 | 526,132 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 61,505 | 71,262 | ||||||
Series 2344, Cl. FP, 1.228%, 8/15/313 | 306,003 | 310,421 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | $ | 249,716 | $ | 282,711 | ||||
Series 2412, Cl. GF, 1.228%, 2/15/323 | 571,056 | 580,736 | ||||||
Series 2449, Cl. FL, 0.828%, 1/15/323 | 392,333 | 395,215 | ||||||
Series 2451, Cl. FD, 1.278%, 3/15/323 | 199,396 | 202,999 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 85,469 | 91,145 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 933,500 | 1,059,538 | ||||||
Series 2464, Cl. FI, 1.278%, 2/15/323 | 187,960 | 190,735 | ||||||
Series 2470, Cl. AF, 1.278%, 3/15/323 | 342,114 | 351,102 | ||||||
Series 2470, Cl. LF, 1.278%, 2/15/323 | 192,350 | 195,896 | ||||||
Series 2471, Cl. FD, 1.278%, 3/15/323 | 288,242 | 293,191 | ||||||
Series 2477, Cl. FZ, 0.828%, 6/15/313 | 765,919 | 770,618 | ||||||
Series 2500, Cl. FD, 0.778%, 3/15/323 | 25,512 | 25,637 | ||||||
Series 2517, Cl. GF, 1.278%, 2/15/323 | 167,239 | 170,221 | ||||||
Series 2526, Cl. FE, 0.678%, 6/15/293 | 47,899 | 48,067 | ||||||
Series 2551, Cl. FD, 0.678%, 1/15/333 | 22,098 | 22,165 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 | 3,608,534 | 3,944,893 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 315,800 | 317,421 | ||||||
Series 3025, Cl. SJ, 23.73%, 8/15/353 | 513,369 | 734,124 | ||||||
Series 3094, Cl. HS, 23.363%, 6/15/343 | 297,214 | 402,413 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 | 170,266 | 184,389 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 767,936 | 811,707 | ||||||
Series 3917, Cl. BA, 4%, 6/1/38 | 1,320,412 | 1,382,038 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 192, Cl. IO, 13.393%, 2/1/289 | 22,180 | 4,241 | ||||||
Series 205, Cl. IO, 13.251%, 9/1/299 | 119,604 | 20,719 | ||||||
Series 2074, Cl. S, 62.824%, 7/17/289 | 31,828 | 6,817 | ||||||
Series 2079, Cl. S, 73.84%, 7/17/289 | 53,596 | 11,558 | ||||||
Series 2136, Cl. SG, 75.075%, 3/15/299 | 1,431,324 | 285,517 | ||||||
Series 2399, Cl. SG, 71.666%, 12/15/269 | 838,202 | 165,928 | ||||||
Series 243, Cl. 6, 0.369%, 12/15/329 | 327,532 | 59,494 | ||||||
Series 2437, Cl. SB, 83.176%, 4/15/329 | 2,539,180 | 556,130 | ||||||
Series 2526, Cl. SE, 39.476%, 6/15/299 | 60,136 | 12,138 | ||||||
Series 2795, Cl. SH, 13.471%, 3/15/249 | 1,239,510 | 160,232 | ||||||
Series 2802, Cl. AS, 63.634%, 4/15/339 | 304,023 | 21,790 | ||||||
Series 2920, Cl. S, 63.733%, 1/15/359 | 542,641 | 91,968 | ||||||
Series 3110, Cl. SL, 17.819%, 2/15/269 | 314,249 | 40,276 | ||||||
Series 3451, Cl. SB, 20.75%, 5/15/389 | 947,767 | 112,971 | ||||||
Federal National Mortgage Assn.: | ||||||||
2.579%, 10/1/363 | 4,285,194 | 4,533,517 | ||||||
3.50%, 1/1/278 | 6,720,000 | 7,028,700 | ||||||
4%, 1/1/428 | 11,090,000 | 11,653,165 | ||||||
4.50%, 1/1/27-1/1/428 | 19,385,000 | 20,641,338 | ||||||
5%, 2/25/18-7/25/33 | 6,802,242 | 7,353,055 | ||||||
5%, 1/1/428 | 11,080,000 | 11,971,597 | ||||||
5.50%, 4/25/21-1/1/36 | 794,461 | 865,905 | ||||||
5.50%, 1/1/27-1/1/428 | 7,563,000 | 8,231,582 | ||||||
6%, 10/25/16-1/25/19 | 455,006 | 491,642 | ||||||
6%, 1/1/428 | 7,020,000 | 7,730,777 | ||||||
6.50%, 4/25/17-1/1/34 | 2,202,341 | 2,507,741 | ||||||
7%, 11/1/17-6/25/34 | 2,333,042 | 2,701,329 | ||||||
7.50%, 2/25/27-3/25/33 | 2,569,528 | 3,061,726 | ||||||
8.50%, 7/1/32 | 3,047 | 3,725 | ||||||
Federal National Mortgage Assn., 15 yr.: | ||||||||
3%, 1/1/278 | 12,330,000 | 12,736,504 | ||||||
4%, 1/1/278 | 355,000 | 374,470 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 442,685 | 507,447 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 239,049 | 277,602 | ||||||
Trust 2001-69, Cl. PF, 1.294%, 12/25/313 | 425,974 | 436,076 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 496,676 | 559,586 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 283,340 | 306,448 | ||||||
Trust 2002-29, Cl. F, 1.294%, 4/25/323 | 207,038 | 211,910 | ||||||
Trust 2002-60, Cl. FH, 1.294%, 8/25/323 | 425,986 | 434,155 | ||||||
Trust 2002-64, Cl. FJ, 1.294%, 4/25/323 | 63,754 | 65,254 | ||||||
Trust 2002-68, Cl. FH, 0.785%, 10/18/323 | 143,888 | 144,867 | ||||||
Trust 2002-84, Cl. FB, 1.294%, 12/25/323 | 887,171 | 908,127 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | 287,527 | 312,608 | ||||||
Trust 2002-9, Cl. PR, 6%, 3/25/17 | 352,063 | 377,301 | ||||||
Trust 2002-90, Cl. FH, 0.794%, 9/25/323 | 496,374 | 499,657 | ||||||
Trust 2003-11, Cl. FA, 1.294%, 9/25/323 | 887,191 | 908,148 | ||||||
Trust 2003-116, Cl. FA, 0.694%, 11/25/333 | 69,466 | 69,806 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 1,316,490 | 1,410,171 | ||||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,160,000 | 2,450,278 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 266,423 | 267,176 | ||||||
Trust 2005-25, Cl. PS, 26.868%, 4/25/353 | 488,754 | 820,394 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 560,000 | 681,333 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 480,000 | 522,160 | ||||||
Trust 2006-46, Cl. SW, 23.123%, 6/25/363 | 777,236 | 1,085,220 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 | 915,470 | 959,473 | ||||||
Trust 2009-114, Cl. AC, 2.50%, 12/1/23 | 311,959 | 320,010 | ||||||
Trust 2009-36, Cl. FA, 1.234%, 6/25/373 | 385,345 | 390,157 | ||||||
Trust 2011-122, Cl. EC, 1.50%, 1/1/20 | 820,401 | 824,162 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 | 931,138 | 985,604 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 | 575,548 | 623,764 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 37.704%, 11/18/319 | 234,604 | 42,227 | ||||||
Trust 2001-63, Cl. SD, 35.045%, 12/18/319 | 59,030 | 10,517 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 2001-68, Cl. SC, 26.039%, 11/25/319 | $ | 38,890 | $ | 7,047 | ||||
Trust 2001-81, Cl. S, 31.912%, 1/25/329 | 47,787 | 9,450 | ||||||
Trust 2002-28, Cl. SA, 38.153%, 4/25/329 | 30,886 | 5,726 | ||||||
Trust 2002-38, Cl. SO, 53.793%, 4/25/329 | 169,634 | 30,920 | ||||||
Trust 2002-48, Cl. S, 34.30%, 7/25/329 | 47,976 | 9,060 | ||||||
Trust 2002-52, Cl. SL, 36.455%, 9/25/329 | 31,036 | 5,925 | ||||||
Trust 2002-56, Cl. SN, 36.411%, 7/25/329 | 65,925 | 12,458 | ||||||
Trust 2002-77, Cl. IS, 48.559%, 12/18/329 | 289,005 | 59,051 | ||||||
Trust 2002-77, Cl. SH, 41.779%, 12/18/329 | 67,790 | 13,251 | ||||||
Trust 2002-9, Cl. MS, 33.312%, 3/25/329 | 63,634 | 12,339 | ||||||
Trust 2003-13, Cl. IO, 13.82%, 3/25/339 | 540,362 | 93,726 | ||||||
Trust 2003-26, Cl. DI, 11.494%, 4/25/339 | 395,052 | 65,357 | ||||||
Trust 2003-33, Cl. SP, 40.352%, 5/25/339 | 419,984 | 68,524 | ||||||
Trust 2003-38, Cl. SA, 30.916%, 3/25/239 | 606,686 | 69,625 | ||||||
Trust 2003-4, Cl. S, 36.632%, 2/25/339 | 122,727 | 21,570 | ||||||
Trust 2004-56, Cl. SE, 16.089%, 10/25/339 | 1,806,946 | 253,761 | ||||||
Trust 2005-14, Cl. SE, 41.639%, 3/25/359 | 1,742,433 | 252,789 | ||||||
Trust 2005-40, Cl. SA, 60.568%, 5/25/359 | 1,483,373 | 264,146 | ||||||
Trust 2005-40, Cl. SB, 95.476%, 5/25/359 | 2,468,634 | 418,611 | ||||||
Trust 2005-63, Cl. SA, 63.832%, 10/25/319 | 99,426 | 17,871 | ||||||
Trust 2005-71, Cl. SA, 61.309%, 8/25/259 | 339,035 | 47,534 | ||||||
Trust 2006-129, Cl. SM, 28.813%, 1/25/379 | 658,070 | 94,284 | ||||||
Trust 2006-51, Cl. SA, 17.813%, 6/25/369 | 8,463,081 | 1,224,053 | ||||||
Trust 2006-60, Cl. DI, 38.936%, 4/25/359 | 1,548,211 | 223,361 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/369 | 1,565,790 | 298,819 | ||||||
Trust 2007-77, Cl. SB, 56.307%, 12/25/319 | 691,996 | 37,991 | ||||||
Trust 2007-88, Cl. XI, 35.108%, 6/25/379 | 2,501,195 | 356,828 | ||||||
Trust 2008-55, Cl. SA, 23.905%, 7/25/389 | 532,996 | 59,164 | ||||||
Trust 2011-84, Cl. IG, 4.92%, 8/1/139 | 5,366,801 | 137,951 | ||||||
Trust 214, Cl. 2, 41.274%, 3/1/239 | 370,937 | 67,710 | ||||||
Trust 221, Cl. 2, 38.496%, 5/1/239 | 42,507 | 7,780 | ||||||
Trust 254, Cl. 2, 31.151%, 1/1/249 | 697,834 | 127,788 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/339 | 571,463 | 106,244 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/359 | 1,019,013 | 183,934 | ||||||
Trust 301, Cl. 2, 2.073%, 4/1/299 | 153,582 | 27,773 | ||||||
Trust 313, Cl. 2, 26.257%, 6/1/319 | 1,608,650 | 274,972 | ||||||
Trust 319, Cl. 2, 3.266%, 2/1/329 | 761,365 | 137,820 | ||||||
Trust 321, Cl. 2, 6.86%, 4/1/329 | 203,135 | 36,724 | ||||||
Trust 324, Cl. 2, 1.58%, 7/1/329 | 211,436 | 37,644 | ||||||
Trust 328, Cl. 2, 42.821%, 12/1/329 | 510,716 | 82,614 | ||||||
Trust 331, Cl. 5, 0%, 2/1/339,10 | 781,185 | 131,962 | ||||||
Trust 332, Cl. 2, 27.257%, 3/1/339 | 4,413,971 | 628,364 | ||||||
Trust 334, Cl. 12, 0.446%, 2/1/339 | 684,890 | 113,386 | ||||||
Trust 339, Cl. 15, 11.083%, 7/1/339 | 2,043,961 | 380,823 | ||||||
Trust 345, Cl. 9, 0%, 1/1/349,10 | 826,281 | 106,928 | ||||||
Trust 351, Cl. 10, 0.817%, 4/1/349 | 421,219 | 61,461 | ||||||
Trust 351, Cl. 8, 1.478%, 4/1/349 | 689,945 | 101,701 | ||||||
Trust 356, Cl. 10, 1.226%, 6/1/359 | 566,825 | 82,597 | ||||||
Trust 356, Cl. 12, 1.931%, 2/1/359 | 284,041 | 41,407 | ||||||
Trust 362, Cl. 13, 3.475%, 8/1/359 | 344,636 | 55,272 | ||||||
159,745,840 | ||||||||
GNMA/Guaranteed—0.2% | ||||||||
Government National Mortgage Assn.: | ||||||||
2.125%, 12/9/253 | 5,206 | 5,369 | ||||||
7%, 3/29/28-7/29/28 | 232,865 | 271,537 | ||||||
7.50%, 3/1/27 | 12,567 | 13,723 | ||||||
8%, 11/29/25-5/29/26 | 49,596 | 51,773 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 936,074 | 1,115,418 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 | 2,090,283 | 2,509,646 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 70.595%, 7/16/289 | 114,873 | 24,854 | ||||||
Series 1998-6, Cl. SA, 82.586%, 3/16/289 | 67,415 | 14,301 | ||||||
Series 2001-21, Cl. SB, 92.265%, 1/16/279 | 510,626 | 100,562 | ||||||
Series 2007-17, Cl. AI, 21.009%, 4/16/379 | 608,584 | 114,146 | ||||||
Series 2010-111, Cl. GI, 22.59%, 9/1/139 | 12,744,832 | 341,607 | ||||||
4,562,936 |
Principal | ||||||||
Amount | Value | |||||||
Other Agency—0.2% | ||||||||
NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: | ||||||||
Series 2010-C1, Cl. A1, 1.60%, 10/29/20 | $ | 522,335 | $ | 529,399 | ||||
Series 2010-C1, Cl. A2, 2.90%, 10/29/20 | 1,015,000 | 1,073,156 | ||||||
Series 2010-C1, Cl. APT, 2.65%, 10/29/20 | 1,165,858 | 1,220,005 | ||||||
NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.724%, 10/7/203 | 1,026,754 | 1,027,873 | ||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 3A, 2.40%, 12/8/20 | 828,953 | 841,909 | ||||||
4,692,342 | ||||||||
Non-Agency—12.4% | ||||||||
Commercial—7.4% | ||||||||
Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.858%, 7/10/443 | 4,192,000 | 4,060,143 | ||||||
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 | 5,720,628 | ||||||
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 | 3,896,452 | ||||||
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 | 7,660,271 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-3, Cl. A4, 5.622%, 6/1/493 | 480,000 | 516,735 | ||||||
Series 2008-1, Cl. AM, 6.249%, 2/10/513 | 3,415,000 | 3,372,832 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.669%, 6/1/473 | 1,096,341 | 766,687 | ||||||
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 | 4,565,856 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-PWR17, Cl. AJ, 5.897%, 6/1/503 | 7,400,000 | 4,960,683 | ||||||
Series 2007-PWR17, Cl. AM, 5.915%, 6/1/50 | 2,330,000 | 2,310,698 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 3,149,421 | 3,006,499 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.006%, 12/20/353 | 168,475 | 125,414 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 | 9,122,866 | 7,219,453 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.072%, 12/1/493 | 4,270,000 | 4,324,176 | ||||||
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 | 1,016,804 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.557%, 11/1/463,4 | 2,515,000 | 2,079,576 | ||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.794%, 1/27/373,6 | 1,329,704 | 605,015 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AB2, Cl. A1, 5.885%, 6/25/36 | 133,150 | 81,735 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 654,918 | 358,766 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.858%, 9/1/204,9 | 5,625,940 | 422,823 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 612,819 | 402,037 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.857%, 11/1/373 | $ | 3,351,000 | $ | 2,045,489 | ||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 6.97%, 5/15/303 | 1,567,000 | 1,537,230 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AJ, 5.882%, 7/10/383 | 6,150,000 | 4,327,531 | ||||||
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 | 4,945,075 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 | 615,000 | 579,913 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. D, 5.543%, 3/1/443,4 | 3,130,000 | 2,449,382 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 | 79,796 | 73,623 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.834%, 5/25/353 | 5,268,225 | 3,587,226 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.11%, 11/1/353 | 1,607,959 | 1,095,990 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 | 775,000 | 760,626 | ||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 | 8,281,000 | 4,852,376 | ||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 | 2,315,000 | 2,490,649 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 | 6,400,000 | 6,009,632 | ||||||
Series 2008-C2, Cl. AM, 6.785%, 2/1/513 | 4,990,000 | 4,467,462 | ||||||
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 | 1,660,746 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 5.875%, 4/1/453 | 120,000 | 123,999 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.74%, 2/1/493 | 5,850,000 | 5,572,195 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 5.817%, 6/1/493 | 570,000 | 607,200 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 2.756%, 1/1/373 | 337,389 | 221,331 | ||||||
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 | 2,753,689 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-C6, Cl. A4, 5.858%, 7/11/40 | 1,095,000 | 1,204,368 | ||||||
Series 2007-C6, Cl. AM, 6.114%, 7/11/40 | 5,855,000 | 5,512,272 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.145%, 4/11/413 | 2,610,000 | 2,535,524 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 | 73,876 | 12,516 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 259,554 | 266,430 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.666%, 5/1/393 | 3,845,000 | 3,241,873 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
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 | $ | 2,838,159 | ||||
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 | 4,700,083 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.879%, 6/1/493 | 6,485,000 | 6,131,606 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 | 8,500,000 | 8,477,280 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.187%, 4/25/353 | 116,489 | 14,920 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 713,314 | 476,645 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.801%, 2/1/373 | 9,310,563 | 5,932,440 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.118%, 7/1/373 | 6,989,720 | 4,207,647 | ||||||
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 | 3,610,068 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.737%, 5/1/433 | 4,220,000 | 3,632,665 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.048%, 11/1/463 | 1,187,074 | 659,868 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.526%, 4/1/473 | 827,150 | 411,370 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.608%, 11/1/343 | 870,224 | 45,914 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.719%, 2/1/353 | 3,709,449 | 3,270,731 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.777%, 4/1/373 | 2,440,511 | 1,971,911 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.982%, 3/1/449 | 6,107,862 | 542,552 | ||||||
167,331,489 | ||||||||
Multifamily—0.9% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.766%, 5/1/453 | 4,295,000 | 3,202,303 | ||||||
Citigroup Commercial Mortgage Trust 2006-C5, Commercial Mtg. Pass-Through Certificates, Series 2006-C5, Cl. AJ, 5.482%, 10/1/49 | 5,792,000 | 4,761,261 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.672%, 6/1/363 | 6,101,361 | 4,978,900 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.259%, 5/1/373 | 4,714,939 | 3,815,300 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.036%, 9/1/353 | 432,581 | 374,521 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.689%, 3/25/363 | 3,320,552 | 2,655,264 | ||||||
19,787,549 |
Principal | ||||||||
Amount | Value | |||||||
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 | $ | 2,515,239 | ||||
Residential—4.0% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.791%, 2/1/513 | 3,960,000 | 3,762,857 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.544%, 5/1/363 | 2,025,000 | 1,794,477 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.741%, 5/1/343 | 3,018,185 | 2,431,936 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 3.372%, 11/1/343 | 908,812 | 861,108 | ||||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 2.744%, 2/1/373 | 1,132,270 | 1,110,849 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 6,019,799 | 5,049,787 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 1,906,449 | 1,845,680 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 661,883 | 629,748 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 2.965%, 6/1/473 | 2,149,082 | 1,391,123 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.051%, 5/1/353 | 2,424,426 | 2,014,351 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.058%, 8/1/353 | 4,857,841 | 3,245,723 | ||||||
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 | 5,309,002 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 | 1,514,273 | 1,423,222 | ||||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl.1A10, 6%, 2/1/37 | 10,030,047 | 6,250,926 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 | 2,836,165 | 1,951,988 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 2.774%, 5/1/343 | 2,941,179 | 2,355,158 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.195%, 11/1/353 | 3,224,679 | 2,385,443 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 1,058,425 | 1,030,217 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 306,665 | 263,580 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.005%, 9/11/453 | 10,430,000 | 9,857,982 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.375%, 10/25/363 | 1,672,181 | 1,508,881 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: | ||||||||
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 1,915,553 | 1,087,473 | ||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 38,289 | 21,737 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | $ | 927,888 | $ | 544,107 | ||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | 3,492,413 | 2,832,202 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 4,067,603 | 3,153,157 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | 4,566,771 | 3,761,538 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.482%, 10/1/353 | 2,412,270 | 1,918,017 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.836%, 9/1/363 | 1,045,369 | 704,859 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 4A1, 2.61%, 2/1/373 | 13,787,040 | 9,166,314 | ||||||
Series 2007-HY1, Cl. 5A1, 5.183%, 2/1/373 | 8,403,903 | 6,051,650 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.467%, 5/1/373 | 1,102,192 | 920,384 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 | 415,798 | 399,947 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.667%, 10/1/363 | 3,539,868 | 2,974,976 | ||||||
90,010,399 | ||||||||
Total Mortgage-Backed Obligations (Cost $474,215,861) | 448,645,794 | |||||||
U.S. Government Obligations—8.0% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
1.125%, 7/27/12 | 17,545,000 | 17,636,866 | ||||||
2.50%, 5/27/16 | 1,000,000 | 1,060,625 | ||||||
5%, 2/16/17 | 6,500,000 | 7,684,599 | ||||||
5.125%, 11/17/17 | 4,000,000 | 4,825,116 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
1.125%, 7/30/12 | 16,180,000 | 16,269,233 | ||||||
2.375%, 4/11/16 | 1,000,000 | 1,058,061 | ||||||
4.375%, 10/15/15 | 4,000,000 | 4,524,880 | ||||||
4.875%, 12/15/16 | 488,000 | 575,702 | ||||||
5.375%, 6/12/17 | 6,991,000 | 8,460,998 | ||||||
U.S. Treasury Bills: | ||||||||
0.038%, 6/14/12 | 55,000,000 | 54,988,780 | ||||||
0.035%, 3/8/1211,12 | 25,000,000 | 24,999,325 | ||||||
U.S. Treasury Bonds, STRIPS, 4.833%, 2/15/1612,13 | 2,116,000 | 2,056,718 | ||||||
U.S. Treasury Nts.: | ||||||||
0.875%, 11/30/1612 | 23,000,000 | 23,077,280 | ||||||
2%, 11/15/2111,12 | 13,000,000 | 13,144,222 | ||||||
Total U.S. Government Obligations (Cost $177,740,230) | 180,362,405 | |||||||
Foreign Government Obligations—20.8% | ||||||||
Argentina—0.5% | ||||||||
Argentina (Republic of) Bonds: | ||||||||
2.50%, 12/31/383 | 4,255,000 | 1,510,525 | ||||||
7%, 10/3/15 | 6,370,000 | 5,863,259 | ||||||
Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17 | 3,870,000 | 3,253,165 | ||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/214 | 1,605,000 | 1,223,813 | ||||||
11,850,762 | ||||||||
Australia—0.3% | ||||||||
New South Wales, Treasury Corp., Series 22, 6%, 3/1/22 | 460,000 | AUD | 520,139 | |||||
Queensland Treasury Corp.: | ||||||||
Series 20, 6.25%, 2/21/20 | 2,210,000 | AUD | 2,448,457 | |||||
Series 22, 6%, 7/21/22 | 1,300,000 | AUD | 1,413,769 | |||||
Series 24, 5.75%, 7/22/24 | 790,000 | AUD | 838,389 | |||||
Victoria Treasury Corp., Series 1224, 5.50%, 12/17/24 | 1,330,000 | AUD | 1,448,692 | |||||
6,669,446 | ||||||||
Austria—0.1% | ||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/194 | 1,135,000 | EUR | 1,621,513 | |||||
Austria (Republic of) Sr. Unsec. Unsub. Nts., Series 1, 3.50%, 9/15/214 | 880,000 | EUR | 1,198,539 | |||||
2,820,052 |
Principal | ||||||||
Amount | Value | |||||||
Belgium—0.2% | ||||||||
Belgium (Kingdom of) Bonds, Series 52, 4%, 3/28/18 | 1,770,000 | EUR | $ | 2,352,120 | ||||
Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 | 175,000 | EUR | 247,994 | |||||
Belgium (Kingdom of) Treasury Bills, 0.543%, 1/19/1213 | 995,000 | EUR | 1,288,169 | |||||
3,888,283 | ||||||||
Brazil—2.5% | ||||||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||
9.762%, 1/1/17 | 47,838,000 | BRR | 24,639,039 | |||||
9.762%, 1/1/21 | 33,538,000 | BRR | 16,727,196 | |||||
12.322%, 5/15/4514 | 6,470,000 | BRR | 7,885,405 | |||||
Series NTNB, 12.322%, 5/15/1514 | 6,025,000 | BRR | 6,997,754 | |||||
56,249,394 | ||||||||
Canada—0.1% | ||||||||
Canada (Government of) Nts.: | ||||||||
3.75%, 6/1/19 | 1,420,000 | CAD | 1,595,292 | |||||
4%, 6/1/17 | 1,230,000 | CAD | 1,372,010 | |||||
2,967,302 | ||||||||
Colombia—0.5% | ||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/284 | 3,058,000,000 | COP | 2,170,652 | |||||
Colombia (Republic of) Bonds: | ||||||||
4.375%, 7/12/21 | 2,165,000 | 2,338,200 | ||||||
7.375%, 9/18/37 | 745,000 | 1,052,313 | ||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | 4,205,000 | 5,214,200 | ||||||
10,775,365 | ||||||||
Denmark—0.0% | ||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 | 4,275,000 | DKK | 891,607 | |||||
Dominican Republic—0.1% | ||||||||
Dominican Republic Bonds, 7.50%, 5/6/214 | 1,880,000 | 1,856,500 | ||||||
Finland—0.0% | ||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 | 425,000 | EUR | 612,819 | |||||
France—0.2% | ||||||||
France (Republic of) Bonds: | ||||||||
3.25%, 10/25/21 | 1,255,000 | EUR | 1,635,127 | |||||
3.75% 10/25/19 | 750,000 | EUR | 1,034,537 | |||||
4%, 4/25/60 | 395,000 | EUR | 540,730 | |||||
4.50%, 4/25/41 | 845,000 | EUR | 1,253,329 | |||||
4,463,723 | ||||||||
Germany—0.2% | ||||||||
Germany (Federal Republic of) Bonds: | ||||||||
2.50%, 1/4/21 | 700,000 | EUR | 967,335 | |||||
3.50%, 7/4/19 | 1,270,000 | EUR | 1,880,522 | |||||
Series 157, 2.25%, 4/10/15 | 1,995,000 | EUR | 2,733,505 | |||||
5,581,362 | ||||||||
Ghana—0.1% | ||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/174 | 1,505,000 | 1,655,500 | ||||||
Greece—0.0% | ||||||||
Hellenic Republic Sr. Unsec. Unsub. Bonds, 30 yr., 4.50%, 9/20/37 | 2,600,000 | EUR | 693,199 | |||||
Hungary—0.8% | ||||||||
Hungary (Republic of) Bonds: | ||||||||
Series 12/B, 7.25%, 6/12/12 | 525,000,000 | HUF | 2,141,981 | |||||
Series 19/A, 6.50%, 6/24/19 | 647,000,000 | HUF | 2,196,738 | |||||
Series 20/A, 7.50%, 11/12/20 | 820,000,000 | HUF | 2,917,983 | |||||
Hungary (Republic of) Sr. Unsec. Bonds: | ||||||||
4.50%, 1/29/14 | 2,120,000 | EUR | 2,507,014 | |||||
7.625%, 3/29/41 | 1,500,000 | 1,335,000 | ||||||
Hungary (Republic of) Sr. Unsec. Nts., 5.75%, 6/11/18 | 1,695,000 | EUR | 1,849,111 | |||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 | 4,230,000 | 3,807,000 | ||||||
Hungary (Republic of) Treasury Bills, 6.103%, 1/11/1213 | 58,000,000 | HUF | 238,193 | |||||
16,993,020 | ||||||||
Indonesia—0.8% | ||||||||
Indonesia (Republic of) Nts., 6.875%, 1/17/184 | 4,960,000 | 5,865,200 | ||||||
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/214 | 870,000 | 935,250 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/384 | 4,395,000 | 5,977,200 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/374 | 1,340,000 | 1,634,800 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/354 | 2,360,000 | 3,422,000 | ||||||
17,834,450 | ||||||||
Israel—0.1% | ||||||||
Israel (State of) Bonds: | ||||||||
Series 0312, 4%, 3/30/12 | 2,895,000 | ILS | 762,426 | |||||
Series 0313, 5%, 3/31/13 | 1,930,000 | ILS | 520,927 | |||||
1,283,353 | ||||||||
Italy—0.5% | ||||||||
Italy (Republic of) Bonds: | ||||||||
3.142%, 9/15/2614 | 1,185,000 | EUR | 1,203,040 | |||||
4%, 9/1/20 | 1,185,000 | EUR | 1,285,117 |
Principal | ||||||||
Amount | Value | |||||||
Italy Continued | ||||||||
Italy (Republic of) Bonds: Continued | ||||||||
4.75%, 1/25/16 | $ | 845,000 | $ | 787,779 | ||||
5%, 9/1/40 | 865,000 | EUR | 892,070 | |||||
5.375%, 6/12/17 | 425,000 | 394,040 | ||||||
Series EU, 2.575%, 10/15/173 | 845,000 | EUR | 841,083 | |||||
Italy (Republic of) Nts., 4.22%, 3/1/143 | 195,000 | EUR | 234,331 | |||||
Italy (Republic of) Sr. Unsec. Bonds, 2.839%, 9/15/2314 | 2,195,000 | EUR | 2,359,287 | |||||
Italy (Republic of) Treasury Bonds, 4.75%, 9/1/21 | 2,080,000 | EUR | 2,340,454 | |||||
10,337,201 | ||||||||
Ivory Coast—0.0% | ||||||||
Ivory Coast (Republic of) Sr. Unsec. Bonds, 2.50%, 12/31/324,5 | 415,000 | 209,575 | ||||||
Japan—2.0% | ||||||||
Japan Bonds, 20 yr., Series 112, 2.10%, 6/20/29 | 1,028,000,000 | JPY | 14,282,883 | |||||
Japan Sr. Unsec. Unsub. Bonds: | ||||||||
2 yr., Series 304, 0.20%, 5/15/13 | 448,000,000 | JPY | 5,826,567 | |||||
5 yr., Series 96, 0.50%, 3/20/16 | 1,268,000,000 | JPY | 16,613,057 | |||||
10 yr., Series 307, 1.30%, 3/20/20 | 652,000,000 | JPY | 8,839,356 | |||||
45,561,863 | ||||||||
Korea, Republic of South—0.1% | ||||||||
Korea (Republic of) Sr. Unsec. Treasury Bonds: | ||||||||
Series 1406, 3.50%, 6/10/14 | 1,201,000,000 | KRW | 1,047,539 | |||||
Series 1603, 4%, 3/10/16 | 1,484,000,000 | KRW | 1,317,447 | |||||
2,364,986 | ||||||||
Malaysia—0.4% | ||||||||
Malaysia (Government of) Sr. Unsec. Bonds: | ||||||||
Series 1/06, 4.262%, 9/15/16 | 1,710,000 | MYR | 561,642 | |||||
Series 0309, 2.711%, 2/14/12 | 20,900,000 | MYR | 6,591,062 | |||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/214,8 | 2,160,000 | 2,285,973 | ||||||
9,438,677 | ||||||||
Mexico—2.1% | ||||||||
United Mexican States Bonds: | ||||||||
5.625%, 1/15/17 | 1,340,000 | 1,547,700 | ||||||
Series M, 6.50%, 6/10/213 | 214,660,000 | MXN | 15,437,224 | |||||
Series M20, 7.50%, 6/3/273 | 201,220,000 | MXN | 14,941,227 | |||||
Series M10, 7.75%, 12/14/17 | 10,850,000 | MXN | 853,953 | |||||
Series M10, 8%, 12/17/15 | 44,000,000 | MXN | 3,443,387 | |||||
Series M20, 8.50%, 5/31/293 | 8,960,000 | MXN | 712,784 | |||||
Series MI10, 9%, 12/20/123 | 30,300,000 | MXN | 2,261,892 | |||||
Series M20, 10%, 12/5/243 | 79,220,000 | MXN | 7,316,526 | |||||
United Mexican States Nts., 6.75%, 9/27/34 | 630,000 | 823,725 | ||||||
47,338,418 | ||||||||
Panama—0.3% | ||||||||
Panama (Republic of) Bonds: | ||||||||
7.25%, 3/15/15 | 1,270,000 | 1,470,025 | ||||||
8.875%, 9/30/27 | 950,000 | 1,429,750 | ||||||
9.375%, 4/1/29 | 960,000 | 1,531,200 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 1,115,000 | 1,457,863 | ||||||
5,888,838 | ||||||||
Peru—0.4% | ||||||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/204 | 20,980,000 | PEN | 8,890,727 | |||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 | 410,000 | 453,050 | ||||||
9,343,777 | ||||||||
Philippines—0.1% | ||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 | 1,120,000 | 1,342,600 | ||||||
Poland—1.4% | ||||||||
Poland (Republic of) Bonds: | ||||||||
5.25%, 10/25/20 | 14,100,000 | PLZ | 3,924,260 | |||||
Series 0415, 5.50%, 4/25/15 | 1,680,000 | PLZ | 494,152 | |||||
Series 0416, 5%, 4/25/16 | 53,215,000 | PLZ | 15,374,105 | |||||
Series 1015, 6.25%, 10/24/15 | 16,725,000 | PLZ | 5,035,094 | |||||
Series 1017, 5.25%, 10/25/17 | 905,000 | PLZ | 259,612 | |||||
Poland (Republic of) Sr. Unsec. Nts.: | ||||||||
5%, 3/23/22 | 1,710,000 | 1,724,963 | ||||||
5.125%, 4/21/21 | 2,480,000 | 2,529,600 | ||||||
6.375%, 7/15/19 | 1,275,000 | 1,415,250 | ||||||
30,757,036 | ||||||||
Qatar—0.2% | ||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/204 | 1,645,000 | 1,813,613 | ||||||
Qatar (State of) Sr. Unsec. Nts.: | ||||||||
5.75%, 1/20/424 | 1,270,000 | 1,374,775 | ||||||
6.40%, 1/20/404 | 750,000 | 885,000 | ||||||
4,073,388 | ||||||||
Russia—0.1% | ||||||||
Russian Federation Bonds, 5%, 4/29/204 | 1,290,000 | 1,334,054 | ||||||
Singapore—0.0% | ||||||||
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 | 520,000 | SGD | 432,736 | |||||
South Africa—2.2% | ||||||||
South Africa (Republic of) Bonds: | ||||||||
5.50%, 3/9/20 | 1,865,000 | 2,098,125 | ||||||
Series R209, 6.25%, 3/31/36 | 57,350,000 | ZAR | 5,257,199 | |||||
Series R208, 6.75%, 3/31/21 | 73,570,000 | ZAR | 8,417,522 | |||||
Series R213, 7%, 2/28/31 | 68,375,000 | ZAR | 7,014,905 | |||||
Series R207, 7.25%, 1/15/20 | 115,470,000 | ZAR | 13,773,794 | |||||
Series R186, 10.50%, 12/21/26 | 85,840,000 | ZAR | 12,448,834 | |||||
49,010,379 |
Principal | ||||||||
Amount | Value | |||||||
Spain—0.2% | ||||||||
Spain (Kingdom of) Bonds, 4.25%, 10/31/16 | 865,000 | EUR | $ | 1,123,767 | ||||
Spain (Kingdom of) Treasury Bills, 2.991%, 2/17/1213 | 2,105,000 | EUR | 2,720,167 | |||||
3,843,934 | ||||||||
Sri Lanka—0.1% | ||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: | ||||||||
6.25%, 10/4/204 | 1,480,000 | 1,487,400 | ||||||
6.25% 7/27/214 | 1,850,000 | 1,826,161 | ||||||
3,313,561 | ||||||||
The Netherlands—0.1% | ||||||||
Netherlands (Kingdom of the) Bonds: | ||||||||
4%, 7/15/18 | 600,000 | EUR | 880,520 | |||||
4%, 7/15/19 | 1,025,000 | EUR | 1,518,917 | |||||
2,399,437 | ||||||||
Turkey—2.0% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.875%, 3/17/36 | 3,065,000 | 3,210,588 | ||||||
7%, 3/11/19 | 1,430,000 | 1,590,875 | ||||||
8.68%, 2/20/1313 | 17,180,000 | TRY | 8,054,075 | |||||
9.964%, 7/17/1313 | 31,595,000 | TRY | 14,100,504 | |||||
9.999%, 4/25/1213 | 13,320,000 | TRY | 6,808,860 | |||||
10.50%, 1/15/203 | 1,120,000 | TRY | 610,936 | |||||
11%, 8/6/14 | 6,590,000 | TRY | 3,519,886 | |||||
14.689%, 8/14/133,14 | 2,200,000 | TRY | 1,698,910 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 | 1,840,000 | 2,079,200 | ||||||
Turkey (Republic of) Unsec. Nts.: | ||||||||
5.125%, 3/25/22 | 1,345,000 | 1,287,838 | ||||||
6%, 1/14/41 | 2,710,000 | 2,567,725 | ||||||
45,529,397 | ||||||||
Ukraine—0.4% | ||||||||
City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/164 | 985,000 | 773,225 | ||||||
Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/174 | 2,240,000 | 1,881,600 | ||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/204,8 | 2,180,000 | 1,896,600 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts.: | ||||||||
6.25%, 6/17/164 | 2,720,000 | 2,400,400 | ||||||
6.75%, 11/14/174 | 2,160,000 | 1,868,400 | ||||||
7.95%, 2/23/214 | 1,555,000 | 1,372,288 | ||||||
10,192,513 | ||||||||
United Kingdom—0.5% | ||||||||
United Kingdom Treasury Bonds: | ||||||||
4%, 9/7/16 | 1,400,000 | GBP | 2,486,715 | |||||
4.25%, 3/7/36 | 1,940,000 | GBP | 3,699,970 | |||||
4.75%, 3/7/20 | 1,000,000 | GBP | 1,920,987 | |||||
4.75%, 12/7/38 | 1,735,000 | GBP | 3,601,176 | |||||
11,708,848 | ||||||||
Uruguay—0.4% | ||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 | 2,875,000 | 4,003,438 | ||||||
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 | 855,000 | 1,111,500 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 | 2,491,250 | 3,425,469 | ||||||
8,540,407 | ||||||||
Venezuela—0.8% | ||||||||
Venezuela (Republic of) Bonds: | ||||||||
9%, 5/7/23 | 4,535,000 | 3,265,200 | ||||||
11.95%, 8/5/31 | 2,555,000 | 2,101,488 | ||||||
Venezuela (Republic of) Nts., 8.25%, 10/13/24 | 910,000 | 602,875 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||
7.75%, 10/13/19 | 1,960,000 | 1,411,200 | ||||||
12.75%, 8/23/22 | 440,000 | 399,300 | ||||||
Venezuela (Republic of) Unsec. Bonds: | ||||||||
7%, 3/31/38 | 3,920,000 | 2,283,400 | ||||||
7.65%, 4/21/25 | 4,500,000 | 2,812,500 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/184 | 5,465,000 | 5,150,763 | ||||||
18,026,726 | ||||||||
Total Foreign Government Obligations (Cost $483,045,582) | 468,074,488 | |||||||
Loan Participations—0.9% | ||||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/183 | 620,000 | 571,175 | ||||||
Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan: | ||||||||
Tranche B, 3.91%, 1/29/163 | 3,085,000 | 2,288,898 | ||||||
Tranche B, 3.91%, 1/29/163,8 | 585,000 | 434,037 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.855%, 10/19/153,15 | 9,511,261 | 5,667,123 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/31/15 | 3,186,875 | 3,307,712 |
Principal | ||||||||
Amount | Value | |||||||
Loan Participations Continued | ||||||||
OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, Tranche B, 10%, 10/31/133,8 | $ | 1,055,000 | $ | 1,028,625 | ||||
Realogy Corp., Extended Sr. Sec. Credit Facilities 1st Lien Term Loan: | ||||||||
Tranche B, 4%, 10/10/163,8 | 222,461 | 199,619 | ||||||
Tranche B, 4.522%, 10/10/163,8 | 2,821,702 | 2,531,972 | ||||||
Revel Entertainment LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 7.50%, 2/17/173,8 | 1,045,000 | 958,788 | ||||||
Samson Investment Co., Sr. Sec. Credit Facilities Bridge Loan, 6.50%, 12/20/123,8 | 3,890,000 | 3,890,000 | ||||||
Total Loan Participations (Cost $21,142,146) | 20,877,949 | |||||||
Corporate Bonds and Notes—25.9% | ||||||||
Consumer Discretionary—3.3% | ||||||||
Auto Components—0.4% | ||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | 2,190,000 | 2,398,050 | ||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/174 | 4,762,000 | 4,809,620 | ||||||
Visteon Corp., 6.75% Sr. Nts., 4/15/194 | 2,470,000 | 2,476,175 | ||||||
9,683,845 | ||||||||
Automobiles—0.0% | ||||||||
Jaguar Land Rover plc, 7.75% Sr. Unsec. Bonds, 5/15/184,8 | 390,000 | 373,425 | ||||||
Hotels, Restaurants & Leisure—1.2% | ||||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/164 | 1,780,000 | 1,837,850 | ||||||
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/154 | 1,285,000 | 1,079,400 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 10,027,000 | 6,918,630 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/174 | 2,635,000 | 2,470,313 | ||||||
Isle of Capri Casinos, Inc.: | ||||||||
7% Sr. Unsec. Sub. Nts., 3/1/14 | 1,420,000 | 1,334,800 | ||||||
7.75% Sr. Unsec. Unsub. Nts., 3/15/19 | 2,030,000 | 1,867,600 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 2,500,000 | 2,643,750 | ||||||
MGM Mirage, Inc., 6.625% Sr. Unsec. Nts., 7/15/15 | 3,890,000 | 3,714,950 | ||||||
Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 | 2,920,000 | 1,971,000 | ||||||
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., 3/15/085,6 | 250,000 | — | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 1,885,000 | 556,075 | ||||||
26,087,743 | ||||||||
Household Durables—0.2% | ||||||||
Beazer Homes USA, Inc.: | ||||||||
6.875% Sr. Unsec. Nts., 7/15/15 | 995,000 | 748,738 | ||||||
9.125% Sr. Unsec. Nts., 5/15/19 | 2,825,000 | 1,942,188 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: | ||||||||
9% Sr. Nts., 4/15/194 | 1,635,000 | 1,561,425 | ||||||
9% Sr. Nts., 5/15/184 | 995,000 | 957,688 | ||||||
5,210,039 | ||||||||
Media—1.4% | ||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 | 1,140,000 | 951,900 | ||||||
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 | 3,055,000 | 2,596,750 | ||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 2,983,000 | 2,602,668 | ||||||
Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/154 | 3,225,000 | 2,330,063 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/174 | 2,350,000 | 2,502,750 | ||||||
Clear Channel Communications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 | 3,010,000 | 2,874,550 | ||||||
Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/194 | 1,230,000 | 1,097,775 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 | 1,905,000 | 1,876,425 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 | 3,510,000 | 3,334,500 | ||||||
Interactive Data Corp., 10.25% Sr. Unsec. Nts., 8/1/18 | 965,000 | 1,056,675 | ||||||
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/194 | 1,595,000 | 1,682,725 | ||||||
Newport Television LLC/NTV Finance Corp., 12.719% Sr. Nts., 3/15/174,15 | 2,120,261 | 1,902,934 |
Principal | ||||||||
Amount | Value | |||||||
Media Continued | ||||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 | $ | 1,850,000 | $ | 1,905,500 | ||||
Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 | 2,505,000 | 2,598,938 | ||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/204 | 695,000 | 708,900 | ||||||
UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/214 | 1,225,000 | 1,246,438 | ||||||
Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 | 1,135,000 | 1,044,200 | ||||||
32,313,691 | ||||||||
Specialty Retail—0.0% | ||||||||
Michaels Stores, Inc., 7.75% Sr. Unsec. Nts., 11/1/18 | 155,000 | 157,325 | ||||||
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 | 1,595,000 | 1,443,475 | ||||||
Consumer Staples—0.7% | ||||||||
Beverages—0.1% | ||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/173 | 2,080,000 | BRR | 1,176,793 | |||||
Food & Staples Retailing—0.1% | ||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/214 | 2,155,000 | 2,207,530 | ||||||
Food Products—0.5% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/164 | 2,150,000 | 1,924,250 | ||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/174,15 | 5,015,747 | 3,887,204 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/174 | 2,162,000 | 2,205,240 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/154 | 2,008,000 | 1,787,120 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/156 | 2,465,000 | 2,600,575 | ||||||
12,404,389 | ||||||||
Household Products—0.0% | ||||||||
Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/18 | 870,000 | 955,913 | ||||||
Energy—4.7% | ||||||||
Energy Equipment & Services—0.4% | ||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 | 1,695,000 | 1,593,300 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 | 2,200,000 | 2,079,000 | ||||||
Offshore Group Investments Ltd., 11.50% Sr. Sec. Nts., 8/1/15 | 3,105,000 | 3,372,806 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 | 2,420,000 | 2,486,550 | ||||||
9,531,656 | ||||||||
Oil, Gas & Consumable Fuels—4.3% | ||||||||
Afren plc, 11.50% Sr. Sec. Nts., 2/1/164 | 1,705,000 | 1,687,950 | ||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/154 | 1,500,000 | 1,533,750 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 | 2,955,000 | 3,206,175 | ||||||
Arch Coal, Inc., 7% Sr. Unsec. Nts., 6/15/194 | 390,000 | 399,750 | ||||||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 8.75% Sr. Unsec. Nts., 6/15/184 | 1,535,000 | 1,611,750 | ||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 | 2,760,000 | 1,828,500 | ||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 | 780,000 | 819,000 | ||||||
Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 | 2,805,000 | 2,948,756 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 | 1,760,000 | 1,909,600 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 | 390,000 | 423,150 | ||||||
Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/204 | 865,000 | 916,517 | ||||||
Gaz Capital SA: | ||||||||
7.288% Sr. Sec. Nts., 8/16/374 | 5,225,000 | 5,414,406 | ||||||
8.146% Sr. Sec. Nts., 4/11/184 | 2,680,000 | 3,028,400 | ||||||
8.625% Sr. Sec. Nts., 4/28/344 | 1,680,000 | 1,986,600 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/194 | 3,655,000 | 4,363,705 | ||||||
James River Coal Co., 7.875% Sr. Unsec. Unsub. Nts., 4/1/19 | 640,000 | 486,400 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/214 | 1,600,000 | 1,628,000 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
KMG Finance Sub BV: | ||||||||
7% Sr. Unsec. Bonds, 5/5/204 | $ | 1,150,000 | $ | 1,220,438 | ||||
9.125% Sr. Unsec. Unsub. Nts., 7/2/184 | 3,885,000 | 4,545,450 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 | 3,620,000 | 3,945,800 | ||||||
Lukoil International Finance BV: | ||||||||
6.125% Sr. Unsec. Nts., 11/9/204 | 3,860,000 | 3,802,100 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/224 | 780,000 | 781,950 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/194 | 595,000 | 617,313 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/214 | 3,195,000 | 3,282,863 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/154 | 3,100,000 | 3,092,250 | ||||||
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 | 2,660,000 | 2,507,050 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 | 695,000 | 507,350 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/214 | 1,290,000 | 1,335,150 | ||||||
Pemex Project Funding Master Trust: | ||||||||
6.625% Sr. Unsec. Unsub. Nts., 6/15/38 | 830,000 | 948,275 | ||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 | 4,225,000 | 4,832,344 | ||||||
Pertamina PT (Persero): | ||||||||
5.25% Nts., 5/23/214 | 2,420,000 | 2,501,070 | ||||||
6.50% Sr. Unsec. Nts., 5/27/414 | 1,075,000 | 1,123,375 | ||||||
Petrobras International Finance Co., 5.75% Sr. Unsec. Unsub. Nts., 1/20/20 | 1,280,000 | 1,375,711 | ||||||
Petroleos de Venezuela SA: | ||||||||
4.90% Sr. Unsec. Nts., Series 2014, 10/28/14 | 2,795,000 | 2,194,075 | ||||||
8.50% Sr. Nts., 11/2/174 | 3,565,000 | 2,696,923 | ||||||
12.75% Sr. Unsec. Nts., 2/17/224 | 2,540,000 | 2,133,600 | ||||||
Petroleos Mexicanos: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 | 1,690,000 | 1,842,100 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 | 2,050,000 | 2,286,365 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/194 | 2,465,000 | 2,933,350 | ||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/194 | 2,000,000 | 2,192,600 | ||||||
Quicksilver Resources, Inc.: | ||||||||
8.25% Sr. Unsec. Nts., 8/1/15 | 170,000 | 176,800 | ||||||
11.75% Sr. Nts., 1/1/16 | 2,125,000 | 2,422,500 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 | 1,230,000 | 1,377,600 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Unsec. Nts., 1/15/20 | 2,925,000 | 3,034,688 | ||||||
9.875% Sr. Unsec. Nts., 5/15/164 | 1,290,000 | 1,386,750 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/144 | 801,542 | 824,586 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 | 1,375,000 | 1,244,375 | ||||||
97,357,210 | ||||||||
Financials—4.9% | ||||||||
Capital Markets—0.9% | ||||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 900,000 | 873,000 | ||||||
Credit Suisse First Boston International, 6.80% Export-Import Bank of Ukraine Nts., 10/4/12 | 830,000 | 825,850 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 | 1,420,000 | 1,285,100 | ||||||
Korea Development Bank (The), 3.875% Sr. Unsec. Nts., 5/4/178 | 1,285,000 | 1,272,433 | ||||||
Nationstar Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 | 5,340,000 | 5,313,300 | ||||||
Nuveen Investments, Inc.: | ||||||||
5.50% Sr. Unsec. Nts., 9/15/15 | 1,095,000 | 925,275 | ||||||
10.50% Sr. Unsec. Unsub. Nts., 11/15/15 | 1,960,000 | 1,955,100 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 | 2,646,000 | 2,946,983 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 | 2,185,000 | 1,584,125 | ||||||
Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 5,310,000 | 2,203,650 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/19 | 2,495,000 | 1,534,425 | ||||||
20,719,241 | ||||||||
Commercial Banks—2.4% | ||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/154 | 2,130,000 | 2,087,400 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/174 | 1,570,000 | 1,499,350 | ||||||
Australia & New Zealand Banking Group Ltd., 2.40% Sec. Bonds, 11/23/164 | 480,000 | 476,121 | ||||||
Banco BMG SA: | ||||||||
9.15% Nts., 1/15/164 | 2,660,000 | 2,540,300 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/194 | 1,120,000 | 1,047,200 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued | ||||||||
Banco de Credito del Peru: | ||||||||
5.375% Sr. Nts., 9/16/204 | $ | 480,000 | $ | 473,184 | ||||
9.75% Jr. Sub. Nts., 11/6/694 | 800,000 | 912,000 | ||||||
Banco de Credito del Peru/Panama, 6.875% Sub. Nts., 9/16/263,4 | 1,628,000 | 1,680,910 | ||||||
Banco Do Brasil SA: | ||||||||
5.875% Unsec. Sub. Nts., 1/26/224 | 825,000 | 834,075 | ||||||
8.50% Jr. Sub. Perpetual Bonds4,16 | 1,125,000 | 1,316,250 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/204 | 1,160,000 | 1,229,600 | ||||||
Banco Votorantim SA, 5.25% Sr. Unsec. Unsub. Nts., 2/11/164 | 850,000 | 863,600 | ||||||
Bancolombia SA, 4.25% Sr. Unsec. Unsub. Nts., 1/12/16 | 1,740,000 | 1,731,300 | ||||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 2,050,000 | EUR | 2,774,169 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 1,404,000 | EUR | 1,870,079 | |||||
4.875% Sr. Sec. Nts., 12/20/24 | 160,000 | GBP | 258,046 | |||||
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/154 | 3,740,000 | 3,721,300 | ||||||
BPCE SFH SA, 3.75% Sr. Sec. Nts., 9/13/21 | 440,000 | EUR | 563,838 | |||||
CIT Group, Inc., 7% Sec. Bonds, 5/2/174 | 1,625,000 | 1,625,000 | ||||||
Halyk Savings Bank of Kazakhstan JSC: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/174 | 430,000 | 417,100 | ||||||
9.25% Sr. Nts., 10/16/134 | 8,420,000 | 8,883,100 | ||||||
ICICI Bank Ltd.: | ||||||||
5.50% Sr. Unsec. Nts., 3/25/154,8 | 3,090,000 | 3,093,507 | ||||||
6.375% Bonds, 4/30/223,4 | 3,060,000 | 2,708,100 | ||||||
Lloyds TSB Bank plc: | ||||||||
4.875% Sec. Nts., 1/13/23 | 170,000 | EUR | 232,993 | |||||
6% Sr. Sec. Nts., 2/8/29 | 190,000 | GBP | 331,033 | |||||
Privatbank CJSC/UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/124 | 1,240,000 | 1,223,731 | ||||||
Sberbank of Russia Via SB Capital SA, 5.40% Sr. Unsec. Nts., 3/24/17 | 2,570,000 | 2,570,000 | ||||||
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/164 | 1,290,000 | 1,254,525 | ||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/204 | 3,590,000 | 3,697,700 | ||||||
VTB Capital SA: | ||||||||
6.315% Nts., 2/22/184 | 1,250,000 | 1,188,375 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/154 | 800,000 | 810,000 | ||||||
Westpac Banking Corp., 2.45% Sr. Sec. Bonds, 11/28/164 | 480,000 | 476,527 | ||||||
54,390,413 | ||||||||
Consumer Finance—0.2% | ||||||||
JSC Astana Finance, 9.16% Nts., 3/14/125 | 7,200,000 | 792,000 | ||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 10/15/184 | $ | 1,540,000 | $ | 1,555,400 | ||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 | 1,925,000 | 2,127,125 | ||||||
4,474,525 | ||||||||
Diversified Financial Services—0.5% | ||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/264 | 2,809,723 | 2,556,847 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 825,000 | EUR | 1,076,830 | |||||
Banco Invex SA, 30.202% Mtg.-Backed Certificates, Series 062U, 3/13/343,14 | 4,830,734 | MXN | 472,173 | |||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 | 1,260,000 | 1,222,200 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
7.973% Sec. Nts., 8/26/353,6 | 5,808,600 | MXN | 466,307 | |||||
28.563% Mtg.-Backed Certificates, Series 06U, 9/25/353 | 1,678,698 | MXN | 226,144 | |||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 | 1,485,000 | 1,512,432 | ||||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/974,17 | 6,360,000 | 4,403,282 | ||||||
11,936,215 | ||||||||
Insurance—0.1% | ||||||||
International Lease Finance Corp., 8.75% Sr. Unsec. Unsub. Nts., 3/15/17 | 1,475,000 | 1,522,938 | ||||||
Real Estate Investment Trusts—0.3% | ||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 | 4,055,000 | 3,913,075 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 | 2,470,000 | 2,494,700 | ||||||
6,407,775 | ||||||||
Real Estate Management & Development—0.2% | ||||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/154,15 | 3,077,558 | 1,986,376 | ||||||
Realogy Corp., 11.50% Sr. Unsec. Unsub. Nts., 4/15/17 | 1,255,000 | 985,175 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/133,4 | 2,230,000 | 2,174,250 | ||||||
5,145,801 | ||||||||
Thrifts & Mortgage Finance—0.3% | ||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/164 | 745,000 | 685,400 | ||||||
WM Covered Bond Program: | ||||||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 3,250,000 | EUR | 4,413,354 | |||||
4.375% Sec. Nts., 5/19/14 | 1,030,000 | EUR | 1,385,584 | |||||
6,484,338 |
Principal | ||||||||
Amount | Value | |||||||
Health Care—1.0% | ||||||||
Biotechnology—0.0% | ||||||||
Grifols, Inc., 8.25% Sr. Sec. Nts., 2/1/18 | $ | 800,000 | $ | 844,000 | ||||
Health Care Equipment & Supplies—0.3% | ||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 | 2,305,000 | 1,878,575 | ||||||
Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 | 1,030,000 | 1,019,700 | ||||||
Biomet, Inc., 11.625% Sr. Unsec. Sub. Nts., 10/15/17 | 1,836,000 | 2,001,240 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 1,045,000 | 1,052,838 | ||||||
5,952,353 | ||||||||
Health Care Providers & Services—0.5% | ||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/1515 | 1,593,400 | 1,645,186 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 | 1,170,000 | 966,713 | ||||||
inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/184 | 1,280,000 | 1,177,600 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 | 2,145,000 | 1,812,525 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/184 | 1,150,000 | 1,201,750 | ||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 | 1,130,000 | 898,350 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 | 1,205,000 | 906,763 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/184 | 795,000 | 820,838 | ||||||
US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)5 | 1,730,000 | 30,275 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 1,595,000 | 1,591,013 | ||||||
11,051,013 | ||||||||
Health Care Technology—0.0% | ||||||||
MedAssets, Inc., 8% Sr. Unsec. Nts., 11/15/18 | 305,000 | 300,425 | ||||||
Life Sciences Tools & Services—0.0% | ||||||||
Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/194 | 770,000 | 812,350 | ||||||
Pharmaceuticals—0.2% | ||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 535,000 | 501,563 | ||||||
Mylan, Inc., 6% Sr. Nts., 11/15/184 | 810,000 | 837,338 | ||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/184 | 765,000 | 766,913 | ||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75% Sr. Unsec. Nts., 9/15/18 | 2,320,000 | 2,380,900 | ||||||
4,486,714 | ||||||||
Industrials—2.6% | ||||||||
Aerospace & Defense—0.5% | ||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 | 840,000 | 919,800 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 | 4,005,000 | 3,504,375 | ||||||
Hawker Beechcraft Acquisition Co. LLC: | ||||||||
8.50% Sr. Unsec. Nts., 4/1/15 | 4,815,000 | 914,850 | ||||||
9.75% Sr. Unsec. Sub. Nts., 4/1/17 | 955,000 | 95,500 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Nts., 3/15/214 | 1,410,000 | 1,388,850 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 | 1,040,000 | 1,071,200 | ||||||
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 | 3,200,000 | 3,456,000 | ||||||
11,350,575 | ||||||||
Air Freight & Logistics—0.0% | ||||||||
AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/184 | 770,000 | 796,950 | ||||||
Airlines—0.2% | ||||||||
American Airlines 2011-2 Class A Pass Through Trust, 8.625% Sec. Certificates, 4/15/23 | 420,000 | 428,400 | ||||||
Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/154 | 3,630,000 | 3,811,500 | ||||||
4,239,900 | ||||||||
Building Products—0.2% | ||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/174 | 1,105,000 | 969,638 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 | 3,655,000 | 3,252,950 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/174 | 990,000 | 1,017,500 | ||||||
5,240,088 | ||||||||
Commercial Services & Supplies—0.3% | ||||||||
R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 | 2,000,000 | 1,950,000 | ||||||
West Corp.: | ||||||||
7.875% Sr. Unsec. Nts., 1/15/19 | 1,220,000 | 1,216,950 | ||||||
8.625% Sr. Unsec. Nts., 10/1/18 | 2,665,000 | 2,704,975 | ||||||
5,871,925 |
22 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Construction & Engineering—0.2% | ||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/244 | $ | 3,701,713 | $ | 4,280,290 | ||||
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/204 | 740,000 | 795,500 | ||||||
5,075,790 | ||||||||
Electrical Equipment—0.1% | ||||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 | 1,646,000 | 1,781,795 | ||||||
Machinery—0.5% | ||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/166 | 2,675,000 | 2,658,148 | ||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/164 | 520,000 | 538,200 | ||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 | 2,805,000 | 2,969,794 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 4,140,000 | 4,077,900 | ||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 | 1,325,000 | 1,378,000 | ||||||
11,622,042 | ||||||||
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 Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 | 565,000 | 540,988 | ||||||
3,365,863 | ||||||||
Professional Services—0.1% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/154 | 1,080,000 | 977,400 | ||||||
TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/18 | 660,000 | 757,350 | ||||||
1,734,750 | ||||||||
Road & Rail—0.3% | ||||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 | 3,620,000 | 3,801,000 | ||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/204 | 825,000 | 864,188 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/154 | 3,730,000 | 1,603,900 | ||||||
6,269,088 | ||||||||
Information Technology—1.2% | ||||||||
Communications Equipment—0.0% | ||||||||
Avaya, Inc., 7% Sr. Sec. Nts., 4/1/194 | 1,055,000 | 1,028,625 | ||||||
Computers & Peripherals—0.2% | ||||||||
Seagate HDD Cayman: | ||||||||
6.875% Sr. Unsec. Nts., 5/1/20 | 1,880,000 | 1,941,100 | ||||||
7% Sr. Unsec. Nts., 11/1/214 | 1,695,000 | 1,745,850 | ||||||
3,686,950 | ||||||||
Electronic Equipment & Instruments—0.1% | ||||||||
CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 | 1,920,000 | 1,939,200 | ||||||
Internet Software & Services—0.2% | ||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 | 5,135,000 | 5,276,213 | ||||||
IT Services—0.3% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | 2,145,000 | 1,683,825 | ||||||
First Data Corp.: | ||||||||
8.875% Sr. Sec. Nts., 8/15/204 | 2,390,000 | 2,401,950 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 | 2,085,000 | 1,970,325 | ||||||
6,056,100 | ||||||||
Semiconductors & Semiconductor Equipment—0.3% | ||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 | 2,520,000 | 2,601,900 | ||||||
Freescale Semiconductor, Inc.: | ||||||||
9.25% Sr. Sec. Nts., 4/15/184 | 1,710,000 | 1,836,113 | ||||||
10.75% Sr. Unsec. Nts., 8/1/20 | 1,950,000 | 2,042,625 | ||||||
NXP BV/NXP Funding LLC, 9.75% Sr. Sec. Nts., 8/1/184 | 855,000 | 936,225 | ||||||
7,416,863 | ||||||||
Software—0.1% | ||||||||
SunGard Data Systems, Inc.: | ||||||||
7.375% Sr. Unsec. Nts., 11/15/18 | 560,000 | 576,100 | ||||||
7.625% Sr. Unsec. Nts., 11/15/20 | 765,000 | 789,863 | ||||||
1,365,963 | ||||||||
Materials—2.5% | ||||||||
Chemicals—0.5% | ||||||||
Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/414 | 610,000 | 589,413 | ||||||
Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/214 | 2,580,000 | 2,586,450 | ||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 | 1,545,000 | 1,560,450 | ||||||
Hexion U.S. Finance Corp./Hexion | ||||||||
Nova Scotia Finance ULC: | ||||||||
8.875% Sr. Sec. Nts., 2/1/18 | 1,315,000 | 1,239,388 | ||||||
9% Sec. Nts., 11/15/20 | 1,340,000 | 1,112,200 | ||||||
Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/17 | 960,000 | 1,053,600 | ||||||
LyondellBasell Industries NV, 6% Sr. Nts., 11/15/214 | 1,525,000 | 1,589,813 |
23 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Principal | ||||||||
Amount | Value | |||||||
CHEMICALS Continued | ||||||||
Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 | $ | 2,165,000 | $ | 1,656,225 | ||||
11,387,539 | ||||||||
Construction Materials—0.3% | ||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/214 | 1,540,000 | 1,620,850 | ||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/204 | 872,000 | 673,620 | ||||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/184 | 1,950,000 | 1,564,875 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 | 1,355,000 | 1,187,319 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/204 | 990,000 | 997,425 | ||||||
6,044,089 | ||||||||
Containers & Packaging—0.2% | ||||||||
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 | 1,580,000 | 1,583,950 | ||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/194 | 2,075,000 | 2,158,000 | ||||||
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 | 880,000 | 814,000 | ||||||
4,555,950 | ||||||||
Metals & Mining—0.9% | ||||||||
Aleris International, Inc., 7.625% Sr. Unsec. Nts., 2/15/18 | 3,805,000 | 3,728,900 | ||||||
Alrosa Finance SA, 7.75% Nts., 11/3/204 | 1,580,000 | 1,580,000 | ||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/164 | 1,245,000 | 1,083,150 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/194 | 820,000 | 870,430 | ||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/164 | 2,105,000 | 1,841,875 | ||||||
JSC Severstal, 6.70% Nts., 10/25/174 | 1,940,000 | 1,828,450 | ||||||
Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 | 465,000 | 501,038 | ||||||
Vedanta Resources plc: | ||||||||
8.25% Sr. Unsec. Nts., 6/7/214 | 2,420,000 | 1,899,700 | ||||||
9.50% Sr. Unsec. Nts., 7/18/184 | 7,325,000 | 6,372,750 | ||||||
19,706,293 | ||||||||
Paper & Forest Products—0.6% | ||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/184 | 1,554,000 | 1,721,055 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/154 | 3,700,000 | 3,667,625 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/164 | 3,981,000 | 2,129,835 | ||||||
Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 | 2,005,000 | 2,060,138 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/145 | 4,855,000 | 3,616,975 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/156 | 1,500,000 | 907,500 | ||||||
14,103,128 | ||||||||
Telecommunication Services—2.0% | ||||||||
Diversified Telecommunication Services—1.0% | ||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/194 | 2,800,000 | 2,156,000 | ||||||
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/164 | 2,990,000 | BRR | 1,570,942 | |||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | 1,410,000 | 1,424,100 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 2,010,000 | 1,876,838 | ||||||
Intelsat Bermuda Ltd.: | ||||||||
11.25% Sr. Unsec. Nts., 2/4/17 | 2,055,000 | 1,993,350 | ||||||
11.50% Sr. Unsec. Nts., 2/4/1715 | 1,424,414 | 1,378,121 | ||||||
Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/20 | 755,000 | 768,213 | ||||||
Level 3 Financing, Inc.: | ||||||||
9.25% Sr. Unsec. Unsub. Nts., 11/1/14 | 320,000 | 328,800 | ||||||
9.375% Sr. Unsec. Unsub. Nts., 4/1/19 | 3,460,000 | 3,628,675 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/204 | 4,302,000 | 4,258,980 | ||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/184 | 1,190,000 | 1,085,875 | ||||||
Windstream Corp., 7.50% Sr. Unsec. Nts., 6/1/224 | 1,975,000 | 1,975,000 | ||||||
22,444,894 | ||||||||
Wireless Telecommunication Services—1.0% | ||||||||
America Movil SAB de CV: | ||||||||
6.125% Sr. Unsec. Unsub. Nts., 3/30/40 | 655,000 | 783,844 | ||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 52,700,000 | MXN | 3,632,658 | |||||
Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 | 2,440,000 | 2,141,100 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 | 2,770,000 | 2,589,950 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/204 | 2,035,000 | 2,195,256 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 | 2,065,000 | 1,899,800 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 | 480,000 | 390,600 | ||||||
Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/184 | 775,000 | 815,688 |
24 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Wireless Telecommunication Services Continued | ||||||||
Vimpel Communications/ VIP Finance Ireland Ltd. OJSC, 7.748% Nts., 2/2/214 | $ | 1,205,000 | $ | 1,036,300 | ||||
VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/224 | 2,035,000 | 1,719,575 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/184 | 4,350,000 | 4,279,313 | ||||||
21,484,084 | ||||||||
Utilities—3.0% | ||||||||
Electric Utilities—1.8% | ||||||||
Centrais Eletricas Brasileiras SA: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 10/27/214 | 2,530,000 | 2,641,320 | ||||||
6.875% Sr. Unsec. Unsub. Nts., 7/30/194 | 1,605,000 | 1,829,700 | ||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 2,905,000 | 1,902,775 | ||||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/224 | 800,000 | 664,000 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/194 | 1,445,000 | 1,683,425 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 | 1,992,000 | 2,111,520 | ||||||
Eskom Holdings Ltd.: | ||||||||
5.75% Sr. Unsec. Bonds, 1/26/214 | 3,010,000 | 3,077,725 | ||||||
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 | 31,000,000 | ZAR | 3,491,475 | |||||
10% Nts., Series ES23, 1/25/23 | 44,000,000 | ZAR | 6,064,528 | |||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/194 | 4,440,000 | 4,586,786 | ||||||
Majapahit Holding BV: | ||||||||
7.75% Nts., 10/17/164 | 2,250,000 | 2,534,063 | ||||||
8% Sr. Unsec. Nts., 8/7/194,8 | 1,650,000 | 1,947,000 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 109,600,000 | PHP | 2,789,456 | |||||
Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 1/22/214 | 2,220,000 | 2,269,950 | ||||||
Texas Competitive Electric Holdings Co. LLC: | ||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 8,270,000 | 2,977,200 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 | 1,460,000 | 511,000 | ||||||
41,081,923 | ||||||||
Energy Traders—0.9% | ||||||||
AES Corp. (The), 8% Sr. Unsec. Unsub. Nts., 10/15/17 | 855,000 | 944,775 | ||||||
Calpine Corp., 7.50% Sr. Sec. Nts., 2/15/214 | 885,000 | 951,375 | ||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/204 | 1,750,000 | 1,860,646 | ||||||
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/214,8 | 1,725,000 | 1,794,000 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 | 1,840,000 | 1,941,200 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/184 | 270,000 | 266,625 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/174 | 1,895,000 | 1,951,850 | ||||||
GenOn Energy, Inc., 9.50% Sr. Unsec. Nts., 10/15/18 | 1,465,000 | 1,490,638 | ||||||
NRG Energy, Inc., 7.625% Sr. Unsec. Nts., 1/15/18 | 560,000 | 562,800 | ||||||
Power Sector Assets & Liabilities Management Corp.: | ||||||||
7.25% Sr. Gtd. Unsec. Nts., 5/27/194 | 1,110,000 | 1,351,425 | ||||||
7.39% Sr. Gtd. Unsec. Nts., 12/2/244 | 1,200,000 | 1,473,000 | ||||||
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/154 | 1,120,000 | 1,219,364 | ||||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 | 3,630,000 | 3,711,643 | ||||||
19,519,341 | ||||||||
Gas Utilities—0.1% | ||||||||
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub. Nts., 11/10/216 | 870,000 | 885,225 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 | 680,000 | 601,800 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/174 | 1,352,000 | 1,455,090 | ||||||
2,942,115 | ||||||||
Multi-Utilities—0.1% | ||||||||
Abu Dhabi National Energy Co. (TAQA), 5.875% Sr. Unsec. Nts., 12/13/214 | 1,690,000 | 1,766,050 | ||||||
Water Utilities—0.1% | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/204 | 1,475,000 | 1,530,313 | ||||||
Total Corporate Bonds and Notes (Cost $615,468,202) | 584,115,534 |
Shares | ||||||||
Preferred Stocks—0.3% | ||||||||
Ally Financial, Inc., 7%, Non-Vtg.4 | 3,112 | 2,231,012 | ||||||
GMAC Capital Trust I, 8.125% Cum. | 30,000 | 580,200 | ||||||
Greektown Superholdings, Inc., Series A-12 | 45,600 | 2,968,560 | ||||||
Total Preferred Stocks (Cost $8,077,075) | 5,779,772 |
25 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Shares | Value | |||||||
Common Stocks—0.6% | ||||||||
AbitibiBowater, Inc.2 | 88,383 | $ | 1,285,973 | |||||
American Media Operations, Inc. 2 | 161,731 | 2,587,696 | ||||||
Arco Capital Corp. Ltd.2,6 | 690,638 | 1,381,276 | ||||||
Dana Holding Corp.2 | 72,775 | 884,216 | ||||||
Gaylord Entertainment Co., Cl. A2 | 43,813 | 1,057,646 | ||||||
Global Aviation Holdings, Inc.2 | 100 | 1,000 | ||||||
Greektown Superholdings, Inc. 2 | 3,450 | 208,932 | ||||||
Huntsman Corp. | 25,585 | 255,850 | ||||||
Kaiser Aluminum Corp. | 229 | 10,507 | ||||||
LyondellBasell Industries NV, Cl. A | 45,017 | 1,462,602 | ||||||
MHP SA, GDR2,4 | 56,610 | 606,293 | ||||||
Orbcomm, Inc.2 | 375 | 1,121 | ||||||
Premier Holdings Ltd.2 | 18,514 | — | ||||||
Range Resources Corp. | 7,593 | 470,310 | ||||||
Solutia, Inc.2 | 21,182 | 366,025 | ||||||
Visteon Corp. 2 | 36,636 | 1,829,602 | ||||||
Walter Industries, Inc. | 3,907 | 236,608 | ||||||
Whiting Petroleum Corp.2 | 7,858 | 366,890 | ||||||
Total Common Stocks (Cost $27,341,263) | 13,012,547 | |||||||
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17 2 (Cost $3,162,655) | 11,668 | 420 | ||||||
Principal | ||||||||
Amount | ||||||||
Structured Securities—5.6% | ||||||||
Barclays Bank plc: | ||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 13,870,000,000 | IDR | 2,067,613 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 | 10,380,000,000 | IDR | 1,579,752 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 | 2,650,000,000 | IDR | 395,038 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 | 2,650,000,000 | IDR | 403,309 | |||||
Russian Federation Total Return Linked Bonds, 7.15%, 1/25/133 | 57,980,000 | RUR | 1,811,650 | |||||
Russian Federation Total Return Linked Bonds, 6.70%, 2/8/133 | 59,410,000 | RUR | 1,847,108 | |||||
Citigroup Funding, Inc.: | ||||||||
ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/153,6 | 19,220,000 | RUR | 601,296 | |||||
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 | 2,100,000,000 | IDR | $ | 319,603 | ||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/133,6 | 39,820,000 | RUR | 1,238,347 | |||||
Citigroup Global Markets Holdings, Inc.: | ||||||||
Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/124 | 34,400,000,000 | IDR | 3,794,907 | |||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/186 | 3,255,000,000 | COP | 2,024,781 | |||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 | 10,368,000,000 | COP | 6,359,928 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 | 2,665,000,000 | COP | 1,656,246 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/126 | 49,300,000 | DOP | 1,278,000 | |||||
Credit Suisse First Boston International: | ||||||||
Moitk Total Return Linked Nts., 21%, 3/30/115 | 53,910,000 | RUR | 5,022 | |||||
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/123 | 81,784,500 | RUR | 2,501,736 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/105 | 97,250,000 | RUR | 302 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 | 42,600,000 | RUR | 1,289,747 | |||||
Credit Suisse International: | ||||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 41,550,000 | RUR | 1,328,919 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 30,880,000 | RUR | 987,654 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 44,460,000 | RUR | 1,421,991 | |||||
Deutsche Bank AG: | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/256,13 | 1,831,327 | 1,232,704 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/256,13 | 2,333,393 | 1,570,655 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/256,13 | 2,014,511 | 1,356,009 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/256,13 | 1,800,719 | 1,212,101 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/256,13 | 2,242,041 | 1,509,164 |
26 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Deutsche Bank AG: Continued | ||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/256,13 | $ | 2,558,949 | $ | 1,722,481 | ||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/256,13 | 2,044,301 | 1,376,061 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/256,13 | 1,921,557 | 1,293,439 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 12.424%, 12/31/176 | 15,420,000 | BRR | 9,946,565 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/123 | 38,600,000 | RUR | 1,236,844 | |||||
JSC Gazprom Total Return Linked Nts., Series 4, 13.12%, 6/28/123 | 45,990,000 | RUR | 1,473,639 | |||||
JSC VTB Bank Credit Linked Nts., 12%, 6/19/123,6 | 20,500,000 | UAH | 2,454,472 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.287%, 5/22/153,6 | 697,693 | MXN | 48,425 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.287%, 5/22/153,6 | 1,220,632 | MXN | 84,720 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.287%, 5/22/153,6 | 18,404,162 | MXN | 1,277,379 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.287%, 5/22/153,6 | 1,341,270 | MXN | 93,094 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.287%, 5/22/153,6 | 974,458 | MXN | 67,634 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.287%, 5/22/153,6 | 622,337 | MXN | 43,195 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.287%, 5/22/153,6 | 114,609 | MXN | 7,955 | |||||
Eirles Two Ltd. Sec. Nts.: | ||||||||
Series 324, 3.798%, 4/30/123,6 | 4,100,000 | 3,767,900 | ||||||
Series 335, 2.248%, 4/30/123,6 | 6,300,000 | 6,016,500 | ||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/376,13 | 63,720,800,000 | COP | 1,738,886 | |||||
Hallertau SPC Credit Linked Nts.: | ||||||||
Series 2007-01, 2.838%, 12/20/173,6 | 6,250,000 | 5,174,375 | ||||||
Series 2008-01, 9.888%, 8/2/105,6,13 | 14,337,604 | BRR | 768,669 | |||||
Series 2008-2A, 8.14%, 9/17/133,6 | 12,143,750 | 6,820,359 | ||||||
HSBC Bank USA NA: | ||||||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 8.25%, 7/15/214 | 13,360,000,000 | IDR | 1,709,137 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 9.50%, 7/15/314 | 13,330,000,000 | IDR | 1,852,308 | |||||
JPMorgan Chase & Co.: | ||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/206 | 1,315,000,000 | COP | 817,423 | |||||
Indonesia (Republic of) Credit Linked Bonds, 8.25%, 7/19/214 | 15,945,000,000 | IDR | 2,039,835 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 10, 8.25%, 7/19/214 | 5,350,000,000 | IDR | 684,422 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 11, 8.25%, 7/19/214 | 3,070,000,000 | IDR | 392,743 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 6, 8.25%, 7/19/214 | 10,090,000,000 | IDR | 1,290,808 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 7, 8.25%, 7/19/214 | 22,680,000,000 | IDR | 2,901,439 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 9, 8.25%, 7/19/214 | 3,970,000,000 | IDR | 507,880 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 4, 11%, 9/17/25 | 32,670,000,000 | IDR | 4,972,109 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/254 | 2,100,000,000 | IDR | 319,603 | |||||
JPMorgan Chase Bank NA: | ||||||||
Indonesia (Republic of) Credit Linked Nts., Series 1, 9.50%, 7/17/314 | 4,222,000,000 | IDR | 586,680 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/304 | 17,135,000,000 | IDR | 2,554,329 | |||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/133,4 | 39,840,000 | RUR | 1,238,351 | |||||
Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/133,6 | 48,970,000 | RUR | 1,528,982 | |||||
LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/165,13 | 363,871 | 36,387 | ||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/126 | 1,089,830 | 331,962 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/166 | 1,784,000,000 | COP | 930,515 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/174 | 4,885,000 | PEN | 1,344,394 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 62,606,453 | RUR | 931,673 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federative Republic of) Credit Linked Nts., 12.551%, 1/5/224,13 | 28,914,000 | BRR | 2,163,996 | |||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/154 | 2,000,000 | 1,568,000 | ||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/126,13 | 1,710,000 | GHS | 1,036,743 | |||||
UBS AG: | ||||||||
Indonesia (Republic of) Total Return Linked Nts., 8.25%, 7/19/21 | 19,270,000,000 | IDR | 2,465,200 |
27 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Principal | ||||||||||
Amount | Value | |||||||||
Structured Securities Continued | ||||||||||
UBS AG: Continued | ||||||||||
Indonesia (Republic of) Total Return Linked Nts., Series 1, 9.50%, 7/17/31 | 14,700,000,000 IDR | $ | 2,042,680 | |||||||
Indonesia (Republic of) Total Return Linked Nts., Series 3, 8.25%, 7/19/21 | 2,970,000,000 IDR | 379,950 | ||||||||
Indonesia (Republic of) Total Return Linked Nts., Series 5, 8.25%, 7/19/21 | 23,105,000,000 IDR | 2,955,809 | ||||||||
Indonesia (Republic of) Total Return Linked Nts., Series 999, 9.50%, 7/17/31 | 18,212,000,000 IDR | 2,530,700 | ||||||||
Total Structured Securities (Cost $155,955,100) | 127,320,232 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.2% | ||||||||||||||||
Australian Dollar (AUD) Call2 | 1/13/12 | $ | 1.040 | 1,905,000 | 6,373 | |||||||||||
Australian Dollar (AUD) Call2 | 1/13/12 | 1.040 | 1,905,000 | 6,373 | ||||||||||||
Australian Dollar (AUD) Call2 | 1/13/12 | 1.040 | 2,930,000 | 9,802 | ||||||||||||
Australian Dollar (AUD) Call2 | 1/17/12 | 1.040 | 950,000 | 4,215 | ||||||||||||
Australian Dollar (AUD) Futures, 3/19/12 Put2 | 1/9/12 | 95.000 | 95 | 475 | ||||||||||||
Australian Dollar (AUD) Futures, 3/19/12 Put2 | 1/9/12 | 99.000 | 48 | 5,760 | ||||||||||||
Australian Dollar (AUD) Futures, 3/19/12 Put2 | 1/9/12 | 89.000 | 49 | 245 | ||||||||||||
Euro (EUR) 90 Day Futures, 3/19/12 Put2 | 1/16/12 | 99.250 | 179 | 3,356 | ||||||||||||
Euro (EUR) 90 Day Futures, 3/19/12 Put2 | 2/13/12 | 99.250 | 179 | 12,306 | ||||||||||||
Euro (EUR) Call2 | 1/13/12 | 1.390 | 950,000 | 9 | ||||||||||||
Euro (EUR) Call2 | 1/13/12 | 1.450 | 950,000 | — | ||||||||||||
Euro (EUR) Call2 | 1/18/12 | 1.400 | 955,000 | 23 | ||||||||||||
Euro (EUR) FX Futures, 3/19/12 Put2 | 3/12/12 | 1.310 | 36 | 176,850 | ||||||||||||
Euro-Bundesobligation Futures, 3/8/12 Call2 | 1/30/12 | 143.000 EUR | 136 | 35,204 | ||||||||||||
Euro-Bundesobligation Futures, 3/8/12 Put2 | 1/30/12 | 130.000 EUR | 484 | 18,792 | ||||||||||||
Euro-Bundesobligation Futures, 3/8/12 Put2 | 1/30/12 | 132.000 EUR | 484 | 37,585 | ||||||||||||
Euro-Bundesobligation Futures, 3/8/12 Put2 | 1/30/12 | 135.000 EUR | 97 | 32,641 | ||||||||||||
Euro-Bundesobligation Futures, 3/8/12 Put2 | 2/27/12 | 133.000 EUR | 98 | 43,124 | ||||||||||||
Euro-Bundesobligation Futures, 3/8/12 Put2 | 2/27/12 | 134.000 | EUR | 433 | 263,392 | |||||||||||
Indonesia Rupiah (IDR) Put2 | 1/27/12 | 9,300,000 | IDR | 61,700,000,000 | 70,338 | |||||||||||
Indonesia Rupiah (IDR) Put2 | 1/27/12 | 9,300,000 | IDR | 30,900,000,000 | 35,226 | |||||||||||
Indonesia Rupiah (IDR) Put2 | 1/30/12 | 9,300,000 | IDR | 30,800,000,000 | 33,880 | |||||||||||
Japanese Yen (JPY) Futures, 3/19/12 Put2 | 1/9/12 | 127.500 | 24 | 2,400 | ||||||||||||
Japanese Yen (JPY) Futures, 3/19/12 Put2 | 1/9/12 | 126.500 | 4 | 250 | ||||||||||||
Japanese Yen (JPY) Futures, 3/19/12 Put2 | 1/9/12 | 127.000 | 41 | 3,075 | ||||||||||||
Japanese Yen (JPY) Futures, 3/19/12 Put2 | 1/9/12 | 128.000 | 3 | 413 | ||||||||||||
Japanese Yen (JPY) Futures, 3/19/12 Put2 | 2/6/12 | 127.000 | 20 | 9,250 | ||||||||||||
Japanese Yen (JPY) Futures, 3/19/12 Put2 | 3/12/12 | 127.500 | 20 | 24,250 | ||||||||||||
Japanese Yen (JPY) Futures, 3/19/12 Put2 | 3/12/12 | 127.000 | 56 | 58,800 | ||||||||||||
Japanese Yen (JPY) Put2 | 10/23/12 | 85.000 | JPY | 322,000,000 | 36,892 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 | 1/18/12 | 12.950 | MXN | 64,860,000 | 385 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 | 1/18/12 | 12.950 | MXN | 64,860,000 | 385 | |||||||||||
New Zealand Dollar (NZD) Call2 | 1/13/12 | 0.840 | 2,860,000 | 32 | ||||||||||||
New Zealand Dollar (NZD) Call2 | 1/17/12 | 0.840 | 2,800,000 | 119 | ||||||||||||
New Zealand Dollar (NZD) Call2 | 1/17/12 | 0.840 | 2,855,000 | 121 | ||||||||||||
South Korean Won (KRW) Call2 | 1/19/12 | 1,120.000 | KRW | 1,219,000,000 | 1,158 | |||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Call2 | 1/30/12 | 131.000 | 222 | 190,781 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 1/30/12 | 125.000 | 467 | 7,297 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 1/30/12 | 125.500 | 188 | 2,938 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 1/30/12 | 127.500 | 13 | 813 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 1/30/12 | 128.000 | 664 | 62,250 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 1/30/12 | 128.500 | 117 | 14,625 |
28 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | Value | |||||||||||||
Options Purchased Continued | ||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 1/30/12 | $ | 129.500 | 58 | $ | 15,406 | ||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 2/27/12 | 123.500 | 89 | 5,563 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 2/27/12 | 125.500 | 89 | 9,734 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 3/21/12 Put2 | 2/27/12 | 126.500 | 9 | 1,406 | ||||||||||||
U.S. Treasury Nts., 3.125%, 11/15/41 Call 2 | 5/30/12 | 103.470 | 70,500,000 | 4,428,281 | ||||||||||||
Total Options Purchased (Cost $8,462,954) | 5,672,593 | |||||||||||||||
Exercise | Notional | |||||||||||||||
Date | Amount | |||||||||||||||
Swaptions Purchased—0.2% | ||||||||||||||||
Goldman Sachs Group, Inc. (The); Interest Rate Swaption (European); Swap Terms; Paid: 2.495%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/22/222 | 11/23/12 | 2.500 | $ | 37,700,000 | 1,002,622 | |||||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms; Paid: 2.215%; Received: | ||||||||||||||||
Three-Month USD BBA LIBOR; Termination Date: 12/4/222 | 12/3/12 | 2.220 | 96,515,000 | 3,449,483 | ||||||||||||
Total Swaptions Purchased (Cost $6,458,261) | 4,452,105 |
Shares | Value | |||||||
Investment Companies—19.7% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%1,18 | 27,393,119 | $ | 27,393,119 | |||||
Oppenheimer Master Event-Linked Bond Fund, LLC1 | 4,827,322 | 54,385,728 | ||||||
Oppenheimer Master Loan Fund, LLC1 | 29,466,809 | 351,705,692 | ||||||
Oppenheimer Short Duration Fund, Cl. Y1 | 1,001,329 | 10,013,286 | ||||||
Total Investment Companies (Cost $453,272,500) | 443,497,825 | |||||||
Total Investments, at Value (Cost $2,467,842,455) | 103.2 | % | 2,325,918,740 | |||||
Liabilities in Excess of Other Assets | (3.2 | ) | (72,928,642 | ) | ||||
Net Assets | 100.0 | % | $ | 2,252,990,098 | ||||
29 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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 | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NZD | New Zealand Dollar | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SGD | Singapore Dollar | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
ZAR | South African Rand |
1. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended December 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 | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 83,436,389 | 624,478,359 | 680,521,629 | 27,393,119 | ||||||||||||
Oppenheimer Global Strategic Bond Fund/VA | — | 15,000 | — | 15,000 | ||||||||||||
(Cayman) Ltd.a | ||||||||||||||||
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 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y | — | 1,001,329 | — | 1,001,329 |
Realized | ||||||||||||
Value | Income | Gain (Loss) | ||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 27,393,119 | $ | 89,809 | $ | — | ||||||
Oppenheimer Global Strategic Bond Fund/VA | 1,482,519 | — | — | |||||||||
(Cayman) Ltd.a | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 54,385,728 | 4,073,320 | b | (2,323,415 | )b | |||||||
Oppenheimer Master Loan Fund, LLC | 351,705,692 | 27,436,119 | c | 455,054 | c | |||||||
Oppenheimer Short Duration Fund, Cl. Y | 10,013,286 | 18,665 | — | |||||||||
$ | 444,980,344 | $ | 31,617,913 | $ | (1,868,361 | ) | ||||||
a. | Investment in a wholly-owned subsidiary. See Note 1 of the accompanying Notes and individual financial statements of the entity included herein. | |
b. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | |
c. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. | |
2. | Non-income producing security. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
4. | 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 $374,254,289 or 16.61% of the Fund’s net assets as of December 30, 2011. | |
5. | 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. | |
6. | Restricted security. The aggregate value of restricted securities as of December 30, 2011 was $80,967,420, which represents 3.59% 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 | ) | ||||||||
Citigroup Funding, Inc., ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 | 3/1/11 | 679,152 | 601,296 | (77,856 | ) | |||||||||||
Citigroup Funding, Inc., Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 | 3/2/11 | 1,411,191 | 1,238,347 | (172,844 | ) | |||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 12/9/08 | 1,376,941 | 2,024,781 | 647,840 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 3/7/07 | 1,479,820 | 1,278,000 | (201,820 | ) |
30 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 | 4/21/10-5/3/11 | $ | 2,685,164 | $ | 2,658,148 | $ | (27,016 | ) | ||||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.794%, 1/27/37 | 5/29/08 | 968,781 | 605,015 | (363,766 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 | 10/8/10 | 1,239,751 | 1,232,704 | (7,047 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25 | 4/16/09 | 1,262,351 | 1,293,439 | 31,088 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 | 8/18/09 | 1,351,510 | 1,376,061 | 24,551 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25 | 9/25/09 | 1,695,487 | 1,722,481 | 26,994 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 | 12/17/09 | 1,492,145 | 1,509,164 | 17,019 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 | 3/30/10 | 1,204,077 | 1,212,101 | 8,024 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 | 5/18/10 | 1,351,634 | 1,356,009 | 4,375 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 | 7/16/10 | 1,571,099 | 1,570,655 | (444 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 12.424%, 12/31/17 | 9/19/07 | 6,852,465 | 9,946,565 | 3,094,100 | ||||||||||||
Deutsche Bank AG, JSC VTB Bank Credit Linked Nts., 12%, 6/19/12 | 6/30/11 | 2,586,915 | 2,454,472 | (132,443 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.287%, 5/22/15 | 5/21/08 | 67,269 | 48,425 | (18,844 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.287%, 5/22/15 | 6/12/08 | 117,680 | 84,720 | (32,960 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.287%, 5/22/15 | 6/18/08 | 1,785,486 | 1,277,379 | (508,107 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.287%, 5/22/15 | 7/8/08 | 130,028 | 93,094 | (36,934 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.287%, 5/22/15 | 7/15/08 | 94,626 | 67,634 | (26,992 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.287%, 5/22/15 | 8/8/08 | 61,263 | 43,195 | (18,068 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.287%, 5/22/15 | 8/22/08 | 11,304 | 7,955 | (3,349 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 324, 3.798%, 4/30/12 | 4/17/07 | 4,100,884 | 3,767,900 | (332,984 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.248%, 4/30/12 | 9/17/07 | 6,282,061 | 6,016,500 | (265,561 | ) | |||||||||||
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 | ) | |||||||||||
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub. Nts., 11/10/21 | 11/3/11-12/16/11 | 870,449 | 885,225 | 14,776 | ||||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 | 1/18/07 | 6,374,568 | 1,738,886 | (4,635,682 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.838%, 12/20/17 | 12/13/07 | 6,250,000 | 5,174,375 | (1,075,625 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 | 4/18/08-10/1/08 | 7,188,001 | 768,669 | (6,419,332 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 8.14%, 9/17/13 | 10/23/08 | 12,215,603 | 6,820,359 | (5,395,244 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.152%, 8/15/22 | 11/6/07 | 7,001,104 | 5,115,500 | (1,885,604 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.452%, 8/15/22 | 6/8/07 | 5,270,000 | 3,320,100 | (1,949,900 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.452%, 8/15/22 | 6/8/07 | 5,270,000 | 3,425,500 | (1,844,500 | ) | |||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 | 8/24/10 | 902,343 | 817,423 | (84,920 | ) | |||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/13 | 2/28/11 | 1,714,455 | 1,528,982 | (185,473 | ) | |||||||||||
JPMorgan Hipotecaria su Casita, 7.973% Sec. Nts., 8/26/35 | 3/21/07 | 526,714 | 466,307 | (60,407 | ) | |||||||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 | 6/20/07 | 1,091,362 | 331,962 | (759,400 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 | 10/20/06 | 762,393 | 930,515 | 168,122 | ||||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 | 8/10/10 | 66,025 | 6,007 | (60,018 | ) | |||||||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/15 | 3/7/11-4/6/11 | 1,364,632 | 907,500 | (457,132 | ) | |||||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 | 3/6/98 | 242,675 | — | (242,675 | ) | |||||||||||
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 | 227,780 | 225,476 | (2,304 | ) | |||||||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 | 9/22/10-9/23/10 | 2,614,264 | 2,600,575 | (13,689 | ) | |||||||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/12 | 9/16/11 | 1,085,794 | 1,036,743 | (49,051 | ) | |||||||||||
$ | 115,076,879 | $ | 80,967,420 | $ | (34,109,459 | ) | ||||||||||
7. | 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. | |
8. | When-issued security or delayed delivery to be delivered and settled after December 30, 2011. See Note 1 of the accompanying Notes. |
31 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
9. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. 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 or asset-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 $10,129,464 or 0.45% of the Fund’s net assets as of December 30, 2011. | |
10. | 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. | |
11. | 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 $5,763,355 See Note 5 of the accompanying Notes. | |
12. | 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 $12,776,418. See Note 5 of the accompanying Notes. | |
13. | Zero coupon bond reflects effective yield on the date of purchase. | |
14. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. | |
15. | Interest or dividend is paid-in-kind, when applicable. | |
16. | 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. | |
17. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
18. | Rate shown is the 7-day yield as of December 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: | ||||||||||||||||
Wholly-Owned Subsidiary | $ | — | $ | 1,482,519 | $ | — | $ | 1,482,519 | ||||||||
Asset-Backed Securities | — | 10,763,457 | 11,861,100 | 22,624,557 | ||||||||||||
Mortgage-Backed Obligations | — | 447,222,572 | 1,423,222 | 448,645,794 | ||||||||||||
U.S. Government Obligations | — | 180,362,405 | — | 180,362,405 | ||||||||||||
Foreign Government Obligations | — | 468,074,488 | — | 468,074,488 | ||||||||||||
Loan Participations | — | 20,877,949 | — | 20,877,949 | ||||||||||||
Corporate Bonds and Notes | — | 584,115,534 | — | 584,115,534 | ||||||||||||
Preferred Stocks | — | 2,811,212 | 2,968,560 | 5,779,772 | ||||||||||||
Common Stocks | 7,004,041 | 5,798,574 | 209,932 | 13,012,547 | ||||||||||||
Rights, Warrants and Certificates | — | — | 420 | 420 | ||||||||||||
Structured Securities | — | 120,126,200 | 7,194,032 | 127,320,232 | ||||||||||||
Options Purchased | 1,038,981 | 4,633,612 | — | 5,672,593 | ||||||||||||
Swaptions Purchased | — | 4,452,105 | — | 4,452,105 | ||||||||||||
Investment Companies | 37,406,405 | 406,091,420 | — | 443,497,825 | ||||||||||||
Total Investments, at Value | 45,449,427 | 2,256,812,047 | 23,657,266 | 2,325,918,740 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | — | 4,059,953 | — | 4,059,953 | ||||||||||||
Depreciated swaps, at value | — | 1,058,863 | — | 1,058,863 | ||||||||||||
Futures margins | 919,349 | — | — | 919,349 | ||||||||||||
Foreign currency exchange contracts | — | 6,674,020 | — | 6,674,020 | ||||||||||||
Total Assets | $ | 46,368,776 | $ | 2,268,604,883 | $ | 23,657,266 | $ | 2,338,630,925 | ||||||||
32 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Level 3– | ||||||||||||||||
Level 1– | Level 2– | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | $ | — | $ | (2,186,195 | ) | $ | — | $ | (2,186,195 | ) | ||||||
Depreciated swaps, at value | — | (3,188,215 | ) | — | (3,188,215 | ) | ||||||||||
Appreciated options written, at value | (1,271,573 | ) | (155,575 | ) | — | (1,427,148 | ) | |||||||||
Depreciated options written, at value | (937,077 | ) | — | — | (937,077 | ) | ||||||||||
Appreciated swaptions written, at value | — | (1,798,390 | ) | — | (1,798,390 | ) | ||||||||||
Depreciated swaptions written, at value | — | (5,770,471 | ) | — | (5,770,471 | ) | ||||||||||
Futures margins | (289,872 | ) | — | — | (289,872 | ) | ||||||||||
Foreign currency exchange contracts | — | (9,409,937 | ) | — | (9,409,937 | ) | ||||||||||
Total Liabilities | $ | (2,498,522 | ) | $ | (22,508,783 | ) | $ | — | $ | (25,007,305 | ) | |||||
Transfers out of | Transfers into | Transfers out of | Transfers into | Transfers out of | ||||||||||||||||
Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | ||||||||||||||||
Assets Table | ||||||||||||||||||||
Investments, at Value: | ||||||||||||||||||||
Common Stocks | $ | — | $ | 1,381,276 | a | $ | — | $ | — | $ | (1,381,276 | )a | ||||||||
Structured Securities | — | — | (13,653,340 | )b | 13,653,340 | b | — | |||||||||||||
Investment Companies | (353,953,479 | )c | 353,953,479 | c | — | — | — | |||||||||||||
Total Assets | $ | (353,953,479 | ) | $ | 355,334,755 | $ | (13,653,340 | ) | $ | 13,653,340 | $ | (1,381,276 | ) | |||||||
a. | 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. | |
b. | 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. | |
c. | Transferred from Level 1 to Level 2 as the current market for the securities are not considered active. |
Change in | Accretion/ | |||||||||||||||||||||||||||||||
Unrealized | (Amortization) | Value as of | ||||||||||||||||||||||||||||||
Value as of | Realized | Appreciation/ | of Premium/ | Transfers into | Transfers out | December 30, | ||||||||||||||||||||||||||
December 31, 2010 | Gain (Loss) | Depreciation | Discount | Sales | Level 3 | of Level 3 | 2011 | |||||||||||||||||||||||||
Assets Table | ||||||||||||||||||||||||||||||||
Investments, at Value: | ||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | 10,800,935 | $ | 755 | $ | 1,241,950 | $ | 48,178 | a | $ | (230,718 | ) | $ | — | $ | — | $ | 11,861,100 | ||||||||||||||
Mortgage-Backed Obligations | 1,581,294 | — | (172,330 | ) | 14,258 | a | — | — | — | 1,423,222 | ||||||||||||||||||||||
Corporate Bonds and Notes | 1,744,997 | (672,002 | ) | 959,482 | — | (932,477 | ) | — | (1,100,000 | )b | — | |||||||||||||||||||||
Preferred Stocks | 4,844,088 | (537,064 | ) | (1,338,464 | ) | — | — | — | — | 2,968,560 | ||||||||||||||||||||||
Common Stocks | 4,360,342 | (34,604 | ) | 1,807,026 | — | — | — | (5,922,832 | )c | 209,932 | ||||||||||||||||||||||
Rights, Warrants and Certificates | 423 | (2,025 | ) | 2,022 | — | — | — | — | 420 | |||||||||||||||||||||||
Structured Securities | 1,288,812 | — | (7,724,149 | ) | (23,971 | )a | — | 13,653,340 | d | — | 7,194,032 | |||||||||||||||||||||
Total Assets | $ | 24,620,891 | $ | (1,244,940 | ) | $ | (5,224,463 | ) | $ | 38,465 | $ | (1,163,195 | ) | $ | 13,653,340 | $ | (7,022,832 | ) | $ | 23,657,266 | ||||||||||||
a. | Included in net investment income. | |
b. | Transferred from Level 3 because of the presence of observable market data due to a increase in market activity for these securities. | |
c. | Transferred from Level 3 because of the presence of a readily available unadjusted quoted market price for these securities. | |
d. | Transferred to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities. |
33 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Change in unrealized | ||||
appreciation/depreciation | ||||
Asset-Backed Securities | $ | 1,241,922 | ||
Mortgaged-Backed Obligations | 163,795 | |||
Preferred Stocks | (1,591,440 | ) | ||
Common Stocks | (131,997 | ) | ||
Rights, Warrants and Certificates | (3,162,235 | ) | ||
Structured Securities | (5,118,148 | ) | ||
Total | $ | (8,598,103 | ) | |
Geographic Holdings | Value | Percent | ||||||
United States | $ | 1,459,325,704 | 62.7 | % | ||||
Brazil | 105,338,135 | 4.5 | ||||||
Mexico | 73,287,695 | 3.2 | ||||||
Indonesia | 70,507,170 | 3.0 | ||||||
Russia | 68,431,158 | 2.9 | ||||||
South Africa | 61,644,107 | 2.7 | ||||||
Turkey | 48,871,322 | 2.1 | ||||||
Japan | 45,697,193 | 2.0 | ||||||
Poland | 30,757,036 | 1.3 | ||||||
Colombia | 30,058,184 | 1.3 | ||||||
Peru | 29,343,556 | 1.3 | ||||||
Venezuela | 25,051,324 | 1.1 | ||||||
Supranational | 21,977,462 | 1.0 | ||||||
Ukraine | 21,438,904 | 0.9 | ||||||
Kazakhstan | 19,174,862 | 0.8 | ||||||
United Kingdom | 17,548,593 | 0.8 | ||||||
Hungary | 16,993,020 | 0.7 | ||||||
Philippines | 16,534,138 | 0.7 | ||||||
Canada | 14,905,812 | 0.6 | ||||||
India | 14,575,095 | 0.6 | ||||||
Argentina | 13,200,162 | 0.6 | ||||||
Italy | 11,423,076 | 0.5 | ||||||
Malaysia | 9,438,677 | 0.4 | ||||||
Australia | 8,738,487 | 0.4 | ||||||
Uruguay | 8,540,407 | 0.4 | ||||||
Germany | 7,694,825 | 0.3 | ||||||
The Netherlands | 7,634,515 | 0.3 | ||||||
Panama | 5,888,838 | 0.3 | ||||||
Israel | 5,870,139 | 0.3 | ||||||
Dominican Republic | 5,691,347 | 0.3 | ||||||
Korea, Republic of South | 5,151,009 | 0.2 | ||||||
France | 5,027,561 | 0.2 | ||||||
Chile | 4,984,693 | 0.2 | ||||||
Spain | 4,687,934 | 0.2 | ||||||
Qatar | 4,073,388 | 0.2 | ||||||
Belgium | 3,888,283 | 0.2 | ||||||
Luxembourg | 3,371,471 | 0.2 |
34 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Geographic Holdings Continued | Value | Percent | ||||||
Sri Lanka | $ | 3,313,561 | 0.1 | % | ||||
Trinidad & Tobago | 2,933,350 | 0.1 | ||||||
Austria | 2,820,052 | 0.1 | ||||||
Ghana | 2,692,243 | 0.1 | ||||||
United Arab Emirates | 1,766,050 | 0.1 | ||||||
Nigeria | 1,687,950 | 0.1 | ||||||
Norway | 907,500 | — | ||||||
Denmark | 891,607 | — | ||||||
Greece | 693,199 | — | ||||||
Finland | 612,819 | — | ||||||
Singapore | 432,736 | — | ||||||
Ivory Coast | 209,575 | — | ||||||
European Union | 192,544 | — | ||||||
New Zealand | 272 | — | ||||||
Total | $ | 2,325,918,740 | 100.0 | |||||
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Bank of America: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 10 | GBP | 1/25/12 | $ | 15,526 | $ | 42 | $ | — | ||||||||||||||
Euro (EUR) | Sell | 4,585 | EUR | 1/23/12-1/27/12 | 5,935,181 | 357,380 | — | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 1,760,000 | HUF | 1/11/12 | 7,221,407 | 579,323 | — | |||||||||||||||||
New Turkish Lira (TRY) | Sell | 13,320 | TRY | 4/25/12 | 6,850,184 | 110,883 | — | |||||||||||||||||
Peruvian New Sol (PEN) | Sell | 18,570 | PEN | 1/17/12 | 6,876,025 | — | 98,324 | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 7,180 | SGD | 1/17/12 | 5,535,324 | — | 83,269 | |||||||||||||||||
South African Rand (ZAR) | Sell | 118,740 | ZAR | 2/15/12 | 14,597,856 | 161,072 | — | |||||||||||||||||
South Korean Won (KRW) | Buy | 10,249,000 | KRW | 1/17/12-1/25/12 | 8,879,720 | 83,586 | — | |||||||||||||||||
South Korean Won (KRW) | Sell | 1,262,000 | KRW | 1/25/12 | 1,093,390 | — | 1,695 | |||||||||||||||||
Swedish Krona (SEK) | Sell | 4,360 | SEK | 1/27/12 | 632,599 | 3,544 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 2,380 | CHF | 1/27/12 | 2,535,041 | 20,499 | — | |||||||||||||||||
1,316,329 | 183,288 | |||||||||||||||||||||||
Bank of America EM | ||||||||||||||||||||||||
Colombian Peso (COP) | Buy | 294,000 | COP | 2/1/12 | 152,392 | — | 177 | |||||||||||||||||
Bank Paribas Asia — FGN: | ||||||||||||||||||||||||
Euro (EUR) | Sell | 915 | EUR | 1/25/12 | 1,184,440 | 60,380 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 610 | CHF | 1/25/12 | 649,714 | — | 3,297 | |||||||||||||||||
60,380 | 3,297 | |||||||||||||||||||||||
Barclay’s Capital: | ||||||||||||||||||||||||
Chilean Peso (CLP) | Sell | 330,000 | CLP | 1/20/12 | 633,262 | — | 13,195 | |||||||||||||||||
Euro (EUR) | Buy | 60 | EUR | 2/1/12 | 77,672 | — | 1,925 | |||||||||||||||||
Euro (EUR) | Sell | 3,340 | EUR | 1/25/12-2/1/12 | 4,323,560 | 122,056 | — | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 42,000 | HUF | 1/11/12 | 172,329 | — | 7,134 | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 336,000 | HUF | 6/12/12 | 1,356,545 | 376,754 | — | |||||||||||||||||
Israeli Shekel (ILS) | Sell | 2,030 | ILS | 4/2/13 | 530,173 | 5,744 | — | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 2,600 | NOK | 2/1/12 | 434,233 | — | 13,462 | |||||||||||||||||
Norwegian Krone (NOK) | Sell | 2,300 | NOK | 1/25/12 | 384,226 | 11,948 | — | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 4,060 | PLZ | 1/11/12-2/1/12 | 1,174,526 | 25,929 | 188 | |||||||||||||||||
Russian Ruble (RUR) | Buy | 3,840 | RUR | 1/19/12 | 118,909 | — | 2,571 | |||||||||||||||||
Russian Ruble (RUR) | Sell | 657,370 | RUR | 1/11/12-2/2/12 | 20,341,554 | 409,075 | 241,848 | |||||||||||||||||
Swedish Krona (SEK) | Buy | 133,780 | SEK | 2/1/12-2/10/12 | 19,398,624 | — | 888,051 | |||||||||||||||||
951,506 | 1,168,374 |
35 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Citigroup: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 380 | GBP | 2/1/12 | $ | 589,960 | $ | 1,491 | $ | — | ||||||||||||||
Czech Koruna (CZK) | Sell | 3,510 | CZK | 2/1/12 | 177,703 | 1,973 | — | |||||||||||||||||
Euro (EUR) | Sell | 12,775 | EUR | 1/23/12-5/10/12 | 16,537,568 | 456,517 | — | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 356,000 | HUF | 1/11/12 | 1,460,694 | — | 64,349 | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 494,000 | HUF | 1/11/12-6/12/12 | 2,013,507 | 270,592 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 14,200 | MXN | 1/11/12 | 1,016,565 | — | 37,314 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 59,100 | MXN | 1/11/12-2/1/12 | 4,230,808 | 97,416 | — | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 135,000 | TWD | 2/8/12 | 4,462,176 | 5,064 | — | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 2,300 | NOK | 1/25/12 | 384,226 | — | 27,359 | |||||||||||||||||
South African Rand (ZAR) | Sell | 16,860 | ZAR | 3/12/12 | 2,065,196 | — | 28,098 | |||||||||||||||||
Swedish Krona (SEK) | Sell | 6,800 | SEK | 2/1/12 | 986,374 | — | 15,877 | |||||||||||||||||
Swiss Franc (CHF) | Sell | 520 | CHF | 1/17/12 | 553,774 | 4,004 | — | |||||||||||||||||
837,057 | 172,997 | |||||||||||||||||||||||
Citigroup EM: | ||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 7,860 | BRR | 1/4/12-2/2/12 | 4,179,040 | — | 22,820 | |||||||||||||||||
Brazilian Real (BRR) | Sell | 18,980 | BRR | 1/4/12-2/2/12 | 10,091,372 | 55,105 | — | |||||||||||||||||
Chilean Peso (CLP) | Buy | 330,000 | CLP | 1/20/12 | 633,262 | — | 5,653 | |||||||||||||||||
Colombian Peso (COP) | Sell | 4,947,000 | COP | 2/1/12-2/9/12 | 2,563,065 | 893 | 9,744 | |||||||||||||||||
Egyptian Pounds (EGP) | Buy | 17,580 | EGP | 2/13/12 | 2,774,947 | — | 62,274 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 34,200 | MXN | 1/11/12 | 2,448,347 | — | 58,909 | |||||||||||||||||
55,998 | 159,400 | |||||||||||||||||||||||
Credit Suisse: | ||||||||||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 59,510 | MYR | 1/31/12 | 18,730,664 | 5,058 | 153,950 | |||||||||||||||||
New Turkish Lira (TRY) | Sell | 4,880 | TRY | 7/17/13 | 2,301,945 | 61,632 | — | |||||||||||||||||
South African Rand (ZAR) | Sell | 107,450 | ZAR | 1/11/12 | 13,284,412 | — | 120,391 | |||||||||||||||||
Swiss Franc (CHF) | Sell | 680 | CHF | 2/1/12 | 724,368 | 17,775 | 625 | |||||||||||||||||
84,465 | 274,966 | |||||||||||||||||||||||
Credit Suisse EM | ||||||||||||||||||||||||
Russian Ruble (RUR) | Buy | 13,010 | RUR | 1/24/12 | 402,573 | — | 9,396 | |||||||||||||||||
Deutsche Bank Capital Corp.: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 5,245 | AUD | 1/27/12 | 5,346,570 | 61,025 | — | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 210 | CAD | 1/24/12 | 206,020 | — | 1,876 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Buy | 27,950 | CNY | 1/6/12 | 4,440,032 | 101,794 | — | |||||||||||||||||
Euro (EUR) | Sell | 17,540 | EUR | 1/25/12 | 22,705,012 | 708,376 | — | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 1,025,000 | HUF | 1/11/12 | 4,205,649 | 309,770 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 800 | MXN | 2/1/12 | 57,164 | — | 1,244 | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 17,210 | PLZ | 1/11/12 | 4,981,886 | 45,162 | — | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 110 | SGD | 1/17/12 | 84,803 | 288 | — | |||||||||||||||||
South African Rand (ZAR) | Sell | 106,440 | ZAR | 3/12/12 | 13,037,927 | — | 85,556 | |||||||||||||||||
1,226,415 | 88,676 | |||||||||||||||||||||||
Deutsche Bank EM: | ||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) | Sell | 27,950 | CNY | 1/6/12 | 4,440,032 | — | 75,099 | |||||||||||||||||
Egyptian Pounds (EGP) | Buy | 9,810 | EGP | 1/9/12 | 1,605,815 | — | 7,672 | |||||||||||||||||
Israeli Shekel (ILS) | Sell | 3,010 | ILS | 3/30/12 | 788,712 | 11,224 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 32,570 | MXN | 3/15/12 | 2,319,919 | 27,046 | — | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 31,670 | TRY | 2/10/12 | 16,559,943 | — | 972,165 | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 4,470 | SGD | 1/17/12 | 3,446,086 | — | 65,580 | |||||||||||||||||
South African Rand (ZAR) | Buy | 35,220 | ZAR | 2/14/12 | 4,330,538 | 113,382 | — | |||||||||||||||||
South Korean Won (KRW) | Buy | 3,298,000 | KRW | 1/25/12 | 2,857,371 | — | 28,019 | |||||||||||||||||
151,652 | 1,148,535 |
36 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Goldman Sachs EM: | ||||||||||||||||||||||||
Brazilian Real (BRR) | Sell | 16,530 | BRR | 2/2/12 | $ | 8,788,745 | $ | 38,554 | $ | — | ||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 117,800 | MXN | 1/11/12 | 8,433,195 | — | 365,913 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 71,200 | MXN | 1/11/12 | 5,097,143 | — | 69,711 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 13,545 | TRY | 1/18/12 | 7,120,647 | — | 38,822 | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 16,855 | PLZ | 1/11/12 | 4,879,122 | 187,917 | — | |||||||||||||||||
226,471 | 474,446 | |||||||||||||||||||||||
Goldman, Sachs & Co.: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 2,285 | GBP | 1/27/12-2/1/12 | 3,547,682 | 90,107 | — | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 10 | CAD | 2/1/12 | 9,809 | 263 | — | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 130 | CAD | 2/1/12 | 127,513 | — | 3,412 | |||||||||||||||||
Euro (EUR) | Buy | 17,400 | EUR | 1/27/12-2/10/12 | 22,526,182 | — | 1,273,203 | |||||||||||||||||
Euro (EUR) | Sell | 7,459 | EUR | 1/3/12-2/27/12 | 9,655,450 | 289,716 | — | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 288,000 | HUF | 1/11/12 | 1,181,685 | — | 56,877 | |||||||||||||||||
Hungarian Forint (HUF) | Sell | 30,000 | HUF | 1/11/12 | 123,092 | 5,019 | — | |||||||||||||||||
Japanese Yen (JPY) | Buy | 518,000 | JPY | 1/27/12 | 6,732,713 | — | 119,773 | |||||||||||||||||
Japanese Yen (JPY) | Sell | 1,763,000 | JPY | 1/17/12-2/2/12 | 22,913,659 | — | 296,809 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 143,650 | MXN | 1/11/12 | 10,283,773 | 245,690 | — | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 15,480 | TRY | 1/18/12-4/25/12 | 8,039,285 | — | 149,828 | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 230 | NZD | 2/1/12 | 178,608 | 4,411 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Sell | 320 | NZD | 2/1/12 | 248,498 | — | 6,137 | |||||||||||||||||
Swedish Krona (SEK) | Buy | 6,340 | SEK | 1/25/12 | 919,981 | — | 27,065 | |||||||||||||||||
Swedish Krona (SEK) | Sell | 22,920 | SEK | 1/27/12 | 3,325,498 | 28,854 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 2,370 | CHF | 1/27/12 | 2,524,389 | 3,239 | — | |||||||||||||||||
667,299 | 1,933,104 | |||||||||||||||||||||||
�� | ||||||||||||||||||||||||
HSBC EM | ||||||||||||||||||||||||
New Turkish Lira (TRY) | Sell | 19,280 | TRY | 1/18/12-7/17/13 | 9,890,966 | 270,575 | — | |||||||||||||||||
JP Morgan Chase: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 10 | AUD | 2/1/12 | 10,188 | 553 | — | |||||||||||||||||
Australian Dollar (AUD) | Sell | 1,005 | AUD | 1/18/12-2/1/12 | 1,025,508 | — | 4,295 | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 990 | CAD | 1/18/12 | 971,373 | — | 2,599 | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 260 | CAD | 1/24/12 | 255,073 | 4,476 | — | |||||||||||||||||
Euro (EUR) | Buy | 1,905 | EUR | 1/27/12 | 2,466,000 | — | 85,626 | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 1,069,000 | HUF | 1/11/12 | 4,386,184 | — | 9,556 | |||||||||||||||||
Indian Rupee (INR) | Sell | 8,980 | INR | 1/31/12 | 167,945 | 10,761 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 5,000 | MXN | 2/1/12 | 357,274 | — | 6,396 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 3,400 | MXN | 2/1/12 | 242,947 | 4,901 | — | |||||||||||||||||
Philippines Peso (PHP) | Sell | 123,000 | PHP | 1/23/12 | 2,801,759 | — | 9,478 | |||||||||||||||||
Polish Zloty (PLZ) | Sell | 15,140 | PLZ | 1/11/12 | 4,382,671 | 12,449 | — | |||||||||||||||||
Russian Ruble (RUR) | Sell | 3,840 | RUR | 1/19/12 | 118,909 | 642 | — | |||||||||||||||||
South African Rand (ZAR) | Buy | 141,735 | ZAR | 2/10/12 | 17,436,978 | — | 372,283 | |||||||||||||||||
South Korean Won (KRW) | Sell | 1,151,000 | KRW | 1/25/12 | 997,221 | 2,866 | — | |||||||||||||||||
Swedish Krona (SEK) | Buy | 27,280 | SEK | 1/27/12 | 3,958,097 | — | 165,988 | |||||||||||||||||
36,648 | 656,221 | |||||||||||||||||||||||
JP Morgan EM: | ||||||||||||||||||||||||
Egyptian Pounds (EGP) | Buy | 9,810 | EGP | 3/5/12 | 1,534,620 | 32,323 | — | |||||||||||||||||
Egyptian Pounds (EGP) | Sell | 9,810 | EGP | 1/9/12 | 1,605,815 | 7,672 | — | |||||||||||||||||
Indonesia Rupiah (IDR) | Sell | 53,215,000 | IDR | 3/19/12 | 5,821,881 | — | 53,317 | |||||||||||||||||
South Korean Won (KRW) | Buy | 334,000 | KRW | 1/25/12 | 289,376 | — | 5,157 | |||||||||||||||||
39,995 | 58,474 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Nomura Securities: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 1,645 | GBP | 1/23/12-2/1/12 | $ | 2,554,107 | $ | — | $ | 2,995 | ||||||||||||||
British Pound Sterling (GBP) | Sell | 830 | GBP | 1/25/12-2/1/12 | 1,288,637 | 10,217 | 213 | |||||||||||||||||
Euro (EUR) | Sell | 10,040 | EUR | 1/17/12 | 12,995,766 | 304,774 | — | |||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 34,600 | HKD | 1/17/12 | 4,455,169 | — | 7,711 | |||||||||||||||||
Indian Rupee (INR) | Buy | 241,980 | INR | 1/31/12-2/8/12 | 4,519,169 | — | 133,546 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 286,000 | JPY | 1/25/12 | 3,717,174 | 16,084 | 1,005 | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 320 | NZD | 2/1/12 | 248,498 | 6,967 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Sell | 3,655 | NZD | 1/27/12-2/1/12 | 2,839,195 | 81,792 | 12,020 | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 101,710 | NOK | 2/1/12-2/10/12 | 16,980,989 | 14 | 1,118,729 | |||||||||||||||||
Norwegian Krone (NOK) | Sell | 300 | NOK | 2/1/12 | 50,104 | 1,846 | — | |||||||||||||||||
Singapore Dollar (SGD) | Sell | 5,730 | SGD | 2/2/12 | 4,417,268 | 51,527 | — | |||||||||||||||||
South Korean Won (KRW) | Buy | 1,151,000 | KRW | 1/25/12 | 997,221 | 1,976 | — | |||||||||||||||||
South Korean Won (KRW) | Sell | 71,000 | KRW | 1/17/12 | 61,552 | 838 | — | |||||||||||||||||
Swiss Franc (CHF) | Buy | 435 | CHF | 5/10/12 | 464,598 | — | 21,811 | |||||||||||||||||
Swiss Franc (CHF) | Sell | 1,190 | CHF | 1/25/12 | 1,267,474 | — | 6,271 | |||||||||||||||||
476,035 | 1,304,301 | |||||||||||||||||||||||
RBS Greenwich Capital | ||||||||||||||||||||||||
Czech Koruna (CZK) | Sell | 81,600 | CZK | 1/17/12 | 4,130,695 | 233,991 | — | |||||||||||||||||
State Street | ||||||||||||||||||||||||
New Turkish Lira (TRY) | Buy | 8,190 | TRY | 1/13/12 | 4,310,853 | — | 234,450 | |||||||||||||||||
UBS Inv Bank EM | ||||||||||||||||||||||||
Polish Zloty (PLZ) | Buy | 57,450 | PLZ | 2/10/12 | 16,582,128 | — | 1,483,910 | |||||||||||||||||
Westpac: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 1,475 | AUD | 1/18/12-2/1/12 | 1,504,329 | 19,783 | — | |||||||||||||||||
Australian Dollar (AUD) | Sell | 1,095 | AUD | 1/17/12-2/1/12 | 1,116,992 | — | 26,330 | |||||||||||||||||
British Pound Sterling (GBP) | Sell | 1,440 | GBP | 1/17/12 | 2,235,949 | 10,944 | — | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 1,630 | CAD | 1/24/12-2/1/12 | 1,598,982 | 4,806 | 4,509 | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 3,745 | CAD | 1/17/12-2/1/12 | 3,674,478 | — | 24,893 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 42,000 | JPY | 2/1/12 | 545,942 | 3,554 | 193 | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 150 | NZD | 2/1/12 | 116,484 | 117 | — | |||||||||||||||||
39,204 | 55,925 | |||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 6,674,020 | $ | 9,409,937 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
DAX Index | Sell | 20 | 3/16/12 | $ | 3,818,029 | $ | (48,269 | ) | ||||||||||||
Euro-Bundesobligation | Buy | 26 | 3/8/12 | 4,678,755 | 148,703 | |||||||||||||||
Euro-Bundesobligation | Sell | 43 | 3/8/12 | 6,962,700 | (118,957 | ) | ||||||||||||||
Euro-Bundesobligation | Sell | 67 | 3/8/12 | 12,056,792 | (245,800 | ) | ||||||||||||||
Euro-Schatz | Sell | 44 | 3/8/12 | 6,283,518 | (21,405 | ) | ||||||||||||||
FTSE 100 Index | Buy | 9 | 3/16/12 | 773,761 | 6,509 | |||||||||||||||
FTSE 100 Index | Sell | 73 | 3/16/12 | 6,276,059 | (89,048 | ) | ||||||||||||||
Japan (Government of) Mini Bonds, 10 yr. | Buy | 40 | 3/8/12 | 7,406,002 | 27,324 | |||||||||||||||
NASDAQ 100 Index | Sell | 165 | 3/16/12 | 7,505,850 | (4,006 | ) | ||||||||||||||
NIKKEI 225 Index | Buy | 14 | 3/8/12 | 769,391 | 2,043 | |||||||||||||||
NIKKEI 225 Index | Sell | 61 | 3/8/12 | 6,696,765 | 148,275 | |||||||||||||||
Standard & Poor’s 500 E-Mini Index | Sell | 298 | 3/16/12 | 18,663,740 | (349,170 | ) | ||||||||||||||
U.S. Long Bonds | Buy | 476 | 3/21/12 | 68,930,750 | 605,274 |
38 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Buy | 382 | 3/30/12 | $ | 84,248,907 | $ | 11,596 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 157 | 3/30/12 | 34,625,860 | (9,109 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Buy | 1,206 | 3/30/12 | 148,648,922 | 712,535 | |||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 71 | 3/30/12 | 8,751,305 | (35,570 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 1,052 | 3/21/12 | 137,943,500 | 1,454,392 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 465 | 3/21/12 | 60,973,125 | (316,664 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds | Buy | 197 | 3/21/12 | 31,556,938 | 191,835 | |||||||||||||||
United Kingdom Long Gilt | Sell | 8 | 3/28/12 | 1,452,976 | (20,523 | ) | ||||||||||||||
$ | 2,049,965 | |||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Australian Dollar (AUD) | Put | 2,930,000 | $ | 0.920 | 1/13/12 | $ | 50,007 | $ | (3 | ) | $ | 50,004 | ||||||||||||||||
Australian Dollar (AUD) | Put | 1,905,000 | 0.959 | 1/13/12 | 40,005 | (279 | ) | 39,726 | ||||||||||||||||||||
Australian Dollar (AUD) | Put | 1,905,000 | 0.949 | 1/13/12 | 38,083 | (97 | ) | 37,986 | ||||||||||||||||||||
Australian Dollar (AUD) | Put | 950,000 | 0.923 | 1/17/12 | 16,948 | (12 | ) | 16,936 | ||||||||||||||||||||
Australian Dollar (AUD) Futures | Put | 144 | 93.000 | 1/9/12 | 54,429 | (720 | ) | 53,709 | ||||||||||||||||||||
Australian Dollar (AUD) Futures | Put | 97 | 97.000 | 1/9/12 | 1,269 | (1,455 | ) | (186 | ) | |||||||||||||||||||
Euro (EUR) | Call | 950,000 | 1.450 | 1/13/12 | 15,690 | — | 15,690 | |||||||||||||||||||||
Euro (EUR) | Put | 955,000 | 1.290 | 1/18/12 | 17,802 | (11,775 | ) | 6,027 | ||||||||||||||||||||
Euro (EUR) 90 Day Futures | Put | 359 | 98.625 | 2/13/12 | 17,536 | (2,244 | ) | 15,292 | ||||||||||||||||||||
Euro (EUR) 90 Day Futures | Put | 179 | 98.750 | 1/16/12 | 8,744 | (1,119 | ) | 7,625 | ||||||||||||||||||||
Euro (EUR) FX Futures | Put | 72 | 1.210 | 3/12/12 | 92,735 | (76,500 | ) | 16,235 | ||||||||||||||||||||
Euro-Bundesobligation Futures | Call | 272 | 142.000 | EUR | 1/30/12 | 149,532 | (123,212 | ) | 26,320 | |||||||||||||||||||
Euro-Bundesobligation Futures | Call | 131 | 141.000 | EUR | 1/30/12 | 89,508 | (100,032 | ) | (10,524 | ) | ||||||||||||||||||
Euro-Bundesobligation Futures | Call | 96 | 141.000 | EUR | 2/27/12 | 136,921 | (144,127 | ) | (7,206 | ) | ||||||||||||||||||
Euro-Bundesobligation Futures | Call | 337 | 140.000 | EUR | 2/27/12 | 440,769 | (676,050 | ) | (235,281 | ) | ||||||||||||||||||
Euro-Bundesobligation Futures | Put | 968 | 131.000 | EUR | 1/30/12 | 288,529 | (50,113 | ) | 238,416 | |||||||||||||||||||
Euro-Bundesobligation Futures | Put | 194 | 130.500 | EUR | 2/27/12 | 93,545 | (37,663 | ) | 55,882 | |||||||||||||||||||
Euro-Bundesobligation Futures | Put | 145 | 133.000 | EUR | 1/30/12 | 71,810 | (18,767 | ) | 53,043 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Call | 57,400,000,000 | 8,650.000 | IDR | 1/27/12 | 51,230 | (574 | ) | 50,656 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Call | 28,700,000,000 | 8,650.000 | IDR | 1/27/12 | 25,283 | (287 | ) | 24,996 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Call | 28,500,000,000 | 8,600.000 | IDR | 1/30/12 | 20,050 | (285 | ) | 19,765 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Put | 66,500,000,000 | 10,020.000 | IDR | 1/27/12 | 56,744 | (5,320 | ) | 51,424 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Put | 33,200,000,000 | 10,000.000 | IDR | 1/27/12 | 29,116 | (2,988 | ) | 26,128 | |||||||||||||||||||
Indonesia Rupiah (IDR) | Put | 33,000,000,000 | 9,950.000 | IDR | 1/30/12 | 23,879 | (4,620 | ) | 19,259 | |||||||||||||||||||
Japanese Yen (JPY) Futures | Call | 59 | 140.000 | 3/12/12 | 19,883 | (13,275 | ) | 6,608 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Call | 10 | 139.000 | 3/12/12 | 2,475 | (2,875 | ) | (400 | ) | |||||||||||||||||||
Japanese Yen (JPY) Futures | Call | 5 | 140.500 | 3/12/12 | 8,552 | (1,000 | ) | 7,552 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 59 | 121.000 | 3/12/12 | 12,167 | (12,538 | ) | (371 | ) | |||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 48 | 124.000 | 1/9/12 | 4,823 | (1,200 | ) | 3,623 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 48 | 125.500 | 1/9/12 | 4,139 | (2,100 | ) | 2,039 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 48 | 117.000 | 3/12/12 | 8,939 | (3,600 | ) | 5,339 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 39 | 123.000 | 2/6/12 | 7,750 | (3,900 | ) | 3,850 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 29 | 120.000 | 3/12/12 | 6,091 | (4,713 | ) | 1,378 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 17 | 123.000 | 1/9/12 | 1,291 | (213 | ) | 1,078 | ||||||||||||||||||||
Japanese Yen (JPY) Futures | Put | 5 | 126.000 | 1/9/12 | 1,302 | (250 | ) | 1,052 | �� | |||||||||||||||||||
Mexican Nuevo Peso (MXN) | Call | 61,760,000 | 12.330 MXN | 1/18/12 | 87,105 | (1 | ) | 87,104 | ||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Call | 61,680,000 | 12.315 MXN | 1/18/12 | 55,094 | (1 | ) | 55,093 | ||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Put | 70,120,000 | 14.000 MXN | 1/18/12 | 104,178 | (61,107 | ) | 43,071 | ||||||||||||||||||||
Mexican Nuevo Peso (MXN) | Put | 70,120,000 | 14.000 MXN | 1/18/12 | 84,044 | (61,107 | ) | 22,937 | ||||||||||||||||||||
New Zealand Dollar (NZD) | Put | 2,860,000 | 0.753 | 1/13/12 | 42,613 | (3,548 | ) | 39,065 | ||||||||||||||||||||
New Zealand Dollar (NZD) | Put | 2,855,000 | 0.740 | 1/17/12 | 39,485 | (1,973 | ) | 37,512 | ||||||||||||||||||||
New Zealand Dollar (NZD) | Put | 2,800,000 | 0.737 | 1/17/12 | 37,326 | (1,446 | ) | 35,880 |
39 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
South Korean Won (KRW) | Call | 1,147,000,000 | 1,050.000 | KRW | 1/19/12 | $ | 6,751 | $ | — | $ | 6,751 | |||||||||||||||||
South Korean Won (KRW) | Put | 1,385,000,000 | 1,272.000 | KRW | 1/19/12 | 23,606 | (152 | ) | 23,454 | |||||||||||||||||||
U.S. Long Bonds Futures | Call | 772 | 150.000 | 2/27/12 | 898,920 | (844,375 | ) | 54,545 | ||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 941 | 126.000 | 1/30/12 | 67,780 | (29,406 | ) | 38,374 | ||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 609 | 126.500 | 1/30/12 | 45,331 | (19,031 | ) | 26,300 | ||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 468 | 127.000 | 1/30/12 | 28,604 | (21,938 | ) | 6,666 | ||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 179 | 124.500 | 2/27/12 | 36,190 | (13,984 | ) | 22,206 | ||||||||||||||||||||
U.S. Treasury Nts. Futures, 10 yr. | Put | 18 | 126.000 | 2/27/12 | 7,850 | (2,250 | ) | 5,600 | ||||||||||||||||||||
$ | 3,472,453 | $ | (2,364,225 | ) | $ | 1,108,228 | ||||||||||||||||||||||
EUR | Euro | KRW | South Korean Won | |||
IDR | Indonesia Rupiah | MXN | Mexican Nuevo Peso |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Brazil (Federative Republic of) | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | $ | 3,800 | 1.00 | % | 3/20/17 | $ | 113,422 | $ | (112,729 | ) | $ | 693 | |||||||||||||||
Total | 3,800 | 113,422 | (112,729 | ) | 693 | |||||||||||||||||||||||
Bristol-Myers Squibb Co. | ||||||||||||||||||||||||||||
Citibank NA | Sell | 4,480 | 1.00 | 12/20/16 | (152,683 | ) | 138,840 | (13,843 | ) | |||||||||||||||||||
Total | 4,480 | (152,683 | ) | 138,840 | (13,843 | ) | ||||||||||||||||||||||
CDX Emerging Market Index, Series 16: | ||||||||||||||||||||||||||||
Bank of America NA | Buy | 10,735 | 5.00 | 12/20/16 | 966,568 | (927,549 | ) | 39,019 | ||||||||||||||||||||
Barclays Bank plc | Buy | 10,525 | 5.00 | 12/20/16 | 943,449 | (909,404 | ) | 34,045 | ||||||||||||||||||||
Total | 21,260 | 1,910,017 | (1,836,953 | ) | 73,064 | |||||||||||||||||||||||
Gatx Corp. | ||||||||||||||||||||||||||||
UBS AG | Sell | 4,480 | 1.00 | 12/20/16 | 238,374 | (236,513 | ) | 1,861 | ||||||||||||||||||||
Total | 4,480 | 238,374 | (236,513 | ) | 1,861 | |||||||||||||||||||||||
Goodrich Corp. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 4,510 | 1.00 | 12/20/16 | (166,825 | ) | 167,625 | 800 | ||||||||||||||||||||
Total | 4,510 | (166,825 | ) | 167,625 | 800 | |||||||||||||||||||||||
Halliburton Co. | ||||||||||||||||||||||||||||
Credit Suisse International | Buy | 4,480 | 1.00 | 12/20/16 | 13,499 | 5,177 | 18,676 | |||||||||||||||||||||
Total | 4,480 | 13,499 | 5,177 | 18,676 | ||||||||||||||||||||||||
Hewlett-Packard Co. | ||||||||||||||||||||||||||||
Credit Suisse International | Buy | 4,480 | 1.00 | 12/20/16 | (83,398 | ) | 99,384 | 15,986 | ||||||||||||||||||||
Total | 4,480 | (83,398 | ) | 99,384 | 15,986 | |||||||||||||||||||||||
Hungary (Republic of) | ||||||||||||||||||||||||||||
HSBC Bank USA NA | Sell | 2,960 | 1.00 | 3/20/17 | 602,512 | (664,578 | ) | (62,066 | ) | |||||||||||||||||||
Total | 2,960 | 602,512 | (664,578 | ) | (62,066 | ) | ||||||||||||||||||||||
Ingersoll-Rand Co. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 4,510 | 1.00 | 12/20/16 | 117,936 | (135,679 | ) | (17,743 | ) | |||||||||||||||||||
Total | 4,510 | 117,936 | (135,679 | ) | (17,743 | ) |
40 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Istanbul Bond Co. SA for Finansbank AS | ||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | $ | 3,100 | 1.30 | % | 3/24/13 | $ | — | $ | (134,878 | ) | $ | (134,878 | ) | ||||||||||||||
Total | 3,100 | — | (134,878 | ) | (134,878 | ) | ||||||||||||||||||||||
Japan: | ||||||||||||||||||||||||||||
JPMorgan Chase Bank NA | Sell | 470 | 1.00 | 9/20/16 | 1,824 | (8,343 | ) | (6,519 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA | Sell | 475 | 1.00 | 9/20/16 | 1,646 | (8,432 | ) | (6,786 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA | Sell | 475 | 1.00 | 9/20/16 | 2,505 | (8,432 | ) | (5,927 | ) | |||||||||||||||||||
Total | 1,420 | 5,975 | (25,207 | ) | (19,232 | ) | ||||||||||||||||||||||
McDonald’s Corp. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 4,480 | 1.00 | 12/20/16 | (179,909 | ) | 166,821 | (13,088 | ) | |||||||||||||||||||
Total | 4,480 | (179,909 | ) | 166,821 | (13,088 | ) | ||||||||||||||||||||||
Peru (Republic of): | ||||||||||||||||||||||||||||
Citibank NA | Buy | 10,000 | 1.00 | 9/20/15 | 11,275 | 171,709 | 182,984 | |||||||||||||||||||||
Deutsche Bank AG | Buy | 1,900 | 1.71 | 12/20/16 | — | (1,865 | ) | (1,865 | ) | |||||||||||||||||||
Total | 11,900 | 11,275 | 169,844 | 181,119 | ||||||||||||||||||||||||
Philippines (Republic of the) | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 12,430 | 1.00 | 3/20/17 | (612,768 | ) | 565,604 | (47,164 | ) | |||||||||||||||||||
Total | 12,430 | (612,768 | ) | 565,604 | (47,164 | ) | ||||||||||||||||||||||
Reynolds American, Inc. | ||||||||||||||||||||||||||||
Goldman Sachs International | Sell | 4,510 | 1.00 | 12/20/16 | 186,191 | (189,589 | ) | (3,398 | ) | |||||||||||||||||||
Total | 4,510 | 186,191 | (189,589 | ) | (3,398 | ) | ||||||||||||||||||||||
Southwest Airlines Co. | ||||||||||||||||||||||||||||
Goldman Sachs International | Buy | 4,480 | 1.00 | 12/20/16 | (198,445 | ) | 187,598 | (10,847 | ) | |||||||||||||||||||
Total | 4,480 | (198,445 | ) | 187,598 | (10,847 | ) | ||||||||||||||||||||||
Whirlpool Corp. | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | 4,590 | 1.00 | 12/20/16 | (335,439 | ) | 415,460 | 80,021 | ||||||||||||||||||||
Total | 4,590 | (335,439 | ) | 415,460 | 80,021 | |||||||||||||||||||||||
Grand Total Buys | 822,677 | (529,565 | ) | 293,112 | ||||||||||||||||||||||||
Grand Total Sells | 647,057 | (890,208 | ) | (243,151 | ) | |||||||||||||||||||||||
Total Credit Default Swaps | $ | 1,469,734 | $ | (1,419,773 | ) | $ | 49,961 | |||||||||||||||||||||
Type of Reference | Total Maximum Potential | Reference Asset | ||||||||||
Asset on which the | Payments for Selling Credit | Rating Range** | ||||||||||
Fund Sold Protection | Protection (Undiscounted) | Amount Recoverable* | (Unaudited) | |||||||||
Investment Grade Single Name Corporate Debt | $ | 25,560,000 | $ | — | A+ to BBB- | |||||||
Investment Grade Sovereign Debt | 5,220,000 | — | AA- to BBB- | |||||||||
Non-Investment Grade Sovereign Debt | 2,960,000 | — | BB- | |||||||||
Total | $ | 33,740,000 | $ | — | ||||||||
* | 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. |
41 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
BZDI: | ||||||||||||||||||||
Citibank NA | 9,670 BRR | BZDI | 11.540 | % | 1/2/14 | $ | 90,683 | |||||||||||||
Goldman Sachs Group, Inc. (The) | 10,600 BRR | BZDI | 11.390 | /5/15 | 101,156 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 8,670 BRR | BZDI | 11.520 | 1/2/14 | 86,153 | |||||||||||||||
Goldman Sachs Group, Inc. (The) | 9,900 BRR | BZDI | 11.420 | 1/3/14 | 87,081 | |||||||||||||||
Total | 38,840 BRR | 365,073 | ||||||||||||||||||
MXN TIIE BANXICO: | ||||||||||||||||||||
Bank of America NA | 114,400 MXN | MXN TIIE BANXICO | 5.170 | 11/14/14 | (60,944 | ) | ||||||||||||||
Bank of America NA | 84,200 MXN | MXN TIIE BANXICO | 5.130 | 11/19/14 | (38,707 | ) | ||||||||||||||
Barclays Bank plc | 33,700 MXN | MXN TIIE BANXICO | 5.150 | 11/20/14 | (14,241 | ) | ||||||||||||||
Credit Suisse International | 13,300 MXN | MXN TIIE BANXICO | 7.010 | 7/24/31 | (91,257 | ) | ||||||||||||||
Credit Suisse International | 67,400 MXN | MXN TIIE BANXICO | 5.120 | 11/19/14 | (32,307 | ) | ||||||||||||||
Deutsche Bank AG | 66,000 MXN | MXN TIIE BANXICO | 5.120 | 11/19/14 | (31,636 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 10,300 MXN | MXN TIIE BANXICO | 7.000 | 7/24/31 | (71,452 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 73,700 MXN | MXN TIIE BANXICO | 5.000 | 11/14/14 | (51,829 | ) | ||||||||||||||
Merrill Lynch & Co., Inc. | 17,000 MXN | MXN TIIE BANXICO | 6.990 | 7/24/31 | (119,215 | ) | ||||||||||||||
Total | 480,000 MXN | (511,588 | ) | |||||||||||||||||
Six-Month AUD BBR BBSW | ||||||||||||||||||||
Six-Month AUD | ||||||||||||||||||||
Westpac Banking Corp. | 10,670 AUD | 4.990 | % | BBR BBSW | 11/3/21 | (360,873 | ) | |||||||||||||
Six-Month EUR EURIBOR: | ||||||||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Bank of America Merrill Lynch | 500 EUR | EURIBOR | 2.710 | 8/22/21 | 20,922 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Bank of America NA | 470 EUR | EURIBOR | 1.945 | 9/8/16 | 7,135 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Bank of America NA | 1,440 EUR | EURIBOR | 1.890 | 10/6/16 | 15,936 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Barclays Bank plc | 2,965 EUR | EURIBOR | 2.580 | 11/22/17 | 55,603 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Barclays Bank plc | 2,300 EUR | EURIBOR | 2.520 | 12/13/17 | 33,767 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Deutsche Bank AG | 4,850 EUR | EURIBOR | 1.395 | 12/2/13 | 6,588 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 390 EUR | EURIBOR | 2.840 | 10/10/31 | 11,595 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 1,770 EUR | EURIBOR | 2.735 | 11/24/17 | 18,738 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 3,880 EUR | EURIBOR | 2.160 | 12/2/15 | 40,997 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 475 EUR | EURIBOR | 2.990 | 8/11/21 | 35,737 | |||||||||||||||
Six-Month EUR | ||||||||||||||||||||
JPMorgan Chase Bank NA | 1,915 EUR | EURIBOR | 1.860 | 11/3/16 | 16,243 | |||||||||||||||
Total | 20,955 EUR | 263,261 | ||||||||||||||||||
Six-Month PLZ WIBOR WIBO: | ||||||||||||||||||||
Six-Month PLZ | ||||||||||||||||||||
JPMorgan Chase Bank NA | 10,980 PLZ | 4.575 | WIBOR WIBO | 8/23/16 | 31,098 | |||||||||||||||
Six-Month PLZ | ||||||||||||||||||||
JPMorgan Chase Bank NA | 10,980 PLZ | 4.590 | WIBOR WIBO | 8/23/16 | 28,985 | |||||||||||||||
Total | 21,960 PLZ | 60,083 |
42 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | |||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | |||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | ||||||||||||||||
Three-Month CAD BA CDOR: | |||||||||||||||||||||
Three-Month | |||||||||||||||||||||
Bank of America Merrill Lynch | 2,840 | CAD | 1.183 | % | CAD BA CDOR | 8/18/14 | $ | (1,818 | ) | ||||||||||||
Three-Month | |||||||||||||||||||||
JPMorgan Chase Bank NA | 3,845 | CAD | 1.320 | CAD BA CDOR | 8/8/14 | (12,264 | ) | ||||||||||||||
Three-Month | |||||||||||||||||||||
JPMorgan Chase Bank NA | 3,865 | CAD | 1.585 | CAD BA CDOR | 8/4/14 | (32,678 | ) | ||||||||||||||
Total | 10,550 | CAD | (46,760 | ) | |||||||||||||||||
Three-Month NZD BBR FRA | |||||||||||||||||||||
Three-Month | |||||||||||||||||||||
Barclays Bank plc | 13,915 | NHZ | NZD BBR FRA | 4.600 | % | 11/3/21 | 549,297 | ||||||||||||||
Three-Month SEK STIBOR SIDE | |||||||||||||||||||||
Three-Month | |||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 72,770 | SEK | 2.440 | SEK STIBOR SIDE | 11/3/21 | (147,775 | ) | ||||||||||||||
Three-Month USD BBA LIBOR | |||||||||||||||||||||
Three-Month USD | |||||||||||||||||||||
Barclays Bank plc | 11,300 | BBA LIBOR | 2.358 | 11/2/21 | 385,933 | ||||||||||||||||
Three-Month ZAR JIBAR SAFEX: | |||||||||||||||||||||
Three-Month | |||||||||||||||||||||
Barclays Bank plc | 91,000 | ZAR | 6.110 | ZAR JIBAR SAFEX | 12/8/14 | 10,091 | |||||||||||||||
Total where Fund pays a fixed rate | 91,000 | ZAR | 10,091 | ||||||||||||||||||
Three-Month ZAR | |||||||||||||||||||||
Barclays Bank plc | 34,900 | ZAR | JIBAR SAFEX | 7.510 | 12/7/21 | (15,471 | ) | ||||||||||||||
Three-Month ZAR | |||||||||||||||||||||
Barclays Bank plc | 13,300 | ZAR | JIBAR SAFEX | 7.480 | 8/17/21 | (5,712 | ) | ||||||||||||||
Three-Month ZAR | |||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | 13,500 | ZAR | JIBAR SAFEX | 7.480 | 8/17/21 | (5,798 | ) | ||||||||||||||
Three-Month ZAR | |||||||||||||||||||||
HSBC Bank USA NA | 13,300 | ZAR | JIBAR SAFEX | 7.470 | 8/17/21 | (6,874 | ) | ||||||||||||||
Total where Fund pays a variable rate | 75,000 | (33,855 | ) | ||||||||||||||||||
Total | 166,000 | ZAR | (23,764 | ) | |||||||||||||||||
Total Interest Rate Swaps | $ | 532,887 | |||||||||||||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
EUR | Euro | |
MXN | Mexican Nuevo Peso | |
NZD | New Zealand Dollar | |
PLZ | Polish Zloty | |
SEK | Swedish Krona | |
ZAR | South African Rand |
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate | |
BANIXCO | Banco de Mexico | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BBR BBSW | Bank Bill Swap Reference Rate | |
(Australian Financial Market) | ||
BBR FRA | Bank Bill Rate Forward Rate Agreement | |
BZDI | Brazil Interbank Deposit Rate | |
EURIBOR | Euro Interbank Offered Rate | |
JIBAR | South Africa Johannesburg Interbank Agreed Rate | |
SAFEX | South African Futures Exchange | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TIIE | Interbank Equilibrium Interest Rate | |
WIBOR WIBO | Poland Warsaw Interbank Offer Bid Rate |
43 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
Consumer Staples Select Sector Index | ||||||||||||||
Morgan Stanley | $ | 1,738 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Consumer Staples Select Sector Index | If positive, the Total Return of the Consumer Staples Select Sector Index | 3/6/12 | $ | 47,668 | |||||||
Custom Basket of Securities: | ||||||||||||||
Citibank NA | 1,813 | CHF | One-Month CHF BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 14,438 | ||||||||
Citibank NA | 6,030 | SEK | One-Month SEK STIBOR SIDE plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 5,200 | ||||||||
Citibank NA | 2,388 | EUR | One-Month EURIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 35,226 | ||||||||
Citibank NA | 1,717 | GBP | One-Month GBP BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | (65,033 | ) | |||||||
Citibank NA | 986 | DKK | One-Month DKK BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 10,639 | ||||||||
Citibank NA | 525,530 | JPY | One-Month JPY BBA LIBOR plus 53 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 4/16/12 | (114,270 | ) |
44 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
Custom Basket of Securities: Continued | ||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 22,387 | One-Month USD BBA LIBOR plus 35 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 12/6/12 | $ | 598,976 | |||||||
Morgan Stanley | 4,326 | GBP | One-Month GBP BBA LIBOR plus 50 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/1/12 | (88,542 | ) | |||||||
Reference Entity Total | 396,634 | |||||||||||||
Energy Select Sector Index | ||||||||||||||
UBS AG | 1,878 | One-Month USD BBA LIBOR plus 3 basis points and if negative, the absolute value of the Total Return of the Energy Select Sector Index | If positive, the Total Return of the Energy Select Sector Index | 12/6/12 | (37,241 | ) | ||||||||
Industrial Select Sector Index | ||||||||||||||
UBS AG | 1,724 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Industrial Select Sector Index | If positive, the Total Return of the Industrial Select Sector Index | 9/7/12 | 9,154 | |||||||||
MSCI Daily TR Gross EAFE USD Index: | ||||||||||||||
Citibank NA | 252 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the Total Return of the MSCI Daily Gross EAFE USD Index | 1/9/12 | 2,068 | |||||||||
Goldman Sachs Group, Inc. (The) | 889 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/10/12 | 21,804 |
45 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
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 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 3,461 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 5/10/12 | $ | 50,532 | |||||||
Goldman Sachs Group, Inc. (The) | 2,875 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 28 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 9/7/12 | 53,935 | |||||||||
UBS AG | 6,044 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/9/12 | 83,116 | |||||||||
Reference Entity Total | 211,455 | |||||||||||||
MSCI Daily TR Gross Europe Euro Index: | ||||||||||||||
Citibank NA | 2,112 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EUR EURIBOR minus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/6/12 | (34,706 | ) | |||||||
Goldman Sachs Group, Inc. (The) | 3,341 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EUR EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/12 | (68,066 | ) | |||||||
Goldman Sachs Group, Inc. (The) | 331 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EUR EURIBOR and if negative, the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/12 | (7,306 | ) | |||||||
Reference Entity Total | (110,078 | ) |
46 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Net Emerging Markets USD Index | ||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 5,647 | If positive, the Total Return of the MSCI Daily Net Emerging Markets USD Index | One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Emerging Markets USD Index | 12/13/12 | $ | 282,433 | |||||||
MSCI Daily TR Net France USD Index: | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 2,040 | One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 7/6/12 | (37,305 | ) | ||||||||
Goldman Sachs Group, Inc. (The) | 291 | One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 7/6/12 | (8,075 | ) | ||||||||
Goldman Sachs Group, Inc. (The) | 171 | One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 7/6/12 | (3,862 | ) | ||||||||
Goldman Sachs Group, Inc. (The) | 199 | One-Month USD BBA LIBOR minus 65 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 7/6/12 | (4,125 | ) | ||||||||
Reference Entity Total | (53,367 | ) | ||||||||||||
MSCI Daily TR Net Germany USD Index | ||||||||||||||
Morgan Stanley | 2,226 | One-Month USD BBA LIBOR minus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Germany USD Index | If positive, the Total Return of the MSCI Daily Net Germany USD Index | 12/6/12 | (127,927 | ) |
47 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Net Hong Kong USD Index | ||||||||||||||
UBS AG | $ | 1,883 | One-Month USD BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Hong Kong USD Index | If positive, the Total Return of the MSCI Daily Net Hong Kong USD Index | 10/9/12 | $ | (42,925 | ) | ||||||
MSCI Daily TR Net Italy USD Index | ||||||||||||||
Morgan Stanley | 2,241 | One-Month USD BBA LIBOR minus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Italy USD Index | If positive, the Total Return of the MSCI Daily Net Italy USD Index | 12/6/12 | (98,280 | ) | ||||||||
MSCI Daily TR Net Spain USD Index: | ||||||||||||||
Morgan Stanley | 165 | One-Month USD BBA LIBOR minus 2 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index | If positive, the Total Return of the MSCI Daily Net Spain USD Index | 9/12/12 | (5,279 | ) | ||||||||
Morgan Stanley | 2,341 | One-Month USD BBA LIBOR minus 2 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index | If positive, the Total Return of the MSCI Daily Net Spain USD Index | 9/12/12 | (65,864 | ) | ||||||||
Reference Entity Total | (71,143 | ) | ||||||||||||
S&P 400 Midcap Index | ||||||||||||||
BNP Paribas | 5,650 | One-Month USD BBA LIBOR minus 6 basis points and if negative, the absolute value of the Total Return of the S&P 400 Midcap Index | If positive, the Total Return of the S&P 400 Midcap Index | 12/6/12 | (37,019 | ) | ||||||||
Total of Total Return Swaps | $ | 369,364 | ||||||||||||
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 | |
EAFE | Europe, Australasia, Far East | |
EURIBOR | Euro Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
S&P | Standard & Poor’s | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TR | Total Return |
48 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
Six-Month EUR EURIBOR | ||||||||||||||
Credit Suisse International | $ | 1,100 | Six-Month EUR EURIBOR plus 80 basis points on 843,882 EUR | 2.950% on 1,100,000 USD | 10/15/17 | $ | (573 | ) |
EUR | Euro | |
EURIBOR | Euro Interbank Offered Rate |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
AUD/CAD Spot Exchange Rate | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 13 AUD | The Historic Volatility of the mid AUD/CAD spot exchange rate during the period 12/29/11-2/1/12 | 8.750 | % | 2/3/12 | $ | (13,696 | ) | ||||||
AUD/NZD Spot Exchange Rate | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 12 AUD | The Historic Volatility of the mid AUD/NZD spot exchange rate during the period 12/30/11-2/2/12 | 6.300 | 2/6/12 | (9,708 | ) | ||||||||
EUR/CAD Spot Exchange Rate | ||||||||||||||
Credit Suisse International | 10 EUR | The Historic Volatility of the mid EUR/CAD spot exchange rate during the period 12/27/11-1/26/12 | 8.200 | 1/30/12 | (12,256 | ) | ||||||||
EUR/JPY Spot Exchange Rate: | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 10 EUR | The Historic Volatility of the mid EUR/JPY spot exchange rate during the period 12/6/11-1/5/12 | 14.250 | 1/9/12 | 58,327 | |||||||||
Goldman Sachs Group, Inc. (The) | 9 EUR | The Historic Volatility of the mid EUR/JPY spot exchange rate during the period 12/5/11-1/5/12 | 14.250 | 1/9/12 | 56,469 | |||||||||
JPMorgan Chase Bank NA | 10 EUR | The Historic Volatility of the mid EUR/JPY spot exchange rate during the period 12/7/11-1/5/12 | 14.300 | 1/10/12 | 56,763 | |||||||||
Reference Entity Total | 171,559 |
49 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||
EUR/USD Spot Exchange Rate: | ||||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 13 | The Historic Volatility of the mid EUR/USD spot exchange rate during the period 12/8/11-1/10/12 | 14.650 | % | 1/12/12 | $ | 48,608 | ||||||||
Goldman Sachs Group, Inc. (The) | 13 | The Historic Volatility of the mid EUR/USD spot exchange rate during the period 12/1/11-1/3/12 | 14.550 | 1/15/12 | 64,415 | |||||||||||
JPMorgan Chase Bank NA | 13 | The Historic Volatility of the mid EUR/USD spot exchange rate during the period 12/9/11-1/11/12 | 14.400 | 1/13/12 | 39,188 | |||||||||||
Reference Entity Total | 152,211 | |||||||||||||||
GBP/CAD Spot Exchange Rate: | ||||||||||||||||
Credit Suisse International | 8 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 12/14/11-1/13/12 | 9.700 | 1/17/12 | 14,997 | ||||||||||
Deutsche Bank AG | 8 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 12/20/11-1/19/12 | 8.500 | 1/23/12 | (12,500 | ) | |||||||||
Goldman Sachs Group, Inc. (The) | 8 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 12/13/11-1/13/12 | 9.050 | 1/17/12 | 11,262 | ||||||||||
Goldman Sachs Group, Inc. (The) | 8 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 12/21/11-1/19/12 | 7.450 | 1/23/12 | (23,299 | ) | |||||||||
JPMorgan Chase Bank NA | 8 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 12/19/11-1/19/12 | 7.700 | 1/23/12 | (17,070 | ) | |||||||||
JPMorgan Chase Bank NA | 8 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 12/15/11-1/17/12 | 8.800 | 1/19/12 | 1,642 | ||||||||||
Reference Entity Total | (24,968 | ) |
50 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
NZD/CAD Spot Exchange Rate | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 17 NZD | The Historic Volatility of the mid NZD/CAD spot exchange rate during the period 12/12/11-1/13/12 | 9.500 | % | 1/17/12 | $ | (641 | ) | ||||||
Total Volatility Swaps | $ | 262,501 | ||||||||||||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
NZD | New Zealand Dollar |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Bank of America Merrill Lynch: | ||||||||||
Interest Rate | 2,840 | CAD | $ | (1,818 | ) | |||||
Interest Rate | 500 | EUR | 20,922 | |||||||
19,104 | ||||||||||
Bank of America NA: | ||||||||||
Credit Default Buy Protection | 10,735 | (927,549 | ) | |||||||
Interest Rate | 1,910 | EUR | 23,071 | |||||||
Interest Rate | 198,600 | MXN | (99,651 | ) | ||||||
(1,004,129 | ) | |||||||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | 27,545 | 71,660 | ||||||||
Credit Default Sell Protection | 3,800 | (112,729 | ) | |||||||
Interest Rate | 5,265 | EUR | 89,370 | |||||||
Interest Rate | 33,700 | MXN | (14,241 | ) | ||||||
Interest Rate | 13,915 | NZD | 549,297 | |||||||
Interest Rate | 11,300 | 385,933 | ||||||||
Interest Rate | 139,200 | ZAR | (11,092 | ) | ||||||
958,198 | ||||||||||
BNP Paribas | Total Return | 5,650 | (37,019 | ) | ||||||
Citibank NA: | ||||||||||
Credit Default Buy Protection | 10,000 | 171,709 | ||||||||
Credit Default Sell Protection | 4,480 | 138,840 | ||||||||
Interest Rate | 9,670 | BRR | 90,683 | |||||||
Total Return | 1,813 | CHF | 14,438 | |||||||
Total Return | 986 | DKK | 10,639 | |||||||
Total Return | 4,500 | EUR | 520 | |||||||
Total Return | 1,717 | GBP | (65,033 | ) | ||||||
Total Return | 525,530 | JPY | (114,270 | ) | ||||||
Total Return | 6,030 | SEK | 5,200 | |||||||
Total Return | 252 | 2,068 | ||||||||
254,794 | ||||||||||
Credit Suisse International: | ||||||||||
Credit Default Buy Protection | 8,960 | 104,561 | ||||||||
Currency | 1,100 | (573 | ) | |||||||
Interest Rate | 80,700 | MXN | (123,564 | ) |
51 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Credit Suisse International: Continued | ||||||||||
Volatility | 10 | EUR | $ | (12,256 | ) | |||||
Volatility | 8 | GBP | 14,997 | |||||||
(16,835 | ) | |||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 6,410 | (137,544 | ) | |||||||
Credit Default Sell Protection | 8,990 | 334,446 | ||||||||
Interest Rate | 4,850 | EUR | 6,588 | |||||||
Interest Rate | 66,000 | MXN | (31,636 | ) | ||||||
Volatility | 8 | GBP | (12,500 | ) | ||||||
159,354 | ||||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Interest Rate | 29,170 | BRR | 274,390 | |||||||
Interest Rate | 6,515 | EUR | 107,067 | |||||||
Interest Rate | 84,000 | MXN | (123,281 | ) | ||||||
Interest Rate | 72,770 | SEK | (147,775 | ) | ||||||
Interest Rate | 13,500 | ZAR | (5,798 | ) | ||||||
Total Return | 3,672 | EUR | (75,372 | ) | ||||||
Total Return | 37,960 | 954,313 | ||||||||
Volatility | 25 | AUD | (23,404 | ) | ||||||
Volatility | 19 | EUR | 114,796 | |||||||
Volatility | 16 | GBP | (12,037 | ) | ||||||
Volatility | 17 | NZD | (641 | ) | ||||||
Volatility | 26 | 113,023 | ||||||||
1,175,281 | ||||||||||
Goldman Sachs International: | ||||||||||
Credit Default Buy Protection | 4,480 | 187,598 | ||||||||
Credit Default Sell Protection | 4,510 | (189,589 | ) | |||||||
(1,991 | ) | |||||||||
HSBC Bank USA NA: | ||||||||||
Credit Default Sell Protection | 2,960 | (664,578 | ) | |||||||
Interest Rate | 13,300 | ZAR | (6,874 | ) | ||||||
(671,452 | ) | |||||||||
JPMorgan Chase Bank NA: | ||||||||||
Credit Default Sell Protection | 1,420 | (25,207 | ) | |||||||
Interest Rate | 7,710 | CAD | (44,942 | ) | ||||||
Interest Rate | 1,915 | EUR | 16,243 | |||||||
Interest Rate | 21,960 | PLZ | 60,083 | |||||||
Volatility | 10 | EUR | 56,763 | |||||||
Volatility | 16 | GBP | (15,428 | ) | ||||||
Volatility | 13 | 39,188 | ||||||||
86,700 | ||||||||||
Merrill Lynch & Co., Inc. | Interest Rate | 17,000 | MXN | (119,215 | ) | |||||
Morgan Stanley: | ||||||||||
Total Return | 4,326 | GBP | (88,542 | ) | ||||||
Total Return | 8,711 | (249,682 | ) | |||||||
(338,224 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | Credit Default Sell Protection | 3,100 | (134,878 | ) | ||||||
UBS AG: | ||||||||||
Credit Default Sell Protection | 4,480 | (236,513 | ) | |||||||
Total Return | 11,529 | 12,104 | ||||||||
(224,409 | ) | |||||||||
Westpac Banking Corp. | Interest Rate | 10,670 | AUD | (360,873 | ) | |||||
Total Swaps | $ | (255,594 | ) | |||||||
52 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NZD | New Zealand Dollar | |
PLZ | Polish Zloty | |
SEK | Swedish Krona | |
ZAR | South African Rand |
Underlying | Notional | Unrealized | ||||||||||||||||||||||||
Swap Type from | Amount | Strike | Expiration | Premium | Appreciation | |||||||||||||||||||||
Reference Entity | Fund Perspective | (000’s) | Price/Rate | Date | Received | Value | (Depreciation) | |||||||||||||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: 2.4375%; Received: Three-Month USD BBA LIBOR; Termination Date 5/24/24 | Interest Rate Pay Fixed | $ | 60,800 | 2.4375 | % | 5/22/12 | $ | 2,103,680 | $ | (2,125,358 | ) | $ | (21,678 | ) | ||||||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms; Paid: 2.315%; Received: Three-Month USD BBA LIBOR; Termination Date 5/31/22 | Interest Rate Pay Fixed | 42,600 | 2.3150 | 5/29/12 | 1,233,270 | (1,386,632 | ) | (153,362 | ) | |||||||||||||||||
Goldman Sachs Group, Inc. (The), Interest Rate Swaption (European); Swap Terms; Paid: 2.465%; Received: Three-Month USD BBA LIBOR; Termination Date 5/24/24 | Interest Rate Pay Fixed | 60,800 | 2.4650 | 5/22/12 | 2,128,000 | (2,258,481 | ) | (130,481 | ) | |||||||||||||||||
Goldman Sachs Group, Inc. (The); Interest Rate Swaption (European); Swap Terms; Paid: Three-Month USD BBA LIBOR; Received: 1.225%; Termination Date: 11/23/15 | Interest Rate Receive Fixed | 124,600 | 1.2250 | 11/21/12 | 1,044,486 | (630,685 | ) | 413,801 | ||||||||||||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms; Paid: Three-Month USD BBA LIBOR Received: 3.215%; Termination Date 12/4/22 | Interest Rate Receive Fixed | 96,515 | 3.2150 | 11/30/12 | 1,679,361 | (1,167,705 | ) | 511,656 | ||||||||||||||||||
$ | 8,188,797 | $ | (7,568,861 | ) | $ | 619,936 | ||||||||||||||||||||
53 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $2,013,069,955) | $ | 1,880,938,396 | ||
Affiliated companies (cost $453,272,500) | 443,497,825 | |||
Wholly-owned subsidiary (cost $1,500,000) | 1,482,519 | |||
2,325,918,740 | ||||
Cash | 5,008,403 | |||
Cash—foreign currencies (cost $771,347) | 731,412 | |||
Unrealized appreciation on foreign currency exchange contracts | 6,674,020 | |||
Appreciated swaps, at value (upfront payments paid $560,888) | 4,059,953 | |||
Depreciated swaps, at value (upfront payments paid $1,143,805) | 1,058,863 | |||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 27,285,460 | |||
Investments sold (including $2,262,138 sold on a when-issued or delayed delivery basis) | 4,750,784 | |||
Closed foreign currency contracts | 2,419,546 | |||
Shares of beneficial interest sold | 2,373,971 | |||
Futures margins | 919,349 | |||
Other | 65,762 | |||
Total assets | 2,381,266,263 | |||
Liabilities | ||||
Appreciated options written, at value (premiums received $2,789,344) | 1,427,148 | |||
Depreciated options written, at value (premiums received $683,109) | 937,077 | |||
Appreciated swaptions written, at value (premiums received $2,723,847) | 1,798,390 | |||
Depreciated swaptions written, at value (premiums received $5,464,950) | 5,770,471 | |||
Unrealized depreciation on foreign currency exchange contracts | 9,409,937 | |||
Appreciated swaps, at value (upfront payments received $2,261,813) | 2,186,195 | |||
Depreciated swaps, at value (upfront payments received $912,614) | 3,188,215 | |||
Payables and other liabilities: | ||||
Investments purchased (including $97,019,778 purchased on a when-issued or delayed delivery basis) | 98,445,212 | |||
Closed foreign currency contracts | 2,858,168 | |||
Shares of beneficial interest redeemed | 945,482 | |||
Distribution and service plan fees | 339,265 | |||
Futures margins | 289,872 | |||
Shareholder communications | 281,755 | |||
Transfer and shareholder servicing agent fees | 191,305 | |||
Foreign capital gains tax | 50,425 | |||
Trustees’ compensation | 41,778 | |||
Other | 115,470 | |||
Total liabilities | 128,276,165 | |||
Net Assets | $ | 2,252,990,098 | ||
54 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 412,905 | ||
Additional paid-in capital | 2,229,752,031 | |||
Accumulated net investment income | 151,980,652 | |||
Accumulated net realized gain on investments and foreign currency transactions | 11,286,058 | |||
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (140,441,548 | ) | ||
Net Assets | $ | 2,252,990,098 | ||
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 $648,083,701 and 120,411,955 shares of beneficial interest outstanding) | $ | 5.38 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $1,604,906,397 and 292,492,931 shares of beneficial interest outstanding) | $ | 5.49 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
55 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Allocation of Income and Expenses from Master Funds2 | ||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: | ||||
Interest | $ | 4,069,460 | ||
Dividends | 3,860 | |||
Expenses3 | (219,345 | ) | ||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | 3,853,975 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest (net of foreign withholding taxes of $381) | 27,277,056 | |||
Dividends | 159,063 | |||
Expenses4 | (1,168,872 | ) | ||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC | 26,267,247 | |||
Total allocation of net investment income from master funds | 30,121,222 | |||
Investment Income | ||||
Interest (net of foreign withholding taxes of $85,329) | 136,177,720 | |||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $56,691) | 797,281 | |||
Affiliated companies | 108,474 | |||
Fee income on when-issued securities | 2,197,637 | |||
Total investment income | 139,281,112 | |||
Expenses | ||||
Management fees | 13,684,521 | |||
Distribution and service plan fees—Service shares | 4,184,730 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 694,965 | |||
Service shares | 1,673,920 | |||
Shareholder communications: | ||||
Non-Service shares | 76,649 | |||
Service shares | 182,693 | |||
Custodian fees and expenses | 246,234 | |||
Trustees’ compensation | 56,379 | |||
Administration service fees | 1,500 | |||
Other | 193,848 | |||
Total expenses | 20,995,439 | |||
Less waivers and reimbursements of expenses | (1,313,375 | ) | ||
Net expenses | 19,682,064 | |||
Net Investment Income | 149,720,270 |
56 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | $ | 41,024,794 | ||
Closing and expiration of option contracts written | 6,144,856 | |||
Closing and expiration of futures contracts | 9,478,578 | |||
Foreign currency transactions | (18,115,992 | ) | ||
Swap contracts | 1,922,300 | |||
Net realized gain (loss) allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | (2,323,415 | ) | ||
Oppenheimer Master Loan Fund, LLC | 455,054 | |||
Net realized gain | 38,586,175 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (116,568,023 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | (47,584,909 | ) | ||
Futures contracts | 10,314,852 | |||
Option contracts written | 1,108,228 | |||
Swaption contracts | 619,936 | |||
Swap contracts | 1,685,137 | |||
Net change in unrealized appreciation/deprecation allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | (1,591,152 | ) | ||
Oppenheimer Master Loan Fund, LLC | (16,653,717 | ) | ||
Net change in unrealized appreciation/depreciation | (168,669,648 | ) | ||
Net Increase in Net Assets Resulting from Operations | $ | 19,636,797 | ||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | The Fund invests in certain affiliated Mutual Funds that expect to be treated as partnerships for tax purposes. See Note 1 of the accompanying Notes | |
3. | Net of expense waivers and/or reimbursement $2,322. | |
4. | Net of expense waivers and/or reimbursements $11,926. |
57 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 149,720,270 | $ | 200,479,913 | ||||
Net realized gain | 38,586,175 | 193,741,731 | ||||||
Net change in unrealized appreciation/depreciation | (168,669,648 | ) | 11,389,337 | |||||
Net increase in net assets resulting from operations | 19,636,797 | 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 decrease in net assets resulting from beneficial interest transactions: | ||||||||
Non-Service shares | (39,359,888 | ) | (81,259,481 | ) | ||||
Service shares | (10,325,962 | ) | (1,976,534,500 | ) | ||||
(49,685,850 | ) | (2,057,793,981 | ) | |||||
Net Assets | ||||||||
Total decrease | (129,104,514 | ) | (2,032,403,414 | ) | ||||
Beginning of period | 2,382,094,612 | 4,414,498,026 | ||||||
End of period (including accumulated net investment income of $151,980,652 and $5,967,605, respectively) | $ | 2,252,990,098 | $ | 2,382,094,612 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
58 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 5.58 | $ | 5.30 | $ | 4.49 | $ | 5.56 | $ | 5.26 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .36 | .34 | .30 | .30 | .28 | |||||||||||||||
Net realized and unrealized gain (loss) | (.31 | ) | .40 | .53 | (1.04 | ) | .21 | |||||||||||||
Total from investment operations | .05 | .74 | .83 | (.74 | ) | .49 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.18 | ) | (.46 | ) | (.02 | ) | (.27 | ) | (.19 | ) | ||||||||||
Distributions from net realized gain | (.07 | ) | — | —3 | (.06 | ) | — | |||||||||||||
Total dividends and distributions to shareholders | (.25 | ) | (.46 | ) | (.02 | ) | (.33 | ) | (.19 | ) | ||||||||||
Net asset value, end of period | $ | 5.38 | $ | 5.58 | $ | 5.30 | $ | 4.49 | $ | 5.56 | ||||||||||
Total Return, at Net Asset Value4 | 0.85 | % | 14.97 | % | 18.83 | % | (14.21 | )% | 9.69 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 648,084 | $ | 711,755 | $ | 757,772 | $ | 648,570 | $ | 734,611 | ||||||||||
Average net assets (in thousands) | $ | 694,868 | $ | 737,071 | $ | 681,926 | $ | 753,062 | $ | 664,668 | ||||||||||
Ratios to average net assets:5,6 | ||||||||||||||||||||
Net investment income | 6.50 | % | 6.47 | % | 6.20 | % | 5.78 | % | 5.34 | % | ||||||||||
Total expenses | 0.77 | %7 | 0.75 | %8 | 0.67 | % 8 | 0.59 | %8 | 0.59 | %8 | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.71 | %9 | 0.71 | % | 0.64 | % | 0.57 | % | 0.57 | % | ||||||||||
Portfolio turnover rate10 | 49 | % | 99 | % | 110 | % | 86 | % | 76 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Less than $0.005 per share. | |
4. | 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. | |
5. | Annualized for periods less than one full year. | |
6. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Year Ended December 30, 2011 | 0.78 | % |
8. | Total expenses including all affiliated fund expenses were as follows: |
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 | % |
9. | Ratio including expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Year Ended December 30, 2011 | 0.72 | % |
10. | 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 30, 2011 | $ | 1,050,654,783 | $ | 1,039,506,614 | ||||
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 |
59 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 5.68 | $ | 5.38 | $ | 4.56 | $ | 5.65 | $ | 5.34 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .35 | .33 | .29 | .29 | .28 | |||||||||||||||
Net realized and unrealized gain (loss) | (.31 | ) | .42 | .54 | (1.06 | ) | .22 | |||||||||||||
Total from investment operations | .04 | .75 | .83 | (.77 | ) | .50 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.45 | ) | (.01 | ) | (.26 | ) | (.19 | ) | ||||||||||
Distributions from net realized gain | (.07 | ) | — | —3 | (.06 | ) | — | |||||||||||||
Total dividends and distributions to shareholders | (.23 | ) | (.45 | ) | (.01 | ) | (.32 | ) | (.19 | ) | ||||||||||
Net asset value, end of period | $ | 5.49 | $ | 5.68 | $ | 5.38 | $ | 4.56 | $ | 5.65 | ||||||||||
Total Return, at Net Asset Value4 | 0.65 | % | 14.77 | % | 18.41 | % | (14.49 | )% | 9.55 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,604,906 | $ | 1,670,340 | $ | 3,656,726 | $ | 2,810,315 | $ | 2,876,016 | ||||||||||
Average net assets (in thousands) | $ | 1,673,715 | $ | 2,485,427 | $ | 3,143,836 | $ | 3,152,967 | $ | 2,075,028 | ||||||||||
Ratios to average net assets:5,6 | ||||||||||||||||||||
Net investment income | 6.25 | % | 6.15 | % | 5.95 | % | 5.54 | % | 5.08 | % | ||||||||||
Total expenses | 1.02 | %7 | 0.99 | %8 | 0.92 | %8 | 0.84 | %8 | 0.84 | %8 | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.96 | %9 | 0.95 | % | 0.89 | % | 0.82 | % | 0.82 | % | ||||||||||
Portfolio turnover rate10 | 49 | % | 99 | % | 110 | % | 86 | % | 76 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Less than $0.005 per share. | |
4. | 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. | |
5. | Annualized for periods less than one full year. | |
6. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Year Ended December 30, 2011 | 1.03 | % |
8. | Total expenses including all affiliated fund expenses were as follows: |
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 | % |
9. | Ratio including expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Year Ended December 30, 2011 | 0.97 | % |
10. | 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 30, 2011 | $ | 1,050,654,783 | $ | 1,039,506,614 | ||||
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 |
60 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
61 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
The net asset value per share of the Subsidiary is determined as of the close of the Exchange, on each day the Exchange is open for trading. The net asset value per share is determined by dividing the value of the Subsidiary’s net assets by the number of shares that are outstanding. The Subsidiary values its investments in the same manner as the Fund as described above.
62 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
When-Issued or Delayed | ||||
Delivery Basis Transactions | ||||
Purchased securities | $ | 97,019,778 | ||
Sold securities | 2,262,138 |
Cost | $ | 27,027,445 | ||
Market Value | $ | 5,465,212 | ||
Market Value as a % of Net Assets | 0.24 | % |
63 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
64 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.
Net Unrealized | ||||||||||||
Depreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1 | Tax Purposes | |||||||||
$147,943,807 | $ | 16,250,407 | $ | 792,837 | $ | 138,562,774 |
1. | The Fund had $792,837 of straddle losses which were deferred. |
65 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
1. | Significant Accounting Policies Continued |
Accordingly, the following amounts have been reclassified for December 30, 2011. Net assets of the Fund were unaffected by the reclassifications. |
Increase to | Reduction to | |||||||
Accumulated | Accumulated | |||||||
Increase to | Net Investment | Net Realized Gain | ||||||
Paid-in Capital | Income | on Investments4 | ||||||
$2,370,070 | $ | 66,128,508 | $ | 68,498,578 |
4. | $2,370,070, including $1,364,369 of long-term capital gain, was distributed in connection with Fund share redemptions. |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 69,835,731 | $ | 380,220,414 | ||||
Long-term capital gain | 29,219,730 | — | ||||||
Total | $ | 99,055,461 | $ | 380,220,414 | ||||
Federal tax cost of securities | $ | 2,465,151,650 | ||
Federal tax cost of other investments | 205,375,217 | |||
Total federal tax cost | $ | 2,670,526,867 | ||
Gross unrealized appreciation | $ | 112,337,035 | ||
Gross unrealized depreciation | (250,899,809 | ) | ||
Net unrealized depreciation | $ | (138,562,774 | ) | |
66 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 11,331,249 | $ | 62,405,055 | 13,659,013 | $ | 73,616,257 | ||||||||||
Dividends and/or distributions reinvested | 5,843,515 | 31,847,158 | 13,002,895 | 66,430,241 | ||||||||||||
Redeemed | (24,340,756 | ) | (133,612,101 | ) | (42,045,616 | ) | (221,305,979 | ) | ||||||||
Net decrease | (7,165,992 | ) | $ | (39,359,888 | ) | (15,383,708 | ) | $ | (81,259,481 | ) | ||||||
Service Shares | ||||||||||||||||
Sold | 30,704,662 | $ | 172,623,711 | 39,118,559 | $ | 211,931,885 | ||||||||||
Dividends and/or distributions reinvested | 12,087,824 | 67,208,303 | 60,274,068 | 313,790,173 | ||||||||||||
Redeemed | (44,589,582 | ) | (250,157,976 | ) | (484,576,971 | ) | (2,502,256,558 | ) | ||||||||
Net decrease | (1,797,096 | ) | $ | (10,325,962 | ) | (385,184,344 | ) | $ | (1,976,534,500 | ) | ||||||
67 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Purchases | Sales | |||||||
Investment securities | $ | 885,448,910 | $ | 981,223,989 | ||||
U.S. government and government agency obligations | 39,608,149 | 1,502,573 | ||||||
To Be Announced (TBA) mortgage-related securities | 1,050,654,783 | 1,039,506,614 |
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 |
68 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
69 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Asset Derivatives | Liability Derivatives | |||||||||||
Statement | Statement | |||||||||||
Derivatives Not | of Assets | of Assets | ||||||||||
Accounted for as | and Liabilities | and Liabilities | ||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||
Credit contracts | Appreciated swaps, at value | $ | 859,355 | Appreciated swaps, at value | $ | 2,186,195 | ||||||
Credit contracts | Depreciated swaps, at value | 1,058,863 | Depreciated swaps, at value | 1,151,796 | ||||||||
Equity contracts | Appreciated swaps, at value | 1,215,189 | Depreciated swaps, at value | 845,825 |
70 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Asset Derivatives | Liability Derivatives | |||||||||||
Statement | Statement | |||||||||||
Derivatives Not | of Assets | of Assets | ||||||||||
Accounted for as | and Liabilities | and Liabilities | ||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||
Foreign exchange contracts | Depreciated swaps, at value | $ | 573 | |||||||||
Interest rate contracts | Appreciated swaps, at value | $ | 1,633,738 | Depreciated swaps, at value | 1,100,851 | |||||||
Volatility contracts | Appreciated swaps, at value | 351,671 | Depreciated swaps, at value | 89,170 | ||||||||
Equity contracts | Futures margins | 94,356 | * | Futures margins | 131,001 | |||||||
Interest rate contracts | Futures margins | 824,993 | * | Futures margins | 158,871 | |||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 6,674,020 | Unrealized depreciation on foreign currency exchange contracts | 9,409,937 | ||||||||
Foreign exchange contracts | Appreciated options written, at value | 263,046 | ||||||||||
Foreign exchange contracts | Depreciated options written, at value | 16,868 | ||||||||||
Interest rate contracts | Appreciated options written, at value | 1,164,102 | ||||||||||
Interest rate contracts | Depreciated options written, at value | 920,209 | ||||||||||
Interest rate contracts | Appreciated swaptions written, at value | 1,798,390 | ||||||||||
Interest rate contracts | Depreciated swaptions written, at value | 5,770,471 | ||||||||||
Foreign exchange contracts | Investments, at value | 487,099 | ** | |||||||||
Interest rate contracts | Investments, at value | 9,637,599 | ** | |||||||||
Total | $ | 22,836,883 | $ | 25,007,305 | ||||||||
* | 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 and swaptions |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Investments from | ||||||||||||||||||||||||
unaffiliated | Closing and | |||||||||||||||||||||||
companies | expiration | Closing and | ||||||||||||||||||||||
Derivatives Not | (including | of option | expiration of | Foreign | ||||||||||||||||||||
Accounted for as | premiums on | contracts | futures | currency | ||||||||||||||||||||
Hedging Instruments | options exercised)* | written | contracts | transactions | Swap contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (453,430 | ) | $ | (453,430 | ) | ||||||||||
Equity contracts | — | — | (719,017 | ) | — | (3,194,024 | ) | (3,913,041 | ) | |||||||||||||||
Foreign exchange contracts | (1,094,302 | ) | 3,524,494 | 681,420 | (33,825,963 | ) | (240,915 | ) | (30,955,266 | ) | ||||||||||||||
Interest rate contracts | 6,132,218 | 2,620,362 | 9,516,175 | — | 2,917,344 | 21,186,099 | ||||||||||||||||||
Volatility contracts | — | — | — | — | 2,893,325 | 2,893,325 | ||||||||||||||||||
Total | $ | 5,037,916 | $ | 6,144,856 | $ | 9,478,578 | $ | (33,825,963 | ) | $ | 1,922,300 | $ | (11,242,313 | ) | ||||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
71 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||||||
liabilities | ||||||||||||||||||||||||||||
Derivatives Not | Option | Swaption | denominated | |||||||||||||||||||||||||
Accounted for as | contracts | contracts | Futures | in foreign | ||||||||||||||||||||||||
Hedging Instruments | Investments* | written | written | contracts | currencies | Swap contracts | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 210,402 | $ | 210,402 | ||||||||||||||
Equity contracts | — | — | — | 201,501 | — | (532,569 | ) | (331,068 | ) | |||||||||||||||||||
Foreign exchange contracts | (205,745 | ) | 810,970 | — | — | 5,737,529 | 1,563,616 | 7,906,370 | ||||||||||||||||||||
Interest rate contracts | (3,840,417 | ) | 297,258 | 619,936 | 10,113,351 | — | 182,900 | 7,373,028 | ||||||||||||||||||||
Volatility contracts | — | — | — | — | — | 260,788 | 260,788 | |||||||||||||||||||||
Total | $ | (4,046,162 | ) | $ | 1,108,228 | $ | 619,936 | $ | 10,314,852 | $ | 5,737,529 | $ | 1,685,137 | $ | 15,419,520 | |||||||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
72 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
73 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
5. | Risk Exposures and the Use of Derivative Instruments Continued |
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 | 120,340,252,175 | 6,884,670 | 139,478,984,387 | 7,041,489 | ||||||||||||
Options closed or expired | (2,809,615,444 | ) | (3,761,874 | ) | (1,748,384,721 | ) | (4,417,546 | ) | ||||||||
Options exercised | (1,659,245,049 | ) | (1,115,033 | ) | (3,488,195,000 | ) | (1,159,253 | ) | ||||||||
Options outstanding as of December 30, 2011 | 115,871,391,682 | $ | 2,007,763 | 134,242,404,666 | $ | 1,464,690 | ||||||||||
74 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
75 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Call Swaptions | ||||||||
Notional | Amount of | |||||||
Amount | Premiums | |||||||
Swaptions outstanding as of December 31, 2010 | $ | — | $ | — | ||||
Swaptions written | 385,315,000 | 8,188,797 | ||||||
Swaptions outstanding as of December 30, 2011 | $ | 385,315,000 | $ | 8,188,797 | ||||
February 16, 2012
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1993) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital |
Beverly L. Hamilton, Continued | (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997- February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005- March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003- March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005- December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz, Memani, Welsh, Gabinet and Mss. Zervos and Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Welsh, Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Arthur P. Steinmetz, Vice President (since 1993) Age: 53 | Chief Investment Officer of the Manager (since October 2010); Executive Vice President of the Manager (since October 2009). Chief Investment Officer of Fixed-Income Investments of the Manager (April 2009-October 2010); Director of Fixed-Income Investments of the Manager (January 2009-April 2009) and a Senior Vice President of the Manager (March 1993-September 2009). A portfolio manager and an officer of 5 portfolios in the OppenheimerFunds complex. | |
Krishna Memani, Vice President (since 2009) Age: 51 | Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Joseph Welsh, Vice President (since 2009) Age: 47 | Head of the Manager’s High Yield Corporate Debt Team (since April 2009); Senior Vice President of the Manager (since May 2009); Vice President of the Manager (December 2000-April 2009); Assistant Vice President of the Manager (December 1996-November 2000); a high yield bond analyst of the Manager (January 1995- December 1996); a CFA. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Sara J. Zervos, Ph.D., Vice President (since 2010) Age: 42 | Head of the Global Debt Team (since October 2010); Senior Vice President of the Manager (since January 2011); Vice President of the Manager (April 2008-December 2010). Prior to joining the Manager, a portfolio manager with Sailfish Capital Management (May 2007-February 2008) and a portfolio manager for emerging market debt at Dillon Read Capital Management and OTA Asset Management (June 2004-April 2007). A portfolio manager and officer of 4 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003-October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
90 | Statement of Assets and Liabilities | |
91 | Statement of Operations | |
92 | Statement of Changes in Net Assets | |
93 | Notes to Financial Statements | |
98 | Report of Independent Registered Public Accounting Firm |
STATEMENT OF ASSETS AND LIABILITIES December 30, 20111
Assets | ||||
Cash | $ | 1,498,774 | ||
Total assets | 1,498,774 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Auditing and other professional fees | 16,255 | |||
Total liabilities | 16,255 | |||
Net Assets | $ | 1,482,519 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 150 | ||
Additional paid-in capital | 1,499,850 | |||
Accumulated net investment loss | (17,481 | ) | ||
Net Assets—applicable to 15,000 shares of beneficial interest outstanding | $ | 1,482,519 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share | $ | 98.83 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
STATEMENT OF OPERATIONS For the Period Ended December 30, 20111,2
Expenses | ||||
Management fees | $ | 1,226 | ||
Legal, auditing and other professional fees | 16,255 | |||
Total expenses | 17,481 | |||
Net Investment Loss | (17,481 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (17,481 | ) | |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | For the period from November 21, 2011 (commencement of operations) to December 30, 2011. |
STATEMENT OF CHANGES IN NET ASSETS
Period Ended December 30, | 2011 | 1,2 | ||
Operations | ||||
Net investment loss | $ | (17,481 | ) | |
Net decrease in net assets resulting from operations | (17,481 | ) | ||
Beneficial Interest Transactions | ||||
Net increase in net assets resulting from beneficial interest transactions | 1,500,000 | |||
Net Assets | ||||
Total increase | 1,482,519 | |||
Beginning of period | — | |||
End of period (including accumulated net investment loss of $17,481 for the period ended December 30, 2011) | $ | 1,482,519 | ||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
2. | For the period from November 21, 2011 (commencement of operations) to December 30, 2011. |
NOTES TO FINANCIAL STATEMENTS
Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd. (the “Fund”) is organized as a Cayman Islands Company Limited by Shares. The Fund intends to carry on the business of an investment company and to acquire, invest in and hold by way of investment, sell and deal primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) and exchange traded funds (“ETF”). The Fund’s investment adviser is OppenheimerFunds, Inc. (the “Manager”). The Sub-Adviser is Oppenheimer Real Asset Management, Inc. (“ORAMI” or the “Sub-Adviser”), a wholly-owned subsidiary of the Manager. As of December 30, 2011, 100% of the Fund was owned by Oppenheimer Global Strategic Income Fund/VA (“OGSIFVA”). The Manager is also the investment adviser of OGSIFVA. The Fund commenced operations on November 21, 2011.
NOTES TO FINANCIAL STATEMENTS Continued
Continued quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities.
The Fund has authorized 5,000,000 participating shares of $0.01 par value per share. The Fund issued 15,000 participating shares for $1,500,000 on November 21, 2011 in conjunction with OGSI’s initial capitalization of the Fund. All subsequent capital contributions and withdrawals did not have participating shares associated with the transaction.
Period Ended December 30, 20111 | ||||
Amount | ||||
Contributions | $ | 1,500,000 | ||
Withdrawals | — | |||
Net increase | $ | 1,500,000 | ||
1. | For the period from November 21, 2011 (commencement of operations) to December 30, 2011. |
3. | Expenses Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table: |
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 |
Fee Schedule | ||||
Up to $200 million | 0.375 | % | ||
Next $200 million | 0.360 | |||
Next $200 million | 0.345 | |||
Next $200 million | 0.330 | |||
Next $200 million | 0.300 | |||
Over $1 billion | 0.250 |
NOTES TO FINANCIAL STATEMENTS Continued
The following represents the total return of the Fund for the period ended December 30, 2011. Total return was calculated based upon the daily returns of the Fund during this period. The calculation has not been annualized for reporting purposes:
Period Ended | |||||
December 30, 20111 | |||||
Ratios to average net assets: | |||||
Net investment income (loss) | (10.44 | )% | |||
Total expenses | 10.44 | % |
1. | For the period from November 21, 2011 (commencement of operations) through December 30, 2011. |
Since 2009, a number of class action, derivative and individual lawsuits have been pending in federal and state courts against OppenheimerFunds, Inc., the Fund’s investment advisor (the “Manager”), OppenheimerFunds Distributor, Inc., the Fund’s principal underwriter and distributor (the “Distributor”), and certain funds (but not including the Fund) advised by the Manager and distributed by the Distributor (the “Defendant Funds”). Several of these lawsuits also name as defendants certain officers and current and former trustees of the respective Defendant Funds. The lawsuits raise claims under federal securities laws and various states’ securities, consumer protection and common law and allege, among other things, that the disclosure documents of the respective Defendant Funds contained misrepresentations and omissions and that the respective Defendant Funds’ investment policies were not followed. The plaintiffs in these actions seek unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. On September 30, 2011, the U.S. District Court for the District of Colorado entered orders and final judgments approving the settlement of certain putative class actions involving two Defendant Funds, Oppenheimer Champion Income Fund and Oppenheimer Core Bond Fund. Those orders are not subject to further appeal. These settlements do not resolve other outstanding lawsuits relating to Oppenheimer Champion Income Fund and Oppenheimer Core Bond Fund, nor do the settlements affect certain other putative class action lawsuits pending in federal court against the Manager, the Distributor, and other Defendant Funds and their independent trustees.
The Fund has evaluated the need for disclosures and/or adjustments resulting from subsequent events through February 16, 2012, the date the financial statements were available to be issued. This evaluation determined that there are no subsequent events that necessitated disclosures and/or adjustments.
We have audited the accompanying statement of assets and liabilities of Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd., including the statement of investments, as of December 30, 2011, and the related statement of operations and the statement of changes in net assets for the period from November 21, 2011 (commencement of operations) to December 30, 2011. These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit.
February 16, 2012
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. | ||
©2012 OppenheimerFunds, Inc. All rights reserved. |
December 31, 2011 Oppenheimer Value Fund/VA Annual Report A Series of Oppenheimer Variable Account Funds ANNUAL REPORT Listing of Top Holdings Fund Performance Discussion Financial Statements |
For the Periods Ended 12/30/111
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (1/2/03) | ||||||||||
Non-Service Shares | -4.93 | % | 1.99 | % | 7.81% |
Since | ||||||||||||
Inception | ||||||||||||
1-Year | 5-Year | (9/18/06) | ||||||||||
Service Shares | -4.48 | % | -2.15 | % | -0.80% |
For the Period Ended 12/30/111
Gross | Net | ||||||||
Expense | Expense | ||||||||
Ratios | Ratios | ||||||||
Non-Service Shares | 1.83 | % | 0.80 | % | |||||
Service Shares | 1.90 | 1.05 |
Top Ten Common Stock Holdings | ||||
Chevron Corp. | 5.9 | % | ||
Medtronic, Inc. | 4.0 | |||
U.S. Bancorp | 3.5 | |||
Coca-Cola Co. (The) | 3.3 | |||
Wells Fargo & Co. | 3.2 | |||
MetLife, Inc. | 2.7 | |||
Gilead Sciences, Inc. | 2.6 | |||
Goldman Sachs Group, Inc. (The) | 2.6 | |||
Exxon Mobil Corp. | 2.5 | |||
Pfizer, Inc. | 2.5 |
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
1. | December 30, 2011 was the last business day of the Fund’s fiscal year. See Note 1 of the accompanying Notes to Financial Statements. Index returns are calculated through December 31, 2011. |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
July 1, 2011 | December 30, 2011 | December 30, 2011 | ||||||||||
Actual | ||||||||||||
Non-Service shares | $ | 1,000.00 | $ | 886.90 | $ | 3.79 | ||||||
Service shares | 1,000.00 | 903.10 | 5.02 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) | ||||||||||||
Non-Service shares | 1,000.00 | 1,021.06 | 4.06 | |||||||||
Service shares | 1,000.00 | 1,019.80 | 5.33 |
Class | Expense Ratios | |||
Non-Service shares | 0.80 | % | ||
Service shares | 1.05 |
Shares | Value | |||||||
Common Stocks—95.1% | ||||||||
Consumer Discretionary—9.6% | ||||||||
Automobiles—1.5% | ||||||||
Ford Motor Co.1 | 9,900 | $ | 106,524 | |||||
Household Durables—1.9% | ||||||||
Mohawk Industries, Inc.1 | 2,270 | 135,860 | ||||||
Media—3.6% | ||||||||
Comcast Corp., Cl. A | 6,700 | 158,857 | ||||||
Viacom, Inc., Cl. B | 1,990 | 90,366 | ||||||
249,223 | ||||||||
Multiline Retail—2.2% | ||||||||
Target Corp. | 3,030 | 155,197 | ||||||
Specialty Retail—0.4% | ||||||||
Talbots, Inc. (The)1 | 10,180 | 27,079 | ||||||
Consumer Staples—8.0% | ||||||||
Beverages—3.3% | ||||||||
Coca-Cola Co. (The) | 3,330 | 233,000 | ||||||
Food & Staples Retailing—2.2% | ||||||||
Wal-Mart Stores, Inc. | 2,580 | 154,181 | ||||||
Household Products—2.5% | ||||||||
Church & Dwight Co., Inc. | 3,710 | 169,770 | ||||||
Energy—12.8% | ||||||||
Energy Equipment & Services—0.7% | ||||||||
Nabors Industries Ltd.1 | 2,930 | 50,806 | ||||||
Oil, Gas & Consumable Fuels—12.1% | ||||||||
Apache Corp. | 700 | 63,406 | ||||||
Chevron Corp. | 3,890 | 413,896 | ||||||
Exxon Mobil Corp. | 2,094 | 177,487 | ||||||
Penn West Petroleum Ltd. | 3,930 | 77,814 | ||||||
Royal Dutch Shell plc, ADR | 1,530 | 111,828 | ||||||
844,431 | ||||||||
Financials—20.2% | ||||||||
Capital Markets—2.6% | ||||||||
Goldman Sachs Group, Inc. (The) | 2,010 | 181,764 | ||||||
Commercial Banks—10.4% | ||||||||
CIT Group, Inc.1 | 3,320 | 115,768 | ||||||
M&T Bank Corp. | 1,860 | 141,992 | ||||||
U.S. Bancorp | 8,940 | 241,827 | ||||||
Wells Fargo & Co. | 8,130 | 224,063 | ||||||
723,650 | ||||||||
Diversified Financial Services—2.2% | ||||||||
JPMorgan Chase & Co. | 4,580 | 152,285 | ||||||
Insurance—5.0% | ||||||||
ACE Ltd. | 2,310 | 161,977 | ||||||
MetLife, Inc. | 6,080 | 189,574 | ||||||
351,551 | ||||||||
Health Care—15.7% | ||||||||
Biotechnology—2.6% | ||||||||
Gilead Sciences, Inc.1 | 4,450 | 182,139 | ||||||
Health Care Equipment & Supplies—4.0% | ||||||||
Medtronic, Inc. | 7,380 | 282,285 | ||||||
Health Care Providers & Services—6.6% | ||||||||
HCA Holdings, Inc.1 | 5,420 | 119,403 | ||||||
Humana, Inc. | 1,640 | 143,680 | ||||||
UnitedHealth Group, Inc. | 2,270 | 115,044 | ||||||
WellPoint, Inc. | 1,230 | 81,488 | ||||||
459,615 | ||||||||
Pharmaceuticals—2.5% | ||||||||
Pfizer, Inc. | 8,150 | 176,366 | ||||||
Industrials—5.7% | ||||||||
Electrical Equipment—2.2% | ||||||||
Cooper Industries plc | 2,840 | 153,786 | ||||||
Industrial Conglomerates—2.1% | ||||||||
Tyco International Ltd. | 3,090 | 144,334 | ||||||
Trading Companies & Distributors—1.4% | ||||||||
AerCap Holdings NV1 | 9,010 | 101,723 | ||||||
Information Technology—9.0% | ||||||||
Communications Equipment—1.7% | ||||||||
Juniper Networks, Inc.1 | 5,790 | 118,174 | ||||||
Computers & Peripherals—0.9% | ||||||||
Hewlett-Packard Co. | 2,570 | 66,203 | ||||||
Internet Software & Services—1.1% | ||||||||
VeriSign, Inc. | 2,270 | 81,084 | ||||||
Semiconductors & Semiconductor Equipment—1.2% | ||||||||
Xilinx, Inc. | 2,590 | 83,035 | ||||||
Software—4.1% | ||||||||
Microsoft Corp. | 6,100 | 158,356 | ||||||
Oracle Corp. | 4,890 | 125,429 | ||||||
283,785 | ||||||||
Materials—4.1% | ||||||||
Chemicals—2.6% | ||||||||
Celanese Corp., Series A | 1,760 | 77,915 | ||||||
Mosaic Co. (The) | 1,980 | 99,851 | ||||||
177,766 | ||||||||
Containers & Packaging—1.5% | ||||||||
Rock-Tenn Co., Cl. A | 1,840 | 106,168 | ||||||
Telecommunication Services—2.9% | ||||||||
Diversified Telecommunication Services—1.3% | ||||||||
AT&T, Inc. | 2,912 | 88,059 | ||||||
Wireless Telecommunication Services—1.6% | ||||||||
Vodafone Group plc, Sponsored ADR | 4,130 | 115,764 |
Shares | Value | |||||||
Utilities—7.1% | ||||||||
Electric Utilities—3.5% | ||||||||
American Electric Power Co., Inc. | 2,110 | $ | 87,164 | |||||
Edison International, Inc. | 3,720 | 154,008 | ||||||
241,172 | ||||||||
Energy Traders—1.3% | ||||||||
GenOn Energy, Inc.1 | 33,520 | 87,487 | ||||||
Multi-Utilities—2.3% | ||||||||
Public Service Enterprise Group, Inc. | 4,970 | 164,059 | ||||||
Total Common Stocks (Cost $6,390,152) | 6,648,325 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.1% | ||||||||||||||||
Chicago Board Options Exchange Volatility Index Call1 | 1/18/12 | $ | 40.000 | 30 | 1,200 | |||||||||||
Chicago Board Options Exchange Volatility Index Call1 | 1/18/12 | 42.500 | 20 | 700 | ||||||||||||
Chicago Board Options Exchange Volatility Index Call1 | 2/15/12 | 40.000 | 20 | 2,000 | ||||||||||||
Chicago Board Options Exchange Volatility Index Call1 | 2/15/12 | 42.500 | 10 | 800 | ||||||||||||
Total Options Purchased (Cost $18,849) | 4,700 |
Shares | Value | |||||||
Investment Company—5.3% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%2,3 (Cost $374,186) | 374,186 | $ | 374,186 | |||||
Total Investments, at Value (Cost $6,783,187) | 100.5 | % | 7,027,211 | |||||
Liabilities in Excess of Other Assets | (0.5 | ) | (37,778 | ) | ||||
Net Assets | 100.0 | % | $ | 6,989,433 | ||||
* | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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 December 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 | December 30, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 230,823 | 3,758,508 | 3,615,145 | 374,186 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 374,186 | $ | 623 |
3. | Rate shown is the 7-day yield as of December 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 | $ | 673,883 | $ | — | $ | — | $ | 673,883 | ||||||||
Consumer Staples | 556,951 | — | — | 556,951 | ||||||||||||
Energy | 895,237 | — | — | 895,237 | ||||||||||||
Financials | 1,409,250 | — | — | 1,409,250 | ||||||||||||
Health Care | 1,100,405 | — | — | 1,100,405 | ||||||||||||
Industrials | 399,843 | — | — | 399,843 | ||||||||||||
Information Technology | 632,281 | — | — | 632,281 | ||||||||||||
Materials | 283,934 | — | — | 283,934 | ||||||||||||
Telecommunication Services | 203,823 | — | — | 203,823 | ||||||||||||
Utilities | 492,718 | — | — | 492,718 | ||||||||||||
Options Purchased | 4,700 | — | — | 4,700 | ||||||||||||
Investment Company | 374,186 | — | — | 374,186 | ||||||||||||
Total Assets | $ | 7,027,211 | $ | — | $ | — | $ | 7,027,211 | ||||||||
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $6,409,001) | $ | 6,653,025 | ||
Affiliated companies (cost $374,186) | 374,186 | |||
7,027,211 | ||||
Cash | 10,940 | |||
Receivables and other assets: | ||||
Dividends | 11,609 | |||
Other | 6,985 | |||
Total assets | 7,056,745 | |||
Liabilities | ||||
Payables and other liabilities: | ||||
Shares of beneficial interest redeemed | 22,042 | |||
Legal, auditing and other professional fees | 20,001 | |||
Shareholder communications | 15,426 | |||
Trustees’ compensation | 5,055 | |||
Distribution and service plan fees | 1,410 | |||
Transfer and shareholder servicing agent fees | 594 | |||
Other | 2,784 | |||
Total liabilities | 67,312 | |||
Net Assets | $ | 6,989,433 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 724 | ||
Additional paid-in capital | 8,021,828 | |||
Accumulated net investment income | 75,254 | |||
Accumulated net realized loss on investments and foreign currency transactions | (1,352,402 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 244,029 | |||
Net Assets | $ | 6,989,433 | ||
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 $104,481 and 13,056 shares of beneficial interest outstanding) | $ | 8.00 | ||
Service Shares: | ||||
Net asset value, redemption price per share and offering price per share (based on net assets of $6,884,952 and 710,734 shares of beneficial interest outstanding) | $ | 9.69 |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Investment Income | ||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $1,691) | $ | 160,618 | ||
Affiliated companies | 623 | |||
Interest | 5 | |||
Total investment income | 161,246 | |||
Expenses | ||||
Management fees | 56,629 | |||
Distribution and service plan fees — Service shares | 18,625 | |||
Transfer and shareholder servicing agent fees: | ||||
Non-Service shares | 101 | |||
Service shares | 7,450 | |||
Shareholder communications: | ||||
Non-Service shares | 352 | |||
Service shares | 21,015 | |||
Legal, auditing and other professional fees | 23,480 | |||
Trustees’ compensation | 7,567 | |||
Administration service fees | 1,500 | |||
Custodian fees and expenses | 677 | |||
Other | 6,089 | |||
Total expenses | 143,485 | |||
Less waivers and reimbursements of expenses | (64,465 | ) | ||
Net expenses | 79,020 | |||
Net Investment Income | 82,226 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | 605,487 | |||
Closing and expiration of option contracts written | (4,653 | ) | ||
Foreign currency transactions | 40 | |||
Net realized gain | 600,874 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | (1,040,606 | ) | ||
Translation of assets and liabilities denominated in foreign currencies | 5 | |||
Net change in unrealized appreciation/depreciation | (1,040,601 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (357,501 | ) | |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | Year Ended | |||||||
December 30, | December 31, | |||||||
20111 | 2010 | |||||||
Operations | ||||||||
Net investment income | $ | 82,226 | $ | 60,182 | ||||
Net realized gain | 600,874 | 524,533 | ||||||
Net change in unrealized appreciation/depreciation | (1,040,601 | ) | 356,769 | |||||
Net increase (decrease) in net assets resulting from operations | (357,501 | ) | 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 | 17,714 | 42,114 | ||||||
Service shares | (6,322 | ) | (1,058,473 | ) | ||||
11,392 | (1,016,359 | ) | ||||||
Net Assets | ||||||||
Total decrease | (413,758 | ) | (139,625 | ) | ||||
Beginning of period | 7,403,191 | 7,542,816 | ||||||
End of period (including accumulated net investment income of $75,254 and $60,637, respectively) | $ | 6,989,433 | $ | 7,403,191 | ||||
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. |
Year Ended | ||||||||||||||||||||
December 30, | Year Ended December 31, | |||||||||||||||||||
Non-Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 8.49 | $ | 7.22 | $ | 4.99 | $ | 11.73 | $ | 11.58 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .15 | .11 | .11 | .12 | .10 | |||||||||||||||
Net realized and unrealized gain (loss) | (.56 | ) | 1.24 | 2.14 | (4.44 | ) | .59 | |||||||||||||
Total from investment operations | (.41 | ) | 1.35 | 2.25 | (4.32 | ) | .69 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.08 | ) | (.08 | ) | (.02 | ) | (2.42 | ) | (.10 | ) | ||||||||||
Distributions from net realized gain | — | — | — | — | (.44 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.08 | ) | (.08 | ) | (.02 | ) | (2.42 | ) | (.54 | ) | ||||||||||
Net asset value, end of period | $ | 8.00 | $ | 8.49 | $ | 7.22 | $ | 4.99 | $ | 11.73 | ||||||||||
Total Return, at Net Asset Value3 | (4.93 | )% | 18.85 | % | 45.08 | % | (36.43 | )% | 5.89 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 104 | $ | 92 | $ | 38 | $ | 6 | $ | 1,728 | ||||||||||
Average net assets (in thousands) | $ | 101 | $ | 57 | $ | 20 | $ | 857 | $ | 2,753 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 1.78 | % | 1.46 | % | 1.75 | % | 1.07 | % | 0.80 | % | ||||||||||
Total expenses5 | 1.83 | % | 2.05 | % | 2.30 | % | 1.48 | % | 1.49 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.80 | % | 0.57 | % | 0.85 | % | 1.25 | % | 1.25 | % | ||||||||||
Portfolio turnover rate | 86 | % | 109 | % | 122 | % | 175 | % | 142 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 1.83 | % | ||
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 30, | Year Ended December 31, | |||||||||||||||||||
Service Shares | 20111 | 2010 | 2009 | 2008 | 2007 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.23 | $ | 8.99 | $ | 6.79 | $ | 11.75 | $ | 11.57 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | .11 | .08 | .09 | .08 | .06 | |||||||||||||||
Net realized and unrealized gain (loss) | (.56 | ) | 1.24 | 2.12 | (4.97 | ) | .60 | |||||||||||||
Total from investment operations | (.45 | ) | 1.32 | 2.21 | (4.89 | ) | .66 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.08 | ) | (.01 | ) | (.07 | ) | (.04 | ) | ||||||||||
Distributions from net realized gain | — | — | — | — | (.44 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (.09 | ) | (.08 | ) | (.01 | ) | (.07 | ) | (.48 | ) | ||||||||||
Net asset value, end of period | $ | 9.69 | $ | 10.23 | $ | 8.99 | $ | 6.79 | $ | 11.75 | ||||||||||
Total Return, at Net Asset Value3 | (4.48 | )% | 14.81 | % | 32.57 | % | (41.62 | )% | 5.70 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,885 | $ | 7,311 | $ | 7,505 | $ | 4,690 | $ | 6,481 | ||||||||||
Average net assets (in thousands) | $ | 7,449 | $ | 7,008 | $ | 5,501 | $ | 5,561 | $ | 3,527 | ||||||||||
Ratios to average net assets:4 | ||||||||||||||||||||
Net investment income | 1.08 | % | 0.85 | % | 1.10 | % | 0.84 | % | 0.49 | % | ||||||||||
Total expenses5 | 1.90 | % | 2.08 | % | 2.17 | % | 2.13 | % | 1.63 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 0.93 | % | 1.15 | % | 1.50 | % | 1.50 | % | ||||||||||
Portfolio turnover rate | 86 | % | 109 | % | 122 | % | 175 | % | 142 | % |
1. | December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See Note 1 of the accompanying Notes. | |
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: |
Year Ended December 30, 2011 | 1.90 | % | ||
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 | % |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4 | Tax Purposes | |||||||||
$82,579 | $ | — | $ | 1,290,536 | $ | 179,891 |
1. | As of December 30, 2011, the Fund had $1,204,711 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates. |
Expiring | ||||
2016 | $ | 204,829 | ||
2017 | 999,882 | |||
Total | $ | 1,204,711 | ||
2. | As of December 30, 2011, the Fund had $85,825 of post-October losses available to offset future realized capital gains, if any. | |
3. | During the fiscal year ended December 30, 2011, the Fund utilized $652,156 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
4. | During the fiscal year ended December 31, 2010, the Fund utilized $446,612 of capital loss carryforward to offset capital gains realized in that fiscal year. |
Increase | ||||
Increase | to Accumulated | |||
to Accumulated | Net Realized | |||
Net Investment | Loss on | |||
Income | Investments | |||
$40 | $ | 40 |
Year Ended | Year Ended | |||||||
December 30, 2011 | December 31, 2010 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 67,649 | $ | 64,750 |
Federal tax cost of securities | $ | 6,861,475 | ||
Federal tax cost of other investments | (14,150 | ) | ||
Total federal tax cost | $ | 6,847,325 | ||
Gross unrealized appreciation | $ | 667,294 | ||
Gross unrealized depreciation | (487,403 | ) | ||
Net unrealized appreciation | $ | 179,891 | ||
1. | Significant Accounting Policies Continued |
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows: |
Year Ended December 30, 2011 | Year Ended December 31, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Non-Service Shares | ||||||||||||||||
Sold | 4,906 | $ | 40,931 | 6,745 | $ | 50,146 | ||||||||||
Dividends and/or distributions reinvested | 101 | 904 | 65 | 479 | ||||||||||||
Redeemed | (2,787 | ) | (24,121 | ) | (1,196 | ) | (8,511 | ) | ||||||||
Net increase | 2,220 | $ | 17,714 | 5,614 | $ | 42,114 | ||||||||||
Service Shares | ||||||||||||||||
Sold | 114,846 | $ | 1,183,318 | 108,649 | $ | 1,008,324 | ||||||||||
Dividends and/or distributions reinvested | 6,285 | 66,745 | 7,063 | 64,271 | ||||||||||||
Redeemed | (125,191 | ) | (1,256,385 | ) | (235,966 | ) | (2,131,068 | ) | ||||||||
Net decrease | (4,060 | ) | $ | (6,322 | ) | (120,254 | ) | $ | (1,058,473 | ) | ||||||
Purchases | Sales | |||||||
Investment securities | $ | 6,276,087 | $ | 6,309,695 |
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 |
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. |
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. |
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. |
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. |
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. |
5. | Risk Exposures and the Use of Derivative Instruments Continued |
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. |
Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. |
Credit Related Contingent Features. The Fund’s agreements with derivative counterparties have several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net Asset Value or NAV. The contingent features are established within the Fund’s International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. |
Asset Derivatives | ||||
Derivatives Not Accounted for | ||||
as Hedging Instruments | Statement of Assets and Liabilities Location | Value | ||
Volatility contracts | Investments, at value | $4,700* |
* | Amounts relate to purchased options. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||
Derivatives Not Accounted for | Investments from | Closing and expiration of | ||||||||||
as Hedging Instruments | unaffiliated companies* | option contracts written | Total | |||||||||
Equity contracts | $ | 21,613 | $ | (4,653 | ) | $ | 16,960 | |||||
Volatility contracts | (1,137 | ) | — | (1,137 | ) | |||||||
Total | $ | 20,476 | $ | (4,653 | ) | $ | 15,823 | |||||
* | 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 | ||||
Derivatives Not Accounted | ||||
for as Hedging Instruments | Investments* | |||
Volatility contracts | $ | (14,149 | ) |
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Put Options | ||||||||
Number of Contracts | Amount of Premiums | |||||||
Options outstanding as of December 31, 2010 | — | $ | — | |||||
Options written | 24 | 940 | ||||||
Options closed or expired | (24 | ) | (940 | ) | ||||
Options outstanding as of December 30, 2011 | — | $ | — | |||||
Denver, Colorado
February 16, 2012
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees and Trustee (since 2002) Age: 74 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 2002) Age: 73 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 2002) Age: 69 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 2002) Age: 71 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 65 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Beverly L. Hamilton, Continued | Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 67 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
F. William Marshall, Jr., Trustee (since 2002) Age: 69 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 53 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005- December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 63 portfolios as a Trustee/Director and 96 portfolios as an officer in the OppenheimerFunds complex. |
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Williams, Gabinet and Ms. Nasta, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Mitch Williams, Vice President (since 2008) Age: 43 | Vice President of the Manager (since July 2006) and a Senior Research Analyst of the Manager (since April 2002); a Chartered Financial Analyst. Prior to joining the manager, Vice President and Research Analyst for Evergreen Funds (October 2000-January 2002). A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Arthur S. Gabinet, Secretary (since 2011) Age: 53 | Executive Vice President (since May 2010) and General Counsel (since January 2011) of the Manager; General Counsel of the Distributor (since January 2011); General Counsel of Centennial Asset Management Corporation (since January 2011); Executive Vice President and General Counsel of HarbourView Asset Management Corporation (since January 2011); Assistant Secretary (since January 2011) and Director (since January 2011) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since January 2011); Director of Oppenheimer Real Asset Management, Inc. (since January 2011); Executive Vice President and General Counsel of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since January 2011); Executive Vice President and General Counsel of OFI Private Investments, Inc. (since January 2011); Vice President of OppenheimerFunds Legacy Program (since January 2011); Executive Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since January 2011); General Counsel, Asset Management of the Manager (May 2010-December 2010); Principal, The Vanguard Group (November 2005-April 2010); District Administrator, U.S. Securities and Exchange Commission (January 2003- October 2005). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Christina M. Nasta, Vice President and Chief Business Officer (since 2011) Age: 38 | Senior Vice President of the Manager (since July 2010); Vice President of the Manager (since January 2003); Vice President of OppenheimerFunds Distributor, Inc. (since January 2003). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 61 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 2002) Age: 52 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999- June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. |
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 in the Fund, investors should carefully consider its investment objectives, risks, charges and expenses. The Fund’s prospectus and summary prospectus contain this and other information about the Fund, and may be | ||
obtained by asking your financial advisor or calling us at 1.800.988.8287. Read prospectuses and summary prospectuses carefully before investing. |
(a) | Audit Fees |
(e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. |
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. |
(2) | 100% |
(f) | Not applicable as less than 50%. |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $421,060 in fiscal 2011 and $393,211 in fiscal 2010 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
b) Not applicable.
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) Exhibit attached hereto. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. |
(b) | Exhibit attached hereto. |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
Date: | 2/9/2012 |
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
Date: | 2/9/2012 | |||
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial Officer | ||||
Date: | 2/9/2012 |