UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-4108
Oppenheimer Strategic Bond Fund/VA
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
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Date of fiscal year end: December 31
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Date of reporting period: January 1, 2004 - June 30, 2004
ITEM 1. REPORTS TO STOCKHOLDERS.
STATEMENT OF INVESTMENTS June 30, 2004 / Unaudited
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES--3.5%
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American Money Management
Corp., Commercial Debt Obligations
Sub. Bonds, Series I, Cl. D1,
13.602%, 1/15/12 1 $ 172,858 $ 171,648
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Arbor I Ltd., Catastrophe Linked
Nts., Series 2004-4, 15.11%, 3/15/06 2 250,000 249,200
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Bank One Auto Securitization Trust,
Automobile Receivable Certificates,
Series 2003-1, Cl. A2, 1.29%, 8/21/06 508,644 507,672
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BMW Vehicle Owner Trust,
Automobile Loan Certificates:
Series 2003-A, Cl. A2, 1.45%,
11/25/05 1 222,936 223,087
Series 2004-A, Cl. A2, 1.88%,
10/25/06 790,000 787,788
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Capital Auto Receivables Asset Trust,
Automobile Mtg.-Backed Nts.,
Series 2003-2, Cl. A2A,
1.20%, 5/16/05 205,859 205,957
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Caterpillar Financial Asset Trust,
Equipment Loan Pass-Through
Certificates, Series 2003-A, Cl. A2,
1.25%, 10/25/05 175,067 175,113
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Centex Home Equity Co. LLC, Home
Equity Loan Asset-Backed Certificates:
Series 2003-A, Cl. AF1,
1.836%, 10/25/17 11,727 11,722
Series 2003-B, Cl. AF1,
1.64%, 2/25/18 78,878 78,788
Series 2003-C, Cl. AF1,
2.14%, 7/25/18 505,137 504,832
Series 2004-A, Cl. AF1,
2.03%, 6/25/19 321,127 320,464
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Chase Funding Mortgage Loan
Asset-Backed Certificates,
Home Equity
Mtg. Obligations:
Series 2003-3, Cl. 1A1,
1.38%, 8/25/17 2 162,578 162,651
Series 2003-4, Cl. 1A1,
1.42%, 9/25/17 1,2 469,658 469,913
Series 2004-1, Cl. 2A1,
1.41%, 9/25/21 2 1,221,398 1,222,108
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Chase Manhattan Auto Owner Trust,
Automobile Loan Pass-Through
Certificates:
Series 2002-A, Cl. A4, 4.24%, 9/15/08 180,000 182,943
Series 2003-A, Cl. A2, 1.26%, 1/16/06 146,473 146,479
Series 2003-B, Cl. A2, 1.28%, 3/15/06 259,258 259,140
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CIT Group Home Equity Loan Trust,
Home Equity Loan Asset-Backed
Certificates, Series 2003-1, Cl. A2,
2.35%, 4/20/27 324,765 324,533
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES CONTINUED
Citibank Credit Card Issuance Trust,
Credit Card Receivable Nts.,
Series 2002-A3, Cl. A3,
4.40%, 5/15/07 $ 530,000 $ 540,082
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CitiFinancial Mortgage Securities,
Inc., Home Equity
Collateralized Mtg. Obligations:
Series 2003-1, Cl. AF1,
1.94%, 1/25/33 41,305 41,290
Series 2003-2, Cl. AF1,
1.40%, 5/25/33 2 170,735 170,828
Series 2003-3, Cl. AF1,
1.42%, 8/25/33 1,2 289,919 290,069
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Consumer Credit Reference Index
Securities Program, Credit Card
Asset-Backed Certificates, Series
2002-B, Cl. FX, 10.421%, 3/22/07 1 500,000 524,482
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DaimlerChrysler Auto Trust,
Automobile Loan Pass-Through
Certificates:
Series 2003-A, Cl. A2,
1.52%, 12/8/05 1 861,089 861,395
Series 2003-B, Cl. A2, 1.61%, 7/8/06 970,000 968,846
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Embarcadero Aircraft Securitization
Trust, Airplane Collateral
Obligations, 2000-A, Cl. B,
0.678%, 8/15/25 1,3,11 1,820,063 569
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Ford Credit Auto Owner Trust,
Automobile Loan Pass-Through
Certificates:
Series 2003-A, Cl. A2A,
1.62%, 8/15/05 163,123 163,264
Series 2004-A, Cl. A2,
2.13%, 10/15/06 1,120,000 1,117,942
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Harley-Davidson Motorcycle Trust,
Motorcycle Receivable Nts.:
Series 2002-2, Cl. A1, 1.91%, 4/15/07 94,771 94,892
Series 2003-3, Cl. A1, 1.50%, 1/15/08 642,859 641,576
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Honda Auto Receivables Owner
Trust, Automobile Receivable
Obligations:
Series 2003-1, Cl. A2, 1.46%, 9/19/05 173,299 173,413
Series 2003-3, Cl. A2, 1.52%, 4/21/06 1 1,035,985 1,035,468
Series 2003-4, Cl. A2, 1.58%, 7/17/06 960,000 958,991
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Household Automotive Trust,
Automobile Loan Certificates,
Series 2003-2, Cl. A2,
1.56%, 12/18/06 430,000 429,356
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M&I Auto Loan Trust, Automobile
Loan Certificates:
Series 2002-1, Cl. A3,
2.49%, 10/22/07 463,189 464,758
Series 2003-1, Cl. A2,
1.60%, 7/20/06 820,000 819,869
5 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES Continued
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National City Auto Receivables
Trust, Automobile Receivable
Obligations, Series 2004-A, Cl. A2,
1.50%, 2/15/07 $ 530,000 $ 527,993
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NC Finance Trust, Collateralized
Mtg. Obligations,
Series 1999-I, Cl. ECFD,
8.75%, 1/25/29 1 66,744 17,020
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Nissan Auto Lease Trust,
Automobile Lease Obligations,
Series 2003-A, Cl. A2,
1.69%, 12/15/05 594,265 594,838
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Nissan Auto Receivables Owner
Trust, Automobile bReceivable Nts.:
Series 2002-A, Cl. A4,
4.28%, 10/16/06 180,000 182,521
Series 2003-A, Cl. A2,
1.45%, 5/16/05 50,746 50,779
Series 2003-B, Cl. A2,
1.20%, 11/15/05 616,559 616,710
Series 2004-A, Cl. A2,
1.40%, 7/17/06 610,000 607,257
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Principal Residential
Mortgage Capital
Resources Trust, Real Estate Mtg.
Investment Conduit Participation
Certificates, Series 2000-1, Cl. B,
2.93%, 6/20/05 1,2 1,000,000 994,688
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Sequoia Capital Ltd.,
Catastrophe Nts., Series 2004-2,
5.86%, 3/15/05 2 250,000 250,150
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Toyota Auto Receivables Owner
Trust, Automobile Mtg.-Backed
Obligations:
Series 2002-B, Cl. A3, 3.76%, 6/15/06 148,583 149,634
Series 2003-A, Cl. A2, 1.28%, 8/15/05 266,011 266,149
Series 2003-B, Cl. A2, 1.43%, 2/15/06 1 662,696 662,253
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USAA Auto Owner Trust,
Automobile Loan Asset-Backed Nts.:
Series 2002-1, Cl. A3, 2.41%, 10/16/06 251,097 251,867
Series 2003-1, Cl. A2, 1.22%, 4/17/06 335,637 335,609
Series 2004-1, Cl. A2, 1.43%, 9/15/06 1,500,000 1,493,447
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Volkswagen Auto Loan Enhanced
Trust, Automobile Loan
Receivable Certificates:
Series 2003-1, Cl. A2, 1.11%,
12/20/05 867,758 867,223
Series 2003-2, Cl. A2, 1.55%, 6/20/06 550,000 549,552
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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ASSET-BACKED SECURITIES CONTINUED
Whole Auto Loan Trust,
Automobile Loan
Receivable Certificates:
Series 2002-1, Cl. A2,
1.88%, 6/15/05 $ 103,907 $ 103,998
Series 2003-1, Cl. A2A,
1.40%, 4/15/06 965,410 964,709
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Total Asset-Backed Securities
(Cost $26,666,115) 24,787,525
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MORTGAGE-BACKED OBLIGATIONS--15.2%
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Asset Securitization Corp.,
Commercial Mtg. Pass-Through
Certificates, Series 1997-D4, Cl. B1,
7.525%, 4/14/29 375,000 408,164
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Bank of America Mortgage
Securities, Inc., Collateralized Mtg.
Obligations Pass-Through
Certificates, Series 2004-E,
Cl. 2A9, 3.712%, 6/25/34 690,594 694,047
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CIT Equipment Collateral,
Equipment Receivable-Backed Nts.,
Series 2003-EF1, Cl. A2,
1.49%, 12/20/05 299,260 299,298
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Federal Home Loan Mortgage Corp.:
5%, 7/1/34 4 7,995,000 7,717,669
5.50%, 1/1/34 333,742 332,887
7%, 9/1/33-11/1/33 1,263,576 1,336,699
11%, 11/1/14 82,611 91,096
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Federal Home Loan Mortgage
Corp., Gtd. Mtg. Pass-Through
Participation Certificates,
Series 151, Cl. F, 9%, 5/15/21 132,227 132,452
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Federal Home Loan Mortgage
Corp., Gtd. Real Estate Mtg.
Investment Conduit Multiclass
Pass-Through Certificates:
Series 1669, Cl. G, 6.50%, 2/15/23 251,294 254,523
Series 2055, Cl. ZM, 6.50%, 5/15/28 460,168 480,924
Series 2080, Cl. Z, 6.50%, 8/15/28 291,299 299,042
Series 2102, Cl. VA, 6%, 10/15/09 118,437 118,694
Series 2387, Cl. PD, 6%, 4/15/30 691,381 703,118
Series 2466, Cl. PD, 6.50%, 4/15/30 433,187 446,122
Series 2491, Cl. PE, 6%, 12/15/27 112,810 112,984
Series 2498, Cl. PC, 5.50%, 10/15/14 98,912 101,204
Series 2500, Cl. FD, 1.739%, 3/15/32 2 182,892 184,458
Series 2526, Cl. FE, 1.639%, 6/15/29 2 211,291 210,844
Series 2551, Cl. FD, 1.639%, 1/15/33 2 175,159 176,143
Series 2551, Cl. TA, 4.50%, 2/15/18 545,149 546,794
6 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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MORTGAGE-BACKED OBLIGATIONS Continued
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Federal Home Loan Mortgage
Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. B, 8.425%, 7/1/26 5 $ 534,689 $ 118,649
Series 192, Cl. IO, 21.084%, 2/1/28 5 144,012 32,203
Series 200, Cl. IO, 19.842%, 1/1/29 5 173,292 40,711
Series 205, Cl. IO, 9.428%, 9/1/29 5 844,985 188,436
Series 208, Cl. IO, (22.609)%, 6/1/30 5 986,480 213,678
Series 2074, Cl. S, 30.474%, 7/17/28 5 180,727 22,083
Series 2079, Cl. S, 29.182%, 7/17/28 5 276,799 34,937
Series 2526, Cl. SE, 48.703%, 6/15/29 5 395,021 47,693
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Federal Home Loan Mortgage
Corp., Principal-Only Stripped
Mtg.-Backed Security:
Series 199, Cl. PO, 4.459%, 8/1/28 6 487,815 400,404
Series 203, Cl. PO, 4.725%, 6/1/29 6 491,443 400,846
Series 217, Cl. PO, 4.79%, 2/1/32 6 183,788 149,291
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Federal Home Loan Mortgage
Corp., Structured Pass-Through
Securities, Collateralized Mtg.
Obligations, Series T-42, Cl. A2,
5.50%, 2/25/42 14,352 14,371
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Federal National Mortgage Assn.:
4.50%, 7/17/18 4 3,175,000 3,102,572
5%, 7/15/34 4 767,000 742,049
5.50%, 7/1/33-3/1/34 3,009,349 3,003,831
5.50%, 7/17/19-7/14/34 4 18,390,000 18,463,755
6%, 7/25/34 4 4,444,000 4,537,048
6.50%, 5/1/29-5/1/32 2,014,090 2,100,034
6.50%, 7/1/34 4 13,177,000 13,720,551
7%, 7/1/32-11/1/33 3,230,421 3,417,260
7%, 7/14/34 4 28,000,000 29,531,264
7.50%, 8/1/25 27,778 29,866
8.50%, 7/1/32 55,773 60,400
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Federal National Mortgage Assn.,
Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1998-63, Cl. PG, 6%, 3/25/27 215,926 218,255
Trust 2001-50, Cl. NE, 6%, 8/25/30 380,530 389,416
Trust 2001-70, Cl. LR, 6%, 9/25/30 349,753 362,740
Trust 2001-72, Cl. NH, 6%, 4/25/30 308,827 318,161
Trust 2001-74, Cl. PD, 6%, 5/25/30 130,026 134,959
Trust 2002-50, Cl. PD, 6%, 9/25/27 350,000 359,800
Trust 2002-73, Cl. PA, 5%, 1/25/17 52,304 52,274
Trust 2002-77, Cl. WF,
1.664%, 12/18/32 2 293,404 294,397
Trust 2002-94, Cl. MA,
4.50%, 8/25/09 588,115 592,554
Trust 2003-81, Cl. PA, 5%, 2/25/12 183,821 186,107
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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MORTGAGE-BACKED OBLIGATIONS CONTINUED
Federal National Mortgage Assn.,
Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates
Interest-Only Stripped
Mtg.- Backed Security:
Trust 2002-28, Cl. SA,
43.225%, 4/25/32 5 $ 219,861 $ 22,287
Trust 2002-48, Cl. S,
40.234%, 7/25/32 5 349,962 37,984
Trust 2002-52, Cl. SL,
41.433%, 9/25/32 5 220,925 21,933
Trust 2002-56, Cl. SN,
43.876%, 7/25/32 5 480,892 50,478
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Federal National Mortgage Assn.,
Interest-Only Stripped
Mtg.- Backed Security:
Trust 221, Cl. 2, 6.488%, 5/1/23 5 243,310 54,096
Trust 240, Cl. 2, 13.828%, 9/1/23 5 416,865 92,655
Trust 313, Cl. 2, (12.444)%, 7/1/31 5 1,227,268 285,537
Trust 2001-63, Cl. SD, 46.371%,
12/18/31 5 350,788 47,229
Trust 2001-68, Cl. SC, 45.759%,
11/25/31 5 266,601 28,971
Trust 2002-9, Cl. MS, 45.63%,
3/25/32 5 469,667 47,159
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First Chicago/Lennar Trust 1,
Commercial Mtg. Pass-Through
Certificates, Series 1997-CHL 1,
Cl. D, 7.902%, 4/29/39 1,2 350,000 361,922
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First Union/Lehman Brothers/Bank
of America, Commercial Mtg.
Pass-Through Certificates,
Series 1998-C2, Cl. A2,
6.56%, 11/18/35 360,000 388,691
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GMAC Commercial Mortgage
Securities, Inc., Mtg. Pass-Through
Certificates:
Series 1997-C1, Cl. A3,
6.869%, 7/15/29 320,582 343,640
Series 1998-C1, Cl. F,
7.176%, 5/15/30 2 1,800,000 1,720,446
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Government National
Mortgage Assn.:
4.625%, 11/20/25 2 21,625 21,850
7%, 3/15/28-7/15/28 1,506,043 1,603,310
7.50%, 2/15/27 180,742 195,201
8%, 11/15/25-5/15/26 163,635 180,141
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Government National Mortgage
Assn., Gtd. Multiclass Mtg.
Participation Certificates, Series
1999-27, Cl. PQ, 7.50%, 8/16/28 1,627,366 1,638,996
7 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
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PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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MORTGAGE-BACKED OBLIGATIONS Continued
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Government National Mortgage
Assn., Interest-Only Stripped
Mtg.- Backed Security:
Series 1998-19, Cl. SB, 29.217%,
7/16/28 5 $ 578,604 $ 73,231
Series 1998-6, Cl. SA, 28.921%,
3/16/28 5 348,851 39,940
Series 2001-21, Cl. SB, 31.65%,
1/16/27 5 2,691,582 256,971
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Lehman Structured Securities
Corp., Collateralized Mtg.
Obligations, Series 2001-GE4,
Cl. A, 244.80%, 10/25/30 2 10,763 10,763
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Merrill Lynch Mortgage
Investors, Inc., Mtg. Pass-Through
Certificates, Series 1995-C2, Cl.
D, 7.797%, 6/15/21 2 172,246 182,285
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Morgan Stanley Capital I Trust,
Commercial Mtg.
Pass-Through Certificates:
Series 1996-C1, Cl. F,
7.452%, 2/15/28 2, 7 162,744 150,015
Series 1997-XL1, Cl. G,
7.695%, 10/3/30 7 390,000 319,970
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Nomura Asset Securities Corp.,
Commercial Mtg. Pass-Through
Certificates, Series 1998-D6,
Cl. A1B, 6.59%, 3/15/30 420,000 456,144
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Prudential Mortgage Capital
Co. II LLC, Commercial Mtg.
Pass-Through Certificates,
Series PRU-HTG 2000-C1, Cl. A2,
7.306%, 10/6/15 556,000 622,085
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Salomon Brothers Mortgage
Securities VII, Inc., Commercial
Mtg. Pass-Through Certificates:
Series 1996-B, Cl. 1, 7.007%, 4/25/26 1,2 44,230 39,807
Series 1996-C1, Cl. F, 8.42%, 1/20/28 1,2 1,000,000 870,000
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Washington Mutual Mortgage
Securities Corp., Collateralized
Mtg. Pass-Through Certificates,
Series 2003-AR12, Cl. A2,
2.45%, 2/25/34 2 1,260,000 1,262,649
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Total Mortgage-Backed Obligations
(Cost $108,980,097) 109,354,143
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U.S. GOVERNMENT OBLIGATIONS--8.4%
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Federal Home Loan Mortgage
Corp. Nts., 3.75%, 7/15/09 [EUR] 1,090,000 1,322,104
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
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U.S. GOVERNMENT OBLIGATIONS CONTINUED
Federal Home Loan Mortgage
Corp. Unsec. Nts.:
2.375%, 4/15/06 $ 5,000,000 $ 4,958,620
2.75%, 8/15/06 2,260,000 2,245,561
4.50%, 1/15/13 2,075,000 2,001,989
4.875%, 3/15/07-11/15/13 6,540,000 6,704,957
5.50%, 7/15/06 8,865,000 9,281,522
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Federal National Mortgage
Assn. Unsec. Nts.:
1.80%, 5/27/05 1,390,000 1,384,899
2.50%, 6/15/06 2,715,000 2,690,304
2.68%, 9/28/05 1,400,000 1,401,634
3.01%, 6/2/06 1,400,000 1,400,640
3.125%, 7/15/06 1,440,000 1,442,557
4.25%, 7/15/07 8,840,000 9,009,436
6%, 5/15/11 2,600,000 2,795,502
7.25%, 1/15/10-5/15/30 6,310,000 7,252,444
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Resolution Funding Corp.
Federal Book Entry
Principal Strips, 5.85%, 1/15/21 8 1,220,000 477,146
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Tennessee Valley Authority Bonds:
Series C, 4.75%, 8/1/13 650,000 635,373
Series C, 6%, 3/15/13 625,000 668,024
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U.S. Treasury Bonds:
8.875%, 8/15/17 9 1,630,000 2,234,055
9.25%, 2/15/16 208,000 288,803
STRIPS, 4.20%, 2/15/11 8 900,000 675,950
STRIPS, 4.60%, 2/15/16 8,10 491,000 270,989
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United States (Government of) Gtd.
Israel Aid Bonds, 5.50%, 12/4/23 960,000 946,550
------------
Total U.S. Government Obligations
(Cost $61,272,850) 60,089,059
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FOREIGN GOVERNMENT OBLIGATIONS--25.0%
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ARGENTINA--0.9%
Argentina (Republic of) Bonds:
1.234%, 8/3/12 2 7,250,000 4,773,190
1.389%, 5/3/05 2 56,000 54,476
Series PRE8, 2%, 1/3/10 1,3,11 [ARP] 1,980,000 802,205
Series PR12, 2%, 1/3/16 1,3,11 [ARP] 1,335,300 433,028
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Argentina (Republic of)
Disc. Bonds, 3/31/23 1,3 260,000 137,800
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Argentina (Republic of) Letras del
Banco Central de la Republica
Treasury Bills, 14.75%, 10/8/04 8 [ARP] 17,000 5,688
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Argentina (Republic of) Par Bonds,
3/31/23 3,11 565,000 288,150
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Buenos Aires (Province of) Bonds,
Bonos de Consolidacion de Deudas,
Series PBA1, 4/1/07 1,3 [ARP] 73,046 28,325
------------
6,522,862
8 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
AUSTRIA--0.9%
Austria (Republic of) Bonds,
6.25%, 7/15/27 [EUR] 3,480,000 $ 5,017,137
- --------------------------------------------------------------------------------
Austria (Republic of) Nts.,
Series 98-1, 5%, 1/15/08 [EUR] 1,095,000 1,407,903
-----------
6,425,040
- --------------------------------------------------------------------------------
BELGIUM--1.5%
Belgium (Kingdom of) Bonds:
5%, 9/28/11 [EUR] 540,000 693,980
Series 19, 6.50%, 3/31/05 [EUR] 1,180,000 1,480,152
Series 26, 6.25%, 3/28/07 [EUR] 2,170,000 2,858,734
Series 28, 5.75%, 3/28/08 [EUR] 755,000 993,802
Series 32, 3.75%, 3/28/09 [EUR] 2,905,000 3,552,040
Series 35, 5.75%, 9/28/10 [EUR] 1,050,000 1,404,592
-----------
10,983,300
- --------------------------------------------------------------------------------
BRAZIL--0.3%
Brazil (Federal Republic of) Bonds,
Series 15 yr., 2.125%, 4/15/09 2 14,707 13,456
- --------------------------------------------------------------------------------
Brazil (Federal Republic of) Debt
Capitalization Bonds, Series 20 yr.,
8%, 4/15/14 1,718,108 1,581,733
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Brazil (Federal Republic of) Unsec.
Unsub. Bonds, Cl. B, 8.875%, 4/15/24 958,000 780,770
-----------
2,375,959
- --------------------------------------------------------------------------------
BULGARIA--0.3%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 800,000 934,000
8.25%, 1/15/15 7 800,000 934,000
-----------
1,868,000
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COLOMBIA--0.1%
Colombia (Republic of) Bonds,
10.75%, 1/15/13 260,000 278,200
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Colombia (Republic of) Unsec.
Unsub. Bonds, 8.375%, 2/15/27 615,000 501,225
-----------
779,425
- --------------------------------------------------------------------------------
DENMARK--0.3%
Denmark (Kingdom of) Nts., 4%,
8/15/08 [DKK] 12,675,000 2,106,881
- --------------------------------------------------------------------------------
FINLAND--0.0%
Finland (Republic of) Sr. Unsec.
Unsub. Bonds, 2.75%, 7/4/06 [EUR] 220,000 267,758
- --------------------------------------------------------------------------------
FRANCE--1.4%
France (Government of) Obligations
Assimilables du Tresor Bonds:
5.50%, 10/25/07 [EUR] 1,080,000 1,407,143
5.50%, 10/25/10 [EUR] 1,585,000 2,099,631
5.75%, 10/25/32 [EUR] 3,300,000 4,515,087
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
FRANCE CONTINUED
France (Government of)
Treasury Nts.:
3 yr., 3.50%, 1/12/05 [EUR] 1,460,000 $ 1,788,921
5 yr., 4.75%, 7/12/07 [EUR] 120,000 152,829
-----------
9,963,611
- --------------------------------------------------------------------------------
GERMANY--4.6%
Germany (Republic of) Bonds:
2%, 6/17/05 [EUR] 2,120,000 2,571,818
5.375%, 1/4/10 [EUR] 1,285,000 1,687,920
Series 01, 5%, 7/4/11 [EUR] 3,685,000 4,748,322
Series 140, 4.50%, 8/17/07 [EUR] 1,395,000 1,763,164
Series 143, 3.50%, 10/10/08 [EUR] 18,100,000 22,026,872
-----------
32,798,096
- --------------------------------------------------------------------------------
GREAT BRITAIN--2.1%
United Kingdom Treasury Nts.,
4%, 3/7/09 [GBP] 8,510,000 14,784,701
- --------------------------------------------------------------------------------
GREECE--1.1%
Greece (Republic of) Bonds:
3.50%, 4/18/08 [EUR] 1,055,000 1,286,839
4.60%, 5/20/13 [EUR] 1,545,000 1,905,542
5.35%, 5/18/11 [EUR] 2,035,000 2,656,808
- --------------------------------------------------------------------------------
Greece (Republic of) Sr. Unsub.
Bonds, 4.65%, 4/19/07 [EUR] 1,610,000 2,040,900
-----------
7,890,089
- --------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 7 250,000 281,250
10.25%, 11/8/11 95,000 106,875
-----------
388,125
- --------------------------------------------------------------------------------
IRELAND--0.2%
Ireland (Republic of)
Treasury Bonds, 3.25%, 4/18/09 [EUR] 1,045,000 1,248,387
- --------------------------------------------------------------------------------
ITALY--1.8%
Italy (Republic of) Treasury Bonds,
Buoni del Tesoro Poliennali:
4%, 3/1/05 [EUR] 520,000 640,250
4.50%, 3/1/07 [EUR] 1,150,000 1,452,595
5%, 10/15/07 [EUR] 5,080,000 6,520,515
5%, 2/1/12 [EUR] 1,030,000 1,322,323
5.25%, 12/15/05 [EUR] 2,590,000 3,270,866
-----------
13,206,549
- --------------------------------------------------------------------------------
IVORY COAST--0.0%
Ivory Coast (Government of)
Past Due Interest Bonds,
3/29/18 1,3,11, [FRF] 2,194,500 63,090
- --------------------------------------------------------------------------------
JAPAN--1.9%
Japan (Government of) Bonds, 5 yr.,
Series 14, 0.40%, 6/20/06 [JPY] 1,492,000,000 13,734,973
9 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
KOREA, REPUBLIC OF SOUTH--0.3%
Korea (Republic of) Bonds,
8.875%, 4/15/08 $ 1,170,000 $ 1,360,476
- --------------------------------------------------------------------------------
Korea (Republic of) Nts.,
4.25%, 6/1/13 780,000 718,692
------------
2,079,168
- --------------------------------------------------------------------------------
MEXICO--0.6%
United Mexican States Bonds:
7.50%, 4/8/33 930,000 902,565
8.30%, 8/15/31 400,000 420,000
Series M20, 8%, 12/7/23 [MXN] 23,040,000 1,474,432
- --------------------------------------------------------------------------------
United Mexican States Unsec.
Unsub. Nts., Series 6BR, 6.75%,
6/6/06 [JPY] 155,000,000 1,579,050
------------
4,376,047
- --------------------------------------------------------------------------------
NIGERIA--0.1%
Central Bank of Nigeria Gtd. Bonds,
Series WW, 6.25%, 11/15/20 275,000 234,438
- --------------------------------------------------------------------------------
Nigeria (Federal Republic of)
Promissory Nts., Series RC,
5.092%, 1/5/10 253,833 224,156
------------
458,594
- --------------------------------------------------------------------------------
PERU--0.1%
Peru (Republic of) Sr. Nts.,
4.53%, 2/28/16 8 1,554,327 846,020
- --------------------------------------------------------------------------------
PHILIPPINES--0.1%
Philippines (Republic of) Bonds,
8.375%, 2/15/11 438,000 434,567
- --------------------------------------------------------------------------------
POLAND--0.6%
Poland (Republic of) Bonds,
Series 0K0805, 5.26%, 8/12/05 8 [PLZ] 17,265,000 4,335,513
- --------------------------------------------------------------------------------
PORTUGAL--0.7%
Portugal (Republic of) Obrig Do
Tes Medio Prazo Nts., 4.875%,
8/17/07 [EUR] 1,620,000 2,068,891
- --------------------------------------------------------------------------------
Portugal (Republic of) Obrig Do
Tes Medio Prazo Unsec. Unsub.
Bonds, 5.85%, 5/20/10 [EUR] 2,450,000 3,288,694
------------
5,357,585
- --------------------------------------------------------------------------------
RUSSIA--2.1%
Ministry Finance of Russia Debs.:
Series V, 3%, 5/14/08 2,955,000 2,596,523
Series VI, 3%, 5/14/06 1,980,000 1,916,145
- --------------------------------------------------------------------------------
Russian Federation Unsec.
Unsub. Bonds, 5%, 3/31/30 7 5,000 4,591
- --------------------------------------------------------------------------------
Russian Federation Unsec.
Unsub. Nts.:
8.75%, 7/24/05 3,360,000 3,549,840
10%, 6/26/07 2,590,000 2,910,513
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
RUSSIA CONTINUED
Russian Federation Unsub. Nts.,
5%, 3/31/30 2 $ 4,754,875 $ 4,349,225
------------
15,326,837
- --------------------------------------------------------------------------------
SOUTH AFRICA--0.2%
South Africa (Republic of) Unsec.
Nts., 8.375%, 10/17/06 1,415,000 1,549,425
- --------------------------------------------------------------------------------
SPAIN--1.6%
Spain (Kingdom of) Bonds, Bonos
y Obligacion del Estado:
5.35%, 10/31/11 [EUR] 3,695,000 4,859,457
5.75%, 7/30/32 [EUR] 2,530,000 3,454,826
- --------------------------------------------------------------------------------
Spain (Kingdom of) Treasury Bills,
2%, 8/20/04 8 [EUR] 2,705,000 3,281,833
------------
11,596,116
- --------------------------------------------------------------------------------
SWEDEN--0.2%
Sweden (Kingdom of) Bonds,
Series 1043, 5%, 1/28/09 [SEK] 10,720,000 1,481,859
- --------------------------------------------------------------------------------
THE NETHERLANDS--0.7%
Netherlands
(Kingdom of the) Bonds:
5%, 7/15/11 [EUR] 1,615,000 2,081,408
5.50%, 1/15/28 [EUR] 2,340,000 3,083,259
------------
5,164,667
- --------------------------------------------------------------------------------
TURKEY--0.2%
Turkey (Republic of) Nts., 7.20%,
2/16/06 [JPY] 125,000,000 1,214,315
------------
Total Foreign Government
Obligations (Cost $178,542,352) 179,627,559
- --------------------------------------------------------------------------------
LOAN PARTICIPATIONS--0.7%
- --------------------------------------------------------------------------------
Algeria (Republic of) Loan
Participation Nts., 2%, 3/4/10 1,2 466,000 459,593
- --------------------------------------------------------------------------------
Deutsche Bank AG:
Indonesia (Republic of) Rupiah
Loan Participation Nts.,
2.636%, 1/25/06 1,2 1,490,000 1,402,239
Indonesia (Republic of) Rupiah
Loan Participation Nts.,
2.636%, 3/21/05 1,2 1,330,000 1,300,873
OAO Gazprom Loan Participation
Nts., 6.50%, 8/4/05 1 1,520,000 1,558,431
------------
Total Loan Participations
(Cost $4,602,761) 4,721,136
- --------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--29.5%
- --------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--9.1%
- --------------------------------------------------------------------------------
AUTO COMPONENTS--0.5%
Collins & Aikman
Floorcoverings, Inc., 9.75%
Sr. Sub. Nts., Series B, 2/15/10 200,000 204,000
10 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
AUTO COMPONENTS Continued
Collins & Aikman Products Co.,
10.75% Sr. Nts., 12/31/11 $ 419,000 $ 423,190
- --------------------------------------------------------------------------------
Dana Corp.:
9% Unsec. Nts., 8/15/11 420,000 493,500
10.125% Nts., 3/15/10 200,000 227,500
- --------------------------------------------------------------------------------
Dura Operating Corp.:
9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 200,000 233,597
9% Sr. Unsec. Sub. Nts.,
Series D, 5/1/09 500,000 492,500
- --------------------------------------------------------------------------------
Eagle-Picher, Inc., 9.75%
Sr. Nts., 9/1/13 300,000 324,000
- --------------------------------------------------------------------------------
Metaldyne Corp.:
10% Sr. Nts., 11/1/13 7 200,000 197,000
11% Sr. Sub. Nts., 6/15/12 300,000 256,500
- --------------------------------------------------------------------------------
Stoneridge, Inc., 11.50%
Sr. Nts., 5/1/12 600,000 709,500
- --------------------------------------------------------------------------------
Tenneco Automotive, Inc.,
10.25% Sr. Sec. Nts., Series B, 7/15/13 150,000 170,250
- --------------------------------------------------------------------------------
United Components, Inc.,
9.375% Sr. Sub. Nts., 6/15/13 200,000 205,000
-----------
3,936,537
- --------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.8%
American Casino & Entertainment,
7.85% Sr. Sec Nts., 2/1/12 7 500,000 510,000
- --------------------------------------------------------------------------------
Apcoa, Inc., 9.25% Sr. Unsec. Sub.
Nts., 3/15/08 1 100,000 90,500
- --------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub.
Nts., 8/15/11 850,000 945,625
- --------------------------------------------------------------------------------
Boca Resorts, Inc., 9.875% Sr. Sub.
Nts., 4/15/09 450,000 475,875
- --------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub.
Nts., 4/15/12 300,000 321,000
- --------------------------------------------------------------------------------
Coast Hotels & Casinos, Inc., 9.50%
Sr. Unsec. Sub. Nts., 4/1/09 1 300,000 316,500
- --------------------------------------------------------------------------------
Domino's, Inc., 8.25% Sr. Unsec.
Sub. Nts., 7/1/11 750,000 798,750
- --------------------------------------------------------------------------------
Gaylord Entertainment Co., 8%
Sr. Nts., 11/15/13 7 300,000 305,625
- --------------------------------------------------------------------------------
Hilton Hotels Corp., 7.625% Nts.,
12/1/12 600,000 648,000
- --------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr.
Unsec. Sub. Nts., Series B, 2/15/07 325,000 334,750
- --------------------------------------------------------------------------------
Intrawest Corp., 7.50% Sr.
Unsec. Nts., 10/15/13 625,000 614,063
- --------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Sub. Nts., 3/1/14 7 400,000 373,000
9% Sr. Sub. Nts., 3/15/12 500,000 541,250
- --------------------------------------------------------------------------------
John Q. Hammons Hotels, Inc., 8.875% Sr. Nts.,
Series B, 5/15/12 300,000 327,000
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE CONTINUED
Mandalay Resort Group, 10.25% Sr.
Unsec. Sub. Nts., Series B, 8/1/07 $ 650,000 $ 724,750
- --------------------------------------------------------------------------------
MGM Mirage, Inc.:
8.375% Sr. Unsec. Sub. Nts., 2/1/11 9 1,200,000 1,260,000
9.75% Sr. Unsec. Sub. Nts., 6/1/07 350,000 384,125
- --------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.375% Sr. Sub. Nts., 7/15/09 250,000 251,875
8% Sr. Sub. Nts., 4/1/12 400,000 428,000
8.375% Sr. Sub. Nts., 7/1/11 600,000 651,000
- --------------------------------------------------------------------------------
Park Place Entertainment Corp.:
7.875% Sr. Sub. Nts., 3/15/10 200,000 212,000
9.375% Sr. Unsec. Sub. Nts., 2/15/07 800,000 871,000
- --------------------------------------------------------------------------------
Pinnacle Entertainment, Inc.,
8.25% Sr. Sub. Nts., 3/15/12 7 500,000 481,250
- --------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts.,
3/15/08 1,3,11 250,000 --
- --------------------------------------------------------------------------------
Prime Hospitality Corp.,
8.375% Sr. Sub. Nts., 5/1/12 400,000 415,000
- --------------------------------------------------------------------------------
River Rock Entertainment LLC,
9.75% Sr. Nts., 11/1/11 7 300,000 328,500
- --------------------------------------------------------------------------------
Royal Caribbean Cruises Ltd.,
8.75% Sr. Unsub. Nts., 2/2/11 300,000 333,750
- --------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Nts., 2/1/10 800,000 796,000
9.625% Sr. Nts., 6/1/14 7 19,000 19,000
9.75% Sr. Nts., 4/15/13 1,000,000 1,010,000
- --------------------------------------------------------------------------------
Starwood Hotels & Resorts
Worldwide, Inc., 7.875%
Sr. Nts., 5/1/12 900,000 967,500
- --------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 800,000 774,000
9.875% Sr. Unsec. Sub. Nts., 7/1/10 1 1,000,000 1,106,250
- --------------------------------------------------------------------------------
Sun International Hotels Ltd.,
8.875% Sr. Unsec Sub. Nts., 8/15/11 700,000 750,750
- --------------------------------------------------------------------------------
Trump Casino Holdings LLC/
Trump Casino Funding, Inc.,
11.625% Sr. Sec. Nts., 3/15/10 369,000 380,070
- --------------------------------------------------------------------------------
Universal City Development
Partners Ltd., 11.75% Sr. Nts., 4/1/10 500,000 581,250
- --------------------------------------------------------------------------------
Vail Resorts, Inc., 6.75%
Sr. Sub. Nts., 2/15/14 500,000 476,250
- --------------------------------------------------------------------------------
Venetian Casino Resort
LLC/Las Vegas Sands, Inc.,
11% Sec. Nts., 6/15/10 400,000 464,000
-----------
20,268,258
- --------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.8%
Beazer Homes USA, Inc., 8.375%
Sr. Nts., 4/15/12 400,000 424,000
- --------------------------------------------------------------------------------
Blount, Inc., 13% Sr. Sub. Nts., 8/1/09 300,000 322,875
11 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
HOUSEHOLD DURABLES Continued
D.R. Horton, Inc.:
9.375% Sr. Unsec. Sub. Nts., 3/15/11 $ 400,000 $ 443,500
9.75% Sr. Sub. Nts., 9/15/10 400,000 465,500
- --------------------------------------------------------------------------------
KB Home:
7.75% Sr. Nts., 10/15/04 300,000 305,250
8.625% Sr. Sub. Nts., 12/15/08 250,000 270,000
9.50% Sr. Unsec. Sub. Nts., 2/15/11 400,000 443,000
- --------------------------------------------------------------------------------
Meritage Corp., 9.75%
Sr. Unsec. Nts., 6/1/11 350,000 386,750
- --------------------------------------------------------------------------------
Salton, Inc., 10.75%
Sr. Unsec. Sub. Nts., 12/15/05 175,000 152,250
- --------------------------------------------------------------------------------
Sealy Mattress Co.,
8.25% Sr. Sub. Nts., 6/15/14 7 450,000 454,500
- --------------------------------------------------------------------------------
Standard Pacific Corp.,
9.25% Sr. Sub. Nts., 4/15/12 200,000 216,000
- --------------------------------------------------------------------------------
WCI Communities, Inc.,
9.125% Sr. Sub. Nts., 5/1/12 300,000 325,500
- --------------------------------------------------------------------------------
William Lyon Homes, Inc.,
10.75% Sr. Nts., 4/1/13 1 400,000 444,000
- --------------------------------------------------------------------------------
Williams Scotsman, Inc.,
9.875% Sr. Unsec. Nts., 6/1/07 800,000 798,000
----------
5,451,125
- --------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.1%
K2 Corp., 7.375% Sr. Nts., 7/1/14 4,7 200,000 204,500
- --------------------------------------------------------------------------------
Remington Arms Co., Inc., 10.50%
Sr. Unsec. Nts., 2/1/11 200,000 195,000
----------
399,500
- --------------------------------------------------------------------------------
MEDIA--4.1%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 3,11 350,000 335,125
10.25% Sr. Unsec. Nts., 11/1/06 3,11 400,000 398,000
10.25% Sr. Unsec. Sub. Nts.,
6/15/11 3,11 200,000 206,000
10.875% Sr. Unsec. Nts., 10/1/10 3,11 400,000 406,000
- --------------------------------------------------------------------------------
Allbritton Communications Co.,
7.75% Sr. Unsec Sub. Nts., 12/15/12 1,200,000 1,188,000
- --------------------------------------------------------------------------------
AMC Entertainment, Inc.:
8% Sr. Sub. Nts., 3/1/14 7 650,000 624,000
9.50% Sr. Unsec. Sub. Nts., 2/1/11 360,000 376,200
- --------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts.,
1/15/11 150,000 145,875
10.25% Sr. Unsec. Sub. Nts.,
Series B, 5/1/09 200,000 208,500
- --------------------------------------------------------------------------------
Block Communications, Inc.,
9.25% Sr. Sub. Nts., 4/15/09 400,000 422,000
- --------------------------------------------------------------------------------
Carmike Cinemas, Inc., 7.50%
Sr. Sub. Nts., 2/15/14 7 500,000 480,000
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
MEDIA CONTINUED
Charter Communications Holdings
LLC/Charter Communications
Holdings Capital Corp.:
0%/11.75% Sr. Unsec.
Sub. Disc. Nts., 5/15/11 13 $ 925,000 $ 603,563
8.375% Sr. Nts., Second Lien,
4/30/14 7 750,000 729,375
8.625% Sr. Unsec. Nts., 4/1/09 2,000,000 1,605,000
9.92% Sr. Unsec. Disc. Nts., 4/1/11 1,150,000 914,250
10% Sr. Unsec. Sub. Nts., 5/15/11 19,000 15,153
10.75% Sr. Unsec. Nts., 10/1/09 1,100,000 929,500
11.125% Sr. Unsec. Nts., 1/15/11 500,000 422,500
- --------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr.
Unsec. Sub. Nts., 2/1/13 300,000 328,875
- --------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75%
Sr. Disc. Nts., 3/15/14 7,13 500,000 328,750
- --------------------------------------------------------------------------------
Corus Entertainment, Inc.,
8.75% Sr. Sub. Nts., 3/1/12 300,000 322,125
- --------------------------------------------------------------------------------
CSC Holdings, Inc., 7.625%
Sr. Unsec. Unsub. Nts., Series B, 4/1/11 1,300,000 1,309,750
- --------------------------------------------------------------------------------
DirecTV Holdings LLC/DirecTV
Financing Co., Inc., 8.375% Sr.
Unsec. Nts., 3/15/13 1,800,000 2,000,250
- --------------------------------------------------------------------------------
EchoStar DBS Corp.:
9.125% Sr. Nts., 1/15/09 1,075,000 1,183,844
10.375% Sr. Unsec. Nts., 10/1/07 800,000 859,000
- --------------------------------------------------------------------------------
Emmis Operating Co., 6.875%
Sr. Sub. Nts., 5/15/12 7 600,000 591,000
- --------------------------------------------------------------------------------
Entravision Communications Corp.,
8.125% Sr. Sub. Nts., 3/15/09 400,000 414,500
- --------------------------------------------------------------------------------
Granite Broadcasting Corp.,
9.75% Sr. Sec. Nts., 12/1/10 619,000 578,765
- --------------------------------------------------------------------------------
Hollinger International Publishing,
Inc., 9% Sr. Unsec. Nts., 12/15/10 700,000 812,000
- --------------------------------------------------------------------------------
Houghton Mifflin Co.:
8.25% Sr. Unsec. Nts., 2/1/11 400,000 402,000
9.875% Sr. Sub. Nts., 2/1/13 19,000 19,095
- --------------------------------------------------------------------------------
Insight Midwest LP/Insight
Capital, Inc., 9.75% Sr. Nts., 10/1/09 200,000 212,000
- --------------------------------------------------------------------------------
Kabel Deutschland GmbH,10.625%
Sr. Nts., 7/1/14 4,7 300,000 309,750
- --------------------------------------------------------------------------------
Lin Television Corp., 6.50%
Sr. Sub. Nts., 5/15/13 400,000 388,000
- --------------------------------------------------------------------------------
LodgeNet Entertainment Corp.,
9.50% Sr. Sub. Debs., 6/15/13 200,000 219,500
- --------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital
Corp., 9.50% Sr. Unsec. Nts.,
1/15/13 969,000 939,930
- --------------------------------------------------------------------------------
MediaNews Group, Inc., 6.375%
Sr. Sub. Nts., 4/1/14 800,000 732,000
- --------------------------------------------------------------------------------
News America Holdings, Inc.,
8.875% Sr. Debs., 4/26/23 625,000 782,776
12 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
MEDIA Continued
PanAmSat Corp., 8.50%
Sr. Unsec. Nts., 2/1/12 $ 900,000 $ 1,026,000
- --------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8% Sr. Nts., 5/15/13 7 900,000 850,500
8.875% Sr. Unsec. Nts., 5/15/11 19,000 18,905
- --------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I,
10.875% Sr. Sub. Nts., 12/15/12 7 400,000 466,000
- --------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec.
Sub. Nts., Series B, 7/1/11 600,000 657,750
- --------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54%
Debs., 9/30/27 [CAD] 340,000 245,982
- --------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 1,050,000 1,078,875
8.75% Sr. Sub. Nts., 12/15/11 300,000 322,500
- --------------------------------------------------------------------------------
Spanish Broadcasting System, Inc.,
9.625% Sr. Unsec Sub. Nts., 11/1/09 800,000 848,000
- --------------------------------------------------------------------------------
Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 200,000 216,000
- --------------------------------------------------------------------------------
Vivendi Universal SA,9.25% Sr. Nts.,
4/15/10 350,000 413,683
- --------------------------------------------------------------------------------
Von Hoffmann Corp., 10.25%
Sr. Unsec. Nts., 3/15/09 200,000 206,750
- --------------------------------------------------------------------------------
WRC Media, Inc./Weekly Reader
Corp./CompassLearning, Inc., 12.75%
Sr. Sub. Nts., 11/15/09 500,000 458,125
-----------
29,552,021
- --------------------------------------------------------------------------------
MULTILINE RETAIL--0.1%
Saks, Inc.:
8.25% Sr. Unsec. Nts., 11/15/08 700,000 761,250
9.875% Nts., 10/1/11 200,000 233,500
-----------
994,750
- --------------------------------------------------------------------------------
SPECIALTY RETAIL--0.4%
Asbury Automotive Group, Inc.,
9% Sr. Sub. Nts., 6/15/12 300,000 307,500
- --------------------------------------------------------------------------------
Atlantic Broadband Finance LLC,
9.375% Sr. Sub. Nts., 1/15/14 7 250,000 237,500
- --------------------------------------------------------------------------------
AutoNation, Inc., 9% Sr. Unsec. Nts.,
8/1/08 500,000 567,500
- --------------------------------------------------------------------------------
CSK Auto, Inc., 7% Sr. Sub. Nts.,
1/15/14 7 500,000 478,750
- --------------------------------------------------------------------------------
Eye Care Centers of America, Inc.,
9.125% Sr. Unsec Sub. Nts., 5/1/08 200,000 203,000
- --------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375%
Sr. Nts., 6/1/12 7 400,000 417,000
- --------------------------------------------------------------------------------
Hollywood Entertainment Corp.,
9.625% Sr. Sub. Nts., 3/15/11 300,000 346,500
- --------------------------------------------------------------------------------
Petco Animal Supplies, Inc.,
10.75% Sr. Sub. Nts., 11/1/11 200,000 225,000
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
SPECIALTY RETAIL CONTINUED
Rent-A-Center, Inc., 7.50% Sr.
Unsec. Sub. Nts., Series B, 5/1/10 $ 150,000 $ 154,500
-----------
2,937,250
- --------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.3%
Broder Bros. Co., 11.25%
Sr. Unsec. Nts., 10/15/10 200,000 190,500
- --------------------------------------------------------------------------------
Invista, Inc., 9.25% Sr. Nts., 5/1/12 7 700,000 707,000
- --------------------------------------------------------------------------------
Levi Strauss & Co., 12.25%
Sr. Nts., 12/15/12 600,000 594,000
- --------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875%
Sr. Nts., 6/1/11 7 250,000 265,000
- --------------------------------------------------------------------------------
Russell Corp.,9.25% Sr. Nts., 5/1/10 200,000 213,500
-----------
1,970,000
- --------------------------------------------------------------------------------
CONSUMER STAPLES--1.1%
- --------------------------------------------------------------------------------
BEVERAGES--0.0%
Constellation Brands, Inc.,
8.125% Sr. Sub. Nts., 1/15/12 300,000 321,000
- --------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.2%
Great Atlantic & Pacific Tea Co.,
Inc. (The), 9.125% Sr. Nts., 12/15/11 419,000 358,245
- --------------------------------------------------------------------------------
Ingles Markets, Inc., 8.875%
Sr. Unsec. Sub. Nts., 12/1/11 19,000 19,618
- --------------------------------------------------------------------------------
Real Time Data Co., 13%
Disc. Nts., 5/31/09 1,3,11,14 142,981 --
- --------------------------------------------------------------------------------
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 450,000 475,875
9.50% Sr. Sec. Nts., 2/15/11 200,000 221,500
-----------
1,075,238
- --------------------------------------------------------------------------------
FOOD PRODUCTS--0.7%
American Seafoods Group LLC,
10.125% Sr. Sub. Nts., 4/15/10 200,000 240,000
- --------------------------------------------------------------------------------
Burns Philp Capital Property Ltd.,
9.75% Sr. Unsec Sub. Nts., 7/15/12 450,000 468,000
- --------------------------------------------------------------------------------
Del Monte Corp.,8.625%
Sr. Sub. Nts., 12/15/12 400,000 433,000
- --------------------------------------------------------------------------------
Doane Pet Care Co.:
9.75% Sr. Unsec. Sub. Nts., 5/15/07 600,000 556,500
10.75% Sr. Nts., 3/1/10 350,000 371,000
- --------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 400,000 421,000
8.875% Sr. Unsec. Nts., 3/15/11 200,000 212,500
- --------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25%
Sr. Unsec. Sub. Nts., 10/1/11 1 200,000 219,000
- --------------------------------------------------------------------------------
Pinnacle Foods Holding Corp.:
8.25% Sr. Sub. Nts., 12/1/13 7 200,000 194,000
8.25% Sr. Sub. Nts., 12/1/13 7 400,000 388,000
- --------------------------------------------------------------------------------
Smithfield Foods, Inc., 7.625%
Sr. Unsec. Sub. Nts., 2/15/08 400,000 422,000
13 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
FOOD PRODUCTS Continued
Tembec Industries, Inc., 8.50% Sr.
Unsec. Nts., 2/1/11 $ 19,000 $ 19,285
- --------------------------------------------------------------------------------
United Biscuits Finance plc,
10.75% Sr. Sub. Nts., 4/15/11 1 [GBP] 400,000 768,924
-----------
4,713,209
- --------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.2%
AKI, Inc., 10.50% Sr. Unsec.
Nts., 7/1/08 350,000 361,375
- --------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 7 500,000 523,125
9.375% Sr. Unsec. Sub. Nts., 6/1/11 500,000 488,750
- --------------------------------------------------------------------------------
Styling Technology Corp., 10.875%
Sr. Unsec. Sub. Nts., 7/1/08 1, 3,11 70,000 --
-----------
1,373,250
- --------------------------------------------------------------------------------
PERSONAL PRODUCTS--0.0%
Elizabeth Arden, Inc., 7.75% Sr. Sub.
Nts., 1/15/14 7 175,000 178,938
- --------------------------------------------------------------------------------
ENERGY--3.0%
- --------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.5%
Dresser, Inc., 9.375% Sr. Sub. Nts.,
4/15/11 300,000 322,500
- --------------------------------------------------------------------------------
Hanover Compress Co., 8.625%
Sr. Nts., 12/15/10 300,000 312,000
- --------------------------------------------------------------------------------
Hanover Equipment Trust 2001A,
8.50% Sr. Sec. Nts., Series A, 9/1/08 500,000 531,250
- --------------------------------------------------------------------------------
Hornbeck-Leevac Marine Services,
Inc., 10.625% Sr. Nts., 8/1/08 1,000,000 1,096,250
- --------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25%
Sr. Sec. Nts., 6/1/08 700,000 696,500
- --------------------------------------------------------------------------------
Petroleum Helicopters, Inc., 9.375%
Sr. Nts., 5/1/09 200,000 211,000
- --------------------------------------------------------------------------------
Universal Compression, Inc., 7.25%
Sr. Unsec. Sub. Nts., 5/15/10 400,000 415,000
-----------
3,584,500
- --------------------------------------------------------------------------------
OIL & GAS--2.5%
Belden & Blake Corp., 9.875%
Sr. Sub. Nts., 6/15/07 450,000 462,375
- --------------------------------------------------------------------------------
Chesapeake Energy Corp., 6.875%
Sr. Unsec. Nts., 1/15/16 672,000 658,560
- --------------------------------------------------------------------------------
El Paso Corp., 7.875%
Sr. Unsec. Nts., 6/15/12 419,000 378,148
- --------------------------------------------------------------------------------
El Paso Energy Corp., 7.625% Nts.,
7/15/11 200,000 179,500
- --------------------------------------------------------------------------------
El Paso Production Holding Co.,
7.75% Sr. Unsec. Nts., 6/1/13 1,200,000 1,107,000
- --------------------------------------------------------------------------------
EXCO Resources, Inc., 7.25%
Sr. Nts., 1/15/11 400,000 408,000
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
OIL & GAS CONTINUED
Forest Oil Corp., 7.75%
Sr. Nts., 5/1/14 $ 300,000 $ 307,500
- --------------------------------------------------------------------------------
Frontier Oil Corp., 11.75%
Sr. Nts., 11/15/09 400,000 439,000
- --------------------------------------------------------------------------------
GulfTerra Energy Partners LP:
8.50% Sr. Unsec. Sub. Nts.,
Series B, 6/1/10 216,000 235,980
10.625% Sr. Sub. Nts., 12/1/12 235,000 280,825
- --------------------------------------------------------------------------------
Newfield Exploration Co.,
8.375% Sr. Sub. Nts., 8/15/12 500,000 545,000
- --------------------------------------------------------------------------------
Paramount Resources Ltd.,
7.875% Sr. Nts., 11/1/10 400,000 384,000
- --------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
6.625% Nts., 4/4/10 [EUR] 690,000 884,611
8.50% Unsub. Nts., 2/15/08 420,000 464,100
- --------------------------------------------------------------------------------
Pioneer Natural Resources Co.,
7.50% Sr. Nts., 4/15/12 600,000 680,473
- --------------------------------------------------------------------------------
Plains Exploration & Production
Co., 7.125% Sr. Nts., 6/15/14 7 300,000 306,750
- --------------------------------------------------------------------------------
Premcor Refining Group, Inc.:
6.75% Sr. Nts., 5/1/14 350,000 348,250
9.50% Sr. Nts., 2/1/13 900,000 1,041,750
- --------------------------------------------------------------------------------
Range Resources Corp.,
7.375% Sr. Sub. Nts., 7/15/13 7 200,000 200,000
- --------------------------------------------------------------------------------
Southern Natural Gas Co., 8%
Sr. Unsub. Nts., 3/1/32 300,000 283,500
- --------------------------------------------------------------------------------
Tennessee Gas Pipeline Co.,
7.50% Bonds, 4/1/17 1,800,000 1,764,000
- --------------------------------------------------------------------------------
Tesoro Petroleum Corp.:
8% Sr. Sec. Nts., 4/15/08 1,000,000 1,075,000
9.625% Sr. Sub. Nts., 4/1/12 19,000 21,423
- --------------------------------------------------------------------------------
Westport Resources Corp., 8.25%
Sr. Unsec. Sub. Nts., 11/1/11 1,200,000 1,363,500
- --------------------------------------------------------------------------------
Whiting Petroleum Corp.,
7.25% Sr. Sub. Nts., 5/1/12 400,000 398,000
- --------------------------------------------------------------------------------
Williams Cos., Inc. (The):
7.125% Nts., 9/1/11 1,100,000 1,122,000
8.625% Sr. Nts., 6/1/10 1,650,000 1,823,250
- --------------------------------------------------------------------------------
XTO Energy, Inc., 7.50%
Sr. Nts., 4/15/12 500,000 565,027
-----------
17,727,522
- --------------------------------------------------------------------------------
FINANCIALS--0.9%
- --------------------------------------------------------------------------------
CAPITAL MARKETS--0.2%
American Color Graphics, Inc.,
10% Sr. Sec. Nts., 6/15/10 200,000 179,500
- --------------------------------------------------------------------------------
BCP Caylux Holdings Luxembourg
SCA, 9.625% Sr. Sub. Nts., 6/15/14 7 450,000 468,563
- --------------------------------------------------------------------------------
Berry Plastics Corp., 10.75%
Sr. Sub. Nts., 7/15/12 750,000 836,250
-----------
1,484,313
14 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
COMMERCIAL BANKS--0.1%
Bank Plus Corp., 12%
Sr. Nts., 7/18/07 $ 7,000 $ 7,543
- --------------------------------------------------------------------------------
BankUnited Capital Trust,
10.25% Capital Securities, 12/31/26 100,000 109,250
- --------------------------------------------------------------------------------
Local Financial Corp.,
11% Sr. Nts., 9/8/04 1 150,000 152,250
- --------------------------------------------------------------------------------
Ongko International Finance Co.
BV, 10.50% Sec. Nts., 3/29/10 1,3,11 90,000 563
- --------------------------------------------------------------------------------
Western Financial Bank, 9.625%
Unsec. Sub. Debs., 5/15/12 500,000 552,500
----------
822,106
- --------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--0.1%
Global Cash Access LLC/Global
Cash Finance Corp., 8.75%
Sr. Sub. Nts., 3/15/12 7 275,000 287,375
- --------------------------------------------------------------------------------
Noteco Ltd.:
7.02% Nts., Series B, 6/30/25 2 [GBP] 45,000 68,142
7.538% Nts., Series A1,
6/30/15 2 [GBP] 53,000 94,674
- --------------------------------------------------------------------------------
Pemex Project Funding Master
Trust, 7.375% Unsec. Unsub. Nts.,
12/15/14 740,000 758,500
- --------------------------------------------------------------------------------
SBS Agro Finance BV,
10.25% Bonds, 7/21/00 1,3,11 339,000 --
----------
1,208,691
- --------------------------------------------------------------------------------
INSURANCE--0.1%
Arbor I Ltd., 17.02% Nts., 6/15/06 1,2 500,000 510,250
- --------------------------------------------------------------------------------
REAL ESTATE--0.4%
Felcor Lodging LP, 9%
Sr. Nts., 6/1/11 425,000 440,938
- --------------------------------------------------------------------------------
HMH Properties, Inc., 7.875%
Sr. Nts., Series B, 8/1/08 426,000 438,780
- --------------------------------------------------------------------------------
Host Marriott LP, 9.50%
Sr. Nts., 1/15/07 400,000 439,000
- --------------------------------------------------------------------------------
MeriStar Hospitality Corp.,
9.125% Sr. Unsec. Nts., 1/15/11 1,319,000 1,338,785
----------
2,657,503
- --------------------------------------------------------------------------------
HEALTH CARE--1.6%
- --------------------------------------------------------------------------------
BIOTECHNOLOGY--0.1%
Polypore, Inc., 8.75%
Sr. Sub. Nts., 5/15/12 7 400,000 419,000
- --------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.2%
Fisher Scientific International, Inc.,
8.125% Sr. Sub. Nts., 5/1/12 261,000 280,575
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES CONTINUED
HMP Equity Holdings Corp., Units
(each unit consists of $1,000
principal amount of 15.43% Sr. sec.
disc. nts., 5/15/08 and one warrant
to purchase 2.8094 shares of
Huntsman Corp.
common stock) 8,15 $ 300,000 $ 232,500
- --------------------------------------------------------------------------------
Inverness Medical Innovations, Inc.,
8.75% Sr. Sub. Nts., 2/15/12 7 350,000 359,625
- --------------------------------------------------------------------------------
Sybron Dental Specialties, Inc.,
8.125% Sr. Sub. Nts., 6/15/12 1 300,000 322,500
- --------------------------------------------------------------------------------
Universal Hospital Services, Inc.,
10.125% Sr. Unsec. Nts., 11/1/11 1 300,000 306,000
- --------------------------------------------------------------------------------
Vanguard Health Systems, Inc.,
9.75% Sr. Unsec. Sub. Nts., 8/1/11 300,000 326,250
----------
1,827,450
- --------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.2%
Alliance Imaging, Inc., 10.375%
Sr. Unsec. Sub. Nts., 4/15/11 19,000 19,998
- --------------------------------------------------------------------------------
AmeriPath, Inc., 10.50%
Sr. Unsec. Sub. Nts., 4/1/13 300,000 304,500
- --------------------------------------------------------------------------------
Beverly Enterprises, Inc., 7.875%
Sr. Sub. Nts., 6/15/14 7 300,000 296,625
- --------------------------------------------------------------------------------
Extendicare Health Services, Inc.:
6.875% Sr. Sub. Nts., 5/1/14 7 300,000 283,500
9.50% Sr. Unsec. Sub. Nts., 7/1/10 300,000 334,500
- --------------------------------------------------------------------------------
Fresenius Medical Care Capital
Trust II, 7.875% Nts., 2/1/08 900,000 951,750
- --------------------------------------------------------------------------------
Fresenius Medical Care Capital
Trust III, 7.375% Nts., 2/1/08 1 [DEM] 25,000 16,640
- --------------------------------------------------------------------------------
Fresenius Medical Care
Capital Trust IV, 7.875% Trust
Preferred Nts., 6/15/11 600,000 639,000
- --------------------------------------------------------------------------------
Genesis HealthCare Corp.,
8% Sr. Sub. Nts., 10/15/13 7 200,000 205,000
- --------------------------------------------------------------------------------
HCA, Inc., 6.30% Sr. Unsec.
Nts., 10/1/12 500,000 501,052
- --------------------------------------------------------------------------------
HealthSouth Corp.:
7.625% Nts., 6/1/12 1,000,000 947,500
10.75% Sr. Unsec. Sub. Nts., 10/1/08 19,000 19,665
- --------------------------------------------------------------------------------
Magellan Health Services, Inc.,
9.375% Sr. Unsec. Nts., Series A,
11/15/08 653,675 704,335
- --------------------------------------------------------------------------------
Medquest, Inc., 11.875% Sr. Unsec.
Sub. Nts., Series B, 8/15/12 600,000 684,000
- --------------------------------------------------------------------------------
NDCHealth Corp., 10.50%
Sr. Unsec. Sub. Nts., 12/1/12 250,000 276,875
15 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
PacifiCare Health Systems, Inc.,
10.75% Sr. Unsec. UnSub. Nts.,
6/1/09 $ 585,000 $ 669,825
- --------------------------------------------------------------------------------
Quintiles Transnational Corp.,
10% Sr. Sub. Nts., 10/1/13 300,000 298,500
- --------------------------------------------------------------------------------
Tenet Healthcare Corp.:
6.375% Sr. Nts., 12/1/11 494,000 434,720
7.375% Nts., 2/1/13 19,000 17,290
9.875% Sr. Nts., 7/1/14 7 250,000 255,625
- --------------------------------------------------------------------------------
Triad Hospitals, Inc.:
7% Sr. Nts., 5/15/12 200,000 202,500
7% Sr. Sub. Nts., 11/15/13 400,000 382,000
- --------------------------------------------------------------------------------
US Oncology, Inc., 9.625%
Sr. Sub. Nts., 2/1/12 300,000 355,500
----------
8,800,900
- --------------------------------------------------------------------------------
PHARMACEUTICALS--0.1%
aaiPharma, Inc., 11%
Sr. Sub. Nts., 4/1/10 200,000 168,000
- --------------------------------------------------------------------------------
Valeant Pharmaceuticals
International, Inc.,
7% Sr. Nts., 12/15/11 7 350,000 343,000
----------
511,000
- --------------------------------------------------------------------------------
INDUSTRIALS--3.2%
- --------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.4%
Alliant Techsystems, Inc.,
8.50% Sr. Unsec. Sub. Nts., 5/15/11 300,000 325,500
- --------------------------------------------------------------------------------
Argo-Tech Corp., 9.25% Sr. Nts.,
6/1/11 7 200,000 207,000
- --------------------------------------------------------------------------------
BE Aerospace, Inc.:
8.50% Sr. Unsec. Nts., 10/1/10 200,000 211,500
8.875% Sr. Unsec. Sub. Nts., 5/1/11 219,000 204,765
- --------------------------------------------------------------------------------
K&F Industries, Inc., 9.625% Sr.
Unsec. Sub. Nts., 12/15/10 225,000 247,781
- --------------------------------------------------------------------------------
L-3 Communications Holdings, Inc.,
7.625% Sr. Sub. Nts., 6/15/12 300,000 318,000
- --------------------------------------------------------------------------------
Rexnord Corp., 10.125% Sr.
Unsec. Sub. Nts., 12/15/12 350,000 386,750
- --------------------------------------------------------------------------------
TD Funding Corp., 8.375%
Sr. Sub. Nts., 7/15/11 400,000 408,000
- --------------------------------------------------------------------------------
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 223,000 252,548
11% Sr. Sub. Nts., 2/15/13 194,000 229,890
- --------------------------------------------------------------------------------
Vought Aircraft Industries, Inc.,
8% Sr. Nts., 7/15/11 7 200,000 191,000
----------
2,982,734
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS--0.1%
Atlas Air, Inc.:
9.25% Sr. Nts., 4/15/08 3,11 $ 100,000 $ 47,500
9.375% Sr. Unsec. Nts., 11/15/06 3,11 650,000 308,750
----------
356,250
- --------------------------------------------------------------------------------
AIRLINES--0.1%
America West Airlines, Inc., 10.75%
Sr. Nts., 9/1/05 450,000 443,250
- --------------------------------------------------------------------------------
ATA Holdings Corp., 13% Sr. Unsec.
Nts., 2/1/09 735,000 518,175
----------
961,425
- --------------------------------------------------------------------------------
BUILDING PRODUCTS--0.2%
Associated Materials, Inc., 9.75%
Sr. Sub. Nts., 4/15/12 200,000 223,000
- --------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625%
Sr. Sec. Nts., 7/1/10 311,000 334,325
- --------------------------------------------------------------------------------
Nortek, Inc., 9.875% Sr. Unsec.
Sub. Nts., 6/15/11 1 250,000 286,250
- --------------------------------------------------------------------------------
North America Energy Partners, Inc.,
8.75% Sr. Unsec. Nts., 12/1/11 7 150,000 149,250
----------
992,825
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--1.2%
Allied Waste North America, Inc.:
7.875% Sr. Nts., 4/15/13 400,000 420,000
8.50% Sr. Sub. Nts., 12/1/08 900,000 988,875
8.875% Sr. Nts., Series B, 4/1/08 800,000 880,000
9.25% Sr. Sec. Debs., Series B, 9/1/12 950,000 1,068,750
- --------------------------------------------------------------------------------
Budget Group, Inc., 9.125%
Sr. Unsec. Nts., 4/1/06 1,3,11 700,000 124,250
- --------------------------------------------------------------------------------
Buhrmann US, Inc., 12.25%
Sr. Unsec. Sub. Nts., 11/1/09 500,000 550,298
- --------------------------------------------------------------------------------
Coinmach Corp., 9% Sr. Nts., 2/1/10 250,000 251,875
- --------------------------------------------------------------------------------
Corrections Corp. of America:
7.50% Sr. Nts., 5/1/11 200,000 203,000
9.875% Sr. Nts., 5/1/09 300,000 334,500
- --------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc.,
10.375% Sr. Sub. Nts., 8/1/07 1 150,000 151,875
- --------------------------------------------------------------------------------
Kindercare Learning Centers, Inc.,
9.50% Sr. Sub. Nts., 2/15/09 384,000 391,680
- --------------------------------------------------------------------------------
Mail-Well I Corp.:
7.875% Sr. Sub. Nts., 12/1/13 7 1,000,000 915,000
9.625% Sr. Nts., 3/15/12 400,000 432,000
- --------------------------------------------------------------------------------
Protection One, Inc./Protection
One Alarm Monitoring, Inc.,
7.375% Sr. Unsec. Nts., 8/15/05 400,000 382,000
- --------------------------------------------------------------------------------
Safety-Kleen Corp., 9.25%
Sr. Unsec. Nts., 5/15/09 1,3,11 400,000 20,000
16 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES Continued
Synagro Technologies, Inc., 9.50%
Sr. Sub. Nts.,
4/1/09 $ 200,000 $ 210,000
- --------------------------------------------------------------------------------
United Rentals, Inc., 7%
Sr. Sub. Nts., 2/15/14 1,100,000 984,500
- --------------------------------------------------------------------------------
Videotron Ltee, 6.875%
Sr. Unsec. Nts., 1/15/14 200,000 195,500
- --------------------------------------------------------------------------------
Waste Services, Inc., 9.50%
Sr. Sub. Nts., 4/15/14 7 300,000 309,000
----------
8,813,103
- --------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.1%
Integrated Electrical Services, Inc.,
9.375% Sr. Sub. Nts., Series C, 2/1/09 700,000 726,250
- --------------------------------------------------------------------------------
URS Corp.:
11.50% Sr. Unsec. Nts., 9/15/09 97,000 111,793
12.25% Sr. Sub. Nts., Series B, 5/1/09 1 74,000 79,180
----------
917,223
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.1%
Dayton Superior Corp., 13%
Sr. Unsec. Sub. Nts., 6/15/09 200,000 175,000
- --------------------------------------------------------------------------------
General Cable Corp.,
9.50% Sr. Nts., 11/15/10 200,000 216,000
- --------------------------------------------------------------------------------
Riverside Forest Products Ltd.,
7.875% Sr. Nts., 3/1/14 7 300,000 307,500
----------
698,500
- --------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.0%
Great Lakes Dredge & Dock Co.,
7.75% Sr. Unsec. Sub. Nts., 12/15/13 250,000 212,500
- --------------------------------------------------------------------------------
MACHINERY--0.6%
Actuant Corp., 13% Sr. Sub. Nts.,
5/1/09 208,000 250,640
- --------------------------------------------------------------------------------
AGCO Corp., 9.50%
Sr. Unsec. Nts., 5/1/08 800,000 876,000
- --------------------------------------------------------------------------------
Manitowoc Co., Inc. (The),
10.50% Sr. Sub. Nts., 8/1/12 500,000 575,000
- --------------------------------------------------------------------------------
Milacron Escrow Corp.,
11.50% Sr. Sec. Nts., 5/15/11 7 600,000 600,000
- --------------------------------------------------------------------------------
Navistar International Corp.,
7.50% Sr. Nts., 6/15/11 400,000 412,000
- --------------------------------------------------------------------------------
NMHG Holding Co.,
10% Sr. Nts., 5/15/09 300,000 331,500
- --------------------------------------------------------------------------------
SPX Corp., 7.50% Sr. Nts., 1/1/13 600,000 618,000
- --------------------------------------------------------------------------------
Terex Corp., 9.25%
Sr. Unsec. Sub. Nts., 7/15/11 400,000 438,000
- --------------------------------------------------------------------------------
Trinity Industries, Inc.,
6.50% Sr. Nts., 3/15/14 7 300,000 276,000
----------
4,377,140
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
MARINE--0.1%
CP Ships Ltd., 10.375%
Sr. Nts., 7/15/12 $ 600,000 $ 688,500
- --------------------------------------------------------------------------------
Millenium Seacarriers, Inc.,
12% Sr. Sec. Nts., 7/15/05 1,3,11 250,000 64,075
- --------------------------------------------------------------------------------
Navigator Gas Transport plc,
10.50% First Priority Ship
Mtg. Nts., 6/30/07 1,3,11 175,000 103,093
----------
855,668
- --------------------------------------------------------------------------------
ROAD & RAIL--0.2%
Kansas City Southern Railway Co.
(The), 7.50% Sr. Nts., 6/15/09 400,000 402,000
- --------------------------------------------------------------------------------
Stena AB:
7.50% Sr. Unsec. Nts., 11/1/13 387,000 384,581
9.625% Sr. Nts., 12/1/12 250,000 278,750
----------
1,065,331
- --------------------------------------------------------------------------------
TRANSPORTATION INFRASTRUCTURE--0.1%
Horizon Lines LLC, 9% Nts., 11/1/12 7 300,000 306,375
- --------------------------------------------------------------------------------
Worldspan LP/Worldspan Financial
Corp., 9.625% Sr. Nts., 6/15/11 150,000 153,750
----------
460,125
- --------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--0.8%
- --------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.0%
Orion Network Systems, Inc., 12.50%
Sr. Unsub. Disc. Nts., 1/15/07 1,3,11 675,000 246,375
- --------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.0%
Seagate Technology Hdd Holdings,
8% Sr. Nts., 5/15/09 200,000 210,000
- --------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2%
Ingram Micro, Inc., 9.875% Sr.
Unsec. Sub. Nts., 8/15/08 700,000 770,000
- --------------------------------------------------------------------------------
Insilco Corp., 12% Sr. Sub. Nts.,
8/15/07 1,3,11 400,000 --
- --------------------------------------------------------------------------------
Sensus Metering System, Inc.,
8.625% Sr. Sub. Nts., 12/15/13 7 450,000 434,250
-----------
1,204,250
- --------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc.,
10.75% Sr. Nts., 12/15/09 1,3,11 [EUR] 338,620 18,539
- --------------------------------------------------------------------------------
Globix Corp., 11% Sr. Nts., 4/26/08 42,888 38,814
- --------------------------------------------------------------------------------
NorthPoint Communications
Group, Inc., 12.875% Nts., 2/15/10 1,3,11 200,173 20
- --------------------------------------------------------------------------------
PSINet, Inc.:
10.50% Sr. Unsec. Nts.,
12/1/06 1,3,11 [EUR] 100,000 4,791
11% Sr. Nts., 8/1/09 1,3,11 270,467 14,876
17 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES Continued
Verado Holdings, Inc., 13%
Sr. Disc. Nts., 4/15/08 1,3,11 $ 250,000 $ 25
----------
77,065
- --------------------------------------------------------------------------------
IT SERVICES--0.1%
Iron Mountain, Inc., 7.75%
Sr. Sub. Nts., 1/15/15 400,000 399,000
- --------------------------------------------------------------------------------
Titan Corp. (The), 8%
Sr. Sub. Nts., 5/15/11 7 100,000 101,500
----------
500,500
- --------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5%
AMI Semiconductor, Inc., 10.75%
Sr. Unsec. Sub. Nts., 2/1/13 1 389,000 456,103
- --------------------------------------------------------------------------------
Amkor Technology, Inc.:
7.75% Sr. Nts., 5/15/13 950,000 904,875
9.25% Sr. Unsec. Sub. Nts., 2/15/08 250,000 262,500
- --------------------------------------------------------------------------------
ChipPAC International Co. Ltd.,
12.75% Sr. Unsec. Sub. Nts.,
Series B, 8/1/09 600,000 643,500
- --------------------------------------------------------------------------------
Micron Technology, Inc., 6.50%
Sub. Nts., 9/30/05 1,000,000 997,500
----------
3,264,478
- --------------------------------------------------------------------------------
MATERIALS--4.0%
- --------------------------------------------------------------------------------
CHEMICALS--1.2%
Compass Minerals Group, Inc.,
10% Sr. Sub. Nts., 8/15/11 450,000 501,750
- --------------------------------------------------------------------------------
Equistar Chemicals LP/Equistar
Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 400,000 419,000
10.125% Sr. Unsec. Nts., 9/1/08 19,000 20,900
10.625% Sr. Unsec. Nts., 5/1/11 900,000 1,003,500
- --------------------------------------------------------------------------------
Huntsman Co. LLC:
11.50% Sr. Nts., 7/15/12 7 450,000 457,875
11.625% Sr. Unsec. Nts., 10/15/10 19,000 21,090
- --------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical
Co. plc:
10.125% Sr. Unsec. Sub. Nts.,
7/1/09 [EUR] 200,000 239,680
10.125% Sr. Unsec. Sub. Nts., 7/1/09 1,400,000 1,435,000
13.09% Sr. Unsec. Disc. Nts., 12/31/09 8 600,000 297,000
- --------------------------------------------------------------------------------
Huntsman International LLC,
9.875% Sr. Nts., 3/1/09 850,000 922,250
- --------------------------------------------------------------------------------
IMC Global, Inc., 10.875% Sr. Unsec.
Nts., 8/1/13 19,000 22,753
- --------------------------------------------------------------------------------
ISP Holdings, Inc., 10.625% Sr. Sec.
Nts., 12/15/09 200,000 221,000
- --------------------------------------------------------------------------------
Lyondell Chemical Co.:
9.50% Sec. Nts., 12/15/08 19,000 19,903
9.875% Sec. Nts., Series B, 5/1/07 1,400,000 1,470,000
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
CHEMICALS CONTINUED
PCI Chemicals Canada, 10% Sr.
Sec. Nts., 12/31/08 $ 113,061 $ 107,973
- --------------------------------------------------------------------------------
Pioneer Cos., Inc., 5.086% Sr.
Sec. Nts., 12/31/06 2 35,804 34,014
- --------------------------------------------------------------------------------
PolyOne Corp.:
8.875% Sr. Unsec. Nts., 5/1/12 800,000 792,000
10.625% Sr. Unsec. Nts., 5/15/10 19,000 20,235
- --------------------------------------------------------------------------------
Resolution Performance
Products LLC:
8% Sr. Sec. Nts., 12/15/09 250,000 260,625
13.50% Sr. Unsec. Sub. Nts., 11/15/10 100,000 93,750
- --------------------------------------------------------------------------------
Sterling Chemicals, Inc.:
10% Sr. Sec. Nts., 12/19/07 170,473 161,949
11.25% Sr. Sub. Nts., 8/15/06 1,3,11 540,000 --
- --------------------------------------------------------------------------------
Westlake Chemical Corp.,
8.75% Sr. Nts., 7/15/11 1 400,000 436,000
----------
8,958,247
- --------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.1%
Formica Corp., 10.875% Sr. Unsec
Sub. Nts., Series B, 3/1/09 1,3,11 200,000 39,000
- --------------------------------------------------------------------------------
Texas Industries, Inc., 10.25% Sr.
Unsec. Nts., 6/15/11 400,000 448,000
----------
487,000
- --------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.1%
Consumers International, Inc.,
10.25% Sr. Sec. Nts., 4/1/05 1,3,11 250,000 625
- --------------------------------------------------------------------------------
Crown Euro Holdings SA:
9.50% Sr. Sec. Nts., 3/1/11 500,000 547,500
10.875% Sr. Sec. Nts., 3/1/13 200,000 229,000
- --------------------------------------------------------------------------------
Graphic Packaging
International Corp.:
8.50% Sr. Nts., 8/15/11 500,000 537,500
9.50% Sr. Sub. Nts., 8/15/13 350,000 381,500
- --------------------------------------------------------------------------------
Jefferson Smurfit Corp.:
7.50% Sr. Unsec. Unsub. Nts., 6/1/13 300,000 298,500
8.25% Sr. Unsec. Nts., 10/1/12 250,000 261,250
- --------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625%
Sr. Nts., 10/1/12 400,000 440,000
- --------------------------------------------------------------------------------
Owens-Brockway Glass
Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 450,000 470,250
8.25% Sr. Unsec. Nts., 5/15/13 419,000 434,713
8.75% Sr. Sec. Nts., 11/15/12 1,000,000 1,090,000
8.875% Sr. Sec. Nts., 2/15/09 200,000 217,000
- --------------------------------------------------------------------------------
Pliant Corp., 0%/11.125%
Sr. Sec. Disc. Nts., 6/15/09 7,13 400,000 339,000
- --------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts.,
2/15/14 7 300,000 280,500
18 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
CONTAINERS & PACKAGING Continued
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 $ 850,000 $ 892,500
9.25% Sr. Unsec. Nts., 2/1/08 200,000 219,500
9.75% Sr. Unsec. Nts., 2/1/11 600,000 663,000
- --------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec.
Sub. Nts., 6/15/12 500,000 532,500
----------
7,834,838
- --------------------------------------------------------------------------------
METALS & MINING--1.0%
AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 19,000 17,243
7.875% Sr. Unsec. Nts., 2/15/09 500,000 470,000
- --------------------------------------------------------------------------------
Arch Western Finance LLC,
6.75% Sr. Nts., 7/1/13 7 400,000 402,000
- --------------------------------------------------------------------------------
California Steel Industries, Inc.,
6.125% Sr. Nts., 3/15/14 400,000 375,000
- --------------------------------------------------------------------------------
Century Aluminum Co., 11.75%
Sr. Sec. Nts., 4/15/08 500,000 560,000
- --------------------------------------------------------------------------------
IMCO Recycling, Inc., 10.375%
Sr. Sec. Nts., 10/15/10 300,000 325,500
- --------------------------------------------------------------------------------
International Utility Structures,
Inc., 13% Unsec. Sub. Nts., 2/1/08 1,3,11 71,000 --
- --------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec.
Nts., 4/1/14 7 900,000 931,500
- --------------------------------------------------------------------------------
Jorgensen (Earle M.) Co., 9.75%
Sr. Sec. Nts., 6/1/12 1 500,000 550,000
- --------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp.,
10.875% Sr. Nts., Series B, 10/15/06 3,11 500,000 526,250
- --------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr.
Sec. Nts., 10/15/13 300,000 330,000
- --------------------------------------------------------------------------------
Massey Energy Co., 6.625% Sr. Nts.,
11/15/10 200,000 200,000
- --------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07 500,000 252,500
- --------------------------------------------------------------------------------
Oregon Steel Mills, Inc., 10%
Sr. Nts., 7/15/09 400,000 426,000
- --------------------------------------------------------------------------------
Peabody Energy Corp., 6.875%
Sr. Unsec. Nts., Series B, 3/15/13 400,000 407,000
- --------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts.,
3/15/09 200,000 222,000
- --------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts.,
2/15/12 300,000 335,250
- --------------------------------------------------------------------------------
United States Steel Corp., 9.75% Sr.
Nts., 5/15/10 336,000 373,800
- --------------------------------------------------------------------------------
United States Steel LLC, 10.75% Sr.
Nts., 8/1/08 519,000 595,553
----------
7,299,596
- --------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.6%
Abitibi-Consolidated, Inc., 8.55%
Nts., 8/1/10 200,000 211,886
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS CONTIUNED
Appleton Papers, Inc., 8.125% Sr.
Nts., 6/15/11 7 $ 300,000 $ 305,250
- --------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr.
Nts., 10/1/13 100,000 101,500
- --------------------------------------------------------------------------------
Doman Industries Ltd., 8.75% Sr.
Nts., 3/15/04 1,3,11 900,000 335,250
- --------------------------------------------------------------------------------
Fort James Corp., 6.875% Sr. Nts.,
9/15/07 500,000 527,500
- --------------------------------------------------------------------------------
Georgia-Pacific Corp.:
8.125% Sr. Unsec. Nts., 5/15/11 1,050,000 1,165,500
9.375% Sr. Unsec. Nts., 2/1/13 800,000 920,000
- --------------------------------------------------------------------------------
Inland Fiber Group LLC, 9.625%
Sr. Unsec. Nts., 11/15/07 3 300,000 151,500
- --------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375%
Sr. Nts., 3/1/14 7 300,000 291,750
- --------------------------------------------------------------------------------
Tekni-Plex, Inc., 8.75% Sr. Sec. Nts.,
11/15/13 7 469,000 450,240
----------
4,460,376
- --------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--3.5%
- --------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.6%
360networks, Inc., 13% Sr. Unsec.
Nts., 5/1/08 1,3,11 [EUR] 250,000 --
- --------------------------------------------------------------------------------
American Tower Corp., 9.375%
Sr. Nts., 2/1/09 700,000 750,750
- --------------------------------------------------------------------------------
COLO.com, Inc., 13.875% Sr. Nts.,
3/15/10 1,3,11 333,170 33
- --------------------------------------------------------------------------------
Crown Castle International Corp.,
7.50% Sr. Nts., 12/1/13 400,000 400,000
- --------------------------------------------------------------------------------
Dex Media East LLC/Dex Media
East Finance Co., 9.875% Sr. Unsec.
Nts., 11/15/09 200,000 225,500
- --------------------------------------------------------------------------------
Dex Media West LLC/Dex Media
West Finance Co.:
8.50% Sr. Nts., 8/15/10 300,000 328,500
9.875% Sr. Sub. Nts., 8/15/13 600,000 661,500
- --------------------------------------------------------------------------------
Dex Media, Inc., 8% Nts., 11/15/13 7 1,350,000 1,302,750
- --------------------------------------------------------------------------------
IPC Acquisition Corp., 11.50% Sr.
Sub. Nts., 12/15/09 200,000 217,000
- --------------------------------------------------------------------------------
Level 3 Communications, Inc.:
9.125% Sr. Unsec. Nts., 5/1/08 19,000 15,153
10.50% Sr. Disc. Nts., 12/1/08 200,000 159,500
- --------------------------------------------------------------------------------
MCI, Inc.:
5.908% Sr. Unsec. Nts., 5/1/07 68,000 66,130
6.688% Sr. Unsec. Nts., 5/1/09 68,000 63,070
7.735% Sr. Unsec. Nts., 5/1/14 58,000 52,055
- --------------------------------------------------------------------------------
Qwest Capital Funding, Inc., 7.90%
Unsec. Nts., 8/15/10 19,000 16,910
- --------------------------------------------------------------------------------
Qwest Corp.:
7.20% Unsec. Nts., 11/1/04 1,600,000 1,620,000
8.875% Nts., 3/15/12 7 300,000 325,500
19 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES Continued
Qwest Services Corp., 13.50% Nts.,
12/15/10 7 $2,100,000 $ 2,451,750
- --------------------------------------------------------------------------------
Telewest Communications plc:
0%/9.875% Sr. Disc. Nts.,
4/15/09 3,11 [GBP] 200,000 154,147
9.25% Sr. Disc. Nts., 4/15/09 3,11 600,000 291,000
- --------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts.,
12/1/07 1,3,11 500,000 --
- --------------------------------------------------------------------------------
Telus Corp., 7.50% Nts., 6/1/07 790,000 860,976
- --------------------------------------------------------------------------------
Time Warner Telecom LLC/Time
Warner Telecom, Inc., 9.75% Sr. Nts.,
7/15/08 700,000 658,000
- --------------------------------------------------------------------------------
Time Warner Telecom, Inc., 10.125%
Sr. Unsec. Sub. Nts., 2/1/11 750,000 686,250
- --------------------------------------------------------------------------------
Winstar Communications, Inc.,
12.75% Sr. Nts., 4/15/10 1,3,11 250,000 --
-----------
11,306,474
- --------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.9%
Alamosa Delaware, Inc.:
8.50% Sr. Nts., 1/31/12 7 400,000 394,000
11% Sr. Unsec. Nts., 7/31/10 19,000 20,805
12.50% Sr. Unsec. Nts., 2/1/11 50,000 55,750
- --------------------------------------------------------------------------------
American Cellular Corp., 10% Sr.
Nts., Series B, 8/1/11 675,000 585,563
- --------------------------------------------------------------------------------
American Tower Corp., 7.50% Sr.
Nts.,5/1/12 7 400,000 389,000
- --------------------------------------------------------------------------------
American Tower Escrow Corp.,
12.25% Sr. Sub. Disc. Nts., 8/1/08 8 800,000 588,000
- --------------------------------------------------------------------------------
AT&T Corp., 8.75% Sr. Nts., 11/15/31 2 500,000 489,300
- --------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec.
Disc. Nts., 10/1/07 1,3,11 400,000 --
- --------------------------------------------------------------------------------
Centennial Cellular Operating Co./
Centennial Communications Corp.,
10.125% Sr. Nts., 6/15/13 1,050,000 1,089,375
- --------------------------------------------------------------------------------
Crown Castle International Corp.,
10.75% Sr. Nts., 8/1/11 1,000,000 1,125,000
- --------------------------------------------------------------------------------
Dobson Communications Corp.:
8.875% Sr. Nts., 10/1/13 419,000 320,535
10.875% Sr. Unsec. Nts., 7/1/10 1,300,000 1,124,500
- --------------------------------------------------------------------------------
IPCS, Inc., 0%/14% Sr. Unsec. Disc.
Nts., 7/15/10 3,11,13 300,000 163,500
- --------------------------------------------------------------------------------
Leap Wireless International, Inc.:
0%/14.50% Sr. Unsec. Disc. Nts.,
4/15/10 1,3,11,13 700,000 101,500
12.50% Sr. Nts., 4/15/10 1,3,11 100,000 17,750
- --------------------------------------------------------------------------------
Nextel Communications,Inc.:
7.375% Sr. Nts., 8/1/15 280,000 284,200
9.50% Sr. Unsec. Nts., 2/1/11 1,000,000 1,125,000
- --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES CONTINUED
Nextel Partners, Inc., 12.50% Sr. Nts.,
11/15/09 $ 342,000 $ 400,140
- --------------------------------------------------------------------------------
Rural Cellular Corp.:
8.25% Sr. Sec. Nts., 3/15/12 7 275,000 282,563
9.625% Sr. Sub. Nts., Series B,
5/15/08 500,000 475,000
9.75% Sr. Sub. Nts., 1/15/10 519,000 473,588
9.875% Sr. Nts., 2/1/10 400,000 399,000
- --------------------------------------------------------------------------------
SBA Communications Corp., 10.25%
Sr. Unsec. Nts., 2/1/09 700,000 721,000
- --------------------------------------------------------------------------------
SBA Telecommunications, Inc./SBA
Communications Corp., 0%/9.75%
Sr. Disc. Nts., 12/15/11 7,13 669,000 498,405
- --------------------------------------------------------------------------------
Triton PCS,Inc.:
8.50% Sr. Unsec. Nts., 6/1/13 400,000 380,000
8.75% Sr. Unsec. Sub. Nts., 11/15/11 219,000 181,770
- --------------------------------------------------------------------------------
UbiquiTel Operating Co., 9.875% Sr.
Nts., 3/1/11 7 600,000 603,000
- --------------------------------------------------------------------------------
US Unwired,Inc.:
0%/13.375% Sr. Unsec. Sub. Disc.
Nts., Series B, 11/1/09 13 900,000 909,000
10% Sr. Sec. Nts., 6/15/12 250,000 253,750
- --------------------------------------------------------------------------------
Western Wireless Corp., 9.25% Sr.
Unsec. Nts., 7/15/13 469,000 485,415
-----------
13,936,409
- --------------------------------------------------------------------------------
UTILITIES--2.3%
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES--1.5%
AES Corp.(The):
5.22% Nts., 1/1/15 [GBP] 61,000 110,623
6.22% Nts., 1/1/20 [GBP] 11,000 19,949
8.75% Sr. Sec. Nts., 5/15/13 7 700,000 753,375
- --------------------------------------------------------------------------------
Allegheny Energy Supply Co. LLC,
8.25% Bonds, 4/15/12 7 19,000 18,881
- --------------------------------------------------------------------------------
Caithness Coso Funding Corp.,
9.05% Sr. Sec. Nts., Series B, 12/15/09 318,255 348,489
- --------------------------------------------------------------------------------
Calpine Corp.:
7.625% Sr. Nts., 4/15/06 1,400,000 1,239,000
8.75% Sr. Nts., 7/15/07 400,000 286,000
8.75% Sr. Sec. Nts., 7/15/13 7 100,000 82,500
9.875% Sr. Sec. Nts., 12/1/11 7 700,000 598,500
- --------------------------------------------------------------------------------
Central Termica Guemes SA, 2%
Nts., 1/1/12 1 90,000 9,000
- --------------------------------------------------------------------------------
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 19,000 19,000
7.75% Sr. Nts., 8/1/10 7 200,000 200,000
8.50% Sr. Nts., 4/15/11 250,000 256,250
9.875% Sr. Unsec. Nts., 10/15/07 900,000 974,250
- --------------------------------------------------------------------------------
CMS Energy X-TRAS Pass-Through
Trust I, 7% Sr. Unsec. Pass-Through
Certificates, 1/15/05 300,000 303,000
20 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
ELECTRIC UTILITIES Continued
Edison Mission Energy, 10% Sr.
Unsec. Nts., 8/15/08 $ 800,000 $ 858,000
- --------------------------------------------------------------------------------
Funding Corp./Beaver Valley
Funding Corp., 9% Second Lease
Obligation Bonds, 6/1/17 199,000 225,035
- --------------------------------------------------------------------------------
Midwest Generation LLC, 8.75% Sr.
Sec. Nts., 5/1/34 7 1,000,000 1,015,000
- --------------------------------------------------------------------------------
Mirant Americas Generation LLC,
7.625% Sr. Unsec. Nts., 5/1/06 3,11 200,000 152,500
- --------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW
Energy Finance Co., Inc.:
7.375% Sr. Sec. Nts., 9/1/10 7 350,000 350,000
8.50% Sr. Sec. Nts., 9/1/10 200,000 212,500
- --------------------------------------------------------------------------------
NRG Energy, Inc., 8% Sr. Sec. Nts.,
12/15/13 7 900,000 913,500
- --------------------------------------------------------------------------------
PG&E Corp., 6.875% Sr. Sec. Nts.,
7/15/08 7 400,000 420,000
- --------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 669,000 717,503
9.50% Sr. Sec. Nts., 7/15/13 500,000 541,250
- --------------------------------------------------------------------------------
Westar Energy, Inc., 9.75% Sr. Unsec.
Nts., 5/15/07 403,000 461,070
------------
11,085,175
- --------------------------------------------------------------------------------
GAS UTILITIES--0.1%
AmeriGas Partners LP/AmeriGas
Eagle Finance Corp., 8.875% Sr.
Unsec. Nts., Series B, 5/20/11 500,000 535,000
- --------------------------------------------------------------------------------
SEMCO Energy, Inc.:
7.125% Sr. Nts., 5/15/08 150,000 154,500
7.75% Sr. Nts., 5/15/13 150,000 155,250
------------
844,750
- --------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.7%
AES Red Oak LLC,8.54% Sr. Sec.
Bonds, Series A, 11/30/19 574,763 599,190
- --------------------------------------------------------------------------------
Calpine Canada Energy Finance
ULC, 8.50% Sr. Unsec. Nts., 5/1/08 569,000 378,385
- --------------------------------------------------------------------------------
Consumers Energy Co., 7.375% Nts.,
9/15/23 250,000 254,909
- --------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 800,000 693,000
8.75% Sr. Nts., 2/15/12 1,669,000 1,593,895
10.125% Sr. Sec. Nts., 7/15/13 7 800,000 870,000
- --------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625%
Sec. Pass-Through Certificates,
Series A, 6/30/12 430,409 443,591
------------
4,832,970
------------
Total Corporate Bonds and Notes
(Cost $211,021,707) 211,965,638
- --------------------------------------------------------------------------------
MARKET VALUE
SHARES SEE NOTE 1
- --------------------------------------------------------------------------------
PREFERRED STOCKS--0.3%
- --------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr.
Exchangeable, Non-Vtg. 1,11,14 4,253 $ 43
- --------------------------------------------------------------------------------
Doane Pet Care Co., 14.25% Jr. Sub.
Debs., Non-Vtg. 1,11 5,000 241,250
- --------------------------------------------------------------------------------
Dobson Communications Corp., 6%
Cv., Series F (converts into Dobson
Communications Corp., Cl. A
common stock), Non-Vtg. 550 53,649
- --------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75%
Jr. Redeemable, Non-Vtg. 1,11,14 216 22
- --------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75%
Cum. Exchangeable, Series B,
Non-Vtg. 1,11 5,000 438,750
- --------------------------------------------------------------------------------
Focal Communications Corp., Cv.,
Series A 1,11 806 8,141
- --------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25%
Exchangeable, Non-Vtg. 1,11,14 151 --
- --------------------------------------------------------------------------------
Nebco Evans Holdings, Inc., 11.25%
Sr. Redeemable Exchangeable,
Non-Vtg. 1,11,14 6,061 --
- --------------------------------------------------------------------------------
Paxson Communications Corp.:
14.25% Cum. 11,14 1 6,548
14.25% Cum.Jr. Exchangeable,
Non-Vtg. 14 41 360,288
- --------------------------------------------------------------------------------
Pennsylvania Real Estate Investment
Trust, 11% 2,000 117,800
- --------------------------------------------------------------------------------
PTV, Inc., 10% Cum., Series A,
Non-Vtg. 8 61
- --------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum.,
Series B, Non-Vtg. 11,14 630 533,925
- --------------------------------------------------------------------------------
Sovereign Real Estate Investment
Trust, 12% Non-Cum., Series A 1 4,600 672,750
------------
Total Preferred Stocks
(Cost $3,013,102) 2,433,227
- --------------------------------------------------------------------------------
COMMON STOCKS--0.4%
- --------------------------------------------------------------------------------
AboveNet, Inc. 11 372 10,788
- --------------------------------------------------------------------------------
AES Drax Group Ltd. 11 11,000 7,720
- --------------------------------------------------------------------------------
Aurora Foods, Inc., Equity Trust
Interests 1,11 120 156,133
- --------------------------------------------------------------------------------
Charles River Laboratories
International, Inc.11 2,660 129,994
- --------------------------------------------------------------------------------
Classic Cable, Inc. 11 529 --
- --------------------------------------------------------------------------------
Conseco, Inc. 11 13,986 278,321
- --------------------------------------------------------------------------------
Covad Communications Group,
Inc. 11 16,528 39,667
- --------------------------------------------------------------------------------
Criimi MAE, Inc. 11 71,447 855,221
- --------------------------------------------------------------------------------
Dobson Communications Corp.,
Cl. A 11 35,400 115,404
- --------------------------------------------------------------------------------
Equinix, Inc. 11 3,287 111,561
21 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
MARKET VALUE
SHARES SEE NOTE 1
- --------------------------------------------------------------------------------
COMMON STOCKS Continued
- --------------------------------------------------------------------------------
Geotek Communications, Inc.,
Series B, Escrow Shares 1,11,12 210 $ --
- --------------------------------------------------------------------------------
Globix Corp. 11 6,880 19,952
- --------------------------------------------------------------------------------
Horizon Natural Resources Co. 1,11 6,667 --
- --------------------------------------------------------------------------------
ICO Global Communication
Holdings Ltd. 1,11 6,016 3,128
- --------------------------------------------------------------------------------
MCI, Inc. 11 1,629 23,506
- --------------------------------------------------------------------------------
Microcell Telecommunications,
Inc., Cl. A 11 6 145
- --------------------------------------------------------------------------------
Microcell Telecommunications,
Inc., Cl. B 11 1,535 36,980
- --------------------------------------------------------------------------------
NTL, Inc. 11 7,842 451,856
- --------------------------------------------------------------------------------
Orbital Sciences Corp. 11 745 10,288
- --------------------------------------------------------------------------------
Pioneer Cos., Inc. 11 7,312 51,988
- --------------------------------------------------------------------------------
Prandium, Inc. 11 24,165 1,329
- --------------------------------------------------------------------------------
Premier Holdings Ltd. 1,11 18,514 --
- --------------------------------------------------------------------------------
Star Gas Partners LP 187 4,376
- --------------------------------------------------------------------------------
Sterling Chemicals, Inc. 11 716 17,542
- --------------------------------------------------------------------------------
TVMAX Holdings, Inc. 1,11 1,000 4,425
- --------------------------------------------------------------------------------
UnitedGlobalCom, Inc., Cl. A 11 58,063 421,537
- --------------------------------------------------------------------------------
Viatel Holding Ltd. (Bermuda) 1,11 2,251 2,757
- --------------------------------------------------------------------------------
Wilshire Financial Services
Group, Inc. 11 6,273 58,276
- --------------------------------------------------------------------------------
WRC Media Corp. 1,11 1,082 22
- --------------------------------------------------------------------------------
XO Communications, Inc. 11 1,100 4,565
----------
Total Common Stocks
(Cost $3,119,459) 2,817,481
UNITS
- --------------------------------------------------------------------------------
RIGHTS,WARRANTS AND CERTIFICATES--0.0%
- --------------------------------------------------------------------------------
AboveNet, Inc. Wts.:
Exp. 9/8/08 1,11 156 1,888
Exp. 9/8/10 1,11 184 2,102
- --------------------------------------------------------------------------------
American Tower Corp. Wts.,
Exp. 8/1/08 1,11 800 152,400
- --------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp.
11/1/06 1,11 250 313
- --------------------------------------------------------------------------------
Chesapeake Energy Corp.Wts.:
Exp. 5/1/05 1,11 416 1,202
Exp. 9/1/04 11 534 39
- --------------------------------------------------------------------------------
Citigroup, Inc. Wts., Exp. 12/31/50 11 2,404 2,091
- --------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 1,11 400 4
- --------------------------------------------------------------------------------
Concentric Network Corp. Wts.,
Exp. 12/15/07 1,11 100 --
- --------------------------------------------------------------------------------
Covergent Communications, Inc.
Wts., Exp. 4/1/08 1,11 400 4
- --------------------------------------------------------------------------------
Focal Communications Corp. Wts.:
Exp. 6/19/06 1,11 316 1,138
Exp. 6/19/08 11 1,581 --
MARKET VALUE
UNITS SEE NOTE 1
- --------------------------------------------------------------------------------
RIGHTS,WARRANTS AND CERTIFICATES CONTINUED
- --------------------------------------------------------------------------------
HF Holdings, Inc. Wts.,
Exp. 9/27/09 1,11 530 $ 72
- --------------------------------------------------------------------------------
Horizon PCS, Inc. Wts.,
Exp. 10/1/10 1,11 1,000 --
- --------------------------------------------------------------------------------
ICG Communications, Inc. Wts.,
Exp. 9/15/05 1,11 825 8
- --------------------------------------------------------------------------------
ICO Global Communication
Holdings Ltd. Wts.:
Exp. 5/16/06 1,11 1,509 15
Exp. 5/16/06 1,11 2 --
- --------------------------------------------------------------------------------
Imperial Credit Industries, Inc. Wts.,
Exp. 1/31/08 1,11 2,135 --
- --------------------------------------------------------------------------------
Insilco Corp. Wts., Exp. 8/15/07 1,11 270 --
- --------------------------------------------------------------------------------
IPCS, Inc. Wts., Exp. 6/15/10 1,11 300 3
- --------------------------------------------------------------------------------
Leap Wireless International,
Inc. Wts., Exp. 4/15/10 1,11 275 --
- --------------------------------------------------------------------------------
Long Distance International,
Inc. Wts., Exp. 4/13/08 1,11 200 --
- --------------------------------------------------------------------------------
Loral Space & Communications
Ltd. Wts., Exp. 1/15/07 1,11 150 2
- --------------------------------------------------------------------------------
Microcell Telecommunications,
Inc., Cl. A Wts., Exp. 5/1/05 11 284 2,629
- --------------------------------------------------------------------------------
Microcell Telecommunications,
Inc., Cl. B Wts., Exp. 5/1/08 11 474 4,189
- --------------------------------------------------------------------------------
Millenium Seacarriers, Inc. Wts.,
Exp. 7/15/05 1,11 250 3
- --------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 1,11 450 5
- --------------------------------------------------------------------------------
Pathmark Stores, Inc. Wts.,
Exp. 9/19/10 11 5,710 4,854
- --------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06
(cv. into Metromedia International
Group, Inc.) 1,11 300 3
- --------------------------------------------------------------------------------
Republic Technologies International
LLC Wts., Exp. 7/15/09 1,11 200 --
- --------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp.
12/19/08 1,11 1,165 1,689
- --------------------------------------------------------------------------------
Telus Corp. Wts., Exp. 9/15/05 11 269 1,319
- --------------------------------------------------------------------------------
Verado Holdings, Inc., Cl.B Wts.,
Exp. 4/15/08 1,11 175 86
- --------------------------------------------------------------------------------
XO Communications, Inc.,
Cl. A Wts., Exp. 1/16/10 11 2,204 3,306
- --------------------------------------------------------------------------------
XO Communications, Inc.,
Cl. B Wts., Exp. 1/16/10 11 1,653 1,736
- --------------------------------------------------------------------------------
XO Communications, Inc.,
Cl. C Wts., Exp. 1/16/10 11 1,653 1,182
----------
Total Rights,Warrants
and Certificates
(Cost $60,717) 182,282
22 | OPPENHEIMER STRATEGIC BOND FUND/VA
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
STRUCTURED NOTES--8.6%
- --------------------------------------------------------------------------------
Citigroup Global Markets
Holdings, Inc.:
Argentine Peso Unsec. Linked
Nts., 7/6/04 $ 265,000 $ 278,038
Brazilian Real Unsec. Linked
Nts., 0.93%, 1/14/05 1,982,615 1,863,488
Colombia (Republic of) Unsec.
Credit Linked Nts., 15%, 3/15/07
(linked to Emerging Local Markets
Index) [COP] 3,860,150,000 1,588,193
Colombia (Republic of) Unsec.
Credit Linked Nts., 15%, 4/27/12
(linked to Emerging Local
Markets sIndex) [COP] 1,800,000,000 712,075
Peruvian Sol Unsec. Linked Nts.,
0.77%, 7/14/04 [PEN] 4,143,863 1,196,402
- --------------------------------------------------------------------------------
Credit Suisse First Boston Corp.
(Cayman):
Russia (Government of)
Linked Bonds, Series 24, 15%,
9/2/05 [RUR] 22,279,000 826,947
Russia (Government of) Linked
Bonds, Series 26, 15%, 3/11/05 [RUR] 22,587,000 819,679
- --------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (USA),
U.S. Dollar/South African Rand
Linked Nts., Series FBi 43,
1.444%, 5/23/22 2 825,000 803,710
- --------------------------------------------------------------------------------
Deutsche Bank AG:
Brazil (Federal Republic of) 3 yr.
Credit Linked Nts., 7.38%, 5/20/07 2 240,000 246,260
Brazil (Federal Republic of) 5 yr.
Credit Linked Nts., 8.58%, 5/20/09 2 4,700,000 4,843,750
Korea (Republic of) Credit Bonds,
2.15%, 6/20/09 2 3,900,000 3,908,883
Moscow (City of) Linked Nts., 15%,
9/2/05 [RUR] 30,255,000 1,124,554
Moscow (City of) Linked Nts., 10%,
5/27/05 2 [RUR] 13,440,000 476,521
OAO Gazprom I Credit Nts.,
5.588%, 10/20/07 2 790,000 789,161
OAO Gazprom II Credit Nts.,
3.75%, 4/20/07 2 790,000 788,810
Turkey (Republic of) 5 yr.
Credit Nts., 5.40%, 5/7/09 2 780,000 8,165
- --------------------------------------------------------------------------------
JPMorgan Chase Bank:
TRAC-X NA High Yield T1 Credit
Linked Nts., 7.375%, 3/25/09 7 8,200,000 8,025,750
TRAC-X NA High Yield T3 Credit
Linked Nts., 8%, 3/25/09 7 17,700,000 17,202,188
- --------------------------------------------------------------------------------
Lehman Brothers International:
Turkey (Republic of) Treasury Bills
Linked Nts., 20.02%, 5/26/05 1,261,309 1,008,417
Turkey (Republic of) Treasury Bills
Total Return Linked Nts.,
16.31%, 8/25/05 1,165,000 764,473
PRINCIPAL MARKET VALUE
AMOUNT SEE NOTE 1
- --------------------------------------------------------------------------------
STRUCTURED NOTES CONTINUED
Lehman Brothers Special Financing,
Inc., High Yield Index Linked Nts.,
1%, 1/1/05 2,16 $ 10,000,000 $ 10,138,368
- --------------------------------------------------------------------------------
Oak Capital Ltd. Catastrophe
Linked Nts.,
6.27%, 6/15/07 1,2 250,000 255,050
- --------------------------------------------------------------------------------
Pioneer 2002 Ltd. Sec. Catastrophe
Linked Nts.:
Series 2002, Cl. A-A,
7.52%, 6/15/06 2,7 250,000 254,288
Series 2002-1, Cl. E-A,
5.77%, 6/15/06 2 750,000 757,350
Series 2003-II, Cl. A, 7.52%, 6/15/06 1,2 500,000 509,700
Series 2003-II, Cl. B, 6.52%, 6/15/06 1,2 500,000 508,100
Series 2003-II, Cl. C, 7.27%, 6/15/06 1,2 500,000 509,075
- --------------------------------------------------------------------------------
UBS AG, OAO Gazprom III Credit
Nts., 4.705%, 7/5/06 2 1,980,000 1,976,682
-------------
Total Structured Notes
(Cost $63,017,897) 62,184,077
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--17.6% 17
- --------------------------------------------------------------------------------
Undivided interest of 31.60% in joint
repurchase agreement (Principal Amount/Market
Value $400,357,000, with a maturity value of
$400,370,679) with Cantor Fitzgerald & Co./
Cantor Fitzgerald Securities, 1.23%, dated
6/30/04, to be repurchased at $126,518,323 on
7/1/04, collateralized by U.S. Treasury Bonds,
1.50%--8.125%, 7/31/05--8/15/21, with a value
of $338,098,960 and U.S. Treasury Nts.,
4.875%--6.75%, 5/15/05--2/15/12, with
a value of $70,754,600
(Cost $126,514,000) 126,514,000 126,514,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE
(COST $786,811,057) 109.2% 784,676,127
- --------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF
OTHER ASSETS (9.2) (66,148,754)
------------------------------
NET ASSETS 100.0% $718,527,373
==============================
23 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP Argentine Peso GBP British Pound Sterling
CAD Canadian Dollar JPY Japanese Yen
COP Colombian Peso MXN Mexican Nuevo Peso
DEM German Mark PEN Peruvian New Sol
DKK Danish Krone PLZ Polish Zloty
EUR Euro RUR Russian Ruble
FRF French Franc SEK Swedish Krona
1. Identifies issues considered to be illiquid or restricted. See Note 11 of
Notes to Financial Statements.
2. Represents the current interest rate for a variable or increasing rate
security.
3. Issue is in default. See Note 1 of Notes to Financial Statements.
4. When-issued security or forward commitment to be delivered and settled after
June 30, 2004. See Note 1 of Notes to Financial Statements.
5. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $1,756,861 or 0.24% of the Fund's net assets
as of June 30, 2004.
6. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of coupon-bearing
bonds of the same maturity. Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing of future cash flows.
These securities amount to $950,541 or 0.13% of the Fund's net assets as of June
30, 2004.
7. 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 $59,962,892 or 8.35% of the Fund's assets
as of June 30, 2004.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. Securities with an aggregate market value of $3,494,055 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
10. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of Notes to Financial Statements.
11. Non-income producing security.
12. Received as the result of issuer reorganization. Currently has minimal
market value.
13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
14. Interest or dividend is paid-in-kind.
15. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units, which
represent debt securities, principal amount disclosed represents total
underlying principal.
16. Interest rate represents a weighted average rate comprised of the interest
rates of the underlying securities.
17. The Fund may have elements of risk due to concentrated investments. Such
concentrations may subject the Fund to additional risks.
As of June 30, 2004, the Fund had entered into the following swaption
contracts. See Note 10 of Notes to Financial Statements.
NOTIONAL EXPIRATION EXERCISE PREMIUM MARKET VALUE
SWAPTIONS AMOUNT DATE PRICE RECEIVED SEE NOTE 1
- ------------------------------------------------------------------------------------------------
Lehman Brothers International $8,400,000 9/30/04 5.495% $99,017 $99,017
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
24 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
June 30, 2004
- --------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------
Investments, at value (including cost and market value of
$126,514,000 in repurchase agreements) (cost $786,811,057)
- --see accompanying statement of investments $784,676,127
- --------------------------------------------------------------------------------
Cash 360,591
- --------------------------------------------------------------------------------
Cash--foreign currencies (cost $122,877) 122,826
- --------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 536,582
- --------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 222,557
- --------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $2,762,717 sold on a
when-issued basis or forward commitment) 14,936,066
Shares of beneficial interest sold 11,479,960
Interest, dividends and principal paydowns 9,436,026
Futures margins 143,521
Other 9,005
-------------
Total assets 821,923,261
- --------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------
Swaptions written, at value (premiums received $99,017)
- --see accompanying statement of investments 99,017
- --------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 1,258,921
- --------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $80,532,530 purchased on a
when-issued basis or forward commitment) 99,656,698
Closed foreign currency contracts 1,672,483
Shares of beneficial interest redeemed 538,604
Distribution and service plan fees 77,063
Shareholder communications 44,871
Trustees' compensation 11,091
Transfer and shareholder servicing agent fees 1,650
Other 35,490
-------------
Total liabilities 103,395,888
- --------------------------------------------------------------------------------
NET ASSETS $718,527,373
=============
- --------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- --------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 149,258
- --------------------------------------------------------------------------------
Additional paid-in capital 722,580,400
- --------------------------------------------------------------------------------
Accumulated net investment income 12,944,994
- --------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign
currency transactions (14,863,393)
- --------------------------------------------------------------------------------
Net unrealized depreciation on investments and translation
of assets and liabilities denominated in foreign currencies (2,283,886)
-------------
NET ASSETS $718,527,373
=============
- --------------------------------------------------------------------------------
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 $568,599,846 and
118,537,344 shares of beneficial interest outstanding) $ 4.80
- --------------------------------------------------------------------------------
Service Shares:
Net asset value, redemption price per share and offering
price per share (based on net assets of $149,927,527 and
30,720,828 shares of beneficial interest outstanding) $ 4.88
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
25 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended June 30, 2004
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest $ 16,562,014
- --------------------------------------------------------------------------------
Fee income 880,219
- --------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $3,120) 76,330
- --------------------------------------------------------------------------------
Portfolio lending fees 17,129
-------------
Total investment income 17,535,692
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 2,423,752
- --------------------------------------------------------------------------------
Distribution and service plan fees--Service shares 135,091
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Non-Service shares 4,990
Service shares 4,990
- --------------------------------------------------------------------------------
Shareholder communications:
Non-Service shares 32,040
Service shares 5,010
- --------------------------------------------------------------------------------
Custodian fees and expenses 45,698
- --------------------------------------------------------------------------------
Trustees' compensation 9,797
- --------------------------------------------------------------------------------
Other 41,061
-------------
Total expenses 2,702,429
Less reduction to custodian expenses (10,293)
-------------
Net expenses 2,692,136
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 14,843,556
- --------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- --------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments (including premiums on options exercised) 438,695
Closing of futures contracts (1,232,457)
Closing and expiration of option contracts written 330,143
Closing and expiration of swaption contracts 19,758
Foreign currency transactions 7,876,836
Swap contracts 881,961
-------------
Net realized gain 8,314,936
- --------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (12,469,806)
Translation of assets and liabilities denominated in foreign
currencies (11,927,336)
Futures contracts 644,752
Option contracts (141,023)
Swaption contracts (15,542)
Swap contracts 1,178,209
-------------
Net change in unrealized appreciation (depreciation) (22,730,746)
- --------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 427,746
=============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
26 | OPPENHEIMER STRATEGIC BOND FUND/VA
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2004 DECEMBER 31,
(UNAUDITED) 2003
- --------------------------------------------------------------------------------
OPERATIONS
- --------------------------------------------------------------------------------
Net investment income $ 14,843,556 $ 28,077,622
- --------------------------------------------------------------------------------
Net realized gain 8,314,936 13,639,276
- --------------------------------------------------------------------------------
Net change in unrealized appreciation
(depreciation) (22,730,746) 41,999,716
----------------------------
Net increase in net assets resulting from
operations 427,746 83,716,614
- --------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- --------------------------------------------------------------------------------
Dividends from net investment income:
Non-Service shares (29,467,620) (28,473,133)
Service shares (5,049,740) (842,251)
- --------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- --------------------------------------------------------------------------------
Net increase in net assets resulting from
beneficial interest transactions:
Non-Service shares 25,927,710 115,808,103
Service shares 75,461,457 66,753,974
- --------------------------------------------------------------------------------
NET ASSETS
- --------------------------------------------------------------------------------
Total increase 67,299,553 236,963,307
- --------------------------------------------------------------------------------
Beginning of period 651,227,820 414,264,513
----------------------------
End of period (including accumulated net
investment income of $12,944,994 and $32,618,798,
respectively) $718,527,373 $651,227,820
============================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
27 | OPPENHEIMER STRATEGIC BOND FUND/VA
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2004 DECEMBER 31,
NON-SERVICE SHARES (UNAUDITED) 2003 2002 2001 2000 1999
- -----------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 5.05 $ 4.57 $ 4.62 $ 4.69 $ 4.97 $ 5.12
- -----------------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .11 .22 .29 .41 .41 .45
Net realized and unrealized gain (loss) (.10) .56 .03 (.19) (.28) (.31)
--------------------------------------------------------------------------
Total from investment operations .01 .78 .32 .22 .13 .14
- -----------------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.26) (.30) (.37) (.29) (.41) (.29)
- -----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.80 $ 5.05 $ 4.57 $ 4.62 $ 4.69 $ 4.97
==========================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 1 0.12% 18.07% 7.44% 4.85% 2.63% 2.83%
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $568,600 $571,445 $406,126 $351,686 $304,562 $282,086
- -----------------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $575,277 $472,213 $374,519 $330,711 $289,923 $278,668
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 2
Net investment income 4.61% 5.61% 6.89% 8.78% 9.23% 9.08%
Total expenses 0.75% 0.75% 0.79% 0.79% 0.79% 0.78%
Expenses after payments and waivers and reduction
to custodian expenses N/A 3 N/A 3 0.78% N/A 3 N/A 3 N/A 3
- -----------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 48% 4 117% 65% 104% 104% 81%
1. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Total returns are not annualized for
periods less than one full year. Total return information does not reflect
expenses that apply at the separate account level or to related insurance
products. Inclusion of these charges would reduce the total return figures for
all periods shown. Returns do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or the redemption of Fund shares.
2. Annualized for periods of less than one full year.
3. Reduction to custodian expenses less than 0.01%.
4. The Portfolio Turnover excludes purchase transactions and sales transactions
of To Be Announced (TBA) mortgage-related securities of $260,856,449 and
$301,572,179, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
28 | OPPENHEIMER STRATEGIC BOND FUND/VA
SIX MONTHS YEAR
ENDED ENDED
JUNE 30, 2004 DECEMBER 31,
SERVICE SHARES (UNAUDITED) 2003 2002 2001 1
- ---------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 5.13 $ 4.67 $ 4.73 $4.64
- ---------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .09 .27 .03 .15
-----------------------------------------------
Net realized and unrealized gain (loss) (.09) .49 .28 (.06)
Total from investment operations -- .76 .31 .09
- ---------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.25) (.30) (.37) --
- ---------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.88 $ 5.13 $ 4.67 $4.73
================================================
- ---------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 0.03% 17.16% 7.03% 1.94%
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $149,928 $79,782 $8,138 $ 4
- ---------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $109,000 $34,744 $2,307 $ 2
- ---------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 3.03% 4.57% 5.40% 8.17%
Total expenses 1.01% 1.02% 1.06% 0.92%
Expenses after payments and waivers and reduction to custodian
expenses N/A 4 N/A 4 1.03% N/A 4
- ---------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 48% 5 117% 65% 104%
1. For the period from March 19, 2001 (inception of offering) to December 31,
2001.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Total returns are not annualized for
periods less than one full year. Total return information does not reflect
expenses that apply at the separate account level or to related insurance
products. Inclusion of these charges would reduce the total return figures for
all periods shown. Returns do not reflect the deduction of taxes that a
shareholder would pay on Fund distributions or the redemption of Fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. The Portfolio Turnover excludes purchase transactions and sales transactions
of To Be Announced (TBA) mortgage-related securities of $260,856,449 and
$301,572,179, respectively.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
29 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Bond Fund/VA (the Fund) is a separate series of
Oppenheimer Variable Account Funds (the Trust), an open-end management
investment company registered under the Investment Company Act of 1940, as
amended. The Fund's investment objective is to seek a high level of current
income principally derived from interest on debt securities. The Trust's
investment advisor is OppenheimerFunds, Inc. (the Manager).
The Fund offers two classes of shares. Both classes are sold at their
offering price, which is the net asset value per share, to separate investment
accounts of participating insurance companies as an underlying investment for
variable life insurance policies, variable annuity contracts or other investment
products. The class of shares designated as Service shares is subject to a
distribution and service plan. Both classes of shares have identical rights and
voting privileges with respect to the Fund in general and exclusive voting
rights on matters that affect that class alone. Earnings, net assets and net
asset value per share may differ due to each class having its own expenses, such
as transfer and shareholder servicing agent fees and shareholder communications,
directly attributable to that class.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities listed
or traded on National Stock Exchanges or other domestic or foreign exchanges are
valued based on the last sale price of the security traded on that exchange
prior to the time when the fund's assets are valued. Securities traded on NASDAQ
are valued based on the closing price provided by NASDAQ prior to the time when
the Fund's assets are valued. In the absence of a sale, the security is valued
at the last sale price on the prior trading day, if it is within the spread of
the closing bid and asked prices, and if not, at the closing bid price.
Securities may be valued primarily using dealer-supplied valuations or a
portfolio pricing service authorized by the Board of Trustees. Securities
(including restricted securities) for which market quotations are not readily
available are valued at their fair value. Foreign and domestic securities whose
values have been materially affected by what the Manager identifies as a
significant event occurring before the Fund's assets are valued but after the
close of their respective exchanges will be fair valued. Fair value is
determined in good faith using consistently applied procedures under the
supervision of the Board of Trustees. Short-term "money market type" debt
securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value).
- --------------------------------------------------------------------------------
STRUCTURED NOTES. The Fund invests in structured notes whose market values,
interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured notes are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying financial statements. The Fund records a realized gain or loss when
a structured note is sold or matures. As of June 30, 2004, the market value of
these securities comprised 8.6% of the Fund's net assets and resulted in
unrealized cumulative losses of $833,820.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment can take place up to ten days or more after the trade date.
Normally the settlement date occurs within six months after the trade date;
however, the Fund may, from time to time, purchase securities whose settlement
date extends six months or more beyond trade date. During this period, such
securities do not earn interest, are subject to market fluctuation and may
increase or decrease in value prior to their delivery. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. As of June 30, 2004, the value of the
internally designated assets was $78,685,566. The purchase of securities on a
when-issued basis or forward commitment may increase the volatility of the
Fund's net asset value to the extent the Fund executes such transactions while
remaining substantially fully invested. The Fund may also sell securities that
it purchased on a when-issued basis or forward commitment prior to settlement
30 | OPPENHEIMER STRATEGIC BOND FUND/VA
of the original purchase. As of June 30, 2004, the Fund had purchased
$80,532,530 of securities on a when-issued basis or forward commitment and sold
$2,762,717 of securities issued on a when-issued basis or forward commitment.
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The Fund
records the incremental difference between the forward purchase and sale of each
forward roll as realized gain (loss) on investments or as fee income in the case
of such transactions that have an associated fee in lieu of a difference in the
forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of June 30, 2004, securities with an aggregate
market value of $5,984,204, representing 0.83% of the Fund's net assets, were in
default.
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. Prices of securities denominated in foreign currencies are
translated into U.S. dollars as of the close of The New York Stock Exchange.
Amounts related to the purchase and sale of foreign securities and investment
income are translated at the rates of exchange prevailing on the respective
dates of such transactions. Foreign exchange rates may be valued primarily using
dealer supplied valuations or a portfolio pricing service authorized by the
Board of Trustees.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, including investments in securities at fiscal
period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. These balances are invested in one or more repurchase
agreements. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the agreements mature. Each agreement requires that
the market value of the collateral be sufficient to cover payments of interest
and principal. In the event of default by the other party to the agreement,
retention of the collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders.
31 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund.
As of June 30, 2004, the Fund had available for federal income tax purposes
an estimated capital loss carryforward of $14,463,749 expiring by 2010. This
estimated capital loss carryforward represents carryforward as of the end of the
last fiscal year, increased for losses deferred under tax accounting rules to
the current fiscal year and is increased or decreased by capital losses or gains
realized in the first six months of the current fiscal year. During the six
months ended June 30, 2004, it is estimated that the Fund will utilize
$8,314,936 of capital loss carryforward to offset realized capital gains. During
the year ended December 31, 2003, the Fund did utilize $666,406 of capital loss
carryforward to offset realized capital gains.
As of December 31, 2003, the Fund had available for federal income tax purposes
post-October losses of $11,337 and unused capital loss carryforwards as follows:
EXPIRING
-------------------
2006 $ 347,976
2007 5,399,072
2008 253,735
2009 9,904,928
2010 6,861,637
-----------
Total $22,767,348
===========
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees has adopted a deferred
compensation plan for independent trustees that enables trustees to elect to
defer receipt of all or a portion of the annual compensation they are entitled
to receive from the Fund. For purposes of determining the amount owed to the
Trustee under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Trustee. The Fund does purchase shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of Assets and Liabilities. Deferral of trustees' fees under the plan
will not affect the net assets of the Fund, and will not materially affect the
Fund's assets, liabilities or net investment income per share. Amounts will be
deferred until distributed in accordance to the Plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date. Income and capital gain distributions, if
any, are declared and paid annually.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
ex-dividend notification in the case of certain foreign dividends where the
ex-dividend date may have passed. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Interest income, which includes accretion of discount and amortization
of premium, is accrued as earned.
- --------------------------------------------------------------------------------
EXPENSE OFFSET ARRANGEMENT. The reduction of custodian fees, if
applicable, represents earnings on cash balances maintained by the Fund.
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS. Security transactions are recorded on the trade date.
Realized gains and losses on securities sold are determined on the basis of
identified cost.
32 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
OTHER. The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
SIX MONTHS ENDED JUNE 30, 2004 YEAR ENDED DECEMBER 31, 2003
SHARES AMOUNT SHARES AMOUNT
- ---------------------------------------------------------------------------------------------------------
NON-SERVICE SHARES
Sold 10,939,551 $ 53,967,983 46,663,574 $ 222,213,838
Dividends and/or distributions reinvested 6,088,351 29,467,620 6,471,166 28,473,133
Redeemed (11,741,530) (57,507,893) (28,764,717) (134,878,868)
----------------------------------------------------------
Net increase 5,286,372 $ 25,927,710 24,370,023 $ 115,808,103
==========================================================
- ---------------------------------------------------------------------------------------------------------
SERVICE SHARES
Sold 15,341,353 $ 76,284,609 14,341,848 $ 69,419,263
Dividends and/or distributions reinvested 1,026,369 5,049,740 187,166 842,251
Redeemed (1,194,067) (5,872,892) (725,688) (3,507,540)
----------------------------------------------------------
Net increase 15,173,655 $ 75,461,457 13,803,326 $ 66,753,974
==========================================================
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than U.S. government obligations and short-term obligations, for the six months
ended June 30, 2004, were $254,270,563 and $235,512,517, respectively. There
were purchases of $20,757,710 and sales of $18,055,802 of U.S. government and
government agency obligations for the six months ended June 30, 2004.
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Trust which provides for a fee at an
annual rate of 0.75% of the first $200 million of average annual net assets,
0.72% of the next $200 million, 0.69% of the next $200 million, 0.66% of the
next $200 million, 0.60% on the next $200 million and 0.50% of average annual
net assets over $1 billion.
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICES. The Fund pays the Manager a fee of $1,500 per year for
preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the six months ended June 30, 2004, the Fund paid
$9,997 to OFS for services to the Fund.
Additionally, funds offered in variable annuity separate accounts are
subject to minimum fees of $10,000 per class for class level assets of $10
million or more. Each class is subject to the minimum fee in the event that the
per account fee does not equal or exceed the applicable minimum fee.
33 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
DISTRIBUTION AND SERVICE PLAN FOR SERVICE SHARES. The Fund has adopted a
Distribution and Service Plan for Service shares to pay OppenheimerFunds
Distributor, Inc. (the Distributor), for distribution related services and
personal service and account maintenance for the Fund's Service shares. Under
the Plan, payments are made quarterly at an annual rate of up to 0.25% of the
average annual net assets of Service shares of the Fund. The Distributor
currently uses all of those fees to compensate sponsor(s) of the insurance
product that offers Fund shares, for providing personal service and maintenance
of accounts of their variable contract owners that hold Service shares. The
impact of the service plan is to increase operating expenses of the Service
shares, which results in lower performance compared to the Fund's shares that
are not subject to a service fee. Fees incurred by the Fund under the Plan are
detailed in the Statement of Operations.
- --------------------------------------------------------------------------------
PAYMENTS AND WAIVERS OF EXPENSES. OFS has voluntarily agreed to limit transfer
and shareholder servicing agent fees for all classes to 0.35% of average annual
net assets per class. This undertaking may be amended or withdrawn at any time.
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into foreign
currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the
counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing foreign currency exchange rates.
Unrealized appreciation and depreciation on foreign currency contracts are
reported in the Statement of Assets and Liabilities as a receivable or payable
and in the Statement of Operations with the change in unrealized appreciation or
depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gains or losses. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
As of June 30, 2004, the Fund had outstanding foreign currency contracts as
follows:
CONTRACT
EXPIRATION AMOUNT VALUATION AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) JUNE 30, 2004 APPRECIATION DEPRECIATION
- -------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso (ARP) 8/2/04 3,375ARP $ 1,136,271 $ -- $ 860
Australian Dollar (AUD) 7/16/04 3,040AUD 2,113,627 31,227 --
Brazilian Real (BRR) 1/24/05-1/26/05 5,325BRR 1,582,882 -- 92,982
British Pound Sterling (GBP) 7/16/04-12/14/04 1,793GBP 3,234,775 2,386 2,911
Euro (EUR) 8/13/04-9/9/04 5,255EUR 6,386,525 43,802 60,250
Indian Rupee (INR) 7/26/04 35,000INR 759,816 -- 36,544
Indonesia Rupiah (IDR) 9/24/04 2,520,000IDR 268,015 -- 18,414
Japanese Yen (JPY) 8/16/04-3/31/05 3,512,400JPY 32,681,677 145,082 404,159
Mexican Nuevo Peso (MXN) 10/27/04 7,800MXN 662,316 -- 9,113
New Taiwan Dollar (TWD) 7/26/04-9/24/04 54,325TWD 1,619,414 -- 34,182
New Zealand Dollar (NZD) 7/16/04 3,520NZD 2,230,795 41,355 --
Philippines Peso (PHP) 7/26/04 40,000PHP 709,295 3,205 --
Polish Zloty (PLZ) 7/7/04 1,992PLZ 538,393 35,373 --
Singapore Dollar (SGD) 7/26/04 1,000SGD 580,808 -- 12,312
South Korean Won (KRW) 7/26/04-9/24/04 1,635,000KRW 1,408,774 10,170 --
Swiss Franc (CHF) 8/18/04 8,040CHF 6,428,897 207,382 --
-----------------------
519,982 671,727
-----------------------
34 | OPPENHEIMER STRATEGIC BOND FUND/VA
CONTRACT
EXPIRATION AMOUNT VALUATION AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) JUNE 30, 2004 APPRECIATION DEPRECIATION
- ------------------------------------------------------------------------------------------------------------
CONTRACTS TO SELL
British Pound Sterling (GBP) 9/9/04-10/4/04 4,700GBP $ 8,453,016 $ 11,827 $ --
Canadian Dollar (CAD) 8/23/04 420CAD 312,973 -- 624
Columbian Peso (COP) 9/15/04 1,265,000COP 465,592 -- 12,187
Euro (EUR) 7/7/04-9/24/04 30,887EUR 37,533,295 -- 285,096
Hungary Forints (HUF) 8/13/04 306,850HUF 1,470,043 -- 85,466
Japanese Yen (JPY) 7/16/04 245,000JPY 2,246,807 -- 43,568
Philippines Peso (PHP) 7/14/04 77,890PHP 1,383,888 4,773 --
Polish Zloty (PLZ) 9/8/04 15,385PLZ 4,124,222 -- 152,362
Swiss Franc (CHF) 7/16/04 2,990CHF 2,388,464 -- 7,891
-----------------------
16,600 587,194
-----------------------
Total unrealized appreciation and depreciation $536,582 $1,258,921
=======================
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported in the Statement of Operations as the closing and expiration of futures
contracts. The net change in unrealized appreciation and depreciation is
reported on the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of June 30, 2004, the Fund had outstanding futures contracts as follows:
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS JUNE 30, 2004 (DEPRECIATION)
- --------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
DAX Index 9/17/04 6 $ 745,867 $ 11,314
FTSE 100 Index 9/17/04 1 81,082 (762)
NASDAQ 100 Index 9/16/04 13 1,977,300 40,056
U.S. Long Bonds 9/21/04 198 21,062,250 311,163
U.S. Treasury Nts., 5 yr. 9/21/04 105 11,412,188 134,138
U.S. Treasury Nts., 10 yr. 9/21/04 100 10,932,813 87,125
---------
583,034
---------
35 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS Continued
UNREALIZED
EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS JUNE 30, 2004 (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
CONTRACTS TO SELL
DAX Index 9/17/04 9 $ 1,118,801 $ (17,013)
Euro-Bundesobligation, 10 yr. 9/8/04 13 1,789,631 (10,916)
Japan (Government of) Bonds, 10 yr. 9/9/04 7 8,667,003 (9,050)
Milan MIB 30 Index (The) 9/17/04 9 1,550,992 (12,038)
Standard & Poor's 500 Index 9/17/04 17 969,425 (12,856)
Standard & Poor's 500 Index 9/16/04 9 2,565,900 (17,101)
U.S. Treasury Nts., 2 yr. 9/30/04 162 34,108,594 (41,935)
U.S. Treasury Nts., 5 yr. 9/21/04 98 10,651,375 (73,512)
U.S. Treasury Nts., 10 yr. 9/21/04 16 1,749,250 (18,192)
United Kingdom Long Gilt 9/28/04 3 575,714 (3,267)
----------
(215,880)
----------
$ 367,154
==========
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchased put or call option is
adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Contracts subject to call, expiration
date, exercise price, premium received and market value are detailed in a note
to the Statement of Investments. Options written are reported as a liability in
the Statement of Assets and Liabilities. Realized gains and losses are reported
in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Fund may incur a loss if
the market price of the security decreases and the option is exercised. The risk
in buying an option is that the Fund pays a premium whether or not the option is
exercised. The Fund also has the additional risk of not being able to enter into
a closing transaction if a liquid secondary market does not exist.
Written option activity for the six months ended June 30, 2004 was as follows:
CALL OPTIONS PUT OPTIONS
---------------------- ---------------------------
PRINCIPAL/ PRINCIPAL/
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- --------------------------------------------------------------------------------------------------
Options outstanding as of December 31, 2003 9,765,000 $128,130 744,000,000 $ 138,880
Options written -- -- 720,000,000 100,541
Options closed or expired (6,510,000) (90,723) (1,464,000,000) (239,421)
Options exercised (3,255,000) (37,407) -- --
----------------------------------------------------
Options outstanding as of June 30, 2004 -- $ -- -- $ --
====================================================
36 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
8. CREDIT SWAP CONTRACTS
The Fund may enter into a credit swap transaction to maintain a total return on
a particular investment or portion of its portfolio, or for other
non-speculative purposes. Because the principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as a notional principal amount. The Fund records an increase or
decrease to unrealized gain (loss), in the amount due to or owed by the Fund at
termination or settlement. Credit swaps are subject to credit risks (if the
counterparty fails to meet its obligations). The Fund pays an annual interest
fee on the notional amount in exchange for the counterparty paying in a
potential credit event.
During the six months ended June 30, 2004, the Fund entered into transactions to
hedge credit risk. Information regarding the credit swaps is as follows:
UNREALIZED
EXPIRATION NOTIONAL VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT JUNE 30, 2004 (DEPRECIATION)
- -------------------------------------------------------------------------------------------------
Deutsche Bank AG, Export-Import
Bank of Korea Credit Bonds 6/20/09 $ 780,000 $ (2,262) $ (2,371)
Deutsche Bank AG, Korea Deposit
Insurance Corp. Credit Bonds 6/20/09 780,000 (2,496) (2,603)
Deutsche Bank AG, Korea Development
Bank Credit Bonds 6/20/09 780,000 (2,262) (2,371)
Deutsche Bank AG, Korea Electric
Power Corp. Credit Bonds 6/20/09 780,000 (2,652) (2,763)
Deutsche Bank AG, Philippines
(Republic of) 10 yr. Credit Bonds 7/25/13 930,000 19,383 19,259
Deutsche Bank AG, Russia
Federation Credit Bonds 9/10/13 1,225,000 7,552 7,453
Deutsche Bank AG, Russia
Federation Credit Bonds 9/20/13 1,540,000 4,380 4,253
Deutsche Bank AG, Samsung
Electronic Co. Ltd. Credit Bonds 6/20/09 780,000 (2,106) (2,212)
Deutsche Bank AG, Turkey
(Republic of) Credit Bonds 10/10/13 630,000 11,836 12,125
Deutsche Bank AG, Turkey
(Republic of) Credit Nts. 5/7/06 1,660,000 (15,588) (25,606)
Deutsche Bank AG, United
Mexican States Credit Bonds 9/20/13 1,235,000 (7,327) (6,185)
JPMorgan Chase Bank, Export-Import
Bank of Korea Credit Bonds 6/20/09 390,000 (3,935) (4,021)
JPMorgan Chase Bank, Hungary
(Republic of) Credit Bonds 12/2/13 1,880,000 (31,389) (31,389)
JPMorgan Chase Bank, Jordan
(Kingdom of) Credit Nts. 6/6/06 250,000 (40) (54)
JPMorgan Chase Bank, Korea Deposit
Insurance Corp. Credit Bonds 6/20/09 390,000 (3,855) (3,938)
JPMorgan Chase Bank, Korea
Development Bank Credit Bonds 6/20/09 390,000 (3,851) (3,937)
JPMorgan Chase Bank, Korea
Electric Power Co. Credit Bonds 6/20/09 390,000 (4,127) (4,215)
JPMorgan Chase Bank, Philippines
(Republic of) Credit Bonds 6/20/09 455,000 3,763 3,144
JPMorgan Chase Bank, Philippines
(Republic of) Credit Bonds 6/20/09 225,000 1,406 1,097
JPMorgan Chase Bank, Philippines
(Republic of) Credit Bonds 6/20/09 455,000 1,072 434
JPMorgan Chase Bank, Russian
Federation Credit Bonds 10/9/13 730,000 31,144 31,339
JPMorgan Chase Bank, Samsung
Electronics Co. Ltd. Credit Bonds 6/20/09 390,000 (3,869) (3,952)
37 | OPPENHEIMER STRATEGIC BOND FUND/VA
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
8. CREDIT SWAP CONTRACTS Continued
UNREALIZED
EXPIRATION NOTIONAL VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION DATES AMOUNT JUNE 30, 2004 (DEPRECIATION)
- --------------------------------------------------------------------------------------------
JPMorgan Chase Bank, Turkey
(Republic of) Credit Bonds 2/16/06 $1,300,000 $ 9,779 $ 982
JPMorgan Chase Bank, Turkey
(Republic of) Credit Bonds 6/23/09 1,000,000 (2,062) (3,273)
JPMorgan Chase Bank, Turkey
(Republic of) Credit Nts. 5/8/06 1,660,000 (23,907) (34,490)
JPMorgan Chase Bank, Turkey
(Republic of) Credit Nts. 5/8/09 780,000 9,679 16,348
JPMorgan Chase Bank Venezuela
(Republic of) Credit Bonds 2/20/14 1,305,000 (51,640) (90,014)
UBS AG, Turkey (Republic of)
Credit Nts. 5/7/06 1,950,000 (4,758) (4,758)
UBS AG, Turkey (Republic of)
Credit Nts. 5/7/09 940,000 (4,387) (7,291)
UBS AG, Venezuela (Republic
of) Credit Bonds 6/20/14 3,190,000 (59,813) (73,490)
----------
$(212,499)
==========
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS
The Fund may enter into an interest rate swap transaction to maintain a total
return or yield spread on a particular investment, or portion of its portfolio,
or for other non-speculative purposes. Interest rate swaps involve the exchange
of commitments to pay or receive interest, e.g., an exchange of floating rate
payments for fixed rate payments. The coupon payments are based on an agreed
upon principal amount and a specified index. Because the principal amount is not
exchanged, it represents neither an asset nor a liability to either
counterparty, and is referred to as notional. The Fund records an increase or
decrease to unrealized gain (loss), in the amount due to or owed by the Fund at
termination or settlement.
Interest rate swaps are subject to credit risk (if the counterparty fails
to meet its obligations) and interest rate risk. The Fund could be obligated to
pay more under its swap agreements than it receives under them, as a result of
interest rate changes.
As of June 30, 2004, the Fund had entered into the following interest rate swap
agreements:
FLOATING RATE
RATE PAID BY RECEIVED BY UNREALIZED
NOTIONAL THE FUND AT THE FUND AT FLOATING TERMINATION APPRECIATION
SWAP COUNTERPARTY AMOUNT JUNE 30, 2004 JUNE 30, 2004 RATE INDEX DATES (DEPRECIATION)
- -------------------------------------------------------------------------------------------------------------------
Three-Month
Deutsche Bank AG $ 3,185,000 3.1025% 1.34% LIBOR flat 3/4/08 $ 98,196
Three-Month
Deutsche Bank AG 10,000,000 5.32 1.24 LIBOR BBA 5/12/14 173,727
Deutsche Bank AG 74,350,000 INR 4.88 4.50 IRS 1/15/09 85,116
Six-Month
JPMorgan Chase Bank 880,000 EUR 3.135 2.104 LIBOR flat 7/14/08 1,442
Six-Month
JPMorgan Chase Bank 245,400,000 HUF 13.25 7.00 LIBOR flat 7/14/08 (99,398)
Three-Month
JPMorgan Chase Bank 13,000,000 3.82 1.17 LIBOR flat 11/10/08 388,846
Three-Month
JPMorgan Chase Bank 22,000,000 2.32 1.17 LIBOR flat 11/10/05 277,220
Three-Month
JPMorgan Chase Bank 6,625,000 3.052 1.41 LIBOR flat 3/10/08 217,261
Three-Month
JPMorgan Chase Bank 50,000,000 4.0725 1.18 LIBOR BBA 5/6/09 (395,892)
38 | OPPENHEIMER STRATEGIC BOND FUND/VA
FLOATING RATE
RATE PAID BY RECEIVED BY UNREALIZED
NOTIONAL THE FUND AT THE FUND AT FLOATING TERMINATION APPRECIATION
SWAP COUNTERPARTY AMOUNT JUNE 30, 2004 JUNE 30, 2004 RATE INDEX DATES (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------
Three-Month
JPMorgan Chase Bank $35,000,000 4.985% 1.18% LIBOR BBA 5/6/14 $(296,498)
Three-Month
JPMorgan Chase Bank 1,820,000 4.94 1.17 LIBOR BBA 4/30/14 (14,964)
----------
$ 435,056
==========
Notional amount is reported in U.S. Dollars, except for those denoted in the
following currencies. Index abbreviations and currencies are as follows:
IRS India Swap Composites
LIBOR BBA London-Interbank Offered Rate British Bankers Association
INR Indian Rupee
HUF Hungary Forints
EUR Euro
- --------------------------------------------------------------------------------
10. SWAPTION TRANSACTIONS
The Fund may enter into a swaption transaction, whereby a contract that grants
the holder, in return for payment of the purchase price (the "premium") of the
option, the right, but not the obligation, to enter into an interest rate swap
at a preset rate within a specified period of time, with the writer of the
contract. The writer receives premiums and bears the risk of unfavorable changes
in the preset rate on the underlying interest rate swap. Swaption contracts
written by the Fund do not give rise to counterparty credit risk as they
obligate the Fund, not its counterparty, to perform. Swaptions written are
reported as a liability in the Statement of Assets and Liabilities.
Written swaption activity for the six months ended June 30, 2004 was as follows:
NOTIONAL AMOUNT OF
AMOUNT PREMIUMS
- --------------------------------------------------------------------------------
Swaptions outstanding as of December 31, 2003 $ 2,220,000 $ 19,758
Swaptions written 8,400,000 99,017
Swaptions closed or expired (2,220,000) (19,758)
------------------------
Swaptions outstanding as of June 30, 2004 $ 8,400,000 $ 99,017
========================
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11. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of June 30, 2004, investments in securities included issues that are illiquid
or restricted. Restricted securities are purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Trustees as reflecting fair value. A security may also be considered
illiquid if it lacks a readily available market or if its valuation has not
changed for a certain period of time. The Fund intends to invest no more than
15% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limitation. The aggregate value of illiquid or restricted
securities subject to this limitation as of June 30, 2004 was $23,550,576, which
represents 3.28% of the Fund's net assets, of which $60,401 is considered
restricted. Information concerning restricted securities and currency is as
follows:
UNREALIZED
ACQUISITION VALUATION AS OF APPRECIATION
SECURITY DATES COST JUNE 30, 2004 (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------------
STOCKS AND/OR WARRANTS
Geotek Communications, Inc., Series B, Escrow Shares 1/4/01 $ 840 $ -- $(840)
CURRENCY
Argentine Peso 6/25/04 60,452 60,401 51
39 | OPPENHEIMER STRATEGIC BOND FUND/VA
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
12. SECURITIES LENDING
The Fund lends portfolio securities from time to time in order to earn
additional income. In return, the Fund receives collateral in the form of US
Treasury obligations or cash, against the loaned securities and maintains
collateral in an amount not less than 100% of the market value of the loaned
securities during the period of the loan. The market value of the loaned
securities is determined at the close of business of the funds and any
additional required collateral is delivered to the Fund on the next business
day. If the borrower defaults on its obligation to return the securities loaned
because of insolvency or other reasons, the Fund could experience delays and
cost in recovering the securities loaned or in gaining access to the collateral.
Cash collateral is invested in cash equivalents. The Fund retains a portion of
the interest earned from the collateral. The Fund also continues to receive
interest or dividends paid on the securities loaned. As of June 30, 2004, the
Fund had no securities on loan.
40 | OPPENHEIMER STRATEGIC BOND FUND/VA
ITEM 2. CODE OF ETHICS
Not applicable to semiannual reports.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Not applicable to semiannual reports.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not applicable to semiannual reports.
ITEM 5. NOT APPLICABLE
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable
ITEM 7. NOT APPLICABLE
ITEM 8. NOT APPLICABLE
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
The Board is responsible for approving nominees for election as
trustees. To assist in this task, the Board has designated the Audit Committee
as the nominating committee for the Board. It reviews and recommends nominees to
the Board. The Committee is comprised entirely of disinterested trustees as
defined in Section 2(a)(19) of the Investment Company Act of 1940.
The Audit Committee charter describes the responsibilities of the Committee in
nominating candidates for election as independent Trustees of the Registrant.
The Registrant's Board has adopted a written charter for the Committee. A
current copy of the Audit Committee charter is available to shareholders on the
OppenheimerFunds website at www.oppenheimerfunds.com.
Under the current policy, if the Board determines that a vacancy exists or is
likely to exist on the Board, the Audit Committee of the Board will consider
candidates for Board membership including recommended by Registrant
shareholders. The Audit Committee will consider nominees recommended by
independent Board members or recommended by any other Board members including
Board members affiliated with the Registrant's investment advisors. The
Committee may, upon Board approval, retain an executive search firm to assist in
screening potential candidates. Upon Board approval, the Audit Committee may
also use the services of legal, financial, or other external counsel that it
deems necessary or desirable in the screening process. Shareholders wishing to
submit a nominee for election to the Board may do so by mailing their submission
to the offices of OppenheimerFunds, Inc., 6803 South Tucson Way, Centennial, CO
80112, to the attention of the Board of Trustees of the named Registrant, c/o
the Secretary of the Registrant.
The Committee's process for identifying and evaluating nominees for trustees
includes a number of factors. In screening candidates for board membership,
whether the candidate is suggested by Board members, shareholders or others, the
Committee considers the candidate's professional experience, soundness of
judgment, integrity, ability to make independent, analytical inquiries,
collegiality, willingness and ability to devote the time required to perform
Board activities adequately, ability to represent the interests of all
shareholders of the Registrant, and diversity relative to the board's
composition. Candidates are expected to provide a mix of attributes, experience,
perspective and skills necessary to effectively advance the interests of
shareholders.
ITEM 10. CONTROLS AND PROCEDURES
(a) Based on their evaluation of registrant's disclosure controls and
procedures (as defined in rule 30a-2(c) under the Investment
Company Act of 1940 (17 CFR 270.30a-2(c)) as of June 30, 2004,
registrant's principal executive officer and principal financial
officer found registrant's disclosure controls and procedures to
provide reasonable assurances that information required to be
disclosed by registrant in the reports that it files under the
Securities Exchange Act of 1934 (a) is accumulated and
communicated to registrant's management, including its principal
executive officer and principal financial officer, to allow timely
decisions regarding required disclosure, and (b) is recorded,
processed, summarized and reported, within the time periods
specified in the rules and forms adopted by the U.S. Securities
and Exchange Commission.
(b) There have been no significant changes in registrant's internal
controls over financial reporting that occurred during the
registrant's last fiscal half-year that has materially affected,
or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 11. EXHIBITS.
(A) EXHIBIT ATTACHED HERETO. (ATTACH CODE OF ETHICS AS EXHIBIT)(NOT
APPLICABLE TO SEMIANNUAL REPORTS)
(B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS)