<PAGE>
A MESSAGE TO OUR CONTRACT OWNERS:
- ---------------------------------
I am pleased to forward this combined Semiannual Report of Massachusetts Mutual
Variable Annuity Separate Account 3 (``Separate Account 3''), the MML Series
Investment Fund, and the Oppenheimer Variable Account Funds. These reports are
for the period of January 1 through June 30, 1995.
The Semiannual Report for Separate Account 3 begins on page 3. Separate Account
3 has net assets of $7,271,887 as of June 30, 1995. Net asset values per
accumulation unit for the MML Equity, MML Money Market, MML Managed Bond, MML
Blend, Oppenheimer Money, Oppenheimer High Income, Oppenheimer Bond, Oppenheimer
Capital Appreciation, Oppenheimer Growth, Oppenheimer Multiple Strategies,
Oppenheimer Global Securities and Oppenheimer Strategic Bond Divisions as of
June 30, 1995 are shown in detail in the table on page 3.
The Semiannual Report for the MML Series Investment Fund begins on page 9. This
report contains a detailed description of the financial results of the MML
Equity Fund, MML Money Market Fund, MML Managed Bond Fund and MML Blend Fund for
the period of January 1 through June 30, 1995.
The Semiannual Report for the Oppenheimer Variable Account Funds begins on page
32. This report contains a detailed description of the financial results of the
Oppenheimer Money, Oppenheimer High Income, Oppenheimer Bond, Oppenheimer
Capital Appreciation, Oppenheimer Growth, Oppenheimer Multiple Strategies,
Oppenheimer Global Securities and Oppenheimer Strategic Bond Funds for the
period of January 1 through June 30, 1995.
Management appreciates the interest and confidence you have shown in Separate
Account 3.
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
Thomas B. Wheeler
President and Chief Executive Officer
-------------------------------------
August 1, 1995
1
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
<S> <C>
Massachusetts Mutual Variable Annuity Separate Account 3
Statement of Assets and Liabilities as of June 30, 1995............................... 3
Statement of Operations For the Six Months Ended June 30, 1995........................ 4
Statement of Changes in Net Asset For the Six Months Ended June 30, 1995.............. 5
Notes to Financial Statements......................................................... 6-8
MML Series Investment Fund
Our Message To You.................................................................... 9-10
Statement of Assets and Liabilities as of June 30, 1995............................... 11
Statement of Operations For the Six Months Ended June 30, 1995........................ 12
Statement of Changes in Net Assets For the Six Months Ended June 30, 1995 and 1994.... 13
Financial Highlights.................................................................. 15
Schedule of Investments as of June 30, 1995
MML Equity Fund..................................................................... 16-18
MML Money Market Fund............................................................... 19
MML Managed Bond Fund............................................................... 20-22
MML Blend Fund...................................................................... 23-28
Notes to Financial Statements......................................................... 29-31
Oppenheimer Variable Account Fund
Statement of Assets and Liabilities as of June 30, 1995............................... 32
Statement of Operations For the Six Months Ended June 30, 1995........................ 33
Statement of Changes in Net Assets For the Six Months Ended June 30, 1995
and the Year Ended December 31, 1994................................................. 34-35
Financial Highlights.................................................................. 36-43
Schedule of Investments as of June 30, 1995
Oppenheimer Money Fund............................................................. 44
High Income Fund................................................................... 45-50
Bond Fund.......................................................................... 51-54
Capital Appreciation Fund.......................................................... 55-57
Growth Fund........................................................................ 58-59
Multiple Strategies Fund........................................................... 60-67
Global Securities Fund............................................................. 68-70
Strategic Bond Fund................................................................ 71-75
Notes to Financial Statements......................................................... 76-83
</TABLE>
2
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
- --------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- -----------------------------------
JUNE 30, 1995
- -------------
(UNAUDITED)
- -----------
<TABLE>
<CAPTION>
MML MML OPPENHEIMER
MML MONEY MANAGED MML OPPENHEIMER HIGH
EQUITY MARKET BOND BLEND MONEY INCOME
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
-------- -------- -------- -------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments
Number of shares (Note 2)... 6,851 175,375 13,224 9,858 1,855,241 43,654
========= ========= ========= ========= =========== =========
Identified cost (Note 3B)... $ 159,028 $ 175,375 $ 156,836 $ 189,124 $ 1,855,241 $ 456,445
========= ========= ========= ========= =========== =========
Value (Note 3A)............. $ 163,157 $ 175,375 $ 161,981 $ 193,944 $ 1,855,241 $ 453,132
Dividends receivable......... -- 290 -- -- 4,555 --
Receivable for accumulation
units sold.................. 2,806 3,038 -- -- -- 11,303
--------- --------- --------- --------- ----------- ---------
TOTAL ASSETS............... 165,963 178,703 161,981 193,944 1,859,796 464,435
LIABILITIES
Payable to Massachusetts Mutual
Life Insurance Company...... 233 132 332 328 6,043 445
--------- --------- --------- --------- ----------- ---------
NET ASSETS................... $ 165,730 $ 178,571 $ 161,649 $ 193,616 $ 1,853,753 $ 463,990
========= ========= ========= ========= =========== =========
NET ASSETS CONSISTS OF:
Accumulation units value.... $ 165,730 $ 178,571 $ 161,649 $ 193,616 $ 1,853,753 $ 463,990
========= ========= ========= ========= =========== =========
Accumulation units
Contract owners............ 139,267 169,127 139,352 168,415 1,801,410 427,632
Massachusetts Mutual Life
Insurance Company......... 5,000 5,000 5,000 5,000 5,000 5,000
--------- --------- --------- --------- ----------- ---------
Total units (Note 8)....... 144,267 174,127 144,352 173,415 1,806,410 432,632
========= ========= ========= ========= =========== =========
NET ASSET VALUE PER
ACCUMULATION UNIT
June 30, 1995............... $1.15 $1.03 $1.12 $1.12 $1.03 $1.07
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER OPPENHEIMER
OPPENHEIMER CAPITAL OPPENHEIMER MULTIPLE GLOBAL STRATEGIC
BOND APPRECIATION GROWTH STRATEGIES SECURITIES BOND
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
----------- ------------ ----------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments
Number of shares (Note 2)... 9,834 22,144 38,636 61,430 42,956 237,950
========= ========= ========= ========= ========= ===========
Identified cost (Note 3B)... $ 112,724 $ 612,876 $ 784,778 $ 848,579 $ 633,341 $ 1,141,773
========= ========= ========= ========= ========= ===========
Value (Note 3A)............. $ 113,288 $ 644,168 $ 802,083 $ 853,875 $ 639,186 $ 1,132,640
Dividends receivable......... -- -- -- -- -- --
Receivable for accumulation
units sold.................. -- 2,806 2,807 29,001 2,806 36,959
--------- --------- --------- --------- --------- -----------
TOTAL ASSETS............... 113,288 646,974 804,890 882,876 641,992 1,169,599
LIABILITIES
Payable to Massachusetts
Mutual Life Insurance
Company.................... 132 807 779 986 971 1,366
--------- --------- --------- --------- --------- -----------
NET ASSETS................... $ 113,156 $ 646,167 $ 804,111 $ 881,890 $ 641,021 $ 1,168,233
========= ========= ========= ========= ========= ===========
NET ASSETS CONSISTS OF:
Accumulation units - value... $ 113,156 $ 646,167 $ 804,111 $ 881,890 $ 641,021 $ 1,168,233
========= ========= ========= ========= ========= ===========
Accumulation units...........
Contract owners............ 98,975 571,731 678,822 788,823 671,870 1,106,344
Massachusetts Mutual Life
Insurance Company......... 5,000 5,000 5,000 5,000 5,000 5,000
--------- --------- --------- --------- --------- -----------
Total units (Note 8)....... 103,975 576,731 683,822 793,823 676,870 1,111,344
========= ========= ========= ========= ========= ===========
NET ASSET VALUE PER
ACCUMULATION UNIT
June 30, 1995............... $1.09 $1.12 $1.18 $1.11 $0.95 $1.05
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
- --------------------------------------------------------
STATEMENT OF OPERATIONS
- -----------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1995
- --------------------------------------
(UNAUDITED)
- ----------
<TABLE>
<CAPTION>
MML MML OPPENHEIMER
MML MONEY MANAGED MML OPPENHEIMER HIGH
EQUITY MARKET BOND BLEND MONEY INCOME
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
-------- -------- -------- -------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Note 3B)......... $ -- $ 576 $ 517 $ 281 $33,046 $ 6,814
EXPENSES
Mortality and expense risk
fee and administrative
expenses (Note 4)........... 254 152 366 363 8,171 467
------- ------- ------- ------- ------- -------
NET INVESTMENT INCOME
(LOSS)
(Note 3C)................... (254) 424 151 (82) 24,875 6,347
------- ------- ------- ------- ------- -------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss)
on investments
(Notes 3B, 3C and 6)........ (2) -- 183 -- -- (8)
Net change in unrealized
appreciation/
depreciation of
investments................. 4,333 -- 5,184 4,970 -- (3,071)
------- ------- ------- ------- ------- -------
NET GAIN (LOSS) ON
INVESTMENTS................. 4,331 -- 5,367 4,970 -- (3,079)
------- ------- ------- ------- ------- -------
NET INCREASE IN
NET ASSETS RESULTING
FROM OPERATIONS............. $ 4,077 $ 424 $ 5,518 $ 4,888 $24,875 $ 3,268
======= ======= ======= ======= ======= =======
</TABLE>
<TABLE>
<CAPTIONS>
OPPENHEIMER OPPENHEIMER OPPENHEIMER OPENHEIMER
OPPENHEIMER CAPITAL OPPENHEIMER MULTIPLE GLOBAL STRATEGIC
BOND APPRECIATION GROWTH STRATEGIES SECURITIES BOND
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
---------- ------------ ---------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Note 3B)......... $ 1,323 $ 335 $ 787 $ 9,714 $ 1,551 $19,264
EXPENSES
Mortality and expense risk
fee and administrative
expense (Note 4)............ 151 891 844 1,078 1,062 1,432
------- ------- ------- ------- ------- -------
NET INVESTMENT INCOME
(LOSS)
(Note 3C)................... 1,172 (556) (57) 8,636 489 17,832
------- ------- ------- ------- ------- -------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss)
on investments
(Notes 3B, 3C and 6)........ (2) 1,011 3,106 1,021 3,122 2,978
Net change in unrealized
appreciation/depreciation
of investments.............. 691 31,275 17,386 5,432 6,162 (8,945)
------- ------- ------- ------- ------- -------
NET GAIN (LOSS) ON
INVESTMENTS................. 689 32,286 20,492 6,453 9,284 (5,967)
------- ------- ------- ------- ------- -------
NET INCREASE IN
NET ASSETS RESULTING
FROM OPERATIONS............. $ 1,861 $31,730 $20,435 $15,089 $ 9,773 $11,865
======= ======= ======= ======= ======= =======
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
- --------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- ----------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1995
- --------------------------------------
(UNAUDITED)
- -----------
<TABLE>
<CAPTION>
MML MML OPPENHEIMER
MML MONEY MANAGED MML OPPENHEIMER HIGH
EQUITY MARKET BOND BLEND MONEY INCOME
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
----------- -------- -------- -------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net investment income (loss). $ (254) $ 424 $ 151 $ (82) $ 24,875 $ 6,347
Net realized gain (loss)
on investments.............. (2) -- 183 -- -- (8)
Net change in unrealized
appreciation/depreciation
of investments.............. 4,333 -- 5,184 4,970 -- (3,071)
--------- --------- --------- --------- ----------- ---------
Net increase in net assets
resulting from operations... 4,077 424 5,518 4,888 24,875 3,268
--------- --------- --------- --------- ----------- ---------
Capital transactions: (Note 7)
Contract payments (Note 5)... 156,069 175,792 28,500 81,588 2,445,177 450,171
Reimbursement (payment) of
accumulation unit value
fluctuation................. 450 30 (9) 145 86 384
Withdrawal of funds.......... (96) (198) -- -- -- (792)
Divisional transfers......... 119 (2,625) 122,474 101,871 (621,507) 6,003
--------- --------- --------- --------- ----------- ---------
Net increase in net assets
resulting from capital
transactionS................ 156,542 172,999 150,965 183,604 1,823,756 455,766
--------- --------- --------- --------- ----------- ---------
TOTAL INCREASE................ 160,619 173,423 156,483 188,492 1,848,631 459,034
NET ASSETS, AT BEGINNING
OF THE YEAR.................. 5,111 5,148 5,166 5,124 5,122 4,956
--------- --------- --------- --------- ----------- ---------
NET ASSETS, AT END
OF THE PERIOD................ $ 165,730 $ 178,571 $ 161,649 $ 193,616 $ 1,853,753 $ 463,990
========= ========= ========= ========= =========== =========
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
OPPENHEIMER CAPITAL OPPENHEIMER MULTIPLE GLOBAL STRATEGIC
BOND APPRECIATION GROWTH STRATEGIES SECURITIES BOND
DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net investment income (loss). $ 1,172 $ (556) $ (57) $ 8,636 $ 489 $ 17,832
Net realized gain (loss)
on investments.............. (2) 1,011 3,106 1,021 3,122 2,978
Net change in unrealized
appreciation/depreciation
of investments.............. 691 31,275 17,386 5,432 6,162 (8,945)
----------- ----------- ----------- ----------- ----------- -----------
Net increase in net assets
resulting from operations... 1,861 31,730 20,435 15,089 9,773 11,865
----------- ----------- ----------- ----------- ----------- -----------
Capital transactions: (Note 7)
Contract payments (Note 5)... 88,863 485,219 735,285 765,055 532,468 1,197,295
Reimbursement (payment) of
accumulation unit value
fluctuation................. (30) 337 436 469 (2,596) 379
Withdrawal of funds.......... -- (540) (356) -- (395) (62,413)
Divisional transfers......... 17,403 124,315 42,902 96,251 96,598 16,196
----------- ----------- ----------- ----------- ----------- -----------
Net increase in net assets
resulting from capital
transactions................ 106,236 609,331 778,267 861,775 626,075 1,151,457
----------- ----------- ----------- ----------- ----------- -----------
TOTAL INCREASE................ 108,097 641,061 798,702 876,864 635,848 1,163,322
NET ASSETS, AT BEGINNING
OF THE YEAR.................. 5,059 5,106 5,409 5,026 5,173 4,911
----------- ----------- ----------- ----------- ----------- -----------
NET ASSETS, AT END
OF THE PERIOD................ $ 113,156 $ 646,167 $ 804,111 $ 881,890 $ 641,021 $ 1,168,233
=========== =========== =========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
- --------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- -----------------------------
(UNAUDITED)
- -----------
1. HISTORY
Massachusetts Mutual Variable Annuity Separate Account 3 ("Separate Account
3") is a separate investment account established on January 12, 1994 by
Massachusetts Mutual Life Insurance Company ("MassMutual"). Separate Account
3 operates as a registered unit investment trust pursuant to the Investment
Company Act of 1940 and the rules promulgated thereunder.
On November 15, 1994, MassMutual paid $60,000 to provide the initial capital
for Separate Account 3's twelve divisions: 14,099 shares were purchased in
the two management investment companies described in Note 2 supporting the
twelve divisions of Separate Account 3.
2. INVESTMENT OF THE SEPARATE ACCOUNT 3 ASSETS
Separate Account 3 maintains twelve divisions. Each division invests in
corresponding shares of either MML Series Investment Trust ("MML Trust") or
Oppenheimer Variable Account Funds ("Oppenheimer Trust").
MML Equity Fund, MML Money Market Fund, MML Managed Bond Fund and MML Blend
Fund are the four series of shares of the MML Trust. The MML Trust is a no-
load, registered, open-end, diversified management investment company for
which MassMutual acts as investment manager. Concert Capital Management,
Inc. ("Concert Capital"), a wholly-owned subsidiary of MassMutual, serves as
investment sub-advisor to the MML Equity Fund and the equity sector of the
MML Blend Fund.
Oppenheimer Money Fund, Oppenheimer High Income Fund, Oppenheimer Bond Fund,
Oppenheimer Capital Appreciation Fund, Oppenheimer Growth Fund, Oppenheimer
Multiple Strategies Fund, Oppenheimer Global Securities Fund and Oppenheimer
Strategic Bond Fund (the "Oppenheimer Funds") are the eight separate funds
of the Oppenheimer Variable Account Funds (the "Oppenheimer Trust"). The
Oppenheimer Trust is a registered, open-end, diversified management
investment company, for which Oppenheimer Management Corporation ("OMC")
acts as investment advisor.
In addition to the twelve divisions of Separate Account 3, a contractowner,
in certain states, may also allocate funds to the Fixed Account. Proceeds
from the Fixed Account will be deposited in a non-unitized segment of
MassMutual's general account organized as a separate account for accounting
purposes. The interests in the Fixed Account are registered under the
Securities Act of 1933.
3. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed
consistently by Separate Account 3 in preparation of the financial
statements in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATION
-----------------------
The investments in MML Trust and the Oppenheimer Trust are each stated at
market value which is the net asset value of each of the respective
underlying funds.
B. ACCOUNTING FOR INVESTMENTS
Investment transactions are accounted for on trade date and identified cost
is the basis followed in determining the cost of investments sold for
financial statement purposes. Dividend income is recorded on the ex-dividend
date.
C. FEDERAL INCOME TAXES
Operations of Separate Account 3 form a part of the total operations of
MassMutual, and Separate Account 3 is not taxed separately. MassMutual is
taxed as a life insurance company under the provisions of the 1986 Internal
Revenue Code, as amended. Separate Account 3 will not be taxed as a
"regulated investment company" under Subchapter M of the Internal Revenue
Code. Under existing federal law, no taxes are payable on investment income
and realized capital gains attributable to Contracts which depend on
Separate Account 3's investment performance. Accordingly, no provision for
federal income tax has been made. MassMutual may, however, make such a
charge in the future if an unanticipated change of current law results in a
company tax liability attributable to Separate Account 3.
6
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- -----------------------------------------
D. ANNUITY RESERVES
Since all contracts are in the accumulation phase, the Separate Account 3
has not recorded an annuity reserve at June 30, 1995.
4. CHARGES
- -----------
All daily charges are computed against the net asset value of Separate
Account 3's assets (``Net Asset Value''). These charges are equivalent on an
annual basis to 1.40% of the Net Asset Value. The mortality and expense risk
part of this charge is made daily at an annual rate which is currently equal
to l.15%, and will not exceed 1.25% of the Net Asset Value. The
administrative expense part of these charges is made daily at an annual rate
of 0.l5%. The third component of these charges is a charge of 0.10% of Net
Asset Value assessed to reimburse MassMutual for the cost of providing the
enhanced death benefit under the Contract.
<TABLE>
<CAPTION>
5. CHARGES/DEDUCTIONS FOR ADMINISTRATIVE CHARGES, CONTINGENT DEFERRED
SALES CHARGES AND PREMIUM TAXES
ADMINISTRATIVE
CHARGES AND
CONTINGENT
FOR THE PERIOD CONTRACT DEFERRED
ENDED JUNE 30, 1995 PAYMENTS SALES CHARGES
------------------- ---------- -------------
<S> <C> <C>
MML Equity Division...................... $ 156,069 $ --
MML Money Market Division................ 175,792 --
MML Managed Bond Division................ 28,500 --
MML Blend Division....................... 81,588 --
Oppenheimer Money Division............... 2,445,177 --
Oppenheimer High Income Division......... 450,171 --
Oppenheimer Bond Division................ 88,863 --
Oppenheimer Capital Appreciation Division 485,219 --
Oppenheimer Growth Division............. 735,285 --
Oppenheimer Multiple Strategies Division 765,055 --
Oppenheimer Global Securities Division.. 532,468 --
Oppenheimer Strategic Bond Division..... 1,197,295 --
6. PURCHASES AND SALES OF INVESTMENTS
COST OF PROCEEDS
SHARES OF PURCHASES FROM SALES
--------- ----------- ----------
MML Equity Fund......................... $ 154,064 $ 158
MML Money Market Fund................... 177,590 7,350
MML Managed Bond Fund................... 154,585 3,057
MML Blend Fund.......................... 184,168 169
Oppenheimer Money Fund.................. 2,571,236 721,115
Oppenheimer High Income Fund............ 453,469 2,223
Oppenheimer Bond Fund................... 107,655 124
Oppenheimer Capital Appreciation Fund... 618,060 11,293
Oppenheimer Growth Fund................. 817,113 40,941
Oppenheimer Multiple Strategies Fund.... 877,338 34,951
Oppenheimer Global Securities Fund...... 768,471 143,752
Oppenheimer Strategic Bond Fund......... 1,222,601 88,915
</TABLE>
7
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
- -----------------------------------------
7. NET INCREASE (DECREASE) IN ACCUMULATION UNITS
<TABLE>
<CAPTION>
MML MML OPPENHEIMER
MML MONEY MANAGED MML OPPENHEIMER HIGH OPPENHEIMER
FOR THE PERIOD EQUITY MARKET BOND BLEND MONEY INCOME BOND
ENDED JUNE 30, 1995 DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION DIVISION
------------------- -------- -------- -------- -------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Units purchased........... 139,132 171,763 26,588 74,226 2,410,900 422,532 82,725
Units withdrawn........... (83) (194) -- -- -- (744) --
Units transferred
between divisions......... 89 (2,566) 112,640 94,062 (609,588) 5,745 16,153
-------- -------- ------- ------- --------- ------- -------
Net increase.............. 139,138 169,003 139,228 168,288 1,801,312 427,533 98,878
Units, at beginning
of the year............... 5,129 5,124 5,124 5,127 5,098 5,099 5,097
-------- -------- ------- ------- --------- ------- -------
Units, at end
of the period............. 144,267 174,127 144,352 173,415 1,806,410 432,632 103,975
======= ======= ======= ======= ========= ======= =======
OPPENHEIMER OPPENHEIMER OPPENHEIMER OPPENHEIMER
CAPITAL OPPENHEIMER MULTIPLE GLOBAL STRATEGIC
FOR THE PERIOD APPRECIATION GROWTH STRATEGIES SECURITIES BOND
ENDED JUNE 30, 1995 DIVISION DIVISION DIVISION DIVISION DIVISION
------------------- ------------ -------- ---------- ---------- --------
Units purchased........... 454,574 641,387 699,006 567,464 1,149,669
Units withdrawn........... (488) (305) -- (418) (59,197
Units transferred
between divisions......... 117,544 37,235 89,717 104,322 15,872
------- ------- ------- ------- ---------
Net increase.............. 571,630 678,317 788,723 671,368 1,106,344
Units, at beginning
of the year............... 5,101 5,505 5,100 5,502 5,000
------- ------- ------- ------- ---------
Units, at end
of the period............. 576,731 683,822 793,823 676,870 1,111,344
======= ======= ======= ======= =========
</TABLE>
8. DISTRIBUTION AGREEMENT
- --------------------------
MML Investors Services, Inc. ("MMLIST"), a wholly-owned subsidiary of
MassMutual, acts as the principal underwriter of the Contracts. MMLISI is
registered as a broker-dealer under the Securities Exchange Act of 1934 and
is a member of the National Association of Securities Dealers, Inc. The
Contracts are sold by registered representatives of MMLISI who are also
insurance agents of MassMutual under state insurance law. Additionally,
Contracts are offered by independent broker-dealers through the distribution
network of Oppenheimer Funds Distributor, Inc. ("OFDI"), a subsidiary of
OMC. OFDI and MMLISI have entered into an agreement pursuant to which OFDI
has agreed to promote sales of the product through wholesale distribution
arrangements with such broker-dealers.
Offered through MML Investors Services, Inc., Springfield, Massachusetts,
and Oppenheimer Funds Distributor, Inc. Denver, Colorado.
8
<PAGE>
MML Series Investment Fund
Table of Contents
<TABLE>
<CAPTION>
Page
<S> <C>
Our Message To You..................................................................... 2 - 3
Statement of Assets and Liabilities as of June 30, 1995................................ 4
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Operations for the six months ended June 30, 1995......................... 5
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Changes in Net Assets for the six months ended June 30, 1995 and 1994..... 6
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Financial Highlights
MML Equity Fund.................................................................. 7
MML Money Market Fund............................................................ 7
MML Managed Bond Fund............................................................ 8
MML Blend Fund................................................................... 8
Schedule of Investments as of June 30, 1995
MML Equity Fund.................................................................. 9 - 11
MML Money Market Fund............................................................ 12
MML Managed Bond Fund............................................................ 13 - 15
MML Blend Fund................................................................... 16 - 21
Notes to Financial Statements.......................................................... 22 - 25
</TABLE>
1
<PAGE>
MML Series Investment Fund
OUR MESSAGE TO YOU
ECONOMIC AND INVESTMENT ENVIRONMENT
Economic growth slowed significantly during the first half of 1995. The primary
reason for the slowdown was a strong reduction in household demand (consumer
consumption and housing expenditures). Real Gross Domestic Product (GDP), which
had climbed at a rate exceeding 4% during 1994, grew at an annual rate of 2.7%
for the first quarter of 1995. The second quarter was even weaker than the
first, largely due to a reduction in new orders. The nearly flat second quarter,
in combination with the first quarter growth, should result in a modest GDP
growth rate of approximately 1.5% for the first half of this year. Despite the
slowdown, corporate profits and personal incomes have shown strong growth this
year. Additionally, inflationary pressures have remained modest.
The financial markets responded very strongly to the economic events of the
first half of the year. During late February, Federal Reserve Board ("Fed")
Chairman Greenspan confirmed that a substantial slowdown was underway. In
response to expectations of the Fed easing and weak economic statistics,
interest rates fell sharply during the first half of 1995. As interest rates
fell, bond prices increased strongly providing bondholders with a total return
of 11.8% (as evidenced by the Lehman Government/Corporate Bond Index). The
stock market also prospered. Benefitted by lower interest rates and continuing
strong corporate profits, the stock market provided investors with a total
return of 20.2% over the first half, as evidenced by the Standard & Poor's 500
Index.
In the fixed income markets, the treasury sector provided especially strong
returns. Investment grade corporate bonds also proved to be strong performers
in the first half. Mortgage backed securities and particularly the adjustable
rate securities lagged throughout the first half. In the stock market, the
large capitalization stocks generally outperformed the small capitalization;
however, the big winners in the first half were the technology stocks.
In the second half of 1995, we expect the economy to improve, but we look for
continued moderate growth. Stocks and bonds may be volatile in the second half
given their strong performance in the first half of 1995. In this environment,
we will continue to seek attractively valued investments to provide solid,
long-term performance for the portfolios. As always, we believe that a
disciplined, patient approach to investing will help you, our investors, reach
your financial goals.
MML EQUITY
What changes, if any, occurred to the portfolio in light of the economic
environment during this period?
Early in the year we were finding better values among more defensive issues,
such as pharmaceutical, agricultural, and food and beverage companies. This
seemed logical because the economic upswing had lasted more than four years, and
we expected that earnings of cyclical companies would begin to lose momentum.
However, by the second quarter, the market was discounting an economic slowdown,
interest rates had fallen sharply, and cyclical stocks had underperformed enough
to become the better purchases for the rest of the first half.
What were the most important buys/sells during the period?
There were four new purchases in the first half of 1995. In the retail group, we
bought Sears, Roebuck, which had completed a major restructuring and returned to
its general merchandise focus. We also purchased Albertson's, the fourth largest
food chain in the U. S., with geographical concentration in the southern and
western states. To participate in the global telecommunications network and
services business, we established a position in AT&T. The last new purchase was
American Brands, which had exited the domestic tobacco business and become more
of a branded consumer products company. We eliminated three stocks in the
period: Lockheed, Royal Dutch Petroleum and Willamette Industries.
What can we expect for the rest of 1995? What challenges do you see for the
future?
With spectacular stock market returns in the first half of the year, the next
six months might present a more difficult environment. Earnings, however, are
likely to remain robust in the next few quarters, tempering any periods of
weakness. We expect that the market performance will broaden to include more mid
cap and small cap issues, and become more volatile as the year progresses.
Longer term, the low dividend yield and high price to book value for the S&P 500
temper our enthusiasm for the market. Any new stocks purchased for the fund will
have to represent bargains in order for us to make a significant commitment.
Such opportunities may be limited until the market suffers a broader setback.
2
<PAGE>
MML MONEY MARKET
What were the driving forces that the economy reacted to during the period?
A major driving force during the first half of 1995 was the seven interest rate
increases orchestrated by the Fed between February 1994 and February 1995. This
tightening cycle was instituted by the Fed in order to keep inflation under
control as the economy began a period of strong growth. Both employment and
capacity utilization grew tremendously during 1994, which resulted in
inflationary concerns for the economy. Having slowed the economy sufficiently
during 1995, the Fed actually cut rates by 25 basis points in early July, citing
the lackluster economy as the primary reason behind the rate cut. In this
economic environment, we positioned the money market fund in high-quality
commercial paper (96%) and government agency issues (4%) having an average
maturity of 40 days at June 30, 1995.
Why is diversification such an important principle of your strategy?
Our investments are well diversified to limit our exposure to any particular
issuer. Diversification across industries and issuers within the portfolio helps
to prevent large losses caused by relatively isolated economic events.
MML MANAGED BOND
What caused the massive rally in the fixed-income markets and the concurrent
flattening in the yield curve?
The massive fixed-income rally during the first half of 1995 was the result of a
slowdown in the economy. With inflation under control, market participants
rallied the market anticipating the economic slowdown and an easing of Fed
policy. A concurrent flattening of the yield curve took place as inflation,
normally the scourge of fixed-income assets (especially long-term securities),
remained mild. Investor perceptions that the economic slowdown could lead to
recession also contributed to the flattening, as historically, the curve has
flattened as the economy approaches a recessionary environment.
What can we expect for the rest of 1995? What challenges do you see for the
future?
The remainder of 1995 should continue to be a period of volatility as market
participants react to the monetary policy actions of the Fed. Interest rate
declines seen thus far could be enough to stimulate the economy without
additional Fed easing. We have seen some of this reaction already in the housing
market. We expect to position the fund to be somewhat more defensive during the
second half of the year in order to preserve the strong returns we have already
gained from what has been an excellent market.
MML BLEND
What was the asset allocation of the Blend Fund as of June 30, 1995? Were there
any changes to the allocation strategy of the portfolio in light of the economic
environment during this period?
The Blend Fund combines the profiles of the MML Equity, Bond, and Money Market
Funds into a single portfolio. The specific allocation of stocks, bonds, and
money market issues is based upon the interrelation of current economic and
financial conditions and the values available in the stock and bond markets. As
these relationships change, the exposure to each capital market is gradually
adjusted within the designated ranges. At June 30, 1995, the Blend Fund had 55%
of the portfolio in equities, 13% in long-term bonds, and 32% in short-term
issues. There has been no significant change in these allocations since our last
report.
/s/ Stuart H. Reese
Stuart H. Reese
President
MML Series Investment Fund
July 31, 1995
3
<PAGE>
MML Series Investment Fund
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
ASSETS
Investments at value (See Schedule of Investments)
(Notes 2A, 2B and 5)
Equities (Identified cost: $702,371,338;
$632,744,428 respectively)..................................... $ 948,957,474 $ -- $ -- $ 916,605,221
Bonds and notes (Identified cost: $126,819,596;
$217,658,170 respectively)..................................... -- -- 130,001,245 225,049,598
Short-term investments (Identified cost: $111,062,345;
$101,111,713; $9,448,705; $537,852,371 respectively)........... 111,062,345 101,111,713 9,448,705 537,697,097
-------------- ------------ ------------ --------------
Total investments.............................................. 1,060,019,819 101,111,713 139,449,950 1,679,351,916
Cash............................................................ 254,367 5,270 5,415 4,364,345
Interest and dividends receivable............................... 2,206,505 1,931 2,227,640 6,188,709
Receivable for investments sold................................. -- -- 1,075 1,057,293
Receivable for settlement of investments
purchased on a forward commitment basis (Note 2D).............. -- -- 260,757 3,061,714
Prepaid trustees' fees.......................................... 858 546 546 546
-------------- ------------ ------------ --------------
Total assets................................................... 1,062,481,549 101,119,460 141,945,383 1,694,024,523
-------------- ------------ ------------ --------------
LIABILITIES
Payable for investments purchased............................... 1,568,838 -- -- 5,728,889
Dividends payable (Note 2C)..................................... -- 449,598 -- --
Investment management fee payable (Note 4)...................... 993,643 119,012 165,644 1,544,030
Accrued liabilities............................................. 53,638 16,390 15,127 33,644
-------------- ------------ ------------ --------------
Total liabilities.............................................. 2,616,119 585,000 180,771 7,306,563
-------------- ------------ ------------ --------------
NET ASSETS...................................................... $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Net assets consist of:
Series shares, (par value $.01 per share; an unlimited number
authorized) (Note 6)............................................ $ 445,036 $ 1,005,345 $ 115,736 $ 857,363
Additional paid-in capital....................................... 785,196,294 99,529,115 138,595,460 1,366,511,200
Undistributed net investment income (Note 2C).................... 13,813,063 8,913 2,284,781 17,602,007
Undistributed net realized gain (loss) on investments and
forward commitments (Notes 2D and 3)............................ 13,824,901 (8,913) (2,414,572) 7,703,768
Net unrealized appreciation on:
Investments (Note 2A)........................................... 246,586,136 -- 3,181,649 291,096,947
Forward commitments (Note 2D)................................... -- -- 1,558 2,946,675
-------------- ------------ ------------ --------------
NET ASSETS....................................................... $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Outstanding series shares........................................ 44,503,554 $100,534,460 11,573,563 85,736,321
============== ============ ============ ==============
Net asset value per share........................................ $ 23.82 $ 1.00 $ 12.25 $ 19.67
============== ============ ============ ==============
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
MML Series Investment Fund
STATEMENT OF OPERATIONS
For The Six Months Ended June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Investment income (Note 2B)
Dividends........................................................ $ 12,942,852 $ -- $ -- $ 12,909,367
Interest......................................................... 2,858,606 2,870,986 4,826,053 23,881,001
-------------- -------------- ------------- --------------
Total income.................................................. 15,801,458 2,870,986 4,826,053 36,790,368
-------------- -------------- ------------- --------------
Expenses
Investment management fee (Note 4)............................... 1,882,599 235,080 318,697 2,980,434
Trustees' fees................................................... 7,436 5,941 5,975 5,941
Audit fees....................................................... 13,121 9,076 11,603 14,204
Tax expense...................................................... 6,262 -- -- 6,262
Registration fee................................................. 33,650 3,017 2,777 25,034
Other............................................................ 1,127 667 667 630
-------------- -------------- ------------- --------------
Total expenses................................................ 1,944,195 253,781 339,719 3,032,505
-------------- -------------- ------------- --------------
Net investment income (Note 2C).................................. 13,857,263 2,617,205 4,486,334 33,757,863
-------------- -------------- ------------- --------------
Net realized and unrealized gain (loss) on investments and
forward commitments (Notes 2A, 2B and 2D)
Net realized gain (loss) on:
Investments (Notes 2B and 2C)................................... 13,881,504 (20) (697,474) 6,458,292
Forward commitments (Note 2D)................................... -- -- 453,016 2,277,785
-------------- -------------- ------------- --------------
Net realized gain (loss)...................................... 13,881,504 (20) (244,458) 8,736,077
-------------- -------------- ------------- --------------
Change in net unrealized appreciation/depreciation on:
Investments (Note 2A)........................................... 113,792,847 -- 10,294,054 139,385,654
Forward commitments (Note 2D)................................... -- -- 164,192 4,138,131
-------------- -------------- ------------- --------------
Total change in net unrealized appreciation/depreciation...... 113,792,847 -- 10,458,246 143,523,785
-------------- -------------- ------------- --------------
Net gain (loss).................................................. 127,674,351 (20) 10,213,788 152,259,862
-------------- -------------- ------------- --------------
Net increase in net assets resulting from operations............. $ 141,531,614 $ 2,617,185 $ 14,700,122 $ 186,017,725
============== ============== ============= ==============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MML Series Investment Fund
STATEMENT OF CHANGES IN NET ASSETS
For The Six Months Ended June 30, 1995 and 1994
(Unaudited)
<TABLE>
<CAPTION>
1995
-------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............................................ $ 13,857,263 $ 2,617,205 $ 4,486,334 $ 33,757,863
Net realized gain (loss)
on investments and
forward commitments............................................. 13,881,504 (20) (244,458) 8,736,077
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments..................................................... 113,792,847 -- 10,458,246 143,523,785
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations...................................................... 141,531,614 2,617,185 14,700,122 186,017,725
Dividends to shareholders from
net investment income (Note 2C)................................ (35,000) (2,617,185) (2,198,282) (16,157,864)
Net increase in capital share
transactions (Note 6).......................................... 97,585,798 8,748,427 8,053,120 72,596,962
-------------- ------------ ------------ --------------
Total increase (decrease)...................................... 239,082,412 8,748,427 20,554,960 242,456,823
NET ASSETS, at beginning of the year............................. 820,783,018 91,786,033 121,209,652 1,444,261,137
NET ASSETS, at end of the period................................. $1,059,865,430 $100,534,460 $141,764,612 $1,686,717,960
============== ============ ============ ==============
Undistributed net investment income included in net assets
at end of the period............................................ $ 13,813,063 $ 8,913 $ 2,284,781 $ 17,602,007
============== ============ ============ ==============
Rate per share of dividends to shareholders from net
investment income............................................... $ .001 $ .028 $ .197 $ .192
<CAPTION>
1994
-------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............................................ $ 10,887,645 $ 1,253,255 $ 4,226,116 $ 25,770,255
Net realized gain (loss)
on investments and
forward commitments............................................. 3,404,918 (3,648) (916,521) 7,147,498
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments..................................................... (15,082,522) -- (9,503,629) (44,491,207)
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations...................................................... (789,959) 1,249,607 (6,194,034) (11,573,454)
Dividends to shareholders from
net investment income (Note 2C)................................ (25,000) (1,249,607) (2,107,029) (12,431,913)
Net increase in capital share
transactions (Note 6).......................................... 111,621,101 7,977,018 4,267,178 152,013,261
-------------- ------------ ------------ --------------
Total increase (decrease)...................................... 110,806,142 7,977,018 (4,033,885) 128,007,894
NET ASSETS, at beginning of the year............................. 663,093,058 73,659,008 129,109,198 1,296,543,156
-------------- ------------ ------------ --------------
NET ASSETS, at end of the period................................. $ 773,899,200 $ 81,636,026 $125,075,313 $1,424,551,050
============== ============ ============ ==============
Undistributed net investment income included in net assets
at end of the period............................................ $ 10,845,740 $ 7,177 $ 2,112,529 $ 13,340,848
============== ============ ============ ==============
Rate per share of dividends to shareholders from net
investment income............................................... $ .001 $ .015 $ .202 $ .163
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS
(Unaudited)
Selected per share data for each series share outstanding throughout each
six-month period ended June 30:
<TABLE>
<CAPTION>
MML EQUITY FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 20.520 $ 20.510 $ 19.862 $ 18.735 $ 15.659
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .311 .287 .274 .286 .295
Net realized and unrealized
gain (loss) on investments................. 2.985 (.293) .760 .448 1.900
-------- -------- -------- -------- --------
Total from investment operations............ 3.296 (.006) 1.034 .734 2.195
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.001) -- (.001) (.001) (.002)
Distribution from net
realized gains............................. -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions......................... (.001) -- (.001) (.001) (.002)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 23.815 $ 20.504 $ 20.895 $ 19.468 $ 17.852
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 16.764 $ 14.929 $ 13.828 $ 15.591 $ 13.832
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .315 .366 .295 .241 .241
Net realized and unrealized
gain (loss) on investments................. .115 1.366 1.691 2.625 2.176
-------- -------- -------- -------- --------
Total from investment operations............ .430 1.732 1.986 2.866 2.417
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.002) (.002) -- (.487) (.412)
Distribution from net
realized gains............................. -- -- -- (.759) (.498)
-------- -------- -------- -------- --------
Total distributions......................... (.002) (.002) -- (1.246) (.910)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 17.192 $ 16.659 $ 15.814 $ 17.211 $ 15.339
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
MML MONEY MARKET FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .028 .015 .048 .019 .032
-------- -------- -------- -------- --------
Total from investment operations............ .028 .015 .048 .019 .032
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.028) (.015) (.048) (.019) (.032)
-------- -------- -------- -------- --------
Total distributions......................... (.028) (.015) (.048) (.019) (.032)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.......................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income....................... .039 .045 .032 .029 .035
-------- -------- -------- -------- --------
Total from investment operations............ .039 .045 .032 .029 .035
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.......................... (.039) (.045) (.032) (.029) (.035)
-------- -------- -------- -------- --------
Total distributions......................... (.039) (.045) (.032) (.029) (.035)
-------- -------- -------- -------- --------
Net asset value:
End of period.............................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
MML MANAGED BOND FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 11.141 $ 12.405 $ 12.041 $ 12.219 $ 11.318
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .395 .400 .404 .438 .458
Net realized and unrealized
gain (loss) on investments
and forward commitments............ .910 (.979) .579 (.119) .092
-------- -------- -------- -------- --------
Total from investment operations.... 1.305 (.579) .983 .319 .550
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.197) (.202) (.207) (.219) (.221)
Distribution from net
realized gains..................... -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions................. (.197) (.202) (.207) (.219) (.221)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 12.249 $ 11.624 $ 12.817 $ 12.319 $ 11.647
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 11.354 $ 10.919 $ 11.052 $ 12.541 $ 11.978
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .477 .455 .456 .484 .543
Net realized and unrealized
gain (loss) on investments
and forward commitments............ (.171) .431 .011 (.469) .406
-------- -------- -------- -------- --------
Total from investment operations.... .306 .886 .467 .015 .949
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.242) (.226) (.225) (.492) (.561)
Distribution from net
realized gains -- -- -- (.482) --
-------- -------- -------- -------- --------
Total distributions................. (.242) (.226) (.225) (.974) (.561)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 11.418 $ 11.579 $ 11.294 $ 11.582 $ 12.366
======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
MML BLEND FUND
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 17.672 $ 18.305 $ 17.846 $ 17.307 $ 14.839
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .397 .332 .332 .355 .370
Net realized and unrealized
gain (loss) on investments
and forward commitments............ 1.796 (.486) .687 .237 1.364
-------- -------- -------- -------- --------
Total from investment operations.... 2.193 (.154) 1.019 .592 1.734
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.192) (.163) (.168) (.177) (.182)
Distribution from net
realized gains..................... -- -- -- -- --
-------- -------- -------- -------- --------
Total distributions................. (.192) (.163) (.168) (.177) (.182)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 19.673 $ 17.988 $ 18.697 $ 17.722 $ 16.391
======== ======== ======== ======== ========
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.................. $ 15.428 $ 13.876 $ 13.095 $ 13.774 $ 12.244
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income............... .398 .412 .354 .284 .263
Net realized and unrealized
gain (loss) on investments
and forward commitments............ .021 1.058 1.068 1.555 1.571
-------- -------- -------- -------- --------
Total from investment operations.... .419 1.470 1.422 1.839 1.834
-------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income.................. (.192) (.181) (.175) (.272) (.285)
Distribution from net
realized gains..................... -- -- -- (.247) (.103)
-------- -------- -------- -------- --------
Total distributions................. (.192) (.181) (.175) (.519) (.388)
-------- -------- -------- -------- --------
Net asset value:
End of period...................... $ 15.655 $ 15.165 $ 14.342 $ 15.094 $ 13.690
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ ---------
<S> <C> <C>
EQUITIES - 89.53%
Aerospace & Defense - 1.92%
The Boeing Company ................................... 202,500 $ 12,681,562
TRW, Inc. ............................................ 96,000 7,668,000
----------- -----------
298,500 20,349,562
----------- -----------
Agribusiness - 2.00%
Archer-Daniels-Midland Company........................ 549,977 10,243,322
Pioneer Hi-Bred International......................... 260,000 10,920,000
----------- -----------
809,977 21,163,322
----------- -----------
Apparel, Textiles, Shoes - 1.05%
VF Corporation........................................ 208,000 11,180,000
----------- -----------
Automotive & Parts - 2.67%
Ford Motor Company.................................... 430,000 12,792,500
Genuine Parts Company................................. 410,000 15,528,750
----------- -----------
840,000 28,321,250
----------- -----------
Banking, Savings & Loans - 6.27%
Bank of New York Company, Incorporated................ 453,000 18,289,875
Comerica, Incorporated................................ 435,000 13,974,375
CoreStates Financial Corporation...................... 426,000 14,856,750
Norwest Corporation................................... 328,000 9,430,000
Wachovia Corp. ....................................... 278,200 9,945,650
----------- -----------
1,920,200 66,496,650
----------- -----------
Beverages - 1.99%
Brown-Forman Corporation (Class B).................... 333,000 11,113,875
Pepsico, Incorporated................................. 218,000 9,946,250
----------- -----------
551,000 21,060,125
----------- -----------
Chemicals - 4.31%
E.I. du Pont de Nemours and Company................... 152,500 10,484,375
Eastman Chemical Company.............................. 250,000 14,875,000
The Lubrizol Corporation.............................. 313,500 11,090,063
Nalco Chemical Company................................ 254,000 9,239,250
----------- -----------
970,000 45,688,688
----------- -----------
Communications - 2.01%
AT&T Corporation...................................... 400,000 21,250,000
----------- -----------
Computers & Office Equipment - 6.45%
Hewlett-Packard Company............................... 396,000 29,502,000
International Business Machines Corporation........... 110,000 10,560,000
Pitney Bowes, Inc. ................................... 390,000 14,966,250
Xerox Corporation..................................... 114,000 13,366,500
----------- -----------
1,010,000 68,394,750
----------- -----------
Electric Utilities - 1.97%
NIPSCO Industries, Inc. .............................. 180,000 6,120,000
Niagara Mohawk Power Corporation...................... 463,500 6,836,625
SCANA Corporation..................................... 356,000 7,965,500
----------- -----------
999,500 20,922,125
----------- -----------
Electrical Equipment & Electronics - 8.19%
AMP, Incorporated..................................... 591,000 24,969,750
General Electric Company.............................. 475,000 26,778,125
General Signal Corporation............................ 279,500 11,110,125
Honeywell Inc. ....................................... 256,500 11,061,562
Hubbell, Incorporated (Class B)....................... 228,072 12,886,068
----------- -----------
1,830,072 86,805,630
----------- -----------
Energy - 8.12%
Amoco Corporation..................................... 305,000 20,320,625
Atlantic Richfield Company............................ 137,000 15,035,750
Chevron Corporation................................... 422,000 19,675,750
Kerr-McGee Corporation................................ 226,400 12,140,700
Mobil Corporation..................................... 167,000 16,032,000
USX Corporation - Marathon Group...................... 145,000 2,863,750
----------- -----------
1,402,400 86,068,575
----------- -----------
Financial Services - 1.36%
American Express Company.............................. 410,000 14,401,250
----------- -----------
Foods - 1.62%
CPC International, Inc. .............................. 277,500 17,135,625
----------- -----------
Forest Products & Paper - 3.20%
Westvaco Corporation.................................. 263,537 11,661,512
Weyerhaeuser Company.................................. 472,000 22,243,000
----------- -----------
735,537 33,904,512
----------- -----------
Gas Distribution - .36%
Consolidated Natural Gas Company...................... 102,300 3,861,825
----------- -----------
Grocery Retailers - .50%
Albertson's, Inc. .................................... 178,000 5,295,500
----------- -----------
Hardware & Tools - 1.09%
The Stanley Works..................................... 305,000 11,551,875
----------- -----------
Healthcare - 8.11%
Becton, Dickinson and Company......................... 260,000 15,145,000
Bristol-Myers Squibb Company.......................... 455,000 30,996,875
Pfizer, Incorporated.................................. 278,000 25,680,250
Schering-Plough Corp. ................................ 319,800 14,111,175
----------- -----------
1,312,800 85,933,300
----------- -----------
Household Products - .94%
The Clorox Company.................................... 152,500 9,950,625
----------- -----------
Industrial Distribution - 1.16%
W. W. Grainger, Inc. .................................. 210,000 12,337,500
----------- -----------
Industrial Transportation - 2.01%
Norfolk Southern Corporation.......................... 228,000 15,361,500
Roadway Services, Inc. ............................... 125,000 5,906,250
----------- -----------
353,000 21,267,750
----------- -----------
Insurance - 3.10%
Jefferson-Pilot Corporation........................... 142,600 7,807,350
SAFECO Corporation.................................... 319,000 18,322,722
Unitrin, Inc. ........................................ 142,000 6,745,000
----------- -----------
603,600 32,875,072
----------- -----------
Machinery & Components - 2.00%
Dover Corporation..................................... 150,000 10,912,500
Parker-Hannifin Corporation........................... 284,250 10,304,063
----------- -----------
434,250 21,216,563
----------- -----------
</TABLE>
9
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ ---------
<S> <C> <C>
EQUITIES (Continued)
Metals & Mining - .71%
Reynolds Metals Company......................... 145,500 $ 7,529,625
------------ ------------
Miscellaneous - Producer - 2.68%
Harsco Corporation.............................. 169,500 8,941,125
Minnesota Mining &
Manufacturing Company.......................... 340,000 19,465,000
------------ ------------
509,500 28,406,125
------------ ------------
Photography - 1.18%
Eastman Kodak Company........................... 206,500 12,519,062
------------ ------------
Publishing & Printing - 4.14%
R. R. Donnelley & Sons Company.................. 366,500 13,194,000
The Dun & Bradstreet Corporation................ 280,000 14,700,000
McGraw Hill, Inc. .............................. 210,000 15,933,750
------------ ------------
856,600 43,827,750
------------ ------------
Retail - 3.13%
Kmart Corporation............................... 57,600 842,400
The May Department Stores Company............... 376,500 15,671,813
J.C. Penney Company, Inc. ...................... 113,000 5,424,000
Sears Roebuck & Co. ............................ 188,000 11,256,500
------------ ------------
735,100 33,194,713
------------ ------------
Telephone Utilities - 2.44%
Frontier Corporation............................ 461,000 11,064,000
Ameritech Corporation........................... 182,000 8,008,000
Southern New England
Telecommunications Corporation................. 193,500 6,820,875
------------ ------------
836,500 25,892,875
------------ ------------
Tire & Rubber - 1.51%
Goodyear Tire & Rubber Company.................. 387,500 15,984,375
------------ ------------
Tobacco - 1.34%
American Brands, Inc. .......................... 356,500 14,170,875
------------ ------------
Total Equities
(Cost $702,371,338)............................. 948,957,474
------------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
SHORT TERM INVESTMENTS* - 10.48%
Commercial Paper
Burlington Northern Railroad Company
6.159% 8/2/95................................ $ 6,325,000 $ 6,290,564
Burlington Resources Inc.
6.182% 7/20/95............................... 4,730,000 4,714,722
Champion International Corporation
6.072% 7/14/95............................... 4,220,000 4,210,811
ConAgra, Inc.
6.069% 7/17/95............................... 4,500,000 4,487,940
ConAgra, Inc.
6.070% 7/6/95................................ 5,765,000 5,760,156
Illinois Power Company
6.082% 7/11/95............................... 2,160,000 2,156,370
MAPCO Inc.
6.138% 8/3/95................................ 1,600,000 1,591,053
ORIX Credit Alliance Inc.
6.122% 7/12/95............................... 4,330,000 4,321,956
ORIX Credit Alliance Inc.
6.055% 7/10/95............................... 3,995,000 3,988,988
ORIX Credit Alliance Inc.
6.108% 7/5/95................................ 5,000,000 4,996,622
ORIX Credit Alliance Inc.
6.153% 7/31/95............................... 7,100,000 7,063,849
ORIX Credit Alliance Inc.
6.145% 7/27/95............................... 3,445,000 3,429,798
Pacific Telecom Inc.
6.093% 7/25/95............................... 5,855,000 5,831,385
Pacific Telecom Inc.
6.084% 7/18/95............................... 5,870,000 5,853,230
PS Colorado Credit Corporation
6.121% 7/19/95............................... 4,775,000 4,760,508
Sierra Pacific Power Co.
6.089% 7/21/95............................... 4,585,000 4,569,589
Sierra Pacific Power Co.
6.088% 7/28/95............................... 6,585,000 6,555,121
Super Value Stores Inc.
6.136% 7/7/95................................ 8,165,000 8,156,672
Textron Financial Corporation
6.056% 7/13/95............................... 5,190,000 5,179,585
Textron Financial Corporation
6.089% 7/24/95............................... 5,925,000 5,902,098
Textron Financial Corporation
6.126% 8/10/95............................... 2,300,000 2,284,462
Textron Financial Corporation
6.129% 7/26/95............................... 1,575,000 1,568,328
Textron Financial Corporation
6.164% 8/1/95................................ 2,165,000 2,153,572
Tyson Foods, Inc.
6.083% 8/4/95................................ 5,265,000 5,234,966
------------ ------------
Total Short Term Investments
(Cost $111,062,345) $111,425,000 111,062,345
============ ------------
</TABLE>
10
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
-----------
<S> <C> <C>
Total Investments -
(Cost $813,433,683) (a) 100.01% $1,060,019,819
Other Assets - .23 2,461,730
Liabilities - (.24) (2,616,119)
------- --------------
Net Assets - 100.00% $1,059,865,430
======= ==============
</TABLE>
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments based on cost
of $813,565,814 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments in which there is an excess
of market value over tax cost................. $252,541,063
Aggregate gross unrealized depreciation for
all investments in which there is an excess
of tax cost over market value................. (6,087,058)
------------
Net unrealized appreciation................... $248,454,005
============
*Rates represent annualized yield on date of purchase and are
unaudited.
See Notes to Financial Statements.
11
<PAGE>
MML Money Market Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -------------
SHORT TERM INVESTMENTS* 100.57%
<S> <C> <C>
Commercial Paper
American Express Credit Corp.
6.069% 9/1/95.................................. $ 3,285,000 $ 3,251,338
Aristar, Inc.
6.246% 7/5/95.................................. 3,480,000 3,477,622
Atlantic Richfield Corp.
6.252% 9/27/95................................. 2,975,000 2,930,930
Carolina Power & Light Co.
5.984% 8/2/95.................................. 3,800,000 3,779,902
Caterpillar Financial Services Corporation
5.996% 8/11/95................................. 3,635,000 3,610,492
Central & South West Corporation
5.954% 8/3/95.................................. 2,600,000 2,585,938
Coca Cola Company
5.905% 8/10/95................................. 1,895,000 1,882,683
Dresser Industries Inc.
6.019% 8/8/95.................................. 1,875,000 1,863,165
E.I. du Pont de Nemours and Company
6.085% 7/6/95.................................. 2,355,000 2,353,038
Echlin Inc.
6.032% 7/28/95................................. 3,455,000 3,439,452
Eli Lilly & Company
5.957% 9/14/95................................. 2,315,000 2,286,689
Emerson Electric Company
5.961% 7/11/95................................. 2,895,000 2,890,255
Federal National Mortgage Association
5.659% 12/28/95................................ 3,875,000 3,768,437
Ford Motor Credit Company
5.969% 7/24/95................................. 685,000 685,000
GTE Finance Corporation
6.051% 7/21/95................................. 3,500,000 3,488,333
General Electric Company
6.039% 7/19/95................................. 2,385,000 2,377,905
General Electric Capital Corporation
5.981% 8/23/95................................. 1,185,000 1,174,672
Georgia Power Company
6.092% 7/17/95................................. 2,100,000 2,094,400
Georgia Power Company
5.961% 7/10/95................................. 1,150,000 1,148,295
H.J. Heinz Company
5.982% 8/1/95.................................. 3,825,000 3,805,435
Hercules Incorporated
5.983% 7/26/95................................. 3,630,000 3,615,001
Iowa Illinois Gas & Electric Company
5.978% 8/8/95.................................. 2,793,000 2,775,517
J.C. Penny Funding Corp.
5.984% 7/18/95................................. 2,880,000 2,871,935
Kimberly Clark Corp.
5.829% 8/31/95................................. 3,035,000 3,005,430
McCormick & Company Inc.
6.168% 7/7/95.................................. 2,945,000 2,942,021
Melville Corporation
6.298% 12/7/95................................. 3,450,000 3,357,661
Monsanto Company
6.168% 8/3/95.................................. 1,620,000 1,611,016
Monsanto Company
6.008% 7/13/95................................. 1,445,000 1,442,134
Motorola Inc.
5.903% 8/18/95................................. 1,650,000 1,637,130
Pepsico Inc.
5.969% 8/9/95.................................. 3,570,000 3,547,066
Philip Morris Companies, Inc.
6.113% 7/12/95................................. 2,780,000 2,774,886
Potomac Electric Power Company
6.104% 8/14/95................................. 2,500,000 2,481,667
Proctor & Gamble Company
5.987% 7/20/95................................. 2,630,000 2,621,783
Public Service Electric & Gas Co.
5.974% 8/30/95................................. 2,200,000 2,178,367
Shell Oil Company
6.025% 7/10/95................................. 2,100,000 2,096,876
South Carolina Electric & Gas Co.
5.993% 8/4/95.................................. 3,000,000 2,983,142
Southwestern Bell Telecommunications
5.933% 8/25/95................................. 3,000,000 2,973,188
Union Electric Company
5.996% 7/14/95................................. 3,310,000 3,302,912
------------ ------------
Total Short-Term Investments
(Cost $101,111,713) (a) $101,808,000 101,111,713
============ ------------
Total Investments -
(Cost $101,111,713) (a) 100.57% 101,111,713
Other Assets - .01 7,747
Liabilities - (.58) (585,000)
------- ------------
Net Assets - 100.00% $100,534,460
======= ============
</TABLE>
(a) Federal Income Tax Information: The aggregate cost for investments
for the MML Money Market Fund as of June 30, 1995 is the same for
financial reporting and federal income tax purposes.
June 30, 1995 seven day average yield for the portfolio: 5.54%
*Rates represent annualized yield on date of purchase and
are unaudited.
See Notes to Financial Statements.
12
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES - 91.70%
Asset Backed Securities - 5.60%
Auto Receivables
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00.............................. $ 921,020 $ 918,368
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99.............................. 1,209,371 1,226,749
GMAC 1992-E Grantor Trust
4.750% 8/15/97............................... 518,904 514,036
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98............................... 332,734 330,445
Midlantic Auto Grantor Trust 1992-1
4.300% 9/15/97............................... 174,553 173,789
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99............................... 2,090,581 2,097,104
World Omni Leasing Asset-Backed, Inc.
5.800% 1/15/97............................... 182,639 182,524
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00............................... 2,500,000 2,503,250
------------ ------------
Total Asset Backed Securities
(Cost $7,920,015) 7,929,802 7,946,265
------------ ------------
Corporate Debt - 54.50%
AMR Corporation
9.000% 8/1/12................................ 1,000,000 1,056,210
American Airlines, Inc.
9.780% 11/26/11.............................. 2,000,000 2,242,500
Analog Devices, Inc.
6.625% 3/1/00................................ 1,000,000 984,520
Ashland Oil, Inc.
9.850% 9/15/95............................... 1,000,000 1,008,750
Associates Corporation of North America
7.875% 9/30/01............................... 2,000,000 2,123,960
Atlantic Richfield Company
7.770% 2/13/02............................... 3,000,000 3,199,770
BP America Inc.
8.500% 4/15/01............................... 2,000,000 2,187,600
Bell Atlantic Financial Services Inc.
6.610% 2/4/00................................ 2,000,000 2,016,740
Comdisco, Inc.
6.200% 3/5/96................................ 2,000,000 1,998,680
Corning Glass Works
8.875% 3/15/16............................... 500,000 572,025
John Deere Capital Corporation
5.290% 8/21/95............................... 1,000,000 998,590
Dow Capital
7.125% 1/15/03............................... 4,000,000 4,036,680
ERAC USA Finance Company
7.875% 3/15/98............................... 1,500,000 1,551,090
English China Clays Delaware, Inc.
7.375% 10/1/02............................... 1,000,000 1,022,230
Enron Corporation
8.100% 12/15/96.............................. 1,500,000 1,536,810
Equifax, Inc.
6.500% 6/15/03............................... 1,250,000 1,226,650
Ford Motor Company
7.875% 10/15/96.............................. 2,000,000 2,039,780
General Motors Acceptance Corporation
6.300% 9/10/97............................... 2,500,000 2,495,600
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01............................... $ 2,000,000 $ 1,956,860
W.R. Grace & Co.
7.750% 10/1/02............................... 2,100,000 2,178,771
Hercules Incorporated
6.625% 6/1/03................................ 2,000,000 1,979,700
ITT Corporation
5.250% 2/15/96............................... 1,000,000 993,830
ITT Financial Corporation
7.250% 5/15/97............................... 1,000,000 1,015,030
Imcera Group, Inc.
6.000% 10/15/03.............................. 2,000,000 1,845,320
Leucadia National Corporation
7.750% 8/15/13............................... 2,000,000 1,946,800
Lockheed Corporation
5.650% 4/1/97................................ 2,000,000 1,981,220
McDonnell Douglas Corporation
9.250% 4/1/02................................ 1,400,000 1,580,292
Morgan Stanley Group Inc.
8.000% 10/15/96.............................. 1,500,000 1,529,700
Newmont Mining Corporation
8.625% 4/1/02................................ 2,000,000 2,146,420
Penske Truck Leasing Co., L.P.
7.750% 5/15/99............................... 1,250,000 1,284,188
Polaroid Corporation
7.250% 1/15/97............................... 1,000,000 1,011,050
Polaroid Corporation
8.000% 3/15/99............................... 1,000,000 1,041,180
Rolls Royce Capital Inc.
7.125% 7/29/03............................... 3,000,000 3,023,400
Service Corporation International
7.000% 6/1/15................................ 2,250,000 2,282,940
Tele Communications, Inc.
8.250% 1/15/03............................... 2,000,000 2,053,860
Tenaga Nasional Berhad 144A
7.875% 6/15/04............................... 1,250,000 1,326,000
Textron Inc.
9.550% 3/19/01............................... 1,000,000 1,120,250
Thomas & Betts Corporation
8.250% 1/15/04............................... 1,500,000 1,588,500
Time Warner Entertainment Company, L.P.
9.625% 5/1/02................................ 2,000,000 2,241,340
US West Capital Funding Corporation
8.375% 10/18/99.............................. 3,000,000 3,200,250
Union Oil of California
8.750% 8/15/01............................... 1,500,000 1,651,890
United Air Lines, Inc.
10.110% 2/19/06............................... 476,860 521,428
Valassis Communications, Inc.
9.550% 12/1/03............................... 2,000,000 2,205,700
Westinghouse Electric Corporation
8.375% 6/15/02............................... 1,200,000 1,254,348
------------ ------------
Total Corporate Debt
(Cost $76,804,087) 74,676,860 77,258,452
------------ ------------
</TABLE>
13
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Agency Obligations - 16.23%
Federal Home Loan Mortgage
Corporation (FHLMC) - 4.46%
Collateralized Mortgage Obligations - 4.28%
FHLMC Series 1322 Class G
7.500% 2/15/07................................. $ 2,000,000 $ 2,045,000
FHLMC Series 1460 Class H
7.000% 5/15/07................................. 2,000,000 2,011,860
FHLMC Series 1080 Class D
7.000% 7/15/20................................. 2,000,000 2,013,120
----------- -----------
6,000,000 6,069,980
Pass-Through Securities - .18%
FHLMC
9.000% 3/1/17.................................. 244,724 257,188
----------- -----------
6,244,724 6,327,168
----------- -----------
Federal National Mortgage
Association (FNMA) - 3.04%
Collateralized Mortgage Obligations - 2.39%
FNMA Series 1993-175 Class PL
5.000% 10/25/02................................ 2,000,000 1,946,240
FNMA Series 1993-191 Class PD
5.400% 3/25/04................................. 1,500,000 1,447,965
----------- -----------
3,500,000 3,394,205
Pass-Through Securities - .65%
FNMA
9.000% 5/1/09................................... 871,234 917,514
----------- -----------
4,371,234 4,311,719
----------- -----------
Government National Mortgage
Association (GNMA) - 5.94%
Collateralized Mortgage Obligations - .74%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19.................................. 964,198 1,047,957
----------- -----------
Pass-Through Securities - 5.20%
GNMA
8.000% 6/15/06 - 3/15/08....................... 7,050,379 7,368,068
----------- -----------
8,014,577 8,416,025
----------- -----------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- ---------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes - 2.79%
1994-A Atlanta, GA
5.780% 8/1/98.................................. $ 130,000 $ 128,324
1994-A Baxter Springs, KS
5.780% 8/1/98.................................. 700,000 690,977
1994-A Boston, MA
5.780% 8/1/98.................................. 745,000 735,397
1994-A Detroit, MI
5.780% 8/1/98.................................. 385,000 380,037
1994-A Egg Harbor, NJ
5.780% 8/1/98.................................. 260,000 256,649
1994-A Kansas City, MO
5.780% 8/1/98.................................. 550,000 542,911
1994-A Mayaguez, PR
5.780% 8/1/98.................................. 295,000 291,197
1994-A Rochester, NY
5.780% 8/1/98.................................. 300,000 296,133
1994-A Sacramento, CA
5.780% 8/1/98.................................. 55,000 54,291
1994-A Saginaw, MI
5.780% 8/1/98.................................. 315,000 310,940
1994-A Youngstown, OH
5.780% 8/1/98.................................. 265,000 261,584
----------- -----------
4,000,000 3,948,440
----------- -----------
Total U.S. Government Agency Obligations
(Cost $22,374,732) 22,630,535 23,003,352
----------- -----------
U.S. Treasury Obligations - 15.37%
U.S. Treasury Bonds - 12.78%
U.S. Treasury Bond
11.250% 2/15/15................................. 1,500,000 2,250,465
U.S. Treasury Bond
8.875% 8/15/17................................. 5,750,000 7,158,750
U.S. Treasury Bond
7.250% 8/15/22................................. 5,200,000 5,544,500
U.S. Treasury Bond
8.125% 8/15/19................................. 2,725,000 3,170,374
----------- -----------
15,175,000 18,124,089
U.S. Treasury Notes - .34%
U.S. Treasury Note
5.750% 8/15/03................................. 500,000 484,765
----------- -----------
U.S. Treasury Strips - 2.25%
U.S. Treasury Strip
0.000% 2/15/15................................. 12,200,000 3,184,322
----------- -----------
Total U.S. Treasury Obligations
(Cost $19,720,762) 27,875,000 21,793,176
----------- -----------
Total Bonds and Notes
(Cost $126,819,596) $133,112,197 130,001,245
============ -----------
</TABLE>
14
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C> <C>
SHORT-TERM INVESTMENTS* - 6.67%
Commercial Paper
ConAgra, Inc.
6.117% 7/7/95.............................. $ 3,640,000 $ 3,636,257
The Quaker Oats Company
6.305% 7/5/95.............................. 3,500,000 3,497,550
Tyson Foods, Inc.
6.106% 7/14/95............................. 2,320,000 2,314,898
------------ ------------
Total Short-Term Investments
(Cost $9,448,705) $ 9,460,000 9,448,705
============ ------------
Total Investments
(Cost $136,268,301) (a) 98.37% 139,449,950
Other Assets- 1.76 2,495,433
Liabilities- (.13) (180,771)
------- ------------
Net Assets- 100.00% $141,764,612
======= ============
</TABLE>
Table of Open Forward Commitment Contracts
<TABLE>
<CAPTION>
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ------------- ----------------
<S> <C> <C> <C>
Government National Mortgage
Association - ARMS
6.000% due 12/16/15 $ 2,000,000 July 1995 $ 1,558
------------
Total Forward Commitment
Contracts $ 1,558
============
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$138,269,863 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value over
tax cost................................................. $ 4,876,839
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value............................................. (1,693,632)
------------
Net unrealized appreciation.............................. $ 3,183,207
============
</TABLE>
* Rates represent annualized yield on date of purchase and are unaudited.
See Notes to Financial Statements.
15
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
--------- ------------
<S> <C> <C>
EQUITIES - 54.34%
Aerospace & Defense - 1.27%
The Boeing Company........................... 208,000 $ 13,026,000
TRW, Inc. ................................... 105,000 8,386,875
---------- ------------
313,000 21,412,875
---------- ------------
Agribusiness - 1.22%
Archer-Daniels Midland Company............... 540,017 10,057,816
Pioneer Hi-Bred International................ 250,000 10,500,000
---------- ------------
790,017 20,557,816
---------- ------------
Apparel, Textiles, Shoes - .66%
VF Corporation................................ 208,000 11,180,000
---------- ------------
Automotive & Parts - 1.69%
Ford Motor Company........................... 435,000 12,941,250
Genuine Parts Company........................ 410,000 15,528,750
---------- ------------
845,000 28,470,000
---------- ------------
Banking, Savings & Loans - 3.96%
Bank of New York Company, Incorporated....... 449,100 18,132,413
Comerica, Incorporated....................... 460,000 14,777,500
CoreStates Financial Corporation............. 420,000 14,647,500
Norwest Corporation.......................... 328,000 9,430,000
Wachovia Corp. .............................. 274,600 9,816,950
---------- ------------
1,931,700 66,804,363
---------- ------------
Beverages - 1.27%
Brown-Forman Corporation (Class B)........... 345,800 11,541,075
Pepsico, Incorporated........................ 216,000 9,855,000
---------- ------------
561,800 21,396,075
---------- ------------
Chemicals - 2.74%
E.I. du Pont de Nemours and Company.......... 154,000 10,587,500
Eastman Chemical Company..................... 251,975 14,992,512
The Lubrizol Corporation..................... 308,000 10,895,500
Nalco Chemical Company....................... 268,000 9,748,500
---------- ------------
981,975 46,224,012
---------- ------------
Computers & Office Equipment - 4.10%
Hewlett-Packard Company...................... 400,000 29,800,000
International Business Machines Corporation.. 114,000 10,944,000
Pitney Bowes, Inc. .......................... 392,000 15,043,000
Xerox Corporation............................ 114,000 13,366,500
---------- ------------
1,020,000 69,153,500
---------- ------------
Electric Utilities - 1.22%
NIPSCO Industries, Inc. ..................... 185,000 6,290,000
Niagara Mohawk Power Corporation............. 468,000 6,903,000
SCANA Corporation............................ 326,000 7,294,250
---------- ------------
979,000 20,487,250
---------- ------------
Electrical Equipment & Electronics - 5.10%
AMP, Incorporated............................ 582,500 24,610,625
General Electric Company..................... 475,000 26,778,125
General Signal Corporation................... 280,000 11,130,000
Honeywell Inc. .............................. 252,000 10,867,500
Hubbell, Incorporated (Class B).............. 223,440 12,624,360
---------- ------------
1,812,940 86,010,610
---------- ------------
Energy - 4.90%
Amoco Corporation............................ 315,000 $ 20,986,875
Atlantic Richfield Company................... 134,500 14,761,375
Chevron Corporation.......................... 447,000 20,841,375
Kerr McGee Corporation....................... 184,800 9,909,900
Mobil Corporation............................ 168,000 16,128,000
---------- ------------
1,249,300 82,627,525
---------- ------------
Financial Services - .85%
American-Express Company..................... 406,000 14,260,750
---------- ------------
Foods - 1.04%
CPC International, Inc. ..................... 285,000 17,598,750
---------- ------------
Forest Products & Paper - 2.11%
Westvaco Corporation......................... 297,075 13,145,569
Weyerhaeuser Company......................... 476,000 22,431,500
---------- ------------
773,075 35,577,069
---------- ------------
Grocery Retailers - .30%
Albertson's, Inc. ........................... 171,300 5,096,175
---------- ------------
Hardware & Tools - .67%
The Stanley Works............................ 300,000 11,362,500
---------- ------------
Healthcare - 5.05%
Becton, Dickinson and Company................ 263,000 15,319,750
Bristol Myers Squibb Company................. 440,000 29,975,000
Pfizer, Incorporated......................... 280,000 25,865,000
Schering-Plough Corp. ....................... 318,400 14,049,400
---------- ------------
1,301,400 85,209,150
---------- ------------
Household Products - .58%
The Clorox Company........................... 151,000 9,852,750
---------- ------------
Industrial Distribution - .72%
W. W. Grainger, Inc. ........................ 207,000 12,161,250
---------- ------------
Industrial Transportation - 1.27%
Norfolk Southern Corporation................. 230,000 15,496,250
Roadway Services, Inc. ...................... 126,000 5,953,500
---------- ------------
356,000 21,449,750
---------- ------------
Insurance - 1.93%
Jefferson-Pilot Corporation.................. 143,000 7,829,250
SAFECO Corporation........................... 313,500 18,006,813
Unitrin, Inc. ............................... 143,000 6,792,500
---------- ------------
599,500 32,628,563
---------- ------------
Machinery & Components - 1.25%
Dover Corporation............................ 150,000 10,912,500
Parker-Hannifin Corporation.................. 281,250 10,195,313
---------- ------------
431,250 21,107,813
---------- ------------
Metals & Mining - .26%
Reynolds Metals Company...................... 85,700 4,434,975
---------- ------------
</TABLE>
16
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
---------- ------------
<S> <C> <C>
EQUITIES (Continued)
Miscellaneous - Producer - 1.71%
Harsco Corporation................................... 168,050 $ 8,864,638
Minnesota Mining &
Manufacturing Company............................... 350,000 20,037,500
---------- ------------
518,050 28,902,138
---------- ------------
Photography - .79%
Eastman Kodak Company................................ 218,500 13,246,562
---------- ------------
Publishing & Printing - 2.65%
R.R. Donnelley & Sons Company........................ 375,000 13,500,000
The Dun & Bradstreet Corporation..................... 296,000 15,540,000
McGraw - Hill, Inc. ................................. 207,000 15,706,125
---------- ------------
878,000 44,746,125
---------- ------------
Retail - 2.03%
Kmart Corporation.................................... 57,600 842,400
The May Department Stores Company.................... 405,000 16,858,125
J.C. Penney Company, Inc. ........................... 112,000 5,376,000
Sears Roebuck & Co. ................................. 185,000 11,076,875
---------- ------------
759,600 34,153,400
---------- ------------
Telephone Utilities - 1.57%
Frontier Corporation................................. 456,500 10,956,000
Ameritech Corporation................................ 179,000 7,876,000
Southern New England
Telecommunications Corporation...................... 215,000 7,578,750
---------- ------------
850,500 26,410,750
---------- ------------
Tire & Rubber - 1.01%
Goodyear Tire & Rubber Company....................... 412,200 17,003,250
---------- ------------
Tobacco - .42%
American Brands, Inc. ............................... 178,100 7,079,475
---------- ------------
Total Equities
(Cost $632,744,428) 916,605,221
------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES - 13.34%
Asset Backed Securities - 1.00%
Auto Receivables
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00............................. $ 1,842,041 $ 1,836,736
Ford Credit Auto Master Trust 1992-1
6.875% 1/15/99.............................. 1,500,000 1,513,590
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99............................. 1,612,495 1,635,666
GMAC 1992-E Grantor Trust
4.750% 8/15/97.............................. 311,342 308,422
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98.............................. 332,735 330,445
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99.............................. 5,644,569 5,662,179
World Omni Leasing Asset-Backed, Inc.
5.800% 1/15/97.............................. 121,760 121,683
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00.............................. 5,500,000 5,507,150
---------- ------------
Total Asset Backed Securities
(Cost $16,935,845) 16,864,942 16,915,871
---------- ------------
Corporate Debt - 4.66%
AMR Corporation
9.000% 8/1/12............................... 2,000,000 2,112,420
American Airlines, Inc.
9.780% 11/26/11............................. 5,000,000 5,606,250
American Brands, Inc.
8.570% 2/15/96.............................. 1,000,000 1,014,950
American General Finance Corporation
7.750% 1/15/97.............................. 2,000,000 2,043,660
Analog Devices, Inc.
6.625% 3/1/00............................... 1,500,000 1,476,780
Bell Atlantic Financial Services Inc.
6.610% 2/4/00............................... 1,000,000 1,008,370
Cardinal Distribution, Inc.
8.000% 3/1/97............................... 2,000,000 2,041,580
Chrysler Financial Corp.
6.620% 4/29/97.............................. 2,000,000 2,011,160
Comdisco, Inc.
6.200% 3/5/96............................... 1,500,000 1,499,010
Corning Glass Works
8.875% 3/15/16.............................. 500,000 572,025
Delta Air Lines, Inc.
8.540% 1/2/07............................... 4,578,616 4,670,188
ERAC USA Finance Company
7.875% 3/15/98.............................. 4,000,000 4,136,240
English China Clays Delaware, Inc.
7.375% 10/1/02.............................. 1,000,000 1,022,230
Enron Corporation
8.100% 12/15/96............................. 1,000,000 1,024,540
Ford Motor Credit Company
8.450% 7/15/06.............................. 1,500,000 1,508,280
GTE Corporation
9.100% 6/1/03............................... 1,000,000 1,131,840
General Motors Acceptance Corporation
9.125% 7/15/01.............................. 1,500,000 1,661,205
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01.............................. 4,000,000 3,913,720
</TABLE>
17
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
--------- -----------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
Leucadia National Corporation
7.750% 8/15/13................................ $ 3,000,000 $ 2,920,200
McDonnell Douglas Corporation
9.250% 4/1/02................................. 2,200,000 2,483,316
Morgan Stanley Group Inc.
8.000% 10/15/96............................... 2,000,000 2,039,600
Newmont Mining Corporation
8.625% 4/1/02................................. 5,000,000 5,366,050
Polaroid Corporation
7.250% 1/15/97................................ 4,500,000 4,549,725
Rolls Royce Capital Inc.
7.125% 7/29/03................................ 4,000,000 4,031,200
SAFECO Corporation
10.750% 9/15/95................................ 500,000 504,060
Service Corporation International
7.000% 6/1/15................................. 4,500,000 4,565,880
Tenaga Nasional Berhad 144A
7.875% 6/15/04................................ 2,500,000 2,652,000
Thomas & Betts Corporation
8.250% 1/15/04................................ 1,000,000 1,059,000
Time Warner Entertainment Company, L.P.
9.625% 5/1/02................................. 1,000,000 1,120,670
The Toro Company
11.000% 8/1/17................................. 2,000,000 1,980,000
United States Leasing International Inc.
8.750% 5/1/96................................. 3,500,000 3,570,420
Valassis Communications, Inc.
9.550% 12/1/03................................ 2,000,000 2,205,700
Westinghouse Electric Corporation
8.375% 6/15/02................................ 1,000,000 1,045,290
------------ ------------
Total Corporate Debt
(Cost $75,793,954).................................. 75,778,616 78,547,559
------------ ------------
U.S. Government Agency Obligations - 3.49%
Federal Home Loan Mortgage
Corporation (FHLMC) - .76%
Collateralized Mortgage Obligations - .71%
FHLMC Series 1080 Class D
7.000% 7/15/20................................ 5,000,000 5,032,800
FHLMC Series 1322 Class G
7.500% 2/15/07................................ 5,000,000 5,112,500
FHLMC Series 1460 Class 4
7.000% 5/15/07............................... 1,789,000 1,799,609
------------ ------------
11,789,000 11,944,909
Pass - Through Securities - .05%
FHLMC
9.000% 3/1/17................................. 734,171 771,563
------------ ------------
12,523,171 12,716,472
------------ ------------
Federal National Mortgage
Association (FNMA) - .58%
Collateralized Mortgage Obligations - .33%
FNMA Series 1993-175 Class PL
5.000% 10/25/02............................... 4,130,000 4,018,986
FNMA Series 1993-191 Class PD
5.400% 3/25/04............................... 1,500,000 1,447,965
------------ ------------
5,630,000 5,466,951
Federal National Mortgage
Association (FNMA) (Continued)
Pass - Through Securities - .25%
FNMA
8.000% 5/1/13................................ $ 4,084,738 $ 4,239,059
------------ ------------
9,714,738 9,706,010
------------ ------------
Government National Mortgage
Association (GNMA) - .91%
Collateralized Mortgage Obligations - .12%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19................................ 1,928,395 2,095,915
------------ ------------
Pass - Through Securities - .79%
GNMA
8.000% 1/15/04-5/15/08....................... 9,634,671 10,068,812
GNMA
9.000% 8/15/08-9/15/09....................... 2,937,150 3,190,272
------------ ------------
12,571,821 13,259,084
------------ ------------
14,500,216 15,354,999
------------ ------------
U.S. Government Guaranteed Notes - 1.24%
1994-A Abilene, TX
5.780% 8/1/98............................... 70,000 69,098
1994-A Bakersfield, CA
5.780% 8/1/98............................... 245,000 241,842
1994-A Barberton, OH
5.780% 8/1/98............................... 75,000 74,033
1994-A Buffalo, NY
5.780% 8/1/98............................... 375,000 370,166
1991-A Caguas, PR
8.740% 8/1/01............................... 280,000 310,624
1991-A Council Bluffs, IA
8.740% 8/1/01............................... 155,000 171,952
1994-A Cumberland, MD
5.780% 8/1/98............................... 55,000 54,291
1994-A Elizabeth, NJ
5.780% 8/1/98............................... 75,000 74,033
1994-A Erie, PA
5.780% 8/1/98............................... 70,000 69,098
1994-A Euclid, OH
5.780% 8/1/98............................... 105,000 103,647
1994-A Fairfax County, VA
5.780% 8/1/98............................... 110,000 108,582
1991-A Fairfax County, VA
8.740% 8/1/01............................... 85,000 94,296
1991-A Fajardo, PR
8.740% 8/1/01............................... 210,000 232,968
1994-A Fort Myers, FL
5.040% 8/1/96............................... 120,000 118,800
1994-A Fort Myers, FL
5.780% 8/1/98............................... 135,000 133,260
1991-A Gasden, AL
8.740% 8/1/01............................... 100,000 110,937
1994-A Jacksonville, FL
5.040% 8/1/96............................... 200,000 198,000
1994-A Lawrence, MA
5.040% 8/1/96............................... 35,000 34,650
1994-A Lawrence, MA
5.780% 8/1/98............................... 40,000 39,484
1994-A Little Rock, AK
5.040% 8/1/96............................... 310,000 306,900
</TABLE>
18
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A LA County, CA
5.040% 8/1/96.............................. $ 145,000 $ 143,550
1994-A LA County, CA
5.780% 8/1/98.............................. 175,000 172,744
1991-A Lorain, OH
8.740% 8/1/01.............................. 30,000 33,281
1994-A Macon, GA
5.040% 8/1/96.............................. 25,000 24,750
1994-A Mayaguez, PR
5.780% 8/1/98.............................. 65,000 64,162
1991-A Mayaguez, PR
8.740% 8/1/01.............................. 150,000 166,406
1994-A Mobile, AL
5.780% 8/1/98.............................. 205,000 202,358
1994-A Montgomery County, PA
5.040% 8/1/96.............................. 215,000 212,850
1994-A Montgomery County, PA
5.780% 8/1/98.............................. 230,000 227,035
1994-A New Orleans, LA
5.780% 8/1/98.............................. 175,000 172,744
1994-A Ocean Shores, WA
5.780% 8/1/98.............................. 110,000 108,582
1994-A Pasadena, CA
5.780% 8/1/98.............................. 140,000 138,195
1994-A Providence, RI
5.040% 8/1/96.............................. 40,000 39,600
1994-A Providence, RI
5.780% 8/1/98.............................. 50,000 49,356
1994-A Reading, PA
5.040% 8/1/96.............................. 15,000 14,850
1994-A Reading, PA
5.780% 8/1/98.............................. 65,000 64,163
1994-A Roanoke, VA
5.780% 8/1/98.............................. 210,000 207,293
1994-A Rochester, NY
5.040% 8/1/96.............................. 155,000 153,450
1994-A Rochester, NY
5.780% 8/1/98.............................. 165,000 162,873
1991-A Rochester, NY
8.650% 8/1/00.............................. 4,295,000 4,694,950
1994-A Sacramento, CA
5.040% 8/1/96.............................. 125,000 123,750
1994-A Sacramento, CA
5.780% 8/1/98.............................. 300,000 296,133
1994-A St. Joseph, MO
5.040% 8/1/96.............................. 70,000 69,300
1994-A Salt Lake City, UT
5.040% 8/1/96.............................. 135,000 133,650
1994-A Schaumburg, IL
5.040% 8/1/96.............................. 60,000 59,400
1994-A Syracuse, NY
5.040% 8/1/96.............................. 50,000 49,500
1994-A Syracuse, NY
5.780% 8/1/98.............................. 50,000 49,356
1994-A Tacoma, WA
5.040% 8/1/96.............................. 130,000 128,700
1994-A Tacoma, WA
5.780% 8/1/98.............................. 155,000 153,002
1994-A Trenton, NJ
5.040% 8/1/96.............................. 120,000 118,800
1994-A Trenton, NJ
5.780% 8/1/98.............................. 130,000 128,324
<CAPTION>
Market
Principal Value
Amount (Note 2A)
---------- ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A Virginia Beach, VA
5.780% 8/1/98.............................. $ 260,000 $ 256,648
1994-A Waterford Township, MI
5.040% 8/1/96.............................. 50,000 49,500
1994-A Waterford Township, MI
5.780% 8/1/98.............................. 55,000 54,291
1994-A West Palm Beach, FL
5.780% 8/1/98.............................. 105,000 103,647
Housing and Urban Development, Series 1995-A
8.240% 8/1/02.............................. 8,475,000 9,278,515
------------ ------------
19,780,000 21,022,369
------------ ------------
Total U.S. Government Agency Obligations
(Cost $55,842,171) 56,518,125 58,799,850
------------ ------------
U.S. Treasury Obligations - 4.19%
U.S. Treasury Bonds - 1.75%
U.S. Treasury Bond
7.125% 2/15/23............................. 24,200,000 25,496,878
U.S. Treasury Bond
8.125% 8/15/19............................. 3,500,000 4,072,040
------------ ------------
27,700,000 29,568,918
U.S. Treasury Notes - 2.44% ------------ ------------
U.S. Treasury Note
6.500% 4/30/99............................. 12,000,000 12,206,280
U.S. Treasury Note
7.500% 11/15/01............................ 4,000,000 4,293,760
U.S. Treasury Note
7.875% 4/15/98............................. 14,000,000 14,704,340
U.S. Treasury Note
8.875% 11/15/98............................ 9,210,000 10,013,020
------------ ------------
39,210,000 41,217,400
------------ ------------
Total U.S. Treasury Obligations
(Cost $69,086,200) 66,910,000 70,786,318
------------ ------------
Total Bonds and Notes
(Cost $217,658,170) $216,071,683 225,049,598
============ ------------
SHORT TERM INVESTMENTS* - 31.88%
Commercial Paper
American Express Credit Corp.
6.027% 9/1/95.............................. $ 10,215,000 10,106,849
Aristar, Inc.
6.174% 7/19/95............................. 6,000,000 5,981,080
Aristar, Inc.
6.089% 8/4/95.............................. 11,100,000 11,036,034
Aristar, Inc.
5.936% 9/21/95............................. 9,635,000 9,500,605
Bemis Company Inc.
6.048% 7/3/95.............................. 5,035,000 5,033,251
Boston Edison Company
6.136% 8/22/95............................. 5,990,000 5,937,647
Brown Group Inc.
6.302% 7/10/95............................. 9,295,000 9,280,585
Brown Group Inc.
6.297% 7/11/95............................. 5,580,000 5,570,385
</TABLE>
19
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -----------
<S> <C> <C>
SHORT TERM INVESTMENTS* (Continued)
Commercial Paper (Continued)
Brown Group Inc.
6.140% 8/28/95.................................... $ 7,290,000 $ 7,217,141
Caterpillar Financial Services Corporation
6.100% 7/13/95.................................... 7,000,000 6,985,043
Caterpillar Financial Services Corporation
6.202% 9/7/95..................................... 12,265,000 12,122,777
Champion International Corporation
6.151% 7/27/95.................................... 9,860,000 9,814,727
Coca Cola Company
5.925% 8/29/95.................................... 9,820,000 9,720,982
Coca Cola Company
5.866% 9/20/95.................................... 10,125,000 9,985,472
ConAgra, Inc.
6.027% 8/25/95.................................... 11,880,000 11,768,331
ConAgra, Inc.
6.027% 9/12/95.................................... 13,350,000 13,183,978
Dana Credit Corporation
6.194% 9/8/95..................................... 1,560,000 1,541,648
Dean Witter Discover & Company
6.091% 7/31/95.................................... 10,000,000 9,948,559
Enron Corp.
6.495% 9/19/95.................................... 5,435,000 5,361,016
Enron Corp.
6.044% 9/18/95.................................... 9,800,000 9,668,244
Ford Motor Credit Company
5.898% 9/22/95.................................... 7,540,000 7,433,560
GTE Finance Corporation
6.056% 8/3/95..................................... 7,285,000 7,244,799
General Motors Acceptance Corporation
6.190% 7/14/95.................................... 4,275,000 4,265,424
General Motors Acceptance Corporation
5.920% 10/20/95................................... 14,535,000 14,261,419
Georgia Power Company
6.178% 7/6/95..................................... 5,875,000 5,869,769
Georgia Power Company
6.092% 7/17/95.................................... 7,900,000 7,878,219
Georgia Power Company
6.039% 8/10/95.................................... 7,000,000 6,950,388
Hercules Incorporated
6.093% 7/18/95.................................... 6,800,000 6,780,080
Hershey Foods Corp.
6.015% 8/21/95.................................... 5,685,000 5,635,858
IBM Credit Corporation
6.091% 7/12/95.................................... 8,155,000 8,139,285
IBM Credit Corporation
5.864% 8/31/95.................................... 7,640,000 7,560,395
Illinois Power Company
6.289% 7/25/95.................................... 5,385,000 5,362,912
Kimberly Clark Corp.
6.003% 8/11/95.................................... 7,700,000 7,645,600
Kimberly Clark Corp.
5.830% 9/8/95..................................... 9,875,000 9,758,832
McCormick & Company Inc.
6.145% 7/5/95..................................... 4,515,000 4,511,836
Melville Corporation
6.220% 12/5/95.................................... 8,965,000 8,726,954
Motorola Inc.
6.061% 7/21/95.................................... 9,780,000 9,746,295
Motorola Inc.
5.994% 8/17/95.................................... 3,520,000 3,491,025
Market
Principal Value
Amount (Note 2A)
------------ ------------
SHORT TERM INVESTMENTS* (Continued)
Commercial Paper (Continued)
Motorola Inc.
5.963% 8/18/95.................................... $ 8,835,000 $ 8,761,924
Northern States Power Company
6.019% 9/15/95.................................... 10,500,000 10,364,127
NYNEX Corp.
6.124% 7/28/95.................................... 7,055,000 7,020,818
NYNEX Corp.
5.860% 9/11/95.................................... 13,940,000 13,768,983
Olin Corporation
6.300% 7/7/95..................................... 6,615,000 6,608,161
ORIX Credit Alliance, Inc.
6.241% 7/26/95.................................... 7,495,000 7,462,443
ORIX Credit Alliance, Inc.
6.128% 8/15/95.................................... 5,170,000 5,130,568
ORIX Credit Alliance, Inc.
6.087% 9/13/95.................................... 6,594,000 6,510,888
ORIX Credit Alliance, Inc.
6.092% 9/25/95.................................... 6,515,000 6,419,745
Philip Morris Companies, Inc.
5.999% 8/8/95..................................... 10,000,000 9,934,842
Philip Morris Companies, Inc.
6.005% 8/14/95.................................... 7,775,000 7,717,017
Potomac Electric Power Company
6.110% 8/2/95..................................... 6,990,000 6,951,135
Potomac Electric Power Company
6.104% 8/9/95..................................... 14,140,000 14,043,866
Proctor & Gamble Company
5.929% 8/16/95.................................... 4,000,000 3,968,294
Proctor & Gamble Company
5.913% 9/14/95.................................... 4,300,000 4,245,079
PS Colorado Credit Corporation
6.214% 8/1/95..................................... 8,085,000 8,042,166
PS Colorado Credit Corporation
6.185% 8/30/95.................................... 6,000,000 5,938,492
Rite Aid Corporation
6.194% 8/3/95..................................... 5,325,000 5,293,967
Rite Aid Corporation
6.050% 11/6/95.................................... 10,000,000 9,783,208
Shell Oil Company
5.851% 8/24/95.................................... 8,465,000 8,385,608
Shell Oil Company
5.811% 9/29/95.................................... 11,200,000 11,028,718
Textron Financial Corporation
6.132% 7/14/95.................................... 7,090,000 7,074,459
Textron Financial Corporation
5.888% 9/6/95..................................... 7,160,000 7,078,177
Textron Financial Corporation
6.101% 8/16/95.................................... 8,300,000 8,235,836
VF Corporation
6.192% 9/5/95..................................... 5,530,000 5,467,734
Western Resources Inc.
6.141% 8/7/95..................................... 10,000,000 9,936,243
Whirlpool Financial Corp.
6.146% 7/20/95.................................... 7,820,000 7,793,544
Whirlpool Financial Corp.
6.127% 7/24/95.................................... 9,800,000 9,761,478
Xerox Corp.
5.822% 8/23/95.................................... 14,070,000 13,942,573
------------ -----------
Total Short-Term Investments
(Cost $537,852,371)............................... $542,434,000 537,697,097
============ -----------
</TABLE>
20
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
--------------
<S> <C> <C>
Total Investments - 99.56%
(Cost $1,388,254,969) (a) $1,679,351,916
Other Assets .87 14,672,607
Liabilities (.43) (7,306,563)
-------- --------------
Net Assets 100.00% $1,686,717,960
======== ==============
</TABLE>
Table of Open Forward Commitment Contracts
<TABLE>
<CAPTION>
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ---------- ------------
<S> <C> <C> <C>
Government National Mortgage
Association - ARMS
6.000% due 12/15/15 $ 5,000,000 July 1995 $ 3,894
United States of America
7.500% due 2/15/05 51,200,000 August 1995 2,942,781
--------------
Total Forward Commitment
Contracts $ 2,946,675
==============
(a) Federal Income Tax Information: At
June 30, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$1,446,484,285 for federal income tax
purposes is as follows:
Aggregate gross unrealized appreciation for
all investments and forward commitments in
which there is an excess of market value
over tax cost.......................................... $ 300,484,427
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value........................................... (6,950,501)
--------------
Net unrealized appreciation............................ $ 293,533,926
==============
</TABLE>
*Rates represent annualized yield on date of purchase and are unaudited.
See Notes to Financial Statements.
21
<PAGE>
MML Series Investment Fund
Notes To Financial Statements
(Unaudited)
1. History
MML Series Investment Fund (the "MML Trust") is registered under the Investment
Company Act of 1940 as a no load, registered open end, diversified management
investment company. MML Equity Fund, MML Money Market Fund, MML Managed Bond
Fund and MML Blend Fund (the "Funds") are the four series of shares of the
MML Trust. The MML Trust is organized under the laws of the Commonwealth of
Massachusetts pursuant to an Agreement and Declaration of Trust.
The MML Trust was established by Massachusetts Mutual Life Insurance Company
("MassMutual") for the purpose of providing vehicles for the investment of
assets of various separate investment accounts established by MassMutual and by
life insurance companies which are subsidiaries of MassMutual. Shares of the
MML Trust are not offered to the general public. MassMutual at June 30, 1995,
was the beneficial owner of 1.2% of MML Blend Fund's shares.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed
consistently by each Fund in the preparation of the financial statements in
conformity with generally accepted accounting principles.
A. Investment Valuation
Equity securities are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which provides the last reported
sale price for securities listed on a national securities exchange, or on the
NASDAQ national market system. If securities are unlisted, or there is no
reported sale price, the bid price of the prior trade date will be used. Long-
term bonds are valued on the basis of valuations furnished by a pricing
service, authorized by the Board of Trustees, which determines valuations
taking into account appropriate factors such as institutional-size, trading in
similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, trading characteristics and other market data.
For MML Equity Fund, MML Managed Bond Fund, and MML Blend Fund, short-term
securities with more than sixty days to maturity from the date of purchase are
valued at market and short-term securities having a maturity from the date of
purchase of sixty days or less are valued at amortized cost. MML Money Market
Fund's portfolio securities are valued at amortized cost in accordance with a
rule of the Securities and Exchange Commission pursuant to which MML Money
Market Fund must adhere to certain conditions. It is the intention of
MML Money Market Fund to maintain a per share net asset value of $1.00.
B. Accounting For Investments
Investment transactions are accounted for on trade date. Dividend income is
recorded on the ex-dividend date. Interest income is recorded on the accrual
basis. Premiums and discounts on short-term securities are amortized in
determining interest income.
The cost basis of long-term bonds is not adjusted for amortization of premium
or accrual of discount since MML Managed Bond Fund and MML Blend Fund do not
generally intend to hold such investments until maturity; however, the
MML Trust has elected to accrue for financial reporting purposes, certain
discounts which are required to be accrued for federal income tax purposes.
Realized gains and losses on investment transactions and unrealized
appreciation and depreciation of investments are reported for financial
statement and federal income tax purposes on the identified cost method.
C. Federal Income Tax
The MML Trust has established a policy for each of the Funds to comply with
the provisions of the Internal Revenue Code applicable to regulated investment
companies. As a result, the Funds will not be subject to federal income tax on
any net investment income and any net capital gains to the extent they are
distributed or are deemed to have been distributed to shareholders.
Actual distributions differ from net investment income and net realized gains
due to timing differences, primarily the deferral of wash sale losses.
22
<PAGE>
Notes To Financial Statements (Continued)
D. Forward Commitments
Each Fund may purchase or sell securities on a "when issued" or delayed
delivery or on a forward commitment basis. The Funds use forward commitments
to manage interest rate exposure or as a temporary substitute for purchasing
or selling particular debt securities. Forward commitments are not used for
purposes of trading. Settlement for securities purchased on a forward
commitment basis can take place a month or more after the date of the
transaction. The Fund generally does not take delivery on these forward
commitments, but such commitments are instead settled with offsetting
transactions. When a forward commitment contract is closed, the Funds record a
realized gain or loss. Forward commitments involve a risk of loss if the value
of the security to be purchased declines prior to the settlement date. The
Funds could also be exposed to loss if they can not close out their forward
commitments because of an illiquid secondary market, or the inability of
counterparties to perform. The Fund monitors exposure to ensure counterparties
are credit worthy and concentration of exposure is minimized. The Funds
instruct the custodian to segregate assets in a separate account with a
current market value at least equal to the amount of its forward purchase
commitments. The price of the underlying security and the date when the
securities will be delivered and paid for are fixed at the time the
transaction is negotiated. The value of the forward commitment is determined
by management using a commonly accepted pricing model and fluctuates based
upon changes in the value of the underlying security and market repo rates.
Such rates equate the counterparty's cost to purchase and finance the
underlying security to the earnings received on the security and forward
delivery proceeds. The Funds record on a daily basis the unrealized
appreciation/depreciation based upon changes in the value of the forward
commitment. At June 30, 1995, the cost (value) of forward commitments to
purchase securities amounted to $2,001,563 ($2,003,120) and $57,719,621
($60,666,296) for the MML Managed Bond Fund and MML Blend Fund, respectively.
3. Capital Loss Carryforward
The accumulated net realized loss on investments for the MML Money Market Fund
results in a capital loss carryforward of $8,893 which is available for federal
income tax purposes to offset future capital gains. Of the total carryforward,
$485 expires December 31, 1997, $1,639 expires December 31, 1998, $1,204 expires
December 31, 2000, $201 expires December 31, 2001 and $5,364 expires
December 31, 2002.
The accumulated net realized loss on investments for the MML Managed Bond Fund
results in a capital loss carryforward of $2,170,114 which is available for
federal income tax purposes to offset future capital gains. This carryforward
expires December 31, 2002.
4. Investment Management Fee
MassMutual provides all investment advisory, management and administrative
services needed by the Funds. For acting as such, MassMutual receives a
quarterly fee from each Fund at the annual rate of .50% of the first
$100,000,000 of the average daily net asset value of each Fund, .45% of the
next $200,000,000, .40% of the next $200,000,000, and .35% of any excess over
$500,000,000.
MassMutual has entered into an investment sub-advisory agreement with Concert
Capital Management, Inc. ("Concert"), a wholly-owned subsidiary of Babson
Acquisition Corporation which is a controlled subsidiary of MassMutual. The
agreement provides that Concert manages the assets of MML Equity Fund and the
assets of the Equity Sector of MML Blend Fund. MassMutual pays Concert a
quarterly fee equal to an annual rate of .13% of the average daily net asset
value of MML Equity Fund and the Equity Sector of MML Blend Fund.
MassMutual has agreed, at least through April 30, 1996, to bear the expenses
of the Funds to the extent that the aggregate expenses (excluding each Fund's
management fee, interest, taxes, brokerage commissions and extraordinary
expenses) incurred during each Fund's fiscal year exceed .11% of the average
daily net asset value of each Fund for such year. For the period ended June 30,
1995, MassMutual was not required to reimburse the Funds for any expenses.
23
<PAGE>
Notes To Financial Statements (Continued)
5. Purchases and Sales of Investments and Forward Commitments
<TABLE>
<CAPTION>
Proceeds
Acquisition from Sales
Investments Cost and Maturities
- ----------- -------------- --------------
<S> <C> <C>
MML EQUITY FUND
Equities....................................................................... $ 107,383,620 $ 69,581,785
Short term investments......................................................... 578,278,251 546,873,639
MML MONEY MARKET FUND
Short term investments......................................................... 318,594,877 312,603,826
MML MANAGED BOND FUND
Bonds and notes................................................................ 19,420,199 12,490,612
U.S. Government investments - long term........................................ 12,344,964 13,046,564
Short term investments......................................................... 270,615,558 268,809,554
MML BLEND FUND
Equities....................................................................... 51,896,506 79,972,831
Bonds and notes................................................................ 21,353,638 14,650,722
U.S. Government investments - long term........................................ 25,773,520 71,655,642
Short term investments......................................................... 1,089,718,069 991,520,633
<CAPTION>
Cost
Forward Commitments of Contracts
- ------------------- --------------
<S> <C>
MML MANAGED BOND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened.............................................................. $ 16,303,086
Contracts closed.............................................................. 21,317,004
Outstanding at June 30, 1995................................................. 2,001,563
MML BLEND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened.............................................................. 119,070,211
Contracts closed.............................................................. 114,010,272
Outstanding at June 30, 1995................................................. 57,719,621
</TABLE>
6. Net Increase from Capital Share Transactions
<TABLE>
<CAPTION>
For the Period Ended June 30, 1995
---------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends..................... 1,621,795 2,564,542 382,310 3,417,784
Sales of shares............................... 3,762,641 27,928,570 862,543 2,926,863
Redemptions of shares......................... (879,910) (21,744,685) (550,609) (2,334,261)
------------ ------------ ------------ ------------
Net increase.................................. 4,504,526 8,748,427 694,244 4,010,386
============ ============ ============ ============
Amount
Reinvestment of dividends..................... $ 33,282,252 $ 2,564,542 $ 4,339,430 $ 61,266,015
Sales of shares............................... 83,868,357 27,928,570 10,117,125 54,912,248
Redemptions of shares......................... (19,564,811) (21,744,685) (6,403,435) (43,581,301)
------------ ------------ ------------ ------------
Net increase.................................. $ 97,585,798 $ 8,748,427 $ 8,053,120 $ 72,596,962
============ ============ ============ ============
<CAPTION>
For the Period Ended June 30, 1994
---------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends..................... 1,956,594 1,173,048 555,900 701,563
Sales of shares............................... 4,390,469 38,139,172 990,442 8,769,346
Redemptions of shares......................... (932,512) (31,335,202) (1,194,191) (1,105,900)
------------ ------------ ------------ ------------
Net increase.................................. 5,414,551 7,977,018 352,151 8,365,009
============ ============ ============ ============
Amount
Reinvestment of dividends..................... $ 40,128,958 $ 1,173,048 $ 6,751,297 $ 12,270,118
Sales of shares............................... 90,412,371 38,139,172 11,961,300 159,848,042
Redemptions of shares......................... (18,920,228) (31,335,202) (14,445,419) (20,104,899)
------------ ------------ ------------ ------------
Net increase.................................. $111,621,101 $ 7,977,018 $ 4,267,178 $152,013,261
============ ============ ============ ============
</TABLE>
24
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
OPPENHEIMER OPPENHEIMER OPPENHEIMER CAPITAL OPPENHEIMER MULTIPLE GLOBAL
MONEY HIGH INCOME BOND APPRECIATION GROWTH STRATEGIES SECURITIES
FUND FUND FUND FUND FUND FUND FUND
------------ ------------ ------------ ------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value
(cost * ) (including
repurchase agreements **)
-- see accompanying
statements $ 72,712,126 $112,442,478 $173,957,077 $234,401,482 $ 88,332,095 $341,078,966 $343,764,927
Unrealized appreciation on
forward foreign currency
exchange contracts
-- Note 5 -- -- -- -- -- -- --
Cash 90,965 -- 96,030 554 1,169 129,730 --
Receivables:
Dividends and interest 122,141 2,321,395 2,895,025 140,634 68,571 2,736,200 611,778
Shares of beneficial
interest sold 1,891,384 11,996 4,094 4,267,715 2,000,584 7,035,124 175,980
Investments sold -- 1,113,986 781,357 5,333,529 248,870 1,606,043 5,461,201
Other 3,680 4,573 4,760 5,565 3,356 9,318 5,865
------------ ------------ ------------ ------------ ------------ ------------ ------------
Total assets 74,820,296 115,894,428 177,738,343 244,149,479 90,654,645 352,595,381 350,019,751
------------ ------------ ------------ ------------ ------------ ------------ ------------
LIABILITIES:
Bank overdraft -- 277,851 -- -- -- -- 1,379,050
Options written, at value
(premiums received ***)
-- see accompanying
statements -- Note 4 -- -- -- -- -- 1,953,458 --
Unrealized depreciation on
forward foreign currency
exchange contracts
-- Note 5 -- 18,936 21,704 -- -- -- 413,140
Payables and other
liabilities:
Dividends 173,818 -- -- -- -- -- --
Investments purchased -- 2,190,686 5,858,571 5,998,001 778,485 950,932 3,810,732
Shares of beneficial
interest redeemed 5,199 241,772 231,862 856,807 505,318 597,402 6,588,067
Other 20,407 36,451 53,440 30,876 19,320 27,991 72,937
------------ ------------ ------------ ------------ ------------ ------------ ------------
Total liabilities 199,424 2,765,696 6,165,577 6,885,684 1,303,123 3,529,783 12,263,926
------------ ------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS $ 74,620,872 $113,128,732 $171,572,766 $237,263,795 $ 89,351,522 $349,065,598 $337,755,825
============ ============ ============ ============ ============ ============ ============
COMPOSITION OF NET ASSETS:
Paid-in capital $ 74,639,219 $112,145,476 $166,564,041 $196,908,730 $ 68,501,136 $313,500,766 $346,745,609
Undistributed net
investment income -- 2,170,580 2,019,017 691,561 561,040 1,184,686 2,554,819
Accumulated net realized
gain (loss) from
investment, written option
and foreign currency
transactions (18,347) (4,318,952) (2,112,333) 1,803,230 3,281,159 342,702 (30,155,054)
Net unrealized appreciation
on investments, options
written and translation of
assets and liabilities
denominated in foreign
currencies -- Note 3 -- 3,131,628 5,102,041 37,860,274 17,008,187 34,037,444 18,610,451
------------ ------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS $ 74,620,872 $113,128,732 $171,572,766 $237,263,795 $ 89,351,522 $349,065,598 $337,755,825
============ ============ ============ ============ ============ ============ ============
SHARES OF BENEFICIAL
INTEREST OUTSTANDING 74,639,214 10,894,476 14,893,495 8,156,777 4,303,216 25,110,982 22,702,606
NET ASSET VALUE,
REDEMPTION PRICE AND
OFFERING PRICE PER
SHARE $1.00 $10.38 $11.52 $29.09 $20.76 $13.90 $14.88
*Cost $ 72,712,126 $109,316,490 $168,871,249 $196,541,208 $ 71,323,908 $306,066,957 $324,725,071
**Repurchase Agreements $ -- $ -- $ 8,202,000 $ 40,916,000 $ -- $ 43,700,000 $ --
***Premiums Received $ -- $ -- $ -- $ -- $ -- $ 980,741 $ --
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER
STRATEGIC
BOND
FUND
------------
<S> <C>
ASSETS:
Investments, at value
(cost * ) (including
repurchase agreements **)
-- see accompanying
statements $ 37,858,609
Unrealized appreciation on
forward foreign currency
exchange contracts
-- Note 5 7,962
Cash --
Receivables:
Dividends and interest 682,381
Shares of beneficial
interest sold 417,943
Investments sold 4,500
Other 1,995
------------
Total assets 38,971,390
------------
LIABILITIES:
Bank overdraft 209,542
Options written, at value
(premiums received ***)
-- see accompanying
statements -- Note 4 --
Unrealized depreciation on
forward foreign currency
exchange contracts
-- Note 5 --
Payables and other
liabilities:
Dividends --
Investments purchased 1,254,798
Shares of beneficial
interest redeemed 879
Other 14,178
------------
Total liabilities 1,479,397
------------
NET ASSETS $ 37,491,993
============
COMPOSITION OF NET ASSETS:
Paid-in capital $ 38,216,493
Undistributed net
investment income 180,726
Accumulated net realized
gain (loss) from
investment,written option
and foreign currency
transactions (1,676,556)
Net unrealized appreciation
on investments, options
written and translation of
assets and liabilities
denominated in foreign
currencies -- Note 3 771,329
------------
NET ASSETS $ 37,491,993
============
SHARES OF BENEFICIAL
INTEREST OUTSTANDING 7,879,524
NET ASSET VALUE,
REDEMPTION PRICE AND
OFFERING PRICE PER
SHARE $4.76
*Cost $ 37,095,767
**Repurchase Agreements $ --
***Premiums Received $ --
</TABLE>
See accompanying Notes to Financial Statements.
1
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
OPPENHEIMER OPPENHEIMER OPPENHEIMER CAPITAL OPPENHEIMER MULTIPLE GLOBAL
MONEY HIGH INCOME BOND APPRECIATION GROWTH STATEGIES SECURITIES
FUND FUND FUND FUND FUND FUND FUND
------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (net of foreign
withholding taxes of *) $ 2,388,747 $ 5,461,318 $ 6,020,327 $ 1,323,761 $ 405,278 $ 7,781,582 $ 720,452
Dividends (net of foreign
withholding taxes of **) -- 262,142 38,312 170,688 451,496 1,712,110 3,175,481
------------ ------------ ------------ ------------ ------------ ------------ ------------
Total income 2,388,747 5,723,460 6,058,639 1,494,449 856,774 9,493,692 3,895,933
------------ ------------ ------------ ------------ ------------ ------------ ------------
EXPENSES:
Management fees -- Note 6 174,989 404,821 578,502 753,898 272,821 1,173,955 1,135,531
Custodian fees and
expenses 16,622 13,246 15,687 10,244 -- 18,500 174,802
Shareholder reports 10,130 6,388 4,379 9,420 4,519 7,571 7,648
Legal and auditing fees 5,054 16,153 6,367 8,885 3,461 10,845 6,198
Transfer agent 400 421 287 522 237 283 263
Trustees' fees and expenses -- 514 1,399 570 1,251 4,316 743
Registration and filing
fees -- 1,809 7,368 8,715 3,644 1,620 14,070
Other 1,095 2,644 2,833 3,122 2,711 4,795 790
------------ ------------ ------------ ------------ ------------ ------------ ------------
Total expenses 208,290 445,996 616,822 795,376 288,644 1,221,885 1,340,045
------------ ------------ ------------ ------------ ------------ ------------ ------------
NET INVESTMENT INCOME 2,180,457 5,277,464 5,441,817 699,073 568,130 8,271,807 2,555,888
------------ ------------ ------------ ------------ ------------ ------------ ------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, OPTIONS
WRITTEN AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss)
from:
Investments 5,356 (588,379) 328,518 3,214,799 3,406,530 135,856 (20,063,279)
Expiration of option
contracts written -- Note 4 -- -- -- -- -- 253,541 --
Foreign currency
transactions -- 112,847 (42,710) -- -- 34,249 (3,420,944)
Net change in unrealized
appreciation or
depreciation on:
Investments and options
written -- 6,335,947 8,792,679 21,927,356 9,787,120 31,176,436 16,364,020
Translation of assets and
liabilities denominated
in foreign currencies -- 483,440 801,306 -- -- 678,291 10,089,188
------------ ------------ ------------ ------------ ------------ ------------ ------------
Net realized and unrealized
gain on investments,
options written and
foreign currency
transactions 5,356 6,343,855 9,879,793 25,142,155 13,193,650 32,278,373 2,968,985
------------ ------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS $ 2,185,813 $ 11,621,319 $ 15,321,610 $ 25,841,228 $ 13,761,780 $ 40,550,180 $ 5,524,873
============ ============ ============ ============ ============ ============ ============
*Interest $ -- $ -- $ 7,577 $ -- $ -- $ -- $ --
**Dividends $ -- $ -- $ -- $ -- $ -- $ 22,965 $ 266,933
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER
STRATEGIC
BOND
FUND
------------
<S> <C>
INVESTMENT INCOME:
Interest (net of foreign
withholding taxes of *) $ 1,384,643
Dividends (net of foreign
withholding taxes of **) 41,965
------------
Total income 1,426,606
------------
EXPENSES:
Management fees -- Note 6 102,702
Custodian fees and
expenses 8,715
Shareholder reports 1,178
Legal and auditing fees 2,996
Transfer agent 220
Trustees' fees and expenses 218
Registration and filing
fees 1,690
Other 1,562
------------
Total expenses 119,281
------------
NET INVESTMENT INCOME 1,307,327
------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, OPTIONS
WRITTEN AND FOREIGN
CURRENCY TRANSACTIONS:
Net realized gain (loss)
from:
Investments (842,446)
Expiration of option
contracts written -- Note 4 (1,269)
Foreign currency
transactions (63,084)
Net change in unrealized
appreciation or
depreciation on:
Investments and options
written 1,677,370
Translation of assets and
liabilities denominated
in foreign currencies 130,251
------------
Net realized and unrealized
gain on investments,
options written and
foreign currency
transactions 900,622
------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS $ 2,208,149
============
*Interest $ --
**Dividends $ --
</TABLE>
See accompanying Notes to Financial Statements.
2
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED JUNE 30, 1995 AND THE YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION>
OPPENHEIMER OPPENHEIMER OPPENHEIMER
MONEY HIGH INCOME BOND
FUND FUND FUND
----------------------------- ----------------------------- -----------------------------
1995(2) 1994(1) 1995(2) 1994(1) 1995(2) 1994(1)
----------------------------- ----------------------------- -----------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 2,180,457 $ 3,774,464 $ 5,277,464 $ 9,253,988 $ 5,441,817 $ 8,900,922
------------ ------------ ------------ ------------ ------------ ------------
Net realized gain (loss) on
investments, options
written and foreign
currency transactions 5,356 (5,168) (475,532) (3,689,385) 285,808 (2,370,155)
Net change in unrealized
appreciation or
depreciation on investments,
options written and
translation of assets
and liabilities denominated
in foreign currencies -- -- 6,819,387 (8,629,376) 9,593,985 (8,824,731)
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in
net assets resulting
from operations 2,185,813 3,769,296 11,621,319 (3,064,773) 15,321,610 (2,293,964)
DIVIDENDS AND
DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income (2,180,457) (3,793,971) (5,088,668) (6,580,907) (5,255,032) (7,101,380)
Distributions from net
realized gain on
investments, options
written and foreign
currency transactions -- -- -- (2,106,023) -- (283,274)
Distributions in excess of
net realized gain on
investments, options
written and foreign
currency transactions -- -- -- -- -- --
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from
beneficial interest
transactions -- Note 2 (15,055,401) 28,473,973 10,897,772 14,438,679 26,438,804 32,899,881
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) (15,050,045) 28,449,298 17,430,423 2,686,976 36,505,382 23,221,263
NET ASSETS:
Beginning of year 89,670,917 61,221,619 95,698,309 93,011,333 135,067,384 111,846,121
------------ ------------ ------------ ------------ ------------ ------------
End of period $ 74,620,872 $ 89,670,917 $113,128,732 $ 95,698,309 $171,572,766 $135,067,384
============ ============ ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER
CAPITAL
APPRECIATION
FUND
-----------------------------
1995(2) 1994(1)
-----------------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 699,073 $ 769,034
------------ ------------
Net realized gain (loss) on
investments, options
written and foreign
currency transactions 3,214,799 (1,045,951)
Net change in unrealized
appreciation or
depreciation on investments,
options written and
translation of assets
and liabilities denominated
in foreign currencies 21,927,356 (10,016,034)
------------ ------------
Net increase (decrease) in
net assets resulting
from operations 26,841,228 (10,292,951)
DIVIDENDS AND
DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income (719,183) (218,275)
Distributions from net
realized gain on
investments, options
written and foreign
currency transactions (363,458) --
Distributions in excess of
net realized gain on
investments, options
written and foreign
currency transactions -- (17,112,748)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from
beneficial interest
transactions -- Note 2 26,731,667 76,512,412
------------ ------------
Total increase (decrease) 51,490,254 48,888,438
NET ASSETS:
Beginning of year 185,773,541 138,885,103
------------ ------------
End of period $237,263,795 $185,773,541
============ ============
</TABLE>
1. For the year ended December 31.
2. For the six months ended June 30 -- Unaudited.
See accompanying Notes to Financial Statements.
3
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE SIX MONTHS ENDED JUNE 30, 1995 AND THE YEAR ENDED DECEMBER 31, 1994
<TABLE>
<CAPTION> OPPENHEIMER OPPENHEIMER
OPPENHEIMER MULTIPLE GLOBAL
GROWTH STRATEGIES SECURITIES
FUND FUND FUND
----------------------------- ----------------------------- -----------------------------
1995(2) 1994(1) 1995(2) 1994(1) 1995(2) 1994(1)
----------------------------- ----------------------------- -----------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 568,130 $ 824,976 $ 8,271,807 $ 13,727,119 $ 2,555,888 $ 1,162,074
Net realized gain (loss) on
investments, options
written and foreign
currency transactions 3,406,530 1,441,127 423,646 8,803,106 (23,484,223) 385,837
Net change in unrealized
appreciation or
depreciation on investments,
options written
and translation of assets
and liabilities denominated
in foreign currencies 9,787,120 (1,915,053) 31,854,727 (28,189,733) 26,453,208 (24,015,375)
------------ ------------ ------------ ------------ ------------ ------------
Net increase (decrease) in
net assets resulting
from operations 13,761,780 351,050 40,550,180 (5,659,508) 5,524,873 (22,467,464)
DIVIDENDS AND
DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income (821,641) (516,871) (8,125,798) (13,056,112) -- (359,955)
Distributions from net
realized gain on
investments, options
written and foreign
currency transactions (973,385) (127,540) (8,717,288) (1,925,053) (8,174,158) (2,441,859)
Distributions in excess of
net realized gain on
investments, options
written and foreign
currency transactions -- -- -- -- -- --
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from
beneficial interest
transactions -- Note 2 14,101,594 6,875,487 33,291,300 62,417,829 42,563,189 226,686,688
------------ ------------ ------------ ------------ ------------ ------------
Total increase (decrease) 26,066,348 6,582,126 56,998,394 41,777,156 39,913,904 201,417,410
NET ASSETS:
Beginning of year 63,283,174 56,701,048 292,067,204 250,290,048 297,841,921 96,424,511
------------ ------------ ------------ ------------ ------------ ------------
End of period $ 89,351,522 $ 63,283,174 $349,065,598 $292,067,204 $337,755,825 $297,841,921
============ ============ ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
OPPENHEIMER
STRATEGIC
BOND
FUND
-----------------------------
1995(2) 1994(1)
-----------------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 1,307,327 $ 1,286,157
------------ ------------
Net realized gain (loss) on
investments, options
written and foreign
currency transactions (906,798) (796,115)
Net change in unrealized
appreciation or
depreciation on investments,
options written
and translation of assets
and liabilities denominated
in foreign currencies 1,807,620 (1,120,872)
------------ ------------
Net increase (decrease) in
net assets resulting
from operations 2,208,149 (630,830)
DIVIDENDS AND
DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income (1,238,330) (1,161,570)
Distributions from net
realized gain on
investments, options
written and foreign
currency transactions -- --
Distributions in excess of
net realized gain on
investments, options
written and foreign
currency transactions -- (16,802)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from
beneficial interest
transactions -- Note 2 16,201,859 12,242,999
------------ ------------
Total increase (decrease) 17,171,678 10,433,797
NET ASSETS:
Beginning of year 20,320,315 9,886,518
------------ ------------
End of period $ 37,491,993 $ 20,320,315
============ ============
</TABLE>
1. For the year ended December 31.
2. For the six months ended June 30 -- Unaudited.
See accompanying Notes to Financial Statements.
4
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS
SELECTED PER SHARE DATA FOR EACH FUND'S SHARE OUTSTANDING FOR EACH OF THE
FOLLOWING PERIODS:
<TABLE>
<CAPTION>
OPPENHEIMER MONEY FUND
-------------------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31,
JUNE 30, 1995 1994 1993 1992 1991 1990
(UNAUDITED)
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations -- net
investment income and net realized gain
on investments .03 .04 .03 .04 .06 .08
Dividends and distributions to
shareholders (.03) (.04) (.03) (.04) (.06) (.08)
---------------------------------------------------------------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
===============================================================
TOTAL RETURN, AT NET ASSET VALUE /(1)/ 2.85% 4.25% 3.09% 3.93% 6.18% 7.84%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $74,621 $89,671 $61,221 $58,266 $58,709 $89,143
Average net assets (in thousands) $78,321 $90,264 $57,654 $61,317 $75,747 $82,966
Number of shares outstanding at end of
period (in thousands) 74,639 89,695 61,221 58,266 58,703 89,141
Ratios to average net assets:
Net investment income 5.61%/(2)/ 4.18% 3.12% 3.76% 5.97% 7.80%
Expenses .54%/(2)/ .43% .43% .50% .49% .51%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends 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 of less than one full year. Total returns reflect
changes in net investment income only. 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.
2. Annualized.
See accompanying Notes to Financial Statements.
5
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER HIGH INCOME FUND
---------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $ 9.79 $ 11.02 $ 9.74 $ 9.40 $ 7.90 $ 8.59
Income (loss) from investment operations:
Net investment income .47 .94 .82 1.19 1.28 1.21
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions .60 (1.27) 1.65 .43 1.30 (.82)
---------------------------------------------------------------------
Total income (loss) from investment
operations 1.07 (.33) 2.47 1.62 2.58 .39
---------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.48) (.66) (1.19) (1.28) (1.08) (1.08)
Distributions from net realized gain on
investments, and foreign currency
transactions -- (.24) -- -- -- --
---------------------------------------------------------------------
Total dividends and distributions to
shareholders (.48) (.90) (1.19) (1.28) (1.08) (1.08)
---------------------------------------------------------------------
Net asset value, end of period $ 10.38 $ 9.79 $ 11.02 $ 9.74 $ 9.40 $ 7.90
---------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE/(1)/ 11.10% (3.18)% 26.34% 17.92% 33.91% 4.65%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $113,129 $ 95,698 $93,011 $40,817 $27,308 $19,172
Average net assets (in thousands) $108,953 $101,096 $67,000 $36,861 $23,663 $21,493
Number of shares outstanding at end
of period (in thousands) 10,894 9,779 8,443 4,189 2,905 2,427
Ratios to average net assets:
Net investment income 9.77%/(2) 9.15% 10.50% 12.08% 14.26% 14.32%
Expenses .83%/(2)/ .67% .68% .73% .75% .75%
Portfolio turnover rate/(3)/ 50.3% 110.1% 135.7% 144.2% 108.0% 95.1%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of 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.
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
6
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER BOND FUND
-----------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of year $ 10.78 $ 11.65 $ 10.99 $ 11.15 $ 10.33 $ 10.49
Income (loss) from
investment operations:
Net investment income .36 .76 .65 .87 .95 .97
Net realized and
unrealized gain (loss) on
investments and foreign
currency transactions .75 (.98) .76 (.17) .80 (.18)
-----------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.11 (.22) 1.41 .70 1.75 .79
-----------------------------------------------------------------------------------
Dividends and
distributions to
shareholders:
Dividends from net
investment income (.37) (.62) (.75) (.86) (.93) (.95)
Distributions from net
realized gain on
investments and foreign
currency transactions -- (.03) -- -- -- --
-----------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (.37) (.65) (.75) (.86) (.93) (.95)
-----------------------------------------------------------------------------------
Net asset value, end of
period $ 11.52 $ 10.78 $ 11.65 $ 10.99 $ 11.15 $ 10.33
-----------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE/(1)/ 10.40% (1.94)% 13.04% 6.50% 17.63% 7.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $ 171,573 $135,067 $111,846 $63,354 $32,762 $16,576
Average net assets (in
thousands) $ 155,707 $121,884 $ 87,215 $45,687 $22,169 $15,088
Number of shares
outstanding at end of
period (in thousands) 14,893 12,527 9,602 5,766 2,939 1,604
Ratios to average net
assets:
Net investment income 7.05%/(2)/ 7.30% 7.20% 7.81% 8.73% 9.30%
Expenses .80%/(2)/ .57% .46% .56% .64% .61%
Portfolio turnover 22.9% 35.1% 36.3% 41.3% 7.6% 7.4%
rate/(3)/
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of 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.
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
7
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER CAPITAL APPRECIATION FUND
--------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of year $ 25.95 $ 31.64 $ 26.04 $ 23.24 $ 15.24 $ 20.40
Income (loss) from
investment operations:
Net investment income .08 .10 .05 .06 .08 .32
Net realized and
unrealized gain (loss) on
investments 3.20 (2.22) 6.71 3.43 8.18 (3.54)
--------------------------------------------------------------------------------------
Total income (loss) from
investment operations 3.28 (2.12) 6.76 3.49 8.26 (3.22)
--------------------------------------------------------------------------------------
Dividends and
distributions to
shareholders:
Dividends from net
investment income (.09) (.04) (.06) (.14) (.26) (.53)
Distributions from net
realized gain on
investments (.05) (3.53) (1.10) (.55) -- (1.41)
--------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (.14) (3.57) (1.16) (.69) (.26) (1.94)
--------------------------------------------------------------------------------------
Net asset value, end of
period $ 29.09 $ 25.95 $ 31.64 $ 26.04 $ 23.24 $ 15.24
--------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE/(1)/ 12.69% (7.59)% 27.32% 15.42% 54.72% (16.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $ 237,264 $185,774 $136,885 $83,335 $49,371 $ 23,295
Average net assets (in
thousands) $ 203,269 $153,832 $ 98,228 $56,371 $34,887 $ 24,774
Number of shares
outstanding at end of
period (in thousands) 8,157 7,158 4,326 3,201 2,125 1,528
Ratios to average net
assets:
Net investment income .69%/(2)/ .50% .23% .30% .81% 1.93%
Expenses .79%/(2)/ .57% .47% .54% .63% .71%
Portfolio turnover
rate/(3)/ 55.0% 96.5% 122.8% 78.9% 122.3% 222.0%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of 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.
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
8
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER GROWTH FUND
-------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $ 17.68 $ 17.70 $ 16.96 $ 15.17 $ 12.54 $ 16.38
Income (loss) from investment operations:
Net investment income .12 .22 .46 .16 .30 .56
Net realized and unrealized gain (loss)
on investments 3.44 (.05) .74 1.99 2.82 (1.79)
-------------------------------------------------------------------------------------
Total income (loss) from
investment operations 3.56 .17 1.20 2.15 3.12 (1.23)
-------------------------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment income (.22) (.15) (.14) (.36) (.49) (.62)
Distributions from net realized gain on
investments and foreign currency
transactions (.26) (.04) (.32) -- -- (1.99)
-------------------------------------------------------------------------------------
Total dividends and distributions to
shareholders (.48) (.19) (.46) (.36) (.49) (2.61)
-------------------------------------------------------------------------------------
Net asset value, end of period $ 20.76 $ 17.68 $ 17.70 $ 16.96 $ 15.17 $ 12.54
-------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE/(1)/ 20.47% .97% 7.25% 14.53% 25.54% (8.21)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $89,352 $63,283 $56,701 $36,494 $22,032 $15,895
Average net assets (in thousands) $73,482 $59,953 $46,389 $25,750 $18,810 $17,235
Number of shares outstanding at end of
period (in thousands) 4,303 3,580 3,203 2,152 1,453 1,267
Ratios to average net assets:
Net investment income 1.75%/(2)/ 1.38% 1.13% 1.36% 2.82% 4.09%
Expenses .89%/(2)/ .58% .50% .61% .70% .71%
Portfolio turnover rate/(3)/ 36.4% 53.8% 12.6% 48.7% 133.9% 267.9%
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of 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 .
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
9
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER MULTIPLE STRATEGIES FUND
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $ 12.91 $ 13.88 $ 12.47 $ 11.96 $ 10.90 $ 12.30
Income (loss) from
investment operations:
Net investment income .34 .63 .55 .55 .69 .73
Net realized and
unrealized gain (loss) on
investments, options
written and foreign
currency transactions 1.36 (.90) 1.41 .50 1.15 (.97)
---------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.70 (.27) 1.96 1.05 1.84 (.24)
---------------------------------------------------------------------------------------
Dividends and
distributions to
shareholders:
Dividends from net
investment income (.34) (.60) (.55) (.54) (.78) (.70)
Distributions from net
realized gain on
investments, options
written and foreign
currency transactions (.37) (.10) -- -- -- (.46)
---------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (.71) (.70) (.55) (.54) (.78) (1.16)
---------------------------------------------------------------------------------------
Net asset value, end of
period $ 13.90 $ 12.91 $ 13.88 $ 12.47 $ 11.96 $ 10.90
---------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE/(1)/ 13.49% (1.95)% 15.95% 8.99% 17.48% (1.91)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $ 349,066 $292,067 $250,290 $159,464 $124,634 $118,888
Average net assets (in
thousands) $ 320,762 $279,949 $199,954 $139,011 $117,000 $123,231
Number of shares
outstanding at end of
period (in thousands) 25,111 22,620 18,026 12,792 10,421 10,908
Ratios to average net
assets:
Net investment income 5.20%/(2)/ 4.90% 4.44% 4.63% 5.95% 6.53%
Expenses .77%/(2)/ .56% .48% .55% .54% .55%
Portfolio turnover 20.8% 31.4% 32.4% 57.8% 80.3% 99.2%
rate/(3)/
</TABLE>
1. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of 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.
2. Annualized.
3. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
10
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER GLOBAL SECURITIES FUND
----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990/(1)/
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------
PER SHARE OPERATING DATA:
Net asset value, beginning of year $ 15.09 $ 16.30 $ 9.57 $ 10.38 $10.04 $10.00
Income (loss) from investment
operations:
Net investment income .11 .04 (.02) .07 .04 --
Net realized and unrealized gain
(loss) on investments and foreign
currency transactions .08 (.96) 6.75 (.80) .30 .04
----------------------------------------------------------------------
Total income (loss) from investment
operations .19 (.92) 6.73 (.73) .34 .04
----------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment income -- (.04) -- (.04) -- --
Distributions from net realized gain on
investments and foreign currency
transactions (.40) (.25) -- (.04) -- --
----------------------------------------------------------------------
Total dividends and distributions to
shareholders (.40) (.29) -- (.08) -- --
----------------------------------------------------------------------
Net asset value, end of period $ 14.88 $ 15.09 $ 16.30 $ 9.57 $10.38 $10.04
----------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 1.42% (5.72)% 70.32% (7.11)% 3.39% .40%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $337,756 $297,842 $96,425 $13,537 $7,339 $ 432
Average net assets (in thousands) $309,968 $214,545 $31,696 $11,181 $3,990 $ 263
Number of shares outstanding at end of
period (in thousands) 22,703 19,743 5,917 1,415 707 43
Ratios to average net assets:
Net investment income 1.66%/(3)/ .54% .72% 1.04% .75% .08%/(3)/
Expenses .87%/(3)/ .91% .92% 1.06% 1.32% 6.84%/(3)/
Portfolio turnover rate/(4)/ 64.9% 70.4% 65.1% 34.1% 29.5% 0.0%
</TABLE>
1. For the period from November 12, 1990 (commencement of operations) to
December 31, 1990.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of 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.
3. Annualized.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
See accompanying Notes to Financial Statements.
11
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
OPPENHEIMER STRATEGIC BOND FUND
----------------------------------------------
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31,
(UNAUDITED) 1994 1993/(1)/
----------------------------------------------
<S> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $ 4.60 $ 5.12 $ 5.00
Income (loss) from investment
operations:
Net investment income .21 .35 .10
Net realized and unrealized gain
(loss) on investments,
options written and foreign currency
transactions .14 (.54) .11
-----------------------------------------
Total income (loss) from investment
operations .35 (.19) .21
-----------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment income (.19) (.32) (.09)
Distributions from net realized gain
on investments -- -- --
Distributions in excess of net
realized gain on investments,
options written and foreign currency
transactions -- (.01) --
-----------------------------------------
Total dividends and distributions to
shareholders (.19) (.33) (.09)
-----------------------------------------
Net asset value, end of period $ 4.76 $ 4.60 $ 5.12
=========================================
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 7.75% (3.78)% 4.25%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $37,492 $20,320 $9,887
Average net assets (in thousands) $27,859 $15,389 $4,259
Number of shares outstanding at end of
period (in thousands) 7,880 4,418 1,930
Ratios to average net assets:
Net investment income 11.34%/(3)/ 8.36% 5.67%/(3)/
Expenses 1.04%/(3)/ .87% .96%/(3)/
Portfolio turnover rate/(4)/ 59.9% 136.6% 10.9%
</TABLE>
1. For the period from May 3, 1993 (commencement of operations) to December 31,
1993.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal period.
Total returns are not annualized for periods of 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.
3. Annualized.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
12
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER MONEY FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED COST
AMOUNT (NOTE 1)
--------- --------------
<S> <C> <C>
DIRECT BANK OBLIGATIONS -- 8.0%
Canadian Imperial Bank of Commerce,
guaranteeing commercial paper of:
Canadian Imperial Holdings, Inc.,
5.94%, 8/9/95 $ 3,000,000 $ 2,980,695
FCC National Bank, 5.61%, 7/5/95/(1)/ 3,000,000 2,999,044
------------
Total Direct Bank Obligations
(Cost $5,979,739) 5,979,739
------------
LETTERS OF CREDIT -- 8.8%
Credit Suisse, guaranteeing commercial
paper of: Queensland Alumina Ltd.:
5.90%, 9/22/95 1,000,000 986,397
5.95%, 7/17/95 2,130,000 2,124,367
Mitsubishi Bank Ltd., guaranteeing
commercial paper of: Mitsubishi Motors
Credit of America, 5.90%, 9/29/95 3,500,000 3,448,375
------------
Total Letters of Credit
(Cost $6,559,149) 6,559,139
------------
SHORT-TERM NOTES -- 80.6%
Banks -- 9.3%
Barnett Banks, Inc., 6%, 7/13/95 3,500,000 3,493,000
Chemical Banking Corp., 5.85%, 9/29/95 3,500,000 3,448,813
------------
6,941,813
------------
Beverages -- 4.6%
Bass Finance (C.I.) Ltd., guaranteed by
Bass PLC, 5.95%, 9/6/95 3,500,000 3,461,242
------------
Broker/Dealers -- 3.2%
Morgan Stanley Group, Inc.,
5.96%, 7/3/95/(1)/ 2,375,000 2,375,000
------------
Commercial Finance -- 9.3%
CIT Group Holdings, Inc.,
6.208%, 7/12/95/(1)/ 1,000,000 1,000,000
FINOVA Capital Corp., 6.07%, 7/28/95 3,000,000 2,986,343
Heller Financial, Inc., 5.85%, 9/25/95 3,000,000 2,958,075
------------
6,944,418
------------
Consumer Finance -- 9.3%
Beneficial Corp., 5.72%, 7/5/95/(1)/ $ 4,000,000 $ 4,000,000
Sears Roebuck Acceptance Corp.,
5.97%, 8/21/95 3,000,000 2,974,628
------------
6,974,628
------------
Diversified Financial -- 9.4%
Associates Corp. of North America,
6.25%, 7/3/95 $ 1,000,000 $ 999,653
General Electric Capital Corp.,
6.29%, 7/3/95/(1)/ 4,000,000 3,999,040
General Motors Acceptance Corp.,
6.40%, 9/1/95/(1)/ 2,000,000 1,999,600
------------
6,998,293
------------
Healthcare/Drugs -- 4.2%
Sandoz Corp., 5.97%, 7/5/95 3,100,000 3,097,944
------------
Healthcare/Supplies & Services -- 3.3%
Allergan, Inc., 5.98%, 8/8/95 2,500,000 2,484,219
------------
Leasing & Factoring -- 4.6%
Sanwa Business Credit Corp.,
5.91%, 9/15/95 3,500,000 3,456,332
------------
Manufacturing -- 8.0%
Hanson Finance (UK) PLC, guaranteed
by Hanson PLC, 5.97%, 8/18/95 3,000,000 2,976,120
Rexam PLC, 6.05%, 7/7/95/(2)/ 3,000,000 2,996,975
------------
5,973,095
------------
Savings & Loans -- 4.0%
Household Bank FSB, 5.92%, 9/20/95 3,000,000 2,999,800
------------
Special Purpose Financial -- 11.4%
Cooperative Association of Tractor
Dealers, Inc.: 6.38%, 8/4/95 1,000,000 993,974
6.08%, 7/12/95 2,000,000 1,996,284
CXC, Inc., 6.35%, 8/7/95/(2)/ 3,000,000 2,980,421
New Center Asset Trust, 6.07%, 7/11/95 2,500,000 2,495,785
------------
8,466,464
------------
Total Short-Term Notes
(Cost $60,173,248) 60,173,248
------------
TOTAL INVESTMENTS, AT AMORTIZED COST 97.4% 72,712,126
----- ------------
OTHER ASSETS NET OF LIABILITIES 2.6 1,908,746
----- ------------
NET ASSETS 100.0% $ 74,620,872
===== ============
</TABLE>
Short-term notes, direct bank obligations and letters of credit are generally
traded on a discount basis; the interest rate is the discount rate received by
the Fund at the time of purchase. Other securities normally bear interest at the
rates shown.
/(1)/ Variable rate security. The interest rate, which is based on specific, or
an index of, current market interest rates is subject to change
periodically and is the effective rate on June 30, 1995.
/(2)/ Security purchased in private placement transaction, without registration
under the Securities Act of 1933 (the Act). The securities are carried at
amortized cost, and amount to $5,977,396, or 8.0% of the Fund's net
assets.
See accompanying Notes to Financial Statements.
13
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
----------------- ------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 3.7%
Citibank, 10.75% CD, 11/20/95/(2)/ CLP $ 431,553,156 $ 1,153,423
Citibank, 15% CD, 8/28/95/(2)/ CLP 417,450,058 1,115,729
Citibank, 15.20% CD, 9/1/95/(2)/ CLP 423,000,000 1,130,562
Indonesia (Republic of) CD, Bank
Negara, Zero Coupon, 6/17/96/(2)/ IDR 2,000,000,000 766,726
------------
Total Certificates of Deposit
(Cost $3,846,487) 4,166,440
------------
MORTGAGE-BACKED OBLIGATIONS -- 2.2%
PRIVATE -- 2.2%
Multi-Family -- 2.2%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C1, Cl. E, 8%, 6/25/26 770,411 640,404
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. G, 8%, 4/25/25 960,279 758,621
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
Interleaf Frame: Op:rul:1:1:10
1995-C1, Cl. F, 6.90%, 2/25/27 1,250,000 1,089,063
------------
Total Mortgage-Backed Obligations
(Cost $2,392,740) 2,488,088
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 10.4%
Argentina (Republic of) Bonds, Bonos
del Tesoro, Series I, 6.063%,
5/31/96/(3)/ 440,000 431,096
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 10/11/95 1,000,000 964,687
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 7/20/95 300,000 298,182
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 7/27/95 500,000 495,458
Brazil (Federal Republic of) Bonds,
Banco do Nordeste Brasil, 10.375%,
11/6/95/(4)/ 750,000 749,063
Canada (Government of) Bonds, 9%,
12/1/04 CAD 1,280,000 997,493
Ecuador (Republic of) Bonds, 7.25%,
2/28/25/(3)/ 750,000 375,000
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
94, 6.25%, 1/4/24 DEM 1,870,000 1,144,328
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
95, 7.375%, 1/3/05 DEM 1,325,000 979,303
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD 1,000,000 724,214
Morocco (Kingdom of) Loan
Participation Agreement, Tranche A,
7.375%, 1/1/09/(3)/ 1,000,000 582,500
New Zealand (Republic of) Bonds, 10%,
7/15/97 NZD 500,000 345,708
New Zealand (Republic of) Bonds, 8%,
11/15/95 NZD 1,500,000 998,584
New Zealand (Republic of) Bonds, 9%,
11/15/96 NZD 1,250,000 841,290
Norwegian Government Bonds, 7%,
5/31/01 NOK 1,650,000 261,591
Poland (Republic of) Disc. Bonds,
7.125%, 10/27/24/(3)/ 500,000 384,063
Poland (Republic of) Past Due
Interest Bonds, 3.25%, 10/27/14/(5)/ 1,200,000 721,500
United Kingdom Treasury Nts., 10%,
2/26/01 GBP 300,000 512,170
------------
Total Foreign Government Obligations
(Cost $11,823,105) 11,806,230
------------
MUNICIPAL BONDS AND NOTES -- 0.8%
San Joaquin Hills, California
Transportation Corridor Agency Toll
Road Capital Appreciation Revenue
Bonds, Jr. Lien, Zero Coupon, 1/1/28
(Cost $715,192) 12,500,000 905,925
------------
CORPORATE BONDS AND NOTES -- 74.0%
BASIC INDUSTRY -- 9.2%
Chemicals -- 2.5%
Carbide/Graphite Group, Inc., 11.50% Sr.
Nts., 9/1/03 500,000 525,000
NL Industries, Inc., 0%/13% Sr. Sec.
Disc. Nts., 10/15/05/(6)/ 1,480,000 1,050,800
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03 650,000 679,250
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05 500,000 537,500
------------
2,792,550
------------
Metals/Mining -- 0.6%
Kaiser Aluminum & Chemical Corp.,
12.75% Sr. Sub. Nts., 2/1/03 100,000 107,500
Kaiser Aluminum & Chemical Corp.,
9.875% Sr. Nts., 2/15/02 600,000 588,000
------------
695,500
------------
Paper -- 5.5%
Domtar, Inc., 11.25% Debs., 9/15/17 400,000 428,000
Domtar, Inc., 12% Nts., 4/15/01 250,000 288,750
Gaylord Container Corp., 0%/12.75% Sr.
Sub. Disc. Debs., 5/15/05/(6)/ 1,000,000 980,000
Gaylord Container Corp., 11.50% Sr.
Nts., 5/15/01 300,000 318,375
Repap New Brunswick, Inc., 9.50%
First Priority Sr. Sec. Nts.,
7/15/00/(3)/ 400,000 407,000
Repap Wisconsin, Inc., 9.25% First
Priority Sr. Sec. Nts., 2/1/02 500,000 485,625
Riverwood International Corp., 10.375%
Sr. Sub. Nts., 6/30/04 400,000 440,000
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00 400,000 432,000
Riverwood International Corp., 11.25%
Sr. Sub. Nts., 6/15/02 200,000 218,500
Stone Consolidated Corp., 10.25% Sr.
Sec. Nts., 12/15/00 700,000 729,750
Stone Container Corp., 10.75% First
Mtg. Nts., 10/1/02 1,300,000 1,371,500
Stone Container Corp., 10.75% Sr. Sub.
Nts., 6/15/97 100,000 104,625
------------
6,204,125
------------
Steel -- 0.6%
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03 750,000 697,500
------------
</TABLE>
14
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
-------------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
CONSUMER RELATED -- 13.8%
Consumer Products -- 3.6%
Amstar Corp., 11.375% Sr. Sub. Nts.,
2/15/97 $ 500,000 $ 507,500
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 5/27/98 750,000 558,750
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02 1,650,000 1,806,750
International Semi-Tech
Microelectronics, Inc., 0%/11.50% Sr.
Sec. Disc. Nts., 8/15/03/(6)/ 650,000 328,250
Revlon Worldwide Corp., Zero Coupon
Sr. Sec. Disc. Nts., 3/15/98/(4)/ 350,000 240,625
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04 600,000 592,500
------------
4,034,375
------------
Food/Beverages/Tobacco -- 1.1%
Consolidated Cigar Corp., 10.50% Sr.
Sub. Nts., 3/1/03 400,000 394,000
Di Giorgio Corp., 12% Sr. Nts., 2/15/03 255,000 189,975
Dr. Pepper Bottling Holdings, Inc.,
0%/11.625% Sr. Disc. Nts., 2/15/03/(6)/ 830,000 618,350
------------
1,202,325
------------
Healthcare -- 4.6%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05/(7)/ 500,000 511,563
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02 1,500,000 1,648,125
Charter Medical Corp., 11.25% Sr. Sub.
Nts., 4/15/04 500,000 533,750
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02/(4)/ 400,000 406,000
National Medical Enterprises, Inc.,
10.125% Sr. Sub. Nts., 3/1/05 500,000 531,250
Surgical Health Corp., 11.50% Sr. Sub.
Nts., 7/15/04 400,000 462,000
Total Renal Care, Inc., Units (each Unit
consists of $1,000 principal amount of
0%/12% Sr. Sub. Disc. Nts., 8/15/04 and
nine shares of non-voting Class B
Common Stock)/(6)(8)/ 1,200,000 1,098,000
------------
5,190,688
------------
Hotel/Gaming -- 1.8%
Aztar Corp., 13.75% Sr. Sub. Nts.,
10/1/04 150,000 169,875
Capital Gaming International, Inc.
Promissory Nts. 9,500 --
GB Property Funding Corp., 10.875%
First Mtg. Nts., 1/15/04 450,000 391,500
Hollywood Casino Corp., 14% Sr. Sec.
Nts., 4/1/98 350,000 386,750
Players International, Inc., 10.875% Sr.
Nts., 4/15/05/(4)/ 200,000 197,500
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03 300,000 280,500
Trump Plaza Funding, Inc., 10.875%
Gtd. Mtg. Nts., 6/15/01 500,000 462,500
Trump Taj Mahal Funding, Inc., 11.35%
Debs., Series A, 11/15/99 200,000 158,099
------------
2,046,724
------------
Leisure -- 0.5%
Gillett Holdings, Inc., 12.25% Sr. Sub.
Nts., Series A, 6/30/02 521,305 551,280
------------
Restaurants -- 1.5%
Carrols Corp., 11.50% Sr. Nts., 8/15/03 430,000 406,350
Foodmaker, Inc., 9.25% Sr. Nts., 3/1/99 200,000 182,500
Foodmaker, Inc., 9.75% Sr. Sub. Nts.,
6/1/02 1,275,000 1,064,625
------------
1,653,475
------------
Textile/Apparel -- 0.7%
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02 750,000 753,750
------------
ENERGY -- 4.9%
AmeriGas Partners LP, 10.125% Sr.
Nts., 4/15/07/(4)/ 200,000 211,000
BP America, Inc., 10.875% Nts.,
8/1/01 CAD 350,000 285,643
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02/(4)/ 500,000 493,750
Kelley Oil & Gas Corp., 13.50% Sr.
Nts., 6/15/99 1,000,000 995,000
Maxus Energy Corp., 11.50% Debs.,
11/15/15 800,000 792,000
OPI International, Inc., 12.875% Gtd. Sr.
Nts., 7/15/02 750,000 847,500
Petroleum Heat & Power Co., Inc.,
12.25% Sub. Debs., 2/1/05 250,000 268,750
Petroleum Heat & Power Co., Inc.,
9.375% Sub. Debs., 2/1/06 250,000 231,250
Plains Resources, Inc., 12% Sr. Sub.
Nts., 10/1/99 200,000 207,500
Triton Energy Corp., 0%/9.75% Sr. Sub.
Disc. Nts., 12/15/00/(6)/ 200,000 175,000
Triton Energy Corp., Zero Coupon Sr.
Sub. Disc. Nts., 11/1/97 1,200,000 978,000
Wainoco Oil Corp., 12% Sr. Nts., 8/1/02 100,000 104,000
------------
5,589,393
------------
FINANCIAL SERVICES -- 1.5%
Banks & Thrifts -- 0.2%
Banco Ganadero SA, Zero Coupon Sr.
Unsub. Unsec. Nts., 6/16/96/(4)/ 250,000 227,902
------------
Diversified Financial -- 0.8%
ECM Fund, L.P.I., 14% Sub. Nts.,
6/10/02/(9)/ 285,098 313,608
GPA Delaware, Inc., 8.75% Gtd. Nts.,
12/15/98 300,000 253,500
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00 350,000 360,500
------------
927,608
------------
Insurance -- 0.5%
Terra Nova Holdings, 10.75% Sr. Nts.,
7/1/05 600,000 609,000
------------
HOUSING RELATED -- 2.7%
Building Materials -- 1.5%
Diamond Cable Communications PLC,
0%/13.25% Sr. Disc. Nts., 9/30/04/(6)/ 400,000 265,000
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03 500,000 473,750
</TABLE>
15
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
-------------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
HOUSING RELATED (Continued)
Building Materials (Continued)
Southdown, Inc., 14% Sr. Sub. Nts.,
Series B, 10/15/01 $ 640,000 $ 715,200
Walter Industries, Inc., 17% Sub. Nts.,
1/1/96/(10)/ 400,000 254,000
------------
1,707,950
------------
Homebuilders/Real Estate -- 1.2%
Olympia & York First Canadian Place
Ltd., 11% Debs., Series 3,
11/4/49/(11)/ CAD 1,000,000 447,639
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Nts., 4/1/02 650,000 617,500
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11/(4)/ 500,000 322,500
------------
1,387,639
------------
MANUFACTURING -- 4.4%
Aerospace/Electronics/Computers -- 1.7%
Berg Electronics Holdings Corp.,
11.375% Sr. Sub. Debs., 5/1/03 500,000 520,000
Dell Computer Corp., 11% Sr. Nts.,
8/15/00 500,000 552,500
Rohr, Inc., 11.625% Sr. Nts., 5/15/03 800,000 844,000
------------
1,916,500
------------
Automotive -- 1.8%
Aftermarket Technology Corp., 12% Sr.
Sub. Nts., 8/1/04 500,000 535,000
Aftermarket Technology Corp., 12% Sr.
Sub. Nts., 8/1/04/(4)/ 300,000 320,250
Foamex LP/Foamex Capital Corp.,
11.25% Sr. Nts., 10/1/02 250,000 247,500
Foamex LP/Foamex Capital Corp.,
9.50% Sr. Sec. Nts., 6/1/00 240,000 234,600
Foamex LP/JPS Automotive Corp.,
0%/14% Sr. Disc. Nts., Series B,
7/1/04/(6)/ 500,000 277,500
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04 425,000 388,875
------------
2,003,725
------------
Capital Goods -- 0.9%
Farley, Inc., Zero Coupon Sub. Debs.,
12/30/12 198,000 16,830
Terex Corp., Units (each Unit consists
of $1,000 principal amount of 13.75%
Sr. Sec. Nts., 5/15/02 and four
Common Stock Appreciation
Rights)/(4)(8)/ 1,100,000 979,000
------------
995,830
------------
MEDIA -- 16.6%
Broadcasting -- 2.8%
Act III Broadcasting, Inc., 9.625% Sr.
Sub. Nts., 12/15/03 430,000 435,912
Chancellor Broadcasting Co., 12.50% Sr.
Sub. Nts., 10/1/04 250,000 251,250
New City Communications, Inc.,
11.375% Sr. Sub. Nts., 11/1/03 350,000 336,000
Outlet Broadcasting, Inc., 10.875% Sr.
Sub. Nts., 7/15/03 1,000,000 1,030,000
Sinclair Broadcasting Group, Inc., 10%
Sr. Sub. Nts., 12/15/03 345,000 348,450
Univision Television Group, Inc., 11.75%
Sr. Sub. Nts., 1/15/01 700,000 759,500
------------
3,161,112
------------
Cable Television -- 8.2%
American Telecasting, Inc., 0%/12.50%
Sr. Disc. Nts., 6/15/04/(6)/ 1,500,000 881,250
Australis Media Ltd., Units (each Unit consists
of US $1,000 principal amount of 0%/14%
Sr. Sub. Disc. Nts., 5/15/03 and one Warrant
to purchase 57.721 Ordinary Shares)/(6)(8)/ 500,000 262,500
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04/(6)/ 2,500,000 1,675,000
Cablevision Industries Corp., 9.25% Sr.
Debs., Series B, 4/1/08 600,000 624,750
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04 500,000 524,375
Cablevision Systems Corp., 9.875% Sr.
Sub. Debs., 4/1/23 200,000 209,000
Continental Cablevision, Inc., 9.50% Sr.
Debs., 8/1/13 750,000 776,250
Helicon Group LP/Helicon Capital
Corp., 9% Sr. Sec. Nts., Series B,
11/1/03/(3)/ 750,000 691,875
International CableTel, Inc., 0%/10.875%
Sr. Def. Cpn. Nts., 10/15/03/(6)/ 100,000 66,500
International CableTel, Inc., 0%/12.75%
Sr. Def. Cpn. Nts., 4/15/05/(4)(6)/ 1,000,000 595,000
Marcus Cable Operating Co.
LP/Marcus Capital Corp., 0%/13.50% Gtd.
Sr. Sub. Disc. Nts., Series II, 8/1/04/(6)/ 1,200,000 759,000
People's Choice TV Corp., Units (each
Unit consists of $1,000 principal
amount of 0%/13.125% Sr. Disc. Nts.,
6/1/04 and one Warrant to purchase
1.427 shares of Common Stock)/(6)(8)/ 1,400,000 665,000
Summitt Communications Group, Inc.,
10.50% Sr. Sub. Debs., 4/15/05 850,000 935,000
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23 350,000 351,582
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07 300,000 346,942
------------
9,364,024
------------
Diversified Media -- 4.3%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03 750,000 791,250
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(6)/ 950,000 463,125
GSPI Corp., 10.15% First Mtg. Bonds,
6/24/10/(4)/ 483,654 569,261
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03 500,000 501,250
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03 300,000 289,500
Panamsat LP/Panamsat Capital Corp.,
0%/11.375% Sr. Sub. Disc. Nts.,
8/1/03/(6)/ 2,000,000 1,422,500
Panamsat LP/Panamsat Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00 750,000 772,500
------------
4,809,386
------------
Entertainment/Film -- 1.3%
Imax Corp., 7% Sr. Nts., 3/1/01/(5)/ 1,600,000 1,464,000
------------
</TABLE>
16
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT/(1)/ (NOTE 1)
-------------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
OTHER -- 1.6%
Conglomerates -- 1.1%
MacAndrews & Forbes Group, Inc.,
12.25% Sub. Nts., 7/1/96 $ 750,000 $ 755,625
Talley Manufacturing & Technology,
Inc., 10.75% Sr. Nts., 10/15/03 500,000 492,500
------------
1,248,125
------------
Environmental -- 0.2%
EnviroSource, Inc., 9.75% Sr. Nts.,
6/15/03 250,000 223,125
------------
Services -- 0.3%
Protection One Alarm Monitoring, Inc.,
Units (each Unit consists of ten
$1,000 principal amount 0%/13.625% Sr.
Sub. Disc. Nts., 6/30/05 and thirty
two Warrants, each Warrant entitles
holder to purchase one share of
Protection One, Inc. Common Stock)/(4)(6)(8)/ 500,000 337,500
------------
RETAIL -- 4.4%
Drug Stores -- 0.5%
Duane Reade, 12% Sr. Nts., Series B,
9/15/02 750,000 603,750
------------
Specialty Retailing -- 1.8%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03 1,000,000 820,000
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03 400,000 386,000
United Stationers Supply Co., 12.75%
Sr. Sub. Nts., 5/1/05/(4)/ 850,000 860,625
------------
2,066,625
------------
Supermarkets -- 2.1%
Grand Union Co., 12% Sr. Nts.,
9/1/04/(12)/ 581,000 566,475
Kash 'N Karry Food Stores, Inc.,
11.50% Sr. Nts., 2/1/03/(7)/ 500,000 485,771
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99 1,250,000 1,346,875
------------
2,399,121
------------
TRANSPORTATION -- 2.3%
Railroads -- 1.2%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03/(6)/ 2,200,000 1,331,000
------------
Shipping -- 1.1%
Trans Ocean Container Corp., 12.25%
Sr. Sub. Nts., 7/1/04 1,200,000 1,218,000
------------
UTILITIES -- 12.6%
Electric Utilities -- 4.9%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17 1,500,000 1,253,121
California Energy Co., 0%/10.25% Sr.
Disc. Nts., 1/15/04/(6)/ 1,650,000 1,435,502
El Paso Electric Co., 10.375% Lease
Obligation Bonds, Series 1986A,
1/2/11/(10)/ 500,000 265,403
El Paso Electric Co., 10.75% Lease
Obligation Bonds, 4/1/13/(10)/ 750,000 398,095
First PV Funding Corp., 10.15% Lease
Obligation Bonds, Series 1986B, 1/15/16 500,000 516,222
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1986A, 1/15/14 1,000,000 1,068,155
Subic Power Corp., 9.50% Sr. Sec.
Nts., Series A, 12/28/08 698,250 651,118
------------
5,587,616
------------
Telecommunications -- 7.7%
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04/(4)(6)/ 1,250,000 877,796
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03/(6)/ 2,000,000 1,460,000
Comcast Cellular Corp., Zero Coupon
Nts., Series B, 3/5/00 500,000 354,375
Geotek Communications, Inc., Units
(each Unit consists of $1,000 principal
amount 0%/15% Sr. Sec. Disc. Nts. and
thirty Warrants to purchase Common
Stock)/(4)(6)(8)/ 1,750,000 846,020
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00/(6)/ 1,500,000 1,177,500
In Flight Phone Corp., Units (each Unit
consists of $1,000 principal amount of
0%/14% Sr. Disc. Nts., Series A,
5/15/02 and one Warrant to purchase
one share of Common Stock)/(4)(6)(8)/ 1,000,000 590,000
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04/(6)/ 1,750,000 1,220,625
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01/(6)/ 1,350,000 1,086,750
USA Mobile Communications, Inc. II,
14% Sr. Nts., 11/1/04 1,000,000 1,080,000
------------
8,693,066
------------
Total Corporate Bonds and Notes
(Cost $82,191,185) 83,694,289
------------
SHARES
------
COMMON STOCKS -- 1.4%
BASIC INDUSTRY -- 0.2%
Containers -- 0.2%
Equitable Bag, Inc./(13)/ 3,723 $ 9,308
Gillett Holdings, Inc., Cl. 1/(9)(13)/ 10,355 207,100
------------
216,408
------------
Metals/Mining -- 0.0%
Triangle Wire & Cable, Inc./(9)(13)/ 21,111 42,222
------------
CONSUMER RELATED -- 0.4%
Food/Beverages/Tobacco -- 0.2%
Kash 'N Karry Food Stores, Inc./(13)/ 7,528 254,070
------------
Healthcare -- 0.2%
Berg Electronics Holdings Corp./(4)(13)/ 46,220 231,100
------------
FINANCIAL SERVICES -- 0.1%
Diversified Financial -- 0.1%
ECM Fund, L.P.I./(9)/ 150 150,000
------------
</TABLE>
17
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
-------- ------------
<S> <C> <C>
COMMON STOCKS (Continued)
HOUSING RELATED -- 0.1%
Building Materials -- 0.1%
Gulfstream Holding, Inc./(13)/ 56 $ --
Gulfstream Housing Corp./(13)/ 27,850 --
Walter Industries, Inc./(13)/ 4,837 66,509
------------
66,509
------------
MEDIA -- 0.1%
Broadcasting -- 0.1%
New World Communications Group,
Inc., Cl. A/(13)/ 2,964 61,874
------------
RETAIL -- 0.3%
Specialty Retailing -- 0.0%
Finlay Enterprises, Inc./(13)/ 1,333 18,829
Jewel Recovery LP/(13)/ 2,360 --
Zale Corp./(13)/ 2,360 31,860
------------
50,689
------------
Supermarkets -- 0.3%
Grand Union Co./(13)/ 26,511 377,782
------------
UTILITIES -- 0.2%
Telecommunications -- 0.2%
Celcaribe SA/(4)(13)/ 203,250 178,454
------------
Total Common Stocks
(Cost $1,403,729) 1,629,108
------------
PREFERRED STOCKS -- 5.4%
Atlantic Richfield Co., 9% Exchangeable
Notes for Common Stock of Lyondell
Petrochemical Co., 9/15/97 7,000 182,000
BankAmerica Corp., 8.375%, Series K 13,000 331,500
Berg Electronics Holdings Corp.,
$3.3438, Series E/(7)/ 13,142 354,834
California Federal Bank, 10.625% Non-
Cum., Series B 7,000 749,000
First Nationwide Bank, 11.50% Non-
Cum. 8,500 918,000
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E 16,500 561,000
J. Ray McDermott SA, $2.25 Cv.,
Series B 5,000 255,000
K-III Communications Corp., $11.625
Exchangeable, Series B/(7)/ 7,093 688,044
Kaiser Aluminum Corp., $.65 Cv.,
Series A 16,000 154,000
Kaiser Aluminum Corp., 8.255%
Provisionally Redeemable Income Debt
Exchangeable for Stock 20,000 270,000
Navistar International Corp., $6.00 Cv.,
Series G 2,500 130,000
Pantry Pride, Inc., $14.875
Exchangeable, Series B 2,000 206,500
Prime Retail, Inc., $19.00 Cv., Series B 17,000 316,625
SDW Holdings Corp. Units (each Unit
consists of ten shares of Sr.
Exchangeable Preferred Stock and one
Cl. B Warrant to purchase one share
of Common Stock)/(4)(8)/ 3,750 1,014,075
------------
Total Preferred Stocks
(Cost $5,694,727) 6,130,578
------------
Units
-------
Rights, Warrants and Certificates -- 0.7%
American Telecasting, Inc. Wts., Exp.
6/99 6,500 $ 16,250
Ames Department Stores, Inc., Excess
Cash Flow Payment Certificates,
Series AG-7A 12,400 124
Ames Department Stores, Inc.,
Litigation Trust 39,658 396
Capital Gaming International, Inc. Wts.,
Exp. 2/99 21,112 2,639
Digicon, Inc. Wts., Exp. 7/96 1,566 881
Echostar Communications Corp. Wts.,
Exp. 6/04 5,700 64,125
Eye Care Centers of America, Inc.
Wts., Exp. 10/03 1,000 5,000
Foamex LP/JPS Automotive Corp.
Wts., Exp. 7/99 500 5,000
Protection One, Inc. Wts., Exp. 11/03 28,000 168,000
UGI Corp. Wts., Exp. 3/98 6,000 300
Casino America, Inc. Wts., Exp. 11/96 1,631 1,632
Gaylord Container Corp. Wts., Exp.
7/96 46,950 487,106
Icon Health & Fitness, Inc. Wts., Exp.
11/99/(4)/ 400 10,000
Purity Supreme, Inc. Wts., Exp.
8/97/(9)/ 2,599 52
Southland Corp. Wts., Exp. 3/96 400 750
Terex Corp. Rts., Exp. 7/96/(4)/ 744 93
Trizec Corp. Wts., Exp. 7/99 3,970 6,068
------------
Total Rights, Warrants and
Certificates (Cost $311,460) 768,416
------------
</TABLE>
<TABLE>
<CAPTION>
DATE/PRICE
---------------
<S> <C> <C> <C>
PUT OPTIONS PURCHASED -- 0.1%
OTC European Standard &
Poors 500 Index Put Opt. Aug. 25/$545.25 3,000 39,900
OTC Russell 2000 Index Put Opt. Aug. 25/$283.50 1,000 22,200
------------
Total Put Options Purchased
(Cost $68,300) 62,100
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT/(1)/
--------------
<S> <C> <C>
STRUCTURED INSTRUMENTS -- 0.7%
Goldman, Sachs & Co., Argentina Local
Market Securities Trust, 11.30%,
4/1/00 (representing debt of Argentina
(Republic of) Bonos del Tesoro Bonds,
Series 10, 6.319%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust)
(Cost $869,565)/(2)(9)/ $ 869,565 $ 791,304
------------
</TABLE>
18
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
(NOTE 1)
------------
<S> <C> <C>
TOTAL INVESTMENTS, AT VALUE
(COST $109,316,490) 99.4% 112,442,478
----- ------------
OTHER ASSETS NET OF LIABILITIES 0.6 686,254
----- ------------
NET ASSETS 100.0% $113,128,732
===== ============
</TABLE>
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows:
CAD - Canadian Dollar IDR - Indonesian Rupiah
CLP - Chilean Peso NOK - Norwegian Krone
DEM - German Deutsche Mark NZD - New Zealand Dollar
GBP - British Pound Sterling
/(2)/ Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign currency.
/(3)/ Represents the current interest rate for a variable rate security.
/(4)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This
security has been determined to be liquid under guidelines established by
the Board of Trustees. These securities amount to $10,257,514 or 9.1% of
the Fund's net assets, at June 30, 1995.
/(5)/ Represents the current interest rate for an increasing rate security.
/(6)/ Represents a zero coupon bond that converts to a fixed rate of interest
at a designated future date.
/(7)/ Interest or dividend is paid in kind.
/(8)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. In
most cases, units involve a high degree of risk.
/(9)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(10)/ Non-income producing--issuer is in default of interest payment.
/(11)/ Partial interest payment received.
/(12)/ When-issued security to be delivered and settled after June 30, 1995.
/(13)/ Non-income producing security.
/(14)/ A sufficient amount of securities has been designated to cover
outstanding forward foreign currency exchange contracts. See Note 5
of Notes to Financial Statements.
See accompanying Notes to Financial Statements.
19
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER BOND FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
----------------- ------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 2.3%
Citibank, 11.10% CD, 11/15/95/(2)/ CLP $ 649,629,998 $ 1,736,282
Citibank, 15% CD, 8/28/95/(2)/ CLP 521,812,572 1,394,661
Indonesia (Republic of) CD, Bank
Negara, Zero Coupon, 6/17/96/(2)/ IDR 2,000,000,000 766,726
------------
Total Certificates of Deposit
(Cost $3,650,412) 3,897,669
------------
MORTGAGE-BACKED OBLIGATIONS -- 14.3%
GOVERNMENT AGENCY -- 8.6%
FHLMC/FNMA/Sponsored -- 3.9%
Federal National Mortgage Assn.,
Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 6.75%,
11/25/05 3,000,000 3,210,300
Federal National Mortgage Assn., Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 10.40%,
4/25/19 2,000,000 2,152,920
Federal National Mortgage Assn.,
Interest-Only Stripped Mtg.-Backed
Security, Trust 240, Cl. 2, 7%,
9/25/23/(3)/ 1,656,012 523,714
Federal National Mortgage Assn.,
Interest-Only Stripped Mtg.-Backed
Security, Trust 257, Cl. 2, 7%,
2/25/24/(3)/ 2,734,304 871,132
------------
6,758,066
------------
GNMA/Guaranteed -- 4.7%
Government National Mortgage Assn.,
6%, 10/20/24 3,032,964 3,041,495
Government National Mortgage Assn.,
6.50%, 8/15/25/(4)/ 5,000,000 5,065,625
------------
8,107,120
------------
PRIVATE -- 5.7%
COMMERCIAL -- 3.0%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1, Cl. 2-D,
8.70%, 9/25/25 1,500,000 1,567,500
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1, Cl. 2-E,
8.70%, 9/25/25 1,500,000 1,529,063
Resolution Trust Corp., Commercial
Mfg. Pass-Through Certificates, Series
1992-CHF, Cl. C, 8.25%, 12/25/20 1,076,763 1,105,440
Resolution Trust Corp., Commercial
Mfg. Pass-Through Certificates, Series
1994-C1, Cl. A, 7.25%, 6/26/26 879,922 879,922
------------
5,081,925
------------
Multi-Family -- 2.7%
Countrywide Funding Corp., Series
1993-12, Cl. B1, 6.625%, 2/25/24 1,000,000 870,313
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1991-M5, Cl. A, 9%, 3/25/17 2,631,513 2,754,043
Resolution Trust Corp., Commercial
Mfg. Pass-Through Certificates, Series
1995-C1, Cl. D, 6.90%, 2/25/27 1,000,000 924,688
------------
4,549,044
------------
Total Mortgage-Backed Obligations
(Cost $23,635,633) 24,496,155
------------
U.S. GOVERNMENT OBLIGATIONS -- 38.8%
TREASURY -- 38.8%
U.S. Treasury Bonds:
7.125%, 2/15/23 3,000,000 3,167,811
7.25%, 8/15/22 6,000,000 6,410,621
8%, 11/15/21 5,000,000 5,779,684
U.S. Treasury Nts.:
6%, 12/31/97 3,000,000 3,012,186
6.25%, 6/31/00 10,000,000 10,106,250
6.375%, 6/30/97 1,000,000 1,011,875
6.50%, 5/15/05 5,000,000 5,100,781
6.675%, 3/31/00 5,000,000 5,176,559
7.25%, 5/15/04-8/15/04 7,000,000 7,476,250
7.375%, 11/15/97 2,000,000 2,066,250
7.50%, 2/15/05 5,000,000 5,448,434
7.75%, 12/31/99-1/31/00 6,000,000 6,411,874
7.875%, 6/30/96-11/15/04 3,000,000 3,247,499
9.25%, 8/15/98 2,000,000 2,186,250
------------
Total U.S. Government Obligations
(Cost $63,391,400) 66,602,324
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 15.1%
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 10/11/85 1,000,000 964,687
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 7/27/95 2,084,000 2,065,070
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 8/3/95 250,000 247,022
Canada (Government of) Bonds, 9%,
12/1/04 CAD 3,820,000 2,976,893
Corporacion Andina de Fomento Sr
Unsec. Debs., 6.625%, 10/14/98/(5)/ 1,000,000 962,500
Corporacion Andina de Fomento Sr.
Unsec. Debs., 7.25%, 4/30/98/(5)/ 1,000,000 983,750
Czechoslovakia National Bank Bonds,
7%, 4/6/96/(5)/ 1,500,000 1,507,500
Financiera Energetica Nacional Nts.,
8.625%, 12/13/96 2,350,000 2,329,438
Financiera Energetica Nacional SA
Medium-Term Nts., 9%, 11/8/99 400,000 408,000
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
94, 6.25%, 1/4/24 DEM 3,830,000 2,343,731
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
95, 7.375%, 1/3/05 DEM 2,700,000 1,995,561
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD 1,000,000 724,214
New Zealand (Republic of) Bonds, 10%,
7/15/97 NZD 1,250,000 864,271
</TABLE>
20
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER BOND FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
----------------- ------------
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS (Continued)
New Zealand (Republic of) Bonds, 8%,
11/15/95 NZD $ 1,500,000 $ 998,584
New Zealand (Republic of) Bonds, 9%,
11/15/96 NZD 2,250,000 1,514,321
Norwegian Government Bonds, 7%,
5/31/01 NOK 4,950,000 784,774
Poland (Republic of) Past Due
Interest Bonds, 3.25%, 10/27/14/(6)/ 1,900,000 1,142,375
South Australia Government Finance
Authority Bonds, 10%, 1/15/03 AUD 1,000,000 734,852
United Kingdom Treasury Nts., 10%,
2/28/01 GBP 700,000 1,195,064
United Kingdom Treasury Nts., 12%,
11/20/98 GBP 550,000 975,073
Western Australia Treasury Corp. Gld.
Bonds, Series 98, 12.50%, 4/1/98 AUD 200,000 156,403
------------
Total Foreign Government Obligations
(Cost $25,644,938) 25,874,083
------------
MUNICIPAL BONDS AND NOTES -- 2.0%
Connecticut State Taxable General
Obligation Bonds, 6.625%, 12/15/97 650,000 658,256
Dade County, Florida Educational
Facilities Authority Exchangeable
Revenue Bonds, University of Miami,
Prerefunded, MBIA Insured, 7.65%,
4/1/10 175,000 200,033
Dade County, Florida Educational
Facilities Authority Revenue Bonds,
University of Miami, MBIA Insured,
7.65%, 4/1/10 205,000 227,358
Dade County, Florida Educational
Facilities Authority Taxable Exchange
Revenue Bonds, University of Miami,
MBIA Insured, 9.70%, 4/1/10 120,000 134,460
New York State Environmental
Facilities Corp. State Service
Contract Taxable Revenue Bonds,
Series B, 7.30%, 3/15/97 200,000 201,368
New York State Environmental
Facilities Corp. State Service
Contract Taxable Revenue Bonds,
Series B, 8.15%, 3/15/02 800,000 824,342
Pinole, California Redevelopment Agency
Tax Allocation Taxable Bonds, Pinole
Vista Redevelopment, Series B, 8.35%,
8/1/17 670,000 707,728
Port of Portland, Oregon Special
Obligation Taxable Revenue Bonds,
PAMCO Project, 9.20%, 5/15/22 500,000 538,646
------------
Total Municipal Bonds and Notes
(Cost $3,304,111) 3,492,191
------------
CORPORATE BONDS AND NOTES -- 22.9%
BASIC INDUSTRY -- 3.3%
Chemicals -- 1.4%
Quantum Chemical Corp., 10.375% First
Mfg. Nts., 6/1/03 2,100,000 2,384,231
Paper -- 1.9%
Boise Cascade Corp., 9.90% Nts.,
3/15/00 750,000 840,523
Noranda Forest, Inc., 11% Debs.,
7/15/98 CAD 1,000,000 783,368
Scotia Pacific Holding Co., 7.95%
Timber Collateralized Nts., 7/20/15 1,570,075 1,571,629
------------
3,195,520
------------
CONSUMER RELATED -- 3.4%
Food/Beverages/Tobacco -- 1.0%
Dr. Pepper/Seven-Up Cos., Inc.,
0%/11.50% Sr. Sub. Disc. Nts.,
11/1/02/(7)/ 1,315,000 1,170,350
Phillip Morris Cos., Inc., 6.675% Nts.,
7/1/96 500,000 512,440
------------
1,682,790
------------
Healthcare -- 0.7%
R.P. Scherer International Corp., 6.75%
Sr. Nts., 2/1/04 1,250,000 1,162,500
------------
Hotel/Gaming -- 0.7%
Circus Circus Enterprises, Inc., 6.75%
Nts., 7/15/03 1,225,000 1,181,467
------------
Textile/Apparel -- 0.6%
Fruit of the Loom, Inc., 7% Debs.,
3/15/11 1,097,000 1,010,724
------------
Toys -- 0.4%
Mattel, Inc., 6.675% Sr. Nts, 6/1/97 700,000 706,886
------------
Energy -- 4.3%
Atlantic Richfield Co., 10.375% Nts.,
7/15/95 375,000 375,397
BP America, Inc., 10.875% Nts.,
6/1/01 CAD 650,000 530,479
Coastal Corp., 11.75% Sr. Debs.,
6/15/06 2,000,000 2,175,994
Coastal Corp., 9.75% Sr. Debs., 8/1/03 200,000 229,784
Enron Corp., 9.875% Debs., 8/15/03 375,000 442,299
McDermott, Inc., 9.375% Nts., 3/15/02 400,000 444,527
Mitchell Energy & Development Corp.,
9.25% Sr. Nts., 1/15/02 1,000,000 1,116,297
Sonat, Inc., 9.50% Nts., 8/15/99 250,000 275,563
Southwest Gas Corp., 9.75% Debs.,
Series F, 6/15/02 500,000 573,069
Tenneco, Inc., 10% Debs., 3/15/08 400,000 496,285
Tenneco, Inc., 7.675% Nts., 10/1/02 650,000 688,966
------------
7,348,660
------------
FINANCIAL SERVICES -- 3.5%
Banks & Thrifts -- 2.4%
Banco Ganadero SA, Zero Coupon Sr.
Unsub. Unsec. Nts., 6/16/96/(5)/ 500,000 455,805
Chemical New York Corp., 9.75% Sub.
Capital Nts., 6/15/99 200,000 221,872
First Chicago Corp., 11.25% Sub. Nts.,
2/20/01 750,000 903,358
First Fidelity Bancorporation, 8.50%
Sub. Capital Nts., 4/1/98 100,000 105,076
NBD Bancorp, Inc., 7.25% Sub. Debs.,
8/15/04 165,000 169,103
SBC Finance (C.I.) Ltd., 5.50% Swiss
Bank Corp. Gld. Nte., 9/30/97 CHF 2,570,000 2,271,948
------------
4,127,162
------------
</TABLE>
21
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER BOND FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
----------------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
FINANCIAL SERVICES (Continued)
Diversified Financial -- 1.1%
American Car Line Co., 8.25%
Equipment Trust Certificates, Series
1993-A, 4/15/08 $ 627,000 $ 655,215
Heller Financial, Inc., 7.75% Nts.,
5/15/97 475,000 487,260
Lehman Brothers Holdings, Inc., 8.375%
Nts., 2/15/99 350,000 363,895
PaineWebber Group, Inc., 7.75% Sub.
8% Nts., 9/1/02 450,000 457,281
------------
1,963,651
------------
MANUFACTURING -- 1.5%
Automotive -- 1.5%
Chrysler Corp., 10.95% Debs., 8/1/17 800,000 896,890
General Motors Acceptance Corp.,
5.50% Nts., 12/15/01 300,000 277,784
General Motors Acceptance Corp.,
7.75% Nts., 4/15/97 700,000 710,483
General Motors Acceptance Corp.,
8% Nts., 10/1/96 700,000 714,515
------------
2,599,672
------------
MEDIA -- 4.5%
Cable Television -- 2.6%
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23 1,500,000 1,506,780
Time Warner, Inc., 9.15% Debs., 2/1/23 300,000 316,284
TKR Cable I, Inc., 10.50%, Sr. Debs.,
10/30/07 2,200,000 2,544,245
------------
4,367,309
------------
Diversified Media -- 1.5%
GSPI Corp., 10.15%, First Mtg. Bonds,
6/24/10/(5)/ 1,160,771 1,366,228
News America Holdings, Inc., 10.126%
Gtd. Sr. Debs., 10/15/12 500,000 603,558
News America Holdings, Inc., 12% Sr.
Nts., 12/15/01 500,000 568,087
------------
2,537,873
------------
Entertainment/Film -- 0.5%
Columbia Pictures Entertainment, Inc.,
9.875% Sr. Sub. Nts., 2/1/98 500,000 538,434
Eastman Kodak Co., 10% Nts., 6/15/01 250,000 259,970
------------
798,404
------------
RETAIL -- 0.8%
Drug Stores -- 0.8%
Hook-SupeRx, Inc., 10.125% Sr. Nts.,
6/1/02 600,000 645,275
Revco D.S., Inc., 9.125% Sr. Nts.,
1/15/00 750,000 783,750
------------
1,429,025
------------
TRANSPORTATION -- 0.3%
Railroads -- 0.3%
Union Pacific Corp., 9.65% Medium-
Term Nts., 4/17/00 400,000 448,908
------------
UTILITIES -- 1.3%
Electric Utilities -- 1.0%
Commonwealth Edison Co., 6.40% Nts.,
10/15/05 275,000 252,041
Commonwealth Edison Co., 6.50% Nts.,
7/15/97 550,000 546,178
Long Island Lighting Co., 7% Nts.,
3/1/04 150,000 134,035
Public Service Co. of Colorado, 8.75%
First Mtg. Bonds, 3/1/22 750,000 815,683
------------
1,747,937
------------
Telecommunications -- 0.3%
GTE Corp., 9.375% Debs., 12/1/00 500,000 563,436
------------
Total Corporate Bonds and Notes
(Cost $38,665,682) 39,256,155
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-----------------
<S> <C> <C>
PREFERRED STOCKS -- 0.6%
Atlantic Richfield Co., 9% Exchangeable
Notes for Common Stock of Lyondell
Petrochemical Co., 9/15/97 15,000 390,000
BankAmerica Corp., 8.375%, Series K 25,000 637,500
------------
Total Preferred Stocks
(Cost $1,076,533) 1,027,500
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT(1)
-----------------
<S> <C> <C>
STRUCTURED INSTRUMENTS -- 0.6%
Merrill Lynch & Co., Inc. Units, 9.75%
6/15/99 (representing debt of Chemical
Banking Corp., Sub. Capital Nts., and
equity of Citicorp, 7.75% Preferred,
Series 22) (Cost $1,100,540)/(8)(9)/ 1,000,000 1,109,000
------------
REPURCHASE AGREEMENTS -- 4.8%
Repurchase agreement with First Chicago
Capital Markets, 6.125%, dated 6/30/95, to be
repurchased at $8,206,186 on 7/3/95,
collateralized by U.S. Treasury Bonds, 11.25%,
2/15/15, with a value of $836,746, U.S.
Treasury Nts., 4.75%-7.875%, 3/31/96-8/15/01,
with a value of $5,473,331, and U.S. Treasury
Bills maturing 9/28/95-12/14/95, with a value
of $2,064,160 (Cost $8,202,000) 8,202,000 8,202,000
TOTAL INVESTMENTS, AT VALUE
(COST $168,871,249) 101.4% 173,957,077
------ ------------
LIABILITIES IN EXCESS OF OTHER ASSETS (1.4) (2,384,311)
------ ------------
NET ASSETS 100.0% $171,572,766
====== ============
</TABLE>
22
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER BOND FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows:
AUD -- Australian Dollar GBP -- British Pound Sterling
CAD -- Canadian Dollar IDR -- Indonesian Rupiah
CHF -- Swiss Franc NOK -- Norwegian Krone
CLP -- Chilean Peso NZD -- New Zealand Dollar
DEM -- German Deutsche Mark
/(2)/ Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign currency.
/(3)/ 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).
/(4)/ When-issued security to be delivered and settled after June 30, 1995.
/(5)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the
Board of Trustees. These securities amount to $5,275,783 or 3.1% of the
Fund's net assets, at June 30, 1995.
/(6)/ Represents the current interest rate for an increasing rate security.
/(7)/ Represents a zero coupon bond that converts to a fixed rate of interest
at a designated future date.
/(8)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. In most
cases, units involve a high degree of risk.
/(9)/ Identifies issues considered to be illiquid -- See Note 7 of Notes to
Financial Statements.
/(10)/ A sufficient amount of securities has been designated to cover
outstanding forward foreign currency exchange contracts. See Note 5 of
Notes to Financial Statements.
See accompanying Notes to Financial Statements.
23
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER CAPITAL APPRECIATION FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
----------------- ------------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS AND NOTES -- 2.4%
CONSUMER NON-CYCLICALS -- 1.0%
Healthcare/Drugs -- 0.3%
PerSeptive Biosystems, Inc.,
8.25% Cv. Sub. Debs.,
6/15/01/(1)/ $ 850,000 $ 773,500
------------
HEALTHCARE/SUPPLIES & SERVICES -- 0.7%
Medaphis Corp., 6.50% Cv. Sub. Nts.,
1/1/00/(1)/ 1,000,000 1,561,250
------------
TECHNOLOGY -- 1.4%
Computer Hardware -- 0.4%
Danka Business Systems PLC,
6.75% Cv. Sub. Nts.,
4/01/02/(1)/ 800,000 844,000
------------
Computer Software -- 0.7%
Sierra On-Line, Inc., 6.50% Cv. Sub.
Nts., 4/1/01/(1)/ 1,000,000 1,672,500
------------
Telecommunications-Technology -- 0.3%
Intelcom Group, Inc., 7% Cv. Sub. Nts.,
10/30/98/(2)/ 1,105,000 736,605
------------
Total Convertible Corporate Bonds and
Notes (Cost $4,796,200) 5,587,855
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
-----------------
<S> <C> <C>
COMMON STOCKS -- 79.2%
BASIC MATERIALS -- 0.8%
Chemicals -- 0.8%
Georgia Gulf Corp. 57,000 1,859,621
CONSUMER CYCLICALS -- 23.5%
Autos & Housing -- 0.7%
Recoton Corp./(3)/ 84,000 1,638,000
Leisure & Entertainment -- 6.5%
Apple South, Inc. 46,100 898,950
Brunswick Corp. 42,000 714,000
Cannondale Corp./(3)/ 90,000 1,260,000
Circus Circus Enterprises, Inc./(3)/ 73,400 2,587,350
Department 56, Inc./(3)/ 50,300 1,923,975
Doubletree Corp./(3)/ 60,000 1,293,750
La Quinta Inns, Inc. 70,000 1,890,000
Lone Star Steakhouse & Saloon/(3)/ 50,000 1,515,625
Sonic Corp./(3)/ 80,000 2,200,000
Station Casinos, Inc./(3)/ 69,000 1,190,250
------------
15,473,900
------------
Media -- 1.1%
SFX Broadcasting, Inc., Cl. A/(3)/ 48,200 1,289,350
Sinclair Broadcast Group, Inc./(3)/ 50,000 1,400,000
------------
2,689,350
------------
Retail: General -- 3.3%
Dollar General Corp. 64,800 2,049,300
Dollar Tree Stores, Inc./(3)/ 38,000 1,007,000
Nautica Enterprises, Inc./(3)/ 35,000 1,268,760
Revco D.S., Inc./(3)/ 150,000 3,600,000
------------
7,925,050
------------
Retail: Specialty -- 11.9%
AmeriSource Health Corp./(3)/ 48,500 1,106,406
Borders Group, Inc./(3)/ 41,900 602,313
Claire's Stores, Inc. 90,000 1,631,250
Copart, Inc./(3)/ 98,100 2,231,775
Corporate Express, Inc./(3)/ 52,500 1,122,188
CUC International, Inc./(3)/ 36,000 1,512,000
General Nutrition Cos., Inc./(3)/ 99,400 3,491,425
Hollywood Entertainment Corp./(3)/ 45,000 2,025,000
Micro Warehouse, Inc./(3)/ 65,000 2,990,000
Nike, Inc., Cl. B 46,000 3,864,000
OfficeMax, Inc./(3)/ 30,500 850,188
Petco Animal Supplies, Inc./(3)/ 40,000 930,000
Staples, Inc./(3)/ 45,000 1,299,375
Tommy Hilfiger Corp./(3)/ 81,700 2,287,600
Viking Office Products, Inc./(3)/ 65,000 2,380,625
------------
28,324,145
------------
CONSUMER NON-CYCLICALS -- 14.1%
Beverages -- 1.2%
Canandaigua Wine Co., Inc., Cl. A/(3)/ 65,000 2,908,750
------------
Healthcare/Drugs -- 4.5%
Dura Pharmaceuticals, Inc./(3)/ 75,000 1,410,938
Elan Corp. PLC, ADR/(3)/ 45,000 1,833,750
Ethical Holdings, Sponsored ADR/(3)/ 50,000 287,500
Mariek Biosciences Corp./(3)/ 40,000 540,000
Matrix Pharmaceutical, Inc./(3)/ 30,400 410,400
R.P. Scherer Corp./(3)/ 60,000 2,535,000
Roberts Pharmaceutical Corp./(3)/ 33,200 730,400
Watson Pharmaceuticals, Inc./(3)/ 75,000 2,925,000
------------
10,672,988
------------
Healthcare/Supplies & Services -- 7.9%
American Oncology Resources, Inc./(3)/ 7,500 208,125
Community Psychiatric Centers/(3)/ 85,000 731,250
Gulf South Medical Supply, Inc./(3)/ 63,400 1,521,600
Horizon Healthcare Corp./(3)/ 83,700 1,496,138
Integrated Health Services, Inc. 20,500 615,000
Lincare Holdings, Inc./(3)/ 59,200 1,572,500
Omnicare, Inc. 59,800 1,622,075
Omda Healthcorp/(3)/ 60,000 1,370,000
Ostax International, Inc./(3)/ 35,000 813,750
Oxford Health Plans, Inc./(3)/ 15,000 708,750
PacifiCare Health Systems, Inc./(3)/ 21,300 1,086,300
PhyCor, Inc./(3)/ 50,000 1,756,250
Physicians Health Services, Inc., Cl. A/(3)/ 18,400 487,600
Physicians Resource Group, Inc./(3)/ 75,000 1,003,125
Pyxis Corp./(3)/ 50,000 1,131,250
Quorum Health Group, Inc./(3)/ 46,000 931,500
Spine-Tech, Inc./(3)/ 21,000 225,750
Steris Corp./(3)/ 29,000 1,406,500
------------
18,687,483
------------
Household Goods -- 0.5%
Ultralife Batteries, Inc./(3)/ 60,000 1,095,000
------------
Energy -- 1.8%
Energy Services & Producers -- 1.8%
Cross Timbers Oil Co. 30,800 488,950
Nabors Industries, Inc./(3)/ 100,000 825,000
Newfield Exploration Co./(3)/ 20,000 567,500
NUMAR Corp./(3)/ 36,000 373,500
</TABLE>
24
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER CAPITAL APPRECIATION FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES (NOTE 1)
----------------- ------------
<S> <C> <C>
COMMON STOCKS (Continued)
ENERGY (Continued)
Energy Services & Producers (Continued)
St. Mary Land & Exploration Co. 50,000 $ 625,000
Stone Energy Corp./(3)/ 35,000 415,625
Weatherford International, Inc./(3)/ 80,000 1,020,000
------------
4,315,575
------------
FINANCIAL -- 1.5%
Diversified Financial -- 1.4%
Advanta Corp., Cl. B 40,000 1,510,000
First USA, Inc. 39,400 1,748,375
------------
3,258,375
------------
Insurance -- 0.1%
APPS Dental, Inc./(2)/ 10,000 210,000
------------
INDUSTRIAL -- 7.9%
Electrical Equipment -- 1.8%
C.P. Clare Corp./(3)/ 3,800 76,000
Molex, Inc., Cl. A 56,250 2,053,125
Oak Industries, Inc./(3)/ 35,000 901,250
------------
3,030,375
------------
Industrial Materials -- 0.7%
Kennametal, Inc. 45,000 1,586,250
------------
Industrial Services -- 5.9%
Danka Business System PLC,
Sponsored ADR 70,000 1,693,125
First Data Corp. 35,000 1,990,625
Loewen Group, Inc. 35,000 1,246,875
Open Environment Corp./(3)/ 12,500 256,250
Reynolds & Reynolds Co., Cl. A 47,000 1,386,500
Sensormatic Electronics Corp. 50,000 1,775,000
Stewart Enterprises, Inc. 50,000 1,675,000
Transaction Systems Architects,
Inc./(3)/ 40,000 1,030,000
United Waste Systems, Inc./(3)/ 80,000 2,880,000
------------
13,933,375
------------
TECHNOLOGY -- 29.6%
Computer Hardware -- 5.1%
Adaptec, Inc./(3)/ 57,300 2,120,100
Andrew Corp./(3)/ 30,250 1,750,719
Boca Research, Inc./(3)/ 35,000 945,000
EMC Corp./(3)/ 99,000 2,400,750
In Focus Systems, Inc./(3)/ 70,000 1,890,000
Number Nine Visual Technology
Corp./(3)/ 50,000 1,037,500
Planar Systems, Inc./(3)/ 50,000 1,112,500
Proxima Corp./(3)/ 35,000 835,625
------------
12,092,194
------------
Computer Software -- 10.9%
7th Level, Inc./(3)/ 60,000 855,000
Adobe Systems, Inc. 10,000 580,000
Computer Horizons Corp./(3)/ 80,000 1,280,000
Compuware Corp./(3)/ 70,000 2,152,500
Concentra Corp./(3)/ 125,000 1,218,750
Datalogix International, Inc./(3)/ 13,000 316,875
Denorite International, Inc./(3)/ 15,000 241,875
Discreet Logic, Inc./(3)/ 10,000 330,000
Expert Software, Inc./(3)/ 28,000 518,000
FileNet Corp./(3)/ 45,000 1,816,875
Firefox Communications, Inc./(3)/ 31,300 805,975
First Financial Management Corp. 25,000 2,137,500
HBO & Co. 40,000 2,180,000
Inference Corp., Cl. A/(3)/ 25,000 353,125
Informix Corp./(3)/ 120,000 3,045,000
Innuit, Inc./(3)/ 15,000 1,140,000
Maxis, Inc./(3)/ 30,000 798,750
Pairgain Technologies, Inc./(3)/ 50,000 956,250
Physician Computer Network, Inc./(3)/ 115,000 445,625
Rational Software Corp./(3)/ 70,000 953,750
Seer Technologies, Inc./(3)/ 7,500 155,625
Softkey International, Inc./(3)/ 65,000 2,071,875
Systemsoft Corp./(3)/ 40,000 580,000
Viasoft, Inc./(3)/ 75,000 984,375
------------
25,917,725
------------
Electronics -- 2.4%
ANADIGICS, Inc./(3)/ 21,000 409,500
General Instrument Corp./(3)/ 35,000 1,343,125
ITI Technologies, Inc./(3)/ 60,000 1,425,000
Oak Technology, Inc./(3)/ 24,500 900,375
Sanmina Corp./(3)/ 28,300 1,075,400
VLSI Technology, Inc./(3)/ 15,000 451,875
------------
5,605,275
------------
Telecommunications-Technology -- 11.2%
ADC Telecommunications, Inc./(2)/ 60,000 2,145,000
ALC Communications Corp./(3)/ 35,000 1,579,375
Arch Communications Group, Inc./(3)/ 110,000 2,447,500
DSC Communications Corp./(3)/ 50,000 2,325,000
Glenayre Technologies, Inc./(3)/ 51,750 2,639,250
Harmonic Lightwaves, Inc./(3)/ 25,000 418,750
IntelCom Group, Inc./(3)/ 30,000 254,719
LCI International, Inc./(3)/ 66,300 2,030,438
Mobilemedia Corp./(3)/ 45,000 922,500
Psriphonics Corp./(3)/ 43,800 755,550
ProNet, Inc./(3)/ 100,000 2,050,000
Sitel Corp./(3)/ 59,300 1,059,988
Tellabs, Inc./(3)/ 90,000 4,331,250
Teltrend, Inc./(3)/ 50,000 987,500
WorldCom, Inc./(3)/ 100,598 2,716,146
------------
26,662,966
------------
Total Common Stocks
(Cost $150,776,148) 187,886,377
------------
</TABLE>
<TABLE>
<CAPTION>
UNITS
-----------------
<S> <C> <C>
RIGHTS, WARRANTS AND CERTIFICATES -- 0.0%
Jan Bell Marketing, Inc. Wis.,
Exp. 12/98 532 --
Tapistron International, Inc. Wts.,
Exp. 6/97 120,000 11,250
Windmere Corp., Wts., Exp. 1/98 381 --
Total Rights, Warrants and
Certificates (Cost $52,860) 11,250
------------
</TABLE>
25
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER CAPITAL APPRECIATION FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (NOTE 1)
----------------- ------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 17.2%
Repurchase agreement with First
Chicago Capital Markets, 6.125%, dated
6/30/95, to be repurchased at $40,936,884
on 7/3/95, collateralized by U.S. Treasury
Bonds, 11.25%, 2/15/15 with a value of
$4,174,142, U.S. Treasury Nts., 4.75%-
7.675%, 3/31/96-8/15/01, with a value of
$27,303,926, and U.S. Treasury Bills
maturing 9/28/95-12/14/95, with a value of
$10,297,141 (Cost $40,916,000) $ 40,916,000 $ 40,916,000
------------
TOTAL INVESTMENTS, AT VALUE (COST
$196,541,206) 98.8% 234,401,482
----- ------------
OTHER ASSETS NET OF LIABILITIES 1.2 2,862,313
----- ------------
NET ASSETS 100.0% $237,263,795
===== ============
</TABLE>
/(1)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the Board
of Trustees. These securities amount to $4,851,250 or 2% of the Fund's net
assets, or June 30, 1995.
/(2)/ Interest or dividend is paid in kind.
/(3)/ Non-income producing security
See accompanying Notes to Financial Statements.
26
<PAGE>
<TABLE>
<CAPTION>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
STATEMENT OF INVESTMENTS
June 30, 1995
(Unaudited)
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks -- 76.7%
Basic Materials -- 7.8%
Chemicals -- 5.6%
FMC Corp./(1)/......................... 4,000 $ 269,000
Georgia Gulf Corp...................... 25,200 822,150
IMC Global, Inc........................ 20,000 1,082,500
Monsanto Co............................ 2,000 180,250
Morton International, Inc.............. 25,000 731,250
PPG Industries, Inc.................... 18,000 774,000
Sterling Chemicals, Inc./(1)/.......... 48,600 564,976
Union Carbide Corp..................... 17,000 567,375
----------
4,991,500
----------
Metals -- 0.4%
Reynolds Metals Co..................... 7,000 362,250
Paper -- 1.8%
Boise Cascade Corp..................... 15,000 607,500
Federal Paper Board Co................. 20,000 707,500
Willamette Industries, Inc............. 6,000 333,000
----------
1,648,000
----------
Consumer Cyclicals --10.4%
Autos & Housing -- 0.9%
Goodyear Tire & Rubber Co.............. 15,000 618,750
Maytag Corp............................ 10,000 160,000
----------
778,750
----------
Leisure & Entertainment -- 3.1%
Brunswick Corp......................... 30,000 510,000
King World Productions, Inc./(1)/...... 7,000 283,500
McDonald's Corp........................ 9,000 352,125
Outback Steakhouse, Inc./(1)/.......... 12,000 346,500
Outboard Marine Corp................... 10,000 196,250
Walt Disney Co......................... 20,000 1,112,500
----------
2,800,875
----------
Media -- 0.6%
Multimedia, Inc./(1)/.................. 8,000 310,000
Viacom, Inc., Cl. B/(1)/............... 3,667 170,057
----------
480,057
----------
Retail: General -- 2.5%
Dollar General Corp.................... 30,000 948,750
May Department Stores Co............... 14,000 582,750
Waban, Inc./(1)/....................... 10,000 148,750
Wal-Mart Stores, Inc................... 21,000 561,750
----------
2,242,000
----------
Retail: Specialty -- 3.3%
Bed Bath & Beyond, Inc................. 18,000 436,500
Gap, Inc. (The)........................ 20,000 697,500
Home Depot, Inc. (The)................. 24,000 975,000
OfficeMax, Inc./(1)/................... 8,000 223,000
Tommy Hilfiger Corp./(1)/.............. 22,500 630,000
----------
2,962,000
----------
Consumer Non-Cyclicals -- 17.3%
Beverages -- 1.7%
Coca-Cola Co. (The).................... 23,000 1,466,250
Food -- 1.4%
ConAgra, Inc........................... 4,000 139,500
IBP, Inc............................... 15,000 652,500
Smithfield Foods, Inc.................. 21,000 447,563
----------
1,239,583
----------
Healthcare/Drugs -- 5.5%
Abbott Laboratories.................... 25,000 $1,012,500
Amgen, Inc./(1)/....................... 4,000 321,750
Bristol-Myers Squibb Co................ 4,500 306,563
Johnson & Johnson...................... 13,000 879,125
Pfizer, Inc............................ 12,000 1,108,500
Schering-Plough Corp................... 16,000 706,000
Warner-Lambert Co...................... 7,000 604,625
----------
4,939,063
----------
Healthcare/Supplies & Services -- 4.5%
Columbia/HCA Healthcare Corp........... 12,000 519,000
Cordis Corp./(1)/...................... 8,000 534,000
HealthCare COMPARE Corp./(1)/.......... 35,000 1,050,000
Medtronic, Inc......................... 17,000 1,311,125
Puritan-Bennett Corp................... 10,000 386,250
U.S. Healthcare, Inc................... 7,000 214,375
----------
4,014,750
----------
Household Goods -- 1.5%
Colgate-Palmolive Co................... 4,000 292,600
Newell Co.............................. 5,000 122,500
Procter & Gamble Co.................... 13,000 934,375
----------
1,349,375
----------
Tobacco -- 2.7%
Philip Morris Cos., Inc................ 16,000 1,190,000
UST, Inc............................... 39,000 1,160,250
----------
2,350,250
----------
Energy -- 0.7%
Oil-Integrated -- 0.7%
Phillips Petroleum Co.................. 6,000 200,250
Royal Dutch Petroleum Co............... 3,500 426,583
----------
626,813
----------
Financial -- 12.6%
Banks -- 5.1%
Bank of Boston Corp.................... 23,000 862,500
Chase Manhattan Corp................... 6,000 282,000
Chemical Banking Corp.................. 7,000 330,750
First Interstate Bancorp............... 10,000 802,500
Midlantic Corp......................... 19,000 760,000
NationsBank Corp....................... 10,000 536,250
SunTrust Banks, Inc.................... 8,000 468,000
UJB Financial Corp..................... 9,000 273,375
West One Bancorp....................... 6,000 200,250
----------
4,513,625
----------
Diversified Financial -- 5.6%
Advanta Corp., Cl. A................... 16,000 625,313
Federal Home Loan Mortgage Corp........ 15,000 1,031,250
Federal National Mortgage Assn......... 8,000 755,000
First USA, Inc......................... 18,000 798,750
Green Tree Financial Corp.............. 30,000 1,331,250
Travelers, Inc......................... 11,000 481,250
----------
5,022,813
----------
Insurance -- 1.9%
AFLAC, Inc............................. 9,250 404,688
SunAmerica, Inc........................ 16,000 816,000
UNUM Corp.............................. 10,000 468,750
----------
1,689,438
----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
STATEMENT OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Industrial -- 7.8%
Electrical Equipment -- 2.4%
Emerson Electric Co. ......................... 12,000 $ 858,000
General Electric Co. ......................... 16,000 902,000
Honeywell, Inc. .............................. 8,000 345,000
-----------
2,105,000
-----------
Industrial Materials -- 0.5%
Ball Corp. ................................... 14,000 488,250
Industrial Services -- 2.3%
Danka Business System PLC,
Sponsored ADR ............................... 12,000 290,250
First Data Corp. .............................. 16,000 910,000
Fluor Corp. ................................... 9,000 468,000
Manpower, Inc. ................................ 15,000 382,500
-----------
2,050,750
-----------
Manufacturing -- 1.2%
ITT Corp. .................................... 5,000 587,500
Varity Corp./(1)/ ............................ 11,000 484,000
-----------
1,071,500
-----------
Transportation -- 1.4%
Canadian Pacific Ltd. ........................ 53,000 920,875
Illinois Central Corp. ....................... 10,000 345,000
-----------
1,265,875
-----------
Technology -- 19.5%
Computer Hardware -- 5.4%
3Com Corp./(1)/ .............................. 5,000 335,000
Adaptec, Inc./(1)/ ........................... 10,000 370,000
Cabletron Systems, Inc./(1)/ ................. 20,000 1,065,000
Compaq Computer Corp./(1)/ ................... 18,000 816,750
Dell Computer Corp./(1)/ ..................... 6,000 360,750
Digital Equipment Corp./(1)/ ................. 6,000 244,500
EMC Corp./(1)/ ............................... 31,000 751,750
Seagate Technology, Inc./(1)/ ................ 19,000 745,750
Western Digital Corp./(1)/ ................... 9,800 170,275
-----------
4,859,775
-----------
Computer Software -- 7.4%
Acclaim Entertainment, Inc./(1)/ ............. 20,000 368,750
Automatic Data Processing, Inc. .............. 17,000 1,068,875
BMC Software, Inc./(1)/ ...................... 11,000 849,750
Computer Associates International, Inc. ...... 6,000 406,500
Informix Corp./(1)/ .......................... 32,000 812,000
Microsoft Corp./(1)/ ......................... 14,900 1,346,588
Oracle Systems Corp./(1)/ .................... 26,600 1,027,425
Platinum Technology, Inc./(1)/ ............... 20,000 362,500
Sterling Software, Inc. ...................... 10,000 385,000
-----------
6,627,388
-----------
Electronics -- 5.5%
Arrow Electronics, Inc. ...................... 8,000 398,000
Cypress Semiconductor Corp. .................. 25,000 1,012,500
General Instrument Corp./(1)/ ................ 15,000 575,625
Hewlett-Packard Co. .......................... 4,000 298,000
Intel Corp. .................................. 26,000 1,646,125
Phillips Electronics N.V. .................... 10,000 427,500
VLSI Technology, Inc./(1)/ ................... 18,000 542,250
-----------
4,900,000
-----------
Telecommunications-Technology -- 1.2%
AT&T Corp./(1)/............................... 20,000 1,062,500
Utilities -- 0.6%
Telephone Utilities -- 0.6%
BellSouth Corp. .............................. 2,500 158,750
Telefonos de Mexico SA, Sponsored
ADR.......................................... 13,500 399,935
-----------
558,685
-----------
Total Common Stocks
(Cost $51,458,908)............................ 68,467,095
-----------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
Repurchase Agreements -- 22.2%
Repurchase agreement with First Chicago
Capital Markets, 6.125%, dated 6/30/95,
to be repurchased at $19,875,139 on
7/3/95, collateralized by U.S. Treasury
Bonds, 11.25%, 2/15/15, with a value of
$2,026,574, U.S. Treasury Nts.,
4.75%-7.875%, 3/31/96-8/15/01, with
a value of $13,256,244, and U.S. Treasury
Bills maturing 9/28/95-12/14/95, with a
value of $4,999,333 (Cost $19,865,000)....... $19,865,000 19,865,000
-----------
Total Investments, at Value
(Cost $71,323,908)............................ 98.9% 88,332,095
------ -----------
Other Assets Net of Liabilities................ 1.1 1,019,427
------ -----------
Net Assets..................................... 100.0% $89,351,522
====== ===========
</TABLE>
/(1)/ Non-income producing security.
See accompanying Notes to Financial Statements.
28
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
----------- ------------
<S> <C> <C>
Mortgage-Backed Obligations -- 1.9%
Government Agency -- 1.7%
GNMA/Guaranteed -- 1.7%
Government National Mortgage Assn.,
8%, 4/15/23............................. $ 3,814,541 $ 3,914,310
Government National Mortgage Assn.,
8%, 7/15/22............................. 1,803,345 1,852,694
___________
5,767,004
___________
Private -- 0.2%
Multi-Family -- 0.2%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. E, 8%, 4/25/25............. 780,227 701,351
___________
Total Mortgage-Backed Obligations
(Cost $6,511,555)....................... 6,468,355
___________
U.S. Government Obligations -- 10.9%
Treasury -- 10.9%
U.S. Treasury Nts., 6.375%, 8/15/02...... 5,000,000 5,056,250
U.S. Treasury Nts., 6.75%, 5/31/97...... 10,300,000 10,473,813
U.S. Treasury Nts., 7.625%, 5/31/96...... 12,500,000 12,714,836
U.S. Treasury Nts., 9.25%, 8/15/98....... 9,000,000 9,838,125
___________
Total U.S. Government Obligations
(Cost $36,969,932)....................... 38,083,024
___________
Foreign Government Obligations -- 5.7%
Argentina (Republic of) Bonds, Bonos
de Consolidacion de Deudas, Series I,
6.063%, 4/1/01/(2)(3)/.................. 2,277,943 1,418,625
Argentina (Republic of) Par Bonds,
5%, 3/31/23/(4)/........................ 3,500,000 1,675,625
Argentina (Republic of) Past Due
Interest Bonds, 7.313%, 3/31/05/(2)/.... 3,000,000 1,850,625
Canada (Government of) Bonds, 8.50%,
4/1/02 CAD.............................. 1,500,000 1,135,474
Canada (Government of) Bonds, 9.75%,
12/1/01 CAD............................. 3,000,000 2,411,680
Canada (Government of) Bonds, 9.75%,
6/1/01 CAD.............................. 2,000,000 1,600,756
Queensland Treasury Corp. Gtd.
Exchangeable Nts., 10.50%, 5/15/03 AUD.. 3,600,000 2,736,094
Sweden (Kingdom of) Bonds, 11%,
1/21/99 SEK............................. 7,500,000 1,044,114
Treasury Corp. of Victoria Gtd. Bonds,
8.25%, 10/15/03 AUD..................... 6,000,000 4,061,600
Venezuela (Republic of) Front-Loaded
Interest Reduction Bonds, Series B,
7%, 3/31/07/(2)/........................ 4,000,000 1,975,000
___________
Total Foreign Government Obligations
(Cost $20,418,705)....................... 19,909,59
__________
Municipal Bonds and Notes -- 0.2%
Port of Portland, Oregon Special
Obligation Taxable Revenue Bonds,
PAMCO Project, 9.20%, 5/15/22........... 500,000 538,646
__________
Non-Convertible Corporate Bonds and Notes.-- 17.5%
Basic Materials -- 2.4%
Chemicals -- 0.6%
Harris Chemical North America, Inc.,
0%/10.25% Gtd. Sr. Sec. Disc. Nts.,
7/15/01/(5)/............................ $ 300,000 $ 276,000
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03.......................... 1,350,000 1,410,750
Quantum Chemical Corp., 10.375% First
Mtg. Nts., 6/1/03....................... 500,000 567,674
__________
2,254,424
__________
Metals -- 0.9%
AK Steel Corp., 10.75% Gtd. Sr. Nts.,
4/1/04.................................. 1,000,000 1,052,500
Armco, Inc., 8.50% Sinking Fund Debs.,
9/1/01.................................. 200,000 191,000
Horsehead Industries, Inc., 14% Sub.
Nts., 6/1/99............................ 400,000 414,000
Kaiser Aluminum & Chemical Corp.,
12.75% Sr. Sub. Nts., 2/1/03............ 1,000,000 1,075,000
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03.......................... 500,000 465,000
__________
3,197,500
__________
Paper -- 0.9%
Gaylord Container Corp., 11.50% Sr.
Nts., 5/15/01........................... 500,000 530,625
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00....................... 1,000,000 1,080,000
Stone Consolidated Corp., 10.25% Sr.
Sec. Nts., 12/15/00..................... 350,000 364,875
Stone Container Corp., 9.875% Sr. Nts.,
2/1/01.................................. 1,000,000 1,000,000
__________
2,975,500
__________
Consumer Cyclicals -- 7.3%
Autos & Housing -- 1.5%
Amstar Corp., 11.375% Sr. Sub. Nts.,
2/15/97................................. 800,000 812,000
Auburn Hills Trust, 12% Gtd.
Exchangeable Certificates, 5/1/20/(2)/.. 400,000 593,862
Baldwin Co., 10.375% Sr. Nts., Series
B, 8/1/03............................... 500,000 305,000
Chrysler Financial Corp., 13.25% Sr.
Nts., 10/15/99.......................... 500,000 619,033
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 5/27/98.. 1,500,000 1,117,500
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04................................... 825,000 754,875
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Nts., 4/1/02......... 950,000 902,500
__________
5,104,770
__________
Leisure & Entertainment -- 1.6%
Casino Magic Finance Corp., 11.50%
First Mtg. Nts., 10/15/01............... 500,000 380,000
Foodmaker, Inc., 9.25% Sr. Nts., 3/1/99.. 500,000 456,250
Foodmaker, Inc., 9.75% Sr. Sub. Nts.,
6/1/02.................................. 350,000 292,250
GNF Corp., 10.625% Gtd. First Mtg.
Nts., Series B, 4/1/03.................. 500,000 423,750
Hollywood Casino Corp., 14% Sr. Sec.
Nts., 4/1/98............................ 1,000,000 1,105,000
Imax Corp., 7% Sr. Nts., 3/1/01/(4)/..... 600,000 549,000
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
------------ ------------
<S> <C> <C>
Non-Convertible Corporate Bonds and Notes (Continued)
Leisure & Entertainment(Continued)
Pioneer Finance Corp., 13.50% Gtd.
First Mtg. Bonds, 12/1/98..................... $ 1,000,000 $ 845,000
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03.................................. 1,000,000 935,000
Trump Plaza Funding, Inc., 10.875%
Gtd. Mtg. Nts., 6/15/01....................... 500,000 462,500
------------
5,448,750
------------
Media -- 3.5%
Adelphia Communications Corp., 12.50%
Sr. Nts., 5/15/02............................. 1,000,000 995,000
American Telecasting, Inc., 0%/12.50%
Sr. Disc. Nts., 6/15/04/(5)/.................. 1,200,000 705,000
Bell & Howell Holdings Co., 0%/11.50%
Sr. Disc. Debs., Series B, 3/1/05/(5)/........ 1,000,000 590,000
Cablevision Industries Corp., 9.25% Sr.
Debs., Series B, 4/1/08....................... 500,000 520,625
Continental Cablevision, Inc., 9.50% Sr.
Debs., 8/1/13................................. 1,100,000 1,138,500
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(5)/........ 1,100,000 536,250
Helicon Group LP/Helicon Capital
Corp., 9% Sr. Sec. Nts., Series B,
11/1/03/(2)/.................................. 1,000,000 922,500
International CableTel, Inc., 0%/10.875%
Sr. Def. Cpn. Nts., 10/15/03/(5)/............. 500,000 332,500
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03................................. 750,000 751,875
Outlet Broadcasting, Inc., 10.875% Sr.
Sub. Nts., 7/15/03............................ 1,000,000 1,030,000
Panamsat LP/Panamsat Capital Corp.,
0%/11.375% Sr. Sub. Disc. Nts.,
8/1/03/(5)/................................... 250,000 177,813
Panamsat LP/Panamsat Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00................... 500,000 515,000
SCI Television, Inc., 11% Sr. Nts.,
Series 1, 6/30/05............................. 500,000 521,250
Time Warner Entertainment LP/Time
Warner, Inc., 10.15% Sr. Nts., 5/1/12......... 500,000 589,474
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23....... 500,000 502,260
Time Warner, Inc., 9.125% Debs.,
1/15/13....................................... 1,000,000 1,048,393
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07...................................... 1,000,000 1,156,475
United States Banknote Corp., 11.625%
Sr. Nts., Series B, 8/1/02.................... 380,000 309,700
------------
12,342,615
------------
Retail: General -- 0.2%
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02........................... 300,000 301,500
Thrifty Payless, Inc., 11.75% Sr. Nts.,
4/15/03....................................... 500,000 532,500
------------
834,000
------------
Retail: Specialty -- 0.5%
Cole National Group, Inc., 11.25% Sr.
Nts., 10/1/01................................. 1,000,000 957,500
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03.................................. 750,000 723,750
------------
1,681,250
------------
Consumer Non-Cyclicals -- 1.7%
Food -- 0.5%
Di Giorgio Corp., 12% Sr. Nts., 2/15/03........ 250,000 186,250
Grand Union Co., 12% Sr. Nts.,
9/1/04/(6)/................................... 853,000 831,675
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99........................ 300,000 323,250
RJR Nabisco, Inc., 8.625% Medium-
Term Nts., 12/1/02............................ 500,000 516,172
------------
1,857,347
------------
Healthcare/Supplies & Services -- 0.9%
Abbey Healthcare Group, Inc., 9.50% Sr.
Sub. Nts., 11/1/02............................ 1,000,000 1,035,000
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05/(3)/.................................. 440,129 450,307
Charter Medical Corp., 11.25% Sr. Sub.
Nts., 4/15/04................................. 500,000 533,750
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02/(7)/....................... 1,000,000 1,015,000
------------
3,034,057
------------
Household Goods -- 0.3%
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02..................... 1,000,000 1,095,000
------------
Energy -- 0.6%
Energy Services & Producers -- 0.6%
Coastal Corp., 11.75% Sr. Debs.,
6/15/06....................................... 500,000 543,998
Gulf Canada Resources Ltd., 9.25% Sr.
Sub. Debs., 1/15/04........................... 500,000 499,310
OPI International, Inc., 12.875% Gtd. Sr.
Nts., 7/15/02................................. 1,000,000 1,130,000
------------
2,173,308
------------
Financial -- 0.6%
Banks -- 0.2%
First Chicago Corp., 11.25% Sub. Nts.,
2/20/01....................................... 250,000 301,119
First Chicago Corp., 9% Sub. Nts.,
6/15/99....................................... 250,000 270,542
------------
571,661
------------
Diversified Financial -- 0.4%
GPA Delaware, Inc., 8.75% Gtd. Nts.,
12/15/98...................................... 250,000 211,250
GPA Holland BV, 9.75% Medium-Term
Nts., Series B, 6/10/96....................... 1,000,000 973,750
Tiphook Financial Corp., 7.125% Gtd.
Nts., 5/1/98.................................. 100,000 80,500
------------
1,265,500
------------
Industrial -- 2.2%
Industrial Materials -- 1.3%
American Standard, Inc., 10.875% Sr.
Nts., 5/15/99................................. 500,000 542,500
Calmar, Inc., 12% Sr. Sec. Nts.,
12/15/97...................................... 500,000 515,000
Owens-Illinois, Inc., 10% Sr. Sub. Nts.,
8/1/02........................................ 500,000 517,500
Owens-Illinois, Inc., 11% Sr. Debs.,
12/1/03....................................... 500,000 553,750
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03........................................ 425,000 402,688
Triangle Pacific Corp., 10.50% Sr. Nts.,
8/1/03........................................ 850,000 867,000
</TABLE>
30
<PAGE>
<TABLE>
<CAPTION>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
Principal Market Value
Amount (1) (Note 1)
--------- ------------
<S> <C> <C>
Non-Convertible Corporate Bonds and Notes (Continued)
Industrial (Continued)
Industrial Materials (Continued)
USG Corp., 10.25% Sr. Sec. Nts.,
12/15/02...................................................... $ 430,000 $ 436,450
USG Corp., 9.25% Sr. Nts., Series B,
9/15/01....................................................... 600,000 622,500
----------
4,457,388
----------
Industrial Services -- 0.3%
EnviroSource, Inc., 9.75% Sr. Nts.,
6/15/03....................................................... 1,250,000 1,115,625
---------
Manufacturing -- 0.5%
Talley Industries, Inc., 0%/12.25%
Sr. Disc. Debs., 10/15/05/(5)/................................ 1,250,000 831,250
Terex Corp., Units (each Unit consists
of $1,000 principal amount of 13.75%
Sr. Sec. Nts., 5/15/02 and four
Common Stock Appreciation
Rights)/(7)(8)/............................................... 1,000,000 890,000
---------
1,721,250
---------
Transportation -- 0.1%
Trans Ocean Container Corp., 12.25%
Sr. Sub. Nts., 7/1/04......................................... 500,000 507,500
--------
Technology -- 1.8%
Aerospace/Defense -- 0.5%
Unisys Corp., 13.50% Credit Sensitive
Nts., 7/1/97/(2)/............................................ 1,250,000 1,395,414
Unisys Corp., 9.75%
Sr. Nts., 9/15/16............................................ 500,000 494,459
---------
1,889,873
---------
Telecommunications-Technology -- 1.3%
Call-Net Enterprises, Inc., 0%/13.25%
Sr. Disc. Nts.,............................................... 800,000 487,000
12/1/04/(5)/
Centennial Cellular Corp.,
8.875% Sr.
Nts., 11/1/01.................................................. 500,000 473,750
Comcast Cellular Corp.,
Zero Coupon
Nts., Series B, 3/5/00......................................... 1,000,000 708,750
MFS Communications, Inc.,
0%/9.375%
Sr. Disc. Nts.,................................................ 1,850,000 1,290,375
1/15/04/(5)/
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts.,................................................ 1,000,000 805,000
11/15/01/(5)/
USA Mobile Communications,
Inc. II,
9.50% Sr. Nts., 2/1/04......................................... 1,000,000 895,000
-------
4,659,875
---------
Utilities -- 0.9%
Electric Utilities -- 0.5%
First PV Funding Corp., 10.15% Lease
Obligation Bonds, Series 1986B, 1/15/16....................... 1,500,000 1,548,666
Gas Utilities -- 0.4%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17.......................... 989,000 826,224
California Energy Co., 0%/10.25% Sr.
Disc. Nts., 1/15/04/(5)/....................................... 750,000 652,501
---------
1,478,725
----------
Total Non-Convertible Corporate Bonds
and Notes (Cost $61,228,399).................................. 61,214,584
----------
Convertible Corporate Bonds and Notes -- 0.2%
Consumer Non-Cyclicals -- 0.2%
Healthcare/Supplies & Services -- 0.2%
MEDIQ, Inc., 7.50% Exchangeable Sub.
Debs., 7/15/03 (Cost $922,667)................................ 1,000,000 850,000
---------
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks -- 47.3%
Basic Materials -- 4.3%
Chemicals -- 2.5%
Air Products & Chemicals, Inc./(11)/........................... 10,000 $ 557,500
ARCO Chemical Co............................................... 26,700 1,211,513
Bayer AG, Sponsored ADR........................................ 70,000 1,739,731
Dow Chemical Co. (The)......................................... 8,500 610,938
Georgia Gulf Corp.............................................. 24,000 783,000
Goldschmidt (T.H.) AG.......................................... 750 417,232
IMC Global, Inc./(11)/......................................... 15,200 822,700
Praxair, Inc................................................... 43,500 1,087,500
Sybron Chemical Industries, Inc./(9)/......................... 72,000 976,500
---------
8,206,614
---------
Gold -- 0.3%
Santa Fe Pacific Gold Corp./(11)/............................ 70,000 848,750
---------
Metals -- 0.8%
Brush Wellman, Inc............................................ 69,300 1,481,288
Inco Ltd...................................................... 22,700 641,275
Inland Steel Industries, Inc./(11)/........................... 23,100 704,550
----------
2,827,113
----------
Paper -- 0.8%
Georgia-Pacific Corp......................................... 11,500 997,625
Louisiana-Pacific Corp...................................... 31,900 837,375
MacMillan Bloedel Ltd....................................... 76,300 1,077,738
---------
2,912,738
---------
Consumer Cyclicals -- 7.8%
Autos & Housing -- 1.7%
Chromcraft Revington, Inc./(9)/................................ 50,000 1,062,500
Excel Industries, Inc.......................................... 52,000 754,000
Fiat SpA/(9)/.................................................. 310,000 1,092,669
General Motors Corp............................................ 20,500 960,938
Hayes Wheels International, Inc............................... 26,000 552,500
Hi-Lo Automotive, Inc./(9)/.................................... 65,000 682,500
Santa Anita Realty Enterprises, Inc.,
Units (each Unit consists of one share
of Santa Anita Operating Co. and one
share of Santa Anita Realty
Enterprises, Inc. Common Stock)/(8)(10)/...................... 40,000 580,000
Scott's Liquid Gold, Inc....................................... 57,200 235,950
-----------
5,921,057
-----------
Leisure & Entertainment -- 2.5%
AMR Corp./(9)(11)/............................................. 14,000 1,044,750
Brunswick Corp................................................. 50,000 850,000
Cheesecake Factory (The)/(9)/.................................. 40,000 1,030,000
Circus Circus Enterprises, Inc./(9)(11)/....................... 21,800 768,450
Cracker Barrel Old Country Store, Inc.......................... 47,600 981,750
Eastman Kodak Co./(11)/........................................ 15,400 933,625
International Game Technology................................. 44,700 687,263
King World Productions, Inc./(9)(11)/.......................... 28,000 1,134,000
Mattel, Inc./(11)/............................................. 42,937 1,116,362
Shaw Brothers (Hong Kong) Ltd.................................. 317,000 297,027
---------
8,843,227
---------
Media -- 1.3%
Bowne & Co., Inc............................................... 46,000 787,750
Capital Cities/ABC, Inc./(11)/................................. 10,000 1,080,000
Comcast Corp., Cl. A Special/(11)/............................. 75,000 1,392,188
Tele-Communications, Inc., Cl. A/(9)/.......................... 34,400 806,250
Time Warner, Inc./(11)/........................................ 14,600 600,425
---------
4,666,613
---------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------- ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Cyclicals (Continued)
Retail: General -- 0.9%
Authentic Fitness Corp./(9)/ ...................... 53,400 $ 894,450
Cone Mills Corp./(9)/ ............................. 90,800 1,169,050
Price/Costco, Inc./(9)(11)/ ....................... 60,400 981,500
------------
3,045,000
------------
Retail: Specialty -- 1.4%
Best Buy Co., Inc./(9)/ ........................... 21,100 561,788
Burlington Coat Factory Warehouse
Corp./(9)/ ....................................... 66,000 684,750
Castorama Dubois Investissements LP ............... 4,086 677,697
CML Group, Inc. ................................... 66,400 522,900
Justin Industries, Inc. ........................... 70,000 770,000
Toys "R" Us, Inc./(9)/ ............................ 37,500 1,096,875
Venture Stores, Inc. .............................. 67,000 661,625
------------
4,975,635
------------
Consumer Non-Cyclicals -- 8.8%
Beverages -- 0.6%
Guinness PLC ...................................... 100,000 752,496
Whitman Corp. ..................................... 70,000 1,356,250
------------
2,108,746
------------
Food -- 1.0%
Chiquita Brands International, Inc. ............... 1,287 18,018
Dairy Farm International Holdings Ltd. ............ 589,000 506,540
Grand Union Co./(9)/ .............................. 6,185 88,136
McCormick & Co., Inc., Non-Vtg .................... 31,000 666,500
Nestle SA, Sponsored ADR .......................... 12,000 624,416
Sara Lee Corp. .................................... 50,800 1,447,800
------------
3,351,410
------------
Healthcare/Drugs -- 3.3%
Abbott Laboratories/(11)/ ......................... 5,600 226,800
Amgen, Inc./(9)(11)/ .............................. 9,300 748,069
Astra AB Free, Series A ........................... 15,500 477,882
Biosys, Inc./(9)/ ................................. 74,400 139,500
Bristol-Myers Squibb Co./(11)/ .................... 25,000 1,703,125
Chiron Corp./(9)(11)/ ............................. 4,099 266,435
Ciba-Geigy AG ..................................... 2,300 1,684,901
Genzyme Corp./(9)(11)/ ............................ 28,900 1,156,000
Lilly (Eli) & Co./(11)/ ........................... 4,000 314,000
Medeva PLC ........................................ 294,818 1,172,565
Mylan Laboratories, Inc./(11)/ .................... 38,800 1,193,100
NBTY, Inc./(9)/ ................................... 151,000 981,500
Schering AG ....................................... 10,250 716,104
Smithkline Beecham PLC, ADR Equity Units (one ADR
represents five Equity Units, each Unit consists of one
Class B Ordinary Share and one share of Cum.
Participating Preferred Stock)/(8)/ ............... 17,000 769,250
------------
11,549,231
------------
Healthcare/Supplies & Services -- 3.1%
Biomet, Inc./(9)/ ................................. 52,100 807,550
Community Psychiatric Centers/(9)/ ................ 50,000 562,500
Manor Care, Inc./(11)/ ............................ 41,185 1,199,513
Medtronic, Inc./(11)/ ............................. 14,400 1,110,600
Nellcor, Inc./(9)(11)/ ............................ 23,000 1,035,000
NovaCare, Inc./(9)/ ............................... 79,700 647,563
Pyxis Corp./(9)(11)/ .............................. 48,000 1,086,000
Sofamor Danek Group, Inc./(9)(11)/ ................ 45,000 1,018,125
U.S. Healthcare, Inc. ............................. 49,000 1,500,625
Value Health, Inc./(9)/ ........................... 24,000 774,000
Wellpoint Health Networks, Inc., Cl.
A/(9)(11)/ ....................................... 41,500 1,172,375
------------
10,913,851
------------
Household Goods -- 0.2%
Procter & Gamble Co. .............................. 10,000 718,750
------------
Tobacco -- 0.6%
Philip Morris Cos., Inc./(11)/ .................... 20,000 1,487,500
RJR Nabisco Holdings Corp. ........................ 28,000 780,500
------------
2,268,000
------------
Energy -- 2.4%
Energy Services & Producers -- 0.5%
Landmark Graphics Corp./(9)(11)/ .................. 36,900 940,950
Western Atlas, Inc./(11)/ ......................... 19,000 843,125
------------
1,784,075
------------
Oil-Integrated -- 1.9%
Ashland Coal, Inc. ................................ 24,600 658,050
Ashland, Inc. ..................................... 25,000 878,125
Atlantic Richfield Co. ............................ 10,300 1,130,425
Louisiana Land & Exploration Co. .................. 20,000 797,500
Royal Dutch Petroleum Co. ......................... 10,000 1,218,750
Saga Petroleum AS, Cl. A .......................... 12,000 170,316
Saga Petroleum AS, Cl. B .......................... 19,000 251,176
Total SA, Sponsored ADR ........................... 15,701 474,955
Unocal Corp ....................................... 22,000 607,750
Yukong Ltd., GDR/(7)/ ............................. 958 7,950
Yukong Ltd., GDR/(7)/ ............................. 2,336 19,409
Yukong Ltd., GDR/(7)(9)/ .......................... 27,500 295,625
------------
6,510,031
------------
Financial -- 4.6%
Banks -- 1.6%
Banco Frances del Rio de la Plata SA .............. 100,000 605,190
Bankers Trust New York Corp./(11)/ ................ 12,500 775,000
Chemical Banking Corp./(11)/ ...................... 33,500 1,582,875
Deutsche Bank, Sponsored ADR ...................... 13,250 643,295
NationsBank Corp. ................................. 39,200 2,102,100
------------
5,708,460
------------
Diversified Financial -- 1.3%
American Express Co. .............................. 31,500 1,106,438
CMAC Investment Corp. ............................. 23,200 1,006,300
H & R Block, Inc. ................................. 24,000 987,000
Merrill Lynch & Co., Inc./(11)/ ................... 26,300 1,380,750
------------
4,480,488
------------
Insurance -- 1.7%
Aetna Life & Casualty Co./(11)/ ................... 16,800 1,056,300
American International Group, Inc./(11)/ .......... 12,000 1,368,000
American Re Corp. ................................. 36,000 1,341,000
Bankers Life Holding Corp. ........................ 43,000 817,000
Berkley (W.R.) Corp. .............................. 21,000 745,500
UNUM Corp. ........................................ 13,100 614,063
------------
5,941,863
------------
Industrial -- 5.9%
Electrical Equipment -- 0.6%
Core Industries, Inc. ............................. 50,000 537,500
General Electric Co. .............................. 20,000 1,127,500
Methode Electronics, Inc., Cl. A .................. 30,000 585,000
------------
2,250,000
------------
Industrial Materials -- 1.6%
Corning, Inc. ..................................... 34,700 1,136,425
Interpool, Inc./(9)/ .............................. 50,000 681,250
Masco Corp. ....................................... 30,000 810,000
Owens-Corning Fiberglass Corp./(9)/ ............... 30,000 1,106,250
</TABLE>
32
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------- ------------
<S> <C> <C>
Common Stocks (Continued)
Industrial (Continued)
Industrial Materials (Continued)
Ply-Gem Industries, Inc......................... 37,400 $ 663,850
Rubbermaid, Inc................................. 18,400 510,600
U.S. Can Corp./(9)/............................. 46,500 726,563
Walter Industries, Inc./(9)/.................... 2,645 36,369
------------
5,671,307
------------
Industrial Services -- 0.7%
Ecolab, Inc..................................... 23,400 573,300
Huarte SA....................................... 50,150 451,429
Insituform Mid-America, Inc., Cl. A............. 60,000 870,000
Waste Management International PLC,
Sponsored ADR/(9)(11)/......................... 45,400 431,300
------------
2,326,029
------------
Manufacturing -- 1.7%
Citic Pacific Ltd............................... 216,000 542,966
Griffon Corp./(9)/.............................. 80,000 640,000
Harnischfeger Industries, Inc./(11)/............ 26,000 900,250
Hutchison Whampoa Ltd........................... 128,000 618,701
Jardine Matheson Holdings Ltd................... 50,468 370,940
Johnstown America Industries, Inc./(9)/......... 20,000 207,500
Mannesmann AG................................... 3,287 1,003,349
Pacific Dunlop Ltd.............................. 279,000 585,381
Tenneco, Inc.................................... 20,400 938,400
------------
5,807,487
------------
Transportation -- 1.3%
Airborne Freight Corp./(11)/.................... 38,000 769,500
Burlington Northern, Inc./(11)/................. 17,000 1,077,375
Consolidated Freightways, Inc................... 61,000 1,349,625
Stolt-Nielsen SA................................ 50,000 1,437,500
------------
4,634,000
------------
Technology -- 11.8%
Aerospace/Defense -- 0.6%
General Dynamics Corp./(11)/.................... 9,900 439,313
McDonnell Douglas Corp./(11)/................... 9,000 690,750
Rockwell International Corp..................... 17,900 818,925
------------
1,948,988
------------
Computer Hardware -- 2.0%
Bay Networks, Inc./(9)(11)/..................... 20,005 827,707
Cabletron Systems, Inc./(9)(11)/................ 5,000 266,250
Moore Corp. Ltd................................. 31,600 699,150
Norand Corp./(9)/............................... 18,500 753,875
Proxima Corp./(9)/.............................. 30,000 716,250
Seagate Technology, Inc./(9)(11)/............... 20,000 785,000
Sun Microsystems, Inc./(9)(11)/................. 19,800 960,300
Tandem Computers, Inc./(9)(11)/................. 64,100 1,033,613
Xerox Corp./(11)/............................... 8,500 996,625
------------
7,038,770
------------
Computer Software -- 3.7%
BMC Software, Inc./(9)(11)/..................... 16,000 1,236,000
Computer Associates International, Inc.......... 19,100 1,294,025
Delrina Corp./(9)/.............................. 92,400 1,270,500
Electronic Arts, Inc./(9)(11)/.................. 48,600 1,318,275
Informix Corp./(9)(11)/......................... 40,000 1,015,000
Legent Corp./(9)(11)/........................... 7,000 306,250
Marcam Corp./(9)/............................... 72,000 981,000
Microsoft Corp./(9)(11)/........................ 9,000 813,375
Nintendo Co. Ltd................................ 32,000 1,835,571
Novell, Inc./(9)/............................... 76,200 1,519,238
Symantec Corp./(9)(11)/......................... 51,000 1,472,625
------------
13,061,859
------------
Electronics -- 4.0%
Advanced Micro Devices, Inc./(11)/.............. 32,194 1,171,057
CAE, Inc........................................ 115,000 826,585
General Motors Corp., Cl. H..................... 23,100 912,450
Hewlett-Packard Co./(11)/....................... 15,000 1,117,500
Integrated Silicon Solution, Inc./(9)/.......... 5,000 261,250
Intel Corp./(11)/............................... 69,000 4,368,563
Kyocera Corp.................................... 10,000 822,144
Philips Electronics NV.......................... 19,000 803,867
Samsung Electronics, GDS/(9)/................... 34,978 1,880,068
Samsung Electronics, GDS/(9)/................... 570 43,092
VLSI Technology, Inc./(9)(11)/.................. 54,000 1,626,750
------------
13,833,326
------------
Telecommunications-Technology -- 1.5%
Airtouch Communications, Inc./(9)(11)/.......... 46,000 1,311,000
AT&T Corp....................................... 16,000 850,000
ECI Telecommunications Ltd...................... 51,000 698,063
Kinnevik Investments AB Free, Series B.......... 24,500 746,951
MCI Communications Corp......................... 46,300 1,018,600
Rogers Cantel Mobile Communications,
Inc., Sub. Cl. B/(9)/.......................... 24,400 579,500
Technology Resources Industries
Berhad/(9)/.................................... 25,000 71,780
------------
5,275,894
------------
Utilities -- 1.6%
Electric Utilities -- 0.5%
Central Puerto SA, ADR/(7)/..................... 3,000 57,018
Public Service Enterprise Group, Inc............ 35,000 971,250
Verbund Oest Electriz........................... 9,400 689,519
------------
1,717,787
------------
Gas Utilities -- 0.3%
Hong Kong & China Gas........................... 293,760 468,877
Southwestern Energy Co.......................... 40,000 555,000
------------
1,023,877
------------
Telephone Utilities -- 0.8%
BCE, Inc........................................ 33,000 1,060,125
US West, Inc.................................... 38,500 1,602,563
------------
2,662,688
------------
Total Common Stocks
(Cost $131,204,845)............................. 164,833,664
------------
Preferred Stocks -- 1.5%
Alumax, Inc., $4.00 Cv., Series A............... 9,000 1,209,375
Chiquita Brands International, Inc.,
$1.32 Depositary Shares 26,000 364,000
Cyprus Amax Minerals Co., $4.00 Cv.,
Series A....................................... 24,000 1,500,000
Delta Airlines, Inc., $3.50 Cv.
Depositary Shares, Series C.................... 13,200 772,200
K-III Communications Corp., Sr.
Exchangeable, Series A......................... 20,000 525,000
Pantry Pride, Inc., $14.875
Exchangeable, Series B......................... 8,000 826,000
------------
Total Preferred Stocks
(Cost $4,573,927).............................. 5,196,575
------------
</TABLE>
33
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Units (Note 1)
----- ------------
<S> <C> <C>
Rights, Warrants and Certificates -- 0.1%
American Telecasting, Inc. Wts., Exp. 6/99 6,000 $ 15,000
Echostar Communications Corp. Wts.,
Exp. 6/04 6,600 74,250
Gaylord Container Corp. Wts.,
Exp. 7/96 16,412 170,275
Icon Health & Fitness, Inc. Wts.,
Exp. 11/99/(7) 1,000 25,000
---------
Total Rights, Warrants and
Certificates (Cost $36,927) 284,525
---------
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
Repurchase Agreements -- 12.5%
Repurchase agreement with First Chicago
Capital Markets, 6.125%, dated 6/30/95, to be
repurchased at $43,722,305 on 7/3/95,
collateralized by U.S. Treasury Bonds, 11.25%,
2/15/15, with a value of $4,458,158, U.S.
Treasury Nts.,4.75%-7.875%, 3/31/96-8/15/01,
with a value of $29,161,735, and U.S.Treasury
Bills maturing 9/28/95-12/14/95,
with a value of $10,997,777
(Cost $43,700,000).......................... $ 43,700,000 $ 43,700,00
-------------
Total Investments, at Value
(Cost $306,066,957).......................... 97.7% 341,078,966
------ -------------
Other Assets Net of Liabilities............... 2.3 7,986,632
------ -------------
Net Assets 100.0% $ 349,065,598
</TABLE>
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows:
AUD - Australian Dollar SEK - Swedish Krona
CAD - Canadian Dollar
/(2)/ Represents the current interest rate for a variable rate security.
/(3)/ Interest or dividend is paid in kind.
/(4)/ Represents the current interest rate for an increasing rate security.
/(5)/ Represents a zero coupon bond that converts to a fixed rate of interest at
a designated future date.
/(6)/ When-issued security to be delivered and settled after June 30, 1995.
/(7)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the Board
of Trustees. These securities amount to $2,310,002 or .66% of the Fund's
net assets,at June 30, 1995.
/(8)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. In most
cases, units involve a high degree of risk.
/(9)/ Non-income producing security.
/(10)/Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(11)/Securities with an aggregate market value of $58,582,820 are held to
cover outstanding call options, as follows:
<PAGE>
<TABLE>
<CAPTION>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
Shares
Subject Expiration Exercise Premium Market Value
to Call Price Price Received (Note 4)
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
AMR Corp.................................................. 2,800 1/96 80.00 $ 13,300 $ 11,550
AMR Corp.................................................. 2,800 8/95 65.00 9,716 29,400
Abbott Laboratories....................................... 5,600 8/95 35.00 14,882 35,700
Advanced Micro Devices, Inc............................... 6,400 1/96 45.00 13,408 12,800
Aetna Life & Casualty Co.................................. 3,200 7/95 55.00 6,304 25,200
Air Products & Chemicals, Inc............................. 2,000 12/95 55.00 6,190 7,750
Airborne Freight Corp..................................... 3,800 8/95 22.50 8,911 1,663
Airtouch Communications, Inc.............................. 9,200 7/95 30.00 12,374 2,875
American International Group, Inc......................... 12,000 2/96 120.00 18,527 15,000
Amgen, Inc................................................ 3,400 7/95 65.00 10,098 51,850
Amgen, Inc................................................ 5,900 7/95 80.00 13,098 12,538
BMC Software, Inc......................................... 6,500 8/95 65.00 42,866 86,938
Bankers Trust New York Corp............................... 2,400 1/96 70.00 6,528 4,500
Bankers Trust New York Corp............................... 3,000 7/95 65.00 4,972 2,063
Bankers Trust New York Corp............................... 3,000 7/95 70.00 2,910 1,500
Bay Networks, Inc......................................... 1,500 12/95 40.00 6,330 8,813
Bristol-Myers Squibb Co................................... 5,000 9/95 65.00 4,850 20,625
Burlington Northern, Inc.................................. 3,400 7/95 55.00 7,548 28,900
Cabletron Systems, Inc.................................... 2,000 7/95 50.00 6,502 8,250
Cabletron Systems, Inc.................................... 2,000 7/95 55.00 3,846 2,625
Capital Cities/ABC, Inc................................... 2,000 11/95 110.00 12,690 8,750
Chemical Banking Corp..................................... 6,700 12/95 50.00 17,265 13,819
Chiron Corp............................................... 2,000 7/95 70.00 8,940 1,250
Circus Circus Enterprises, Inc............................ 4,000 12/95 40.00 4,130 6,500
Comcast Corp., Cl. A Special.............................. 13,400 7/95 17.50 12,998 19,263
Eastman Kodak Co.......................................... 3,000 7/95 55.00 2,910 17,625
Electronic Arts, Inc...................................... 10,800 9/95 25.00 32,075 41,850
General Dynamics Corp..................................... 1,400 8/95 45.00 5,033 1,925
Genzyme Corp.............................................. 3,700 10/95 45.00 12,376 7,169
Harnischfeger Industries, Inc............................. 5,200 2/96 40.00 7,451 6,175
Hewlett-Packard Co........................................ 3,000 11/95 80.00 13,410 10,125
IMC Global, Inc........................................... 3,800 7/95 50.00 15,086 15,675
Informix Corp............................................. 8,000 2/96 27.50 25,379 24,000
Informix Corp............................................. 8,000 8/95 20.00 16,029 46,000
Inland Steel Industries, Inc.............................. 4,000 9/95 35.00 4,880 1,750
Intel Corp................................................ 13,600 7/95 42.50 20,195 292,400
King World Productions, Inc............................... 4,600 8/95 40.00 7,912 14,375
King World Productions, Inc............................... 4,600 11/95 45.00 13,662 9,775
Landmark Graphics Corp.................................... 7,400 10/95 25.00 15,502 18,500
Legent Corp............................................... 7,000 7/95 35.00 32,164 66,500
Lilly (Eli) & Co.......................................... 4,000 7/95 70.00 13,880 35,500
Manor Care, Inc........................................... 8,200 1/96 35.00 9,061 7,175
Manor Care, Inc........................................... 8,200 7/95 30.00 13,591 4,100
Mattel, Inc............................................... 8,400 10/95 25.00 9,198 19,950
McDonnell Douglas Corp.................................... 1,000 8/95 45.00 10,095 32,000
McDonnell Douglas Corp.................................... 2,400 11/95 65.00 7,728 33,300
Medtronic, Inc............................................ 2,800 8/95 60.00 8,666 48,300
Merrill Lynch & Co., Inc.................................. 5,500 1/96 55.00 20,459 20,625
Merrill Lynch & Co., Inc.................................. 5,500 7/95 35.00 21,022 96,938
Merrill Lynch & Co., Inc.................................. 5,500 7/95 40.00 9,303 70,125
Merrill Lynch & Co., Inc.................................. 5,500 7/95 45.00 4,675 41,938
Microsoft Corp............................................ 1,600 7/95 70.00 3,352 32,200
Microsoft Corp............................................ 2,000 10/95 80.00 11,440 28,000
Mylan Laboratories, Inc................................... 9,600 7/95 35.00 9,912 600
Nellcor, Inc.............................................. 4,600 7/95 35.00 10,948 44,275
Nellcor, Inc.............................................. 4,600 7/95 40.00 5,899 23,000
Nellcor, Inc.............................................. 4,600 10/95 45.00 13,087 14,950
Philip Morris Cos., Inc................................... 4,000 9/95 65.00 8,880 42,500
Price/Costco, Inc......................................... 10,000 7/95 15.00 10,950 13,750
Pyxis Corp................................................ 6,800 7/95 25.00 14,671 425
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds -- Oppenheimer Multiple Strategies Fund
Statement of Investments (Continued)
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Shares
Subject Expiration Exercise Premium Market Value
to Call Date Price Received (Note 1)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Santa Fe Pacific Gold Corp........................... 14,000 12/95 $ 15.00 $ 13,580 $ 9,625
Seagate Technology, Inc.............................. 4,000 9/95 45.00 7,880 4,750
Seagate Technology, Inc.............................. 6,000 12/95 35.00 13,320 39,750
Sofamor Danek Group, Inc............................. 9,000 9/95 25.00 27,220 9,000
Sofamor Danek Group, Inc............................. 9,000 9/95 22.50 26,729 13,500
Sofamor Danek Group, Inc............................. 9,000 12/95 30.00 11,292 6,188
Sun Microsystems, Inc................................ 7,800 7/95 40.00 16,628 67,275
Sun Microsystems, Inc................................ 3,800 10/95 45.00 8,198 24,700
Sun Microsystems, Inc................................ 3,800 10/95 55.00 11,286 9,500
Symantec Corp........................................ 10,200 1/96 35.00 18,818 19,125
Symantec Corp........................................ 10,200 7/95 20.00 29,365 87,970
Tandem Computers, Inc................................ 12,200 7/95 20.00 10,370 1,016
Time Warner, Inc..................................... 2,800 12/95 45.00 5,166 3,850
VLSI Technology, Inc................................. 10,800 1/96 35.00 36,125 35,100
Waste Management International PLC, Sponsored ADR... 11,000 9/95 12.50 9,350 2,750
Wellpoint Health Networks, Inc., Cl. A............... 5,000 7/95 35.00 13,912 417
Western Atlas, Inc................................... 3,800 12/95 50.00 7,486 3,325
Xerox Corp........................................... 1,600 7/95 110.00 3,952 12,000
-------- ----------
$980,741 $1,953,458
======== ==========
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS
June 30, 1995
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
------------ ------------
<S> <C> <C>
Certificates of Deposit -- 0.7%
Cayman Time Deposit, 5.75%, 7/31/95
(Cost $2,300,000)/(2)(6)/..................... $ 2,300,000 $ 2,300,000
------------
Non-Convertible Corporate Bonds
and Notes -- 0.1%
Mediobanca, 4.50% Debs., 1/1/00
(Cost $307,078) ITL........................... 497,120,000 226,695
------------
Shares
------------
Common Stocks -- 101.0%
Basic Materials -- 10.1%
Chemicals -- 1.0%
Minerals Technologies, Inc.................... 40,000 1,440,000
Sterling Chemicals, Inc./(3)/................. 175,000 2,034,375
------------
3,474,375
------------
Metals -- 2.4%
Asturiana de Zinc SA/(3)/..................... 204,050 1,946,302
Swissreal Schweiz Liegenscha.................. 2,800 3,159,407
Ugine SA...................................... 41,600 2,926,370
------------
8,032,079
------------
Paper -- 6.7%
Asia Pulp & Paper Co. Ltd., ADR/(3)/.......... 144,000 1,818,000
Corticeira Amorim SA.......................... 129,700 1,948,377
Fletcher Challenge Ltd........................ 1,250,000 3,508,305
Mo Och Domsjoe AB Free, Series B.............. 100,000 5,761,095
Rottneros Bruks AB Free....................... 2,566,666 4,053,594
Svenska Cellulosa AB.......................... 300,000 5,561,963
------------
22,651,334
------------
Consumer Cyclicals -- 13.8%
Autos & Housing -- 2.7%
Catena AB Free, Series A...................... 337,700 1,947,841
Ciadea SA..................................... 201,620 978,166
Fiat SpA di Risp.............................. 700,000 1,507,330
General Motors Corp........................... 75,000 3,515,625
Mahindra & Mahindra Ltd., GDR................. 120,000 1,242,036
------------
9,190,998
------------
Leisure & Entertainment -- 1.1%
Filmes Lusomundo SA........................... 205,200 2,241,856
King World Productions, Inc./(3)/............. 38,800 1,571,400
------------
3,813,256
------------
Media -- 4.8%
Benpres Holdings Corp., GDR/(4)/.............. 200,000 1,700,000
Carlton Communications PLC.................... 250,000 3,790,319
News Corp. Ltd., ADR.......................... 330,000 7,466,250
Television Broadcasts Ltd..................... 400,000 1,406,138
United International Holdings, Inc., Cl. A/(3)/ 112,000 1,876,000
------------
16,238,707
------------
Retail: General -- 1.4%
Promodes SA................................... 7,000 1,595,665
Sonae Industria E. Investimentos.............. 125,000 2,988,220
------------
4,583,885
------------
Retail: Specialty -- 3.8%
Moebel Walther AG, Preference................. 7,000 3,540,150
Prodega AG.................................... 1,150 1,497,246
Vereinigte Baubeschlag........................ 22,000 7,867,804
------------
12,905,200
------------
Common Stocks (Continued)
Consumer Non-Cyclicals -- 10.7%
Beverages -- 0.9%
LVMH Moet Hennessy Louis Vuitton.............. 15,000 $ 2,701,388
Vina Concha y Toro SA, ADR.................... 8,200 158,875
------------
2,860,263
------------
Food -- 3.4%
Mavesa, ADR/(4)/.............................. 107,625 373,986
Molinos Rio de la Plata SA, Cl. B............. 301,343 1,733,267
PT Indofood Sukses Makmur..................... 417,750 1,800,808
PT Sinar Mass Agro Resources &
Technology/(3)/.............................. 3,333,500 3,517,613
Spar Handels AG, Non-Vtg...................... 8,950 2,327,829
Universal Robina Corp......................... 3,600,000 1,832,419
------------
11,585,922
------------
Healthcare/Drugs -- 2.4%
Genentech, Inc./(3)/.......................... 50,000 2,431,250
Genzyme Corp./(3)/............................ 60,000 2,400,000
Pharmavit GDS/(3)(7)/......................... 100,000 875,000
Plant Genetics, Inc./(3)/..................... 89,104 1,126,941
Sanofi SA..................................... 25,000 1,384,732
------------
8,217,923
------------
Healthcare/Supplies & Services -- 4.0%
Elekta Instrument AB Free, Series B/(3)/...... 65,000 2,008,487
Pharmacia AB.................................. 100,000 2,190,452
Rhoen Klinikum AG, Preference................. 660 677,108
Takare PLC.................................... 400,000 1,221,811
Tenet Healthcare Corp./(3)/................... 250,000 3,593,750
U.S. Healthcare, Inc.......................... 35,000 1,071,875
United Healthcare Corp........................ 65,000 2,689,375
------------
13,452,858
------------
Energy -- 7.7%
Energy Services & Producers -- 4.4%
Anadarko Petroleum Corp....................... 70,000 3,018,750
ASTRA Compania Argentina de
Petroleo SA.................................. 825,000 1,237,889
Awilco AS, B Shares........................... 371,000 3,430,170
Compagnie Generale de
Geophysique SA/(3)/.......................... 30,000 1,788,548
Naviera Perez Companc SA, CIA Cl. B........... 295,000 1,239,389
Transocean Drilling AS/(3)/................... 292,360 4,030,916
------------
14,745,662
------------
Oil-Integrated -- 3.3%
Elf Gabon SA.................................. 10,000 1,887,568
OeMV AG....................................... 50,500 5,826,283
Repsol SA..................................... 80,000 2,517,136
YPF Sociedad Anonima, Sponsored ADR........... 47,300 892,788
------------
11,123,775
------------
Financial -- 11.9%
Banks -- 5.2%
Akbank T.A.S.................................. 5,000,000 1,271,761
Banco Wiese, Sponsored ADR.................... 263,560 2,174,370
HSBC Holdings PLC............................. 124,800 1,600,826
Industrial Finance Corp....................... 1,500,000 3,949,764
Philippine National Bank...................... 200,000 2,329,678
PT Bank Danamon............................... 1,500,000 2,189,043
Turkiye Garanti Bankasi AS.................... 288,000 3,906,835
------------
17,422,277
------------
</TABLE>
37
<PAGE>
<TABLE>
<CAPTION>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
Market Value
Shares (Note 1)
------- ------------
<S> <C> <C>
Common Stocks (Continued)
Financial (Continued)
Diversified Financial -- 0.2%
First NIS Regional Fund/(5)/................ 180,000 $ 693,000
___________
Insurance -- 6.5%
Marschollek, Lautenschlaeger und
Partner AG................................. 5,587 3,632,845
Mitsui Marine & Fire Insurance.............. 500,000 3,274,441
Ockham Holdings PLC......................... 680,000 421,907
Reinsurance Australia Corp.................. 4,500,200 7,017,736
Skandia Insurance Co. Ltd................... 100,000 1,936,387
Swiss Reinsurance........................... 7,500 5,774,163
___________
22,057,479
___________
Industrial -- 23.0%
Electrical Equipment -- 0.0%
PT Kabelmetal Indonesia.................... 500 842
___________
Industrial Materials -- 0.1%
Ceramicas Carabobo, Sponsored
ADR, Cl. B................................. 144,000 111,946
International de Ceramica - UB.............. 24,300 39,263
___________
151,209
___________
Industrial Services -- 5.8%
Adia SA/(3)/................................ 22,500 4,667,503
BIS SA/(3)/................................. 78,425 6,997,165
First Data Corp............................. 60,000 3,412,500
Inversiones Y Representacion/(3)/........... 877,300 2,097,406
ISS International Service System AS,
Series B................................... 90,000 2,349,551
___________
19,524,125
___________
Manufacturing -- 12.5%
Bucher Holding AG, B Shares................. 3,500 2,141,713
Buderus AG.................................. 9,500 4,667,219
Caterpillar, Inc............................ 26,100 1,676,925
Forsheda Group AB, Series B/(7)/............ 100,000 2,417,051
Gildemeister AG............................. 32,000 2,647,166
Hopewell Holdings Ltd....................... 2,000,000 1,693,052
JK Corp. Ltd., GDR/(3)(4)/.................. 215,000 913,750
Maschinenfabrik Berthold Hermle AG.......... 5,101 508,581
Measurex Corp............................... 63,800 1,937,925
Plettac AG.................................. 7,778 4,776,530
Powerscreen International PLC............... 1,430,000 7,291,334
Tampella AB/(3)/............................ 1,492,333 3,767,887
Traub AG/(3)/............................... 34,000 4,519,833
Valmet Corp., Cl. A......................... 150,000 3,383,973
___________
42,342,939
___________
Transportation -- 4.6%
Danzas Holding AG........................... 1,800 1,546,721
Internatio-Muller NV........................ 52,000 3,705,887
International Container Terminal
Services, Inc.............................. 2,000,000 1,389,976
Kvaerner AS................................. 40,000 1,816,707
Lisnave-Estaleiros Navais de Lisbona SA/(3)/ 501,250 2,412,981
Mayne Nickless Ltd.......................... 212,000 870,076
Singmarine Industries Ltd................... 687,500 1,771,006
Westmont Berhad............................. 400,000 1,985,241
___________
15,498,595
___________
<CAPTION>
Market Value
Shares (Note 1)
------- ------------
<S> <C> <C>
Common Stocks (Continued)
Technology -- 17.9%
Computer Hardware -- 3.8%
Cabletron Systems, Inc./(3)/................ 45,000 $2,396,250
Compaq Computer Corp./(3)/.................. 50,000 2,268,750
Digital Equipment Corp./(3)/................ 90,000 3,667,500
International Business Machines Corp........ 25,000 2,400,000
Tokyo Electron Ltd.......................... 65,000 2,220,259
___________
12,952,759
___________
Computer Software -- 2.3%
First Financial Management Corp............. 17,100 1,462,050
Nintendo Co. Ltd............................ 110,000 6,309,777
___________
7,771,827
___________
Electronics -- 8.2%
Advantest Corp.............................. 60,000 2,261,484
Alphatec Electronics Co. Ltd................ 117,000 2,132,872
Austria Mikro Systeme International AG...... 9,000 1,183,513
General Motors Corp., Cl. H................. 80,000 3,160,000
Kyocera Corp................................ 60,000 4,932,863
Philips Electronics NV...................... 219,900 9,303,698
Rohm Co..................................... 90,000 4,643,110
___________
27,617,540
___________
Telecommunications-Technology -- 3.6%
Airtouch Communications, Inc./(3)/.......... 70,000 1,995,000
Korea Mobile Telecommunications Corp........ 3,000 2,553,709
Millicom International Cellular SA/(3)/..... 121,678 3,604,711
Millicom, Inc./(3)/......................... 25,000 --
Petersburg Long Distance, Inc............... 187,000 1,098,625
Technology Resources Industries
Berhad/(3)/................................ 1,016,000 2,917,156
___________
12,169,201
___________
Utilities -- 5.9%
Electric Utilities -- 1.7%
Capex SA, Cl. A/(3)/........................ 116,000 899,282
Capex SA, GDR/(3)(4)/....................... 124,000 1,906,500
Compagnie Generale des Eaux................. 15,000 1,670,962
Veba AG..................................... 3,500 1,373,073
___________
5,849,817
___________
Gas Utilities -- 1.7%
Hong Kong & China Gas....................... 3,000,000 4,788,364
Transportadora de Gas del Sur SA............ 99,300 1,042,650
___________
5,831,014
___________
Telephone Utilities -- 2.5%
Portugal Telecom SA, ADR/(3)/............... 65,662 1,247,578
Telecommunication de Argentina, Cl. B....... 300,000 1,368,430
Telecomunicacoes Brasileiras SA,
Preference................................. 5,800,000 197,992
Telefonica del Peru SA...................... 3,400,031 5,541,933
___________
8,355,933
___________
Total Common Stocks
(Cost $322,117,993)........................ 341,114,794
___________
</TABLE>
38
<PAGE>
<TABLE>
<CAPTION>
Oppenheimer Variable Account Funds--Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
Market Value
Units (Note 1)
----- -----------
<S> <C> <C>
Rights, Warrants and Certificates -- 0.0%
American Satellite Network, Inc. Wts.,
Exp. 6/99 ............................................ 6,250 --
Plant Genetics, Inc. Wts.,
Exp. 12/99............................................ 60,000 $ 123,438
------------
Total Rights, Warrants and
Certificates (Cost $0)................................ 123,438
------------
Total Investments, at Value
(Cost $324,725,071) .................................. 101.8% 343,764,927
------ ------------
Liabilities in Excess of Other Assets ................. (1.8) (6,009,102)
------ ------------
Net Assets............................................ 100.0% $337,755,825
------ ------------
------ ------------
</TABLE>
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows: ITL - Italian Lira
/(2)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(3)/ Non-income producing security.
/(4)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the Board
of Trustees. These securities amount to $4,894,236 or 1.4% of the Fund's
net assets, at June 30, 1995.
/(5)/ First NIS Regional Fund, a closed end fund listed on the Luxembourg Stock
Exchange, is offered in installments. The Fund entered the first
installment (40% of the total commitment on November 29, 1994. The second
and third installments (30% each of the total commitment) are provisional
and may be postponed indefinitely at the discretion of the Board of NIS
Fund.
/(6)/ A sufficient amount of securities has been designated to cover outstanding
forward foreign currency exchange contracts. See Note 5 of Notes to
Financial Statements.
/(7)/ Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended June 30,
1995. The aggregate fair value of all securities of affiliated companies
as of June 30, 1995 amounted to $875,000. Transactions during the period
in which the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
Balance Balance
December 31, 1994 Gross Additions Gross Reductions June 30, 1995
--------------------- --------------- ---------------- --------------------
Dividend
Shares Cost Shares Cost Shares Cost Shares Cost Income
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Forsheda Group AB,
Series B* ...................... 100,000 $1,200,236 -- $ -- -- $ -- 100,000 $1,200,236 $ --
Pharmavit GDS ................... 100,000 1,300,000 -- -- -- -- 100,000 1,300,000 --
---------- ---- ---- ---------- ----
$2,500,236 $ -- $ -- $2,500,236 $ --
---------- ---- ---- ---------- ----
---------- ---- ---- ---------- ----
*Not an affiliate as of June 30, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (1) (NOTE 1)
------------ ------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 3.8%
Citibank, 10.50% CD, 7/14/95/(2)/ ARA $ 100,000 $ 100,031
Citibank, 13% CD, 5/6/96/(2)/ CLP 74,934,666 200,280
CS First Boston, Inc., 15.75% CD,
6/11/96/(3)/ IDR 667,200,000 299,596
First Boston Corp., 12.50% CD,
12/21/95/(2)(3)/ ARA 300,000 300,094
Indonesia (Republic of) CD, Bank
Negara, Zero Coupon, 6/17/96/(2)/ IDR 500,000,000 191,682
Thai Military Bank Ltd., 11% CD,
11/30/95 THB 8,750,000 354,466
------------
Total Certificates of Deposit
(Cost $1,439,084) 1,446,149
------------
MORTGAGE-BACKED OBLIGATIONS -- 4.7%
GOVERNMENT AGENCY -- 3.0%
FHLMC/FNMA/Sponsored -- 1.0%
Federal Home Loan Mortgage Corp.,
Series 176, Cl. F, 8.95%, 3/15/20 58,000 58,957
Federal National Mortgage Assn.,
Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 10.50%,
11/25/20 130,000 149,471
Federal National Mortgage Assn., Series
1994-83, Cl. Z, 7.50%, 6/25/24 172,421 168,223
------------
376,651
------------
GNMA/Guaranteed -- 2.0%
Government National Mortgage Assn.,
6%, 8/15/25 735,000 737,067
------------
PRIVATE -- 1.7%
Commercial -- 1.1%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1, Cl. 2-G,
8.70%, 9/25/25/(4)/ 153,594 148,026
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1991-M6, Cl. B4, 7.337%, 6/25/21/(5)/ 42,167 41,364
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1992-CHF, Cl. D, 8.25%, 12/25/20 127,762 129,230
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1993-C1, Cl. D, 9.45%, 5/25/24 91,000 95,365
------------
413,985
------------
Multi-Family -- 0.6%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. E, 8%, 4/25/25 243,821 219,172
Total Mortgage-Backed Obligations
(Cost $1,658,974) 1,746,875
------------
U.S. GOVERNMENT OBLIGATIONS -- 42.8%
Treasury -- 42.8%
U.S. Treasury Bonds, 11.50%, 11/15/95 2,350,000 2,400,670
U.S. Treasury Bonds, 11.625%, 11/15/02 4,300,000 5,671,966
U.S. Treasury Bonds, 8.125%, 8/15/19 163,000 190,201
U.S. Treasury Nts., 8.75%, 8/15/00 2,125,000 2,380,000
U.S. Treasury Nts., 9.375%, 4/15/96 318,000 326,745
U.S. Treasury Nts., 9.50%, 11/15/95 5,000,000 5,070,309
------------
Total U.S. Government Obligations
(Cost $15,545,163) 16,039,891
------------
FOREIGN GOVERNMENT OBLIGATIONS -- 17.4%
Argentina (Republic of) Bonds, Bonos
del Tesoro, Series II, 6.063%,
9/1/97/(5)/ 39,000 36,870
Banco Nacional de Comercio Exterior
SNC International Finance BV Gtd.
Matador Bonds, 10.875%,
6/23/97/(3)(5)/ 250,000 249,688
Banco Nacional de Comercio Exterior
SNC, Zero Coupon, 12/5/95/(3)/ 200,000 190,000
Banco Nacional de Obras y Servicios
Publicos SA Nts., 10.75%, 8/16/96 30,000 29,888
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 7/27/95 350,000 346,821
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 8/10/95 100,000 98,736
Brazil (Federal Republic of) Debs.,
7.25%, 4/15/06/(5)/ 700,000 417,813
Bulgaria (Republic of) Disc. Bonds,
Tranche A, 7.562%, 7/28/24/(5)/ 1,000,000 495,625
Canada (Government of) Bonds, 10.25%,
3/1/96 CAD 180,000 134,082
Canada (Government of) Bonds, 9%,
12/1/04 CAD 320,000 249,373
Canada (Government of) Bonds, 9.75%,
10/1/97 CAD 180,000 138,235
Ecuador (Republic of) Bonds, 7.25%,
2/28/25/(5)/ 500,000 250,000
Germany (Republic of) Debs.,
Bundesrepublic Deutscheland, Series
90, 9%, 10/20/00 DEM 820,000 656,475
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD 325,000 235,370
Morocco (Kingdom of) Loan
Participation Agreement, Tranche A,
7.375%, 1/1/09/(5)/ 800,000 466,000
Morocco (Kingdom of) Loan
Participation Agreement, Tranche B,
7.375%, 1/1/04/(5)/ 50,000 32,156
New South Wales State Bank Bonds,
9.25%, 2/18/03 AUD 100,000 71,902
New South Wales Treasury Corp. Gtd.
Exch. Bonds, 12%, 12/1/01 AUD 140,000 113,485
New Zealand (Republic of) Bonds, 10%,
7/15/97 NZD 155,000 107,170
New Zealand (Republic of) Bonds, 8%,
11/15/95 NZD 400,000 266,289
Norwegian Government Bonds, 5.75%,
11/30/04 NOK 360,000 50,733
</TABLE>
40
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (1) (NOTE 1)
------------- ------------
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS (Continued)
Petroquimica do Nordeste Sr. Unsec.
Unsub. Nts., 9.50%, 10/19/01 $ 50,000 $ 43,250
Poland (Republic of) Disc. Bonds,
7.125%, 10/27/24/(5)/ 250,000 192,031
Poland (Republic of) Past Due
Interest Bonds, 3.25%, 10/27/14/(6)/ 500,000 300,625
Queensland Treasury Corp. Gtd. Nts.,
8%, 8/14/01 AUD 418,000 282,954
Spain (Kingdom of) Gtd. Bonds, Bonos
y Obligacion del Estado, 10.25%,
11/30/98 ESP 26,000,000 206,772
United Kingdom Treasury Nts., 12%,
11/20/98 GBP 185,000 327,979
United Kingdom Treasury Nts., 12.25%,
3/26/99 GBP 30,000 53,917
United Kingdom Treasury Nts., 13%,
7/14/00 GBP 92,000 174,263
United Mexican States, Combined
Facility 3, Loan Participation
Agreement, Tranche A, 6.75%,
9/20/97/(4)(5)/ 161,920 112,534
United Mexican States, Petacalco
Topolobampo Trust Sr. Sec. Unsub.
Nts., 8.125%, 12/15/03 100,000 70,500
United Mexican States, Petroleos
Mexicanos Gtd. Medium-Term Nts.,
7.60%, 6/15/00 100,000 77,250
Venezuela (Republic of) Debs., 6.75%,
9/20/95 50,000 50,000
------------
Total Foreign Government Obligations
(Cost $6,392,698) 6,528,786
------------
CORPORATE BONDS AND NOTES -- 28.4%
BASIC INDUSTRY -- 3.1%
Chemicals -- 0.4%
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03 100,000 104,500
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05 50,000 53,750
------------
158,250
------------
Paper -- 2.2%
Domtar, Inc., 11.25% Debs., 9/15/17 100,000 107,000
Gaylord Container Corp., 0%/12.75% Sr.
Sub. Disc. Debs., 5/15/05/(7)/ 200,000 196,000
Repap New Brunswick, Inc., 9.50%
First Priority Sr. Sec. Nts.,
7/15/00/(5)/ 200,000 203,500
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00 100,000 108,000
Stone Container Corp., 10.75% First
Mtg. Nts., 10/1/02 190,000 200,450
------------
814,950
------------
Steel -- 0.5%
Jorgensen (Earle M.) Co., 10.75% Sr.
Nts., 3/1/00 50,000 48,000
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03 150,000 139,500
------------
187,500
------------
CONSUMER RELATED -- 7.6%
Consumer Products -- 1.9%
Amstar Corp., 11.375% Sr. Sub. Nts.,
2/15/97 200,000 203,000
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 5/27/98 50,000 37,250
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02 150,000 164,250
International Semi-Tech
Microelectronics, Inc., 0%/11.50% Sr.
Sec. Disc. Nts., 8/15/03/(7)/ 400,000 202,000
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04 100,000 98,750
------------
705,250
------------
Food/Beverages/Tobacco -- 0.4%
Dr. Pepper Bottling Holdings, Inc.,
0%/11.625% Sr. Disc. Nts., 2/15/03/(7)/ 200,000 149,000
------------
Healthcare -- 2.4%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05/(8)/ 87,579 89,604
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02 200,000 219,750
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02/(3)/ 200,000 203,000
National Medical Enterprises, Inc.,
10.125% Sr. Sub. Nts., 3/1/05 100,000 106,250
Total Renal Care, Inc., Units (each Unit
consists of $1,000 principal amount of
0%/12% Sr. Sub. Disc. Nts., 8/15/04 and
nine shares of non-voting
Class B Common Stock)/(7)(9)/ 300,000 274,500
------------
893,104
------------
Hotel/Gaming -- 1.9%
GB Property Funding Corp., 10.875%
First Mtg. Nts., 1/15/04 100,000 87,000
HMH Properties, Inc., 9.50% Sr. Sec.
Nts., 5/15/05/(3)/ 250,000 243,750
Players International, Inc., 10.875% Sr.
Nts., 4/15/05/(3)/ 150,000 148,125
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03 100,000 93,500
Trump Plaza Funding, Inc., 10.875%
Gtd. Mtg. Nts., 6/15/01 150,000 138,750
------------
711,125
------------
Restaurants -- 0.2%
Carrols Corp., 11.50% Sr. Nts., 8/15/03 100,000 94,500
Textile/Apparel -- 0.8%
PT Polysindo Eka Perkasa, Zero
Coupon Promissory Nts., 10/23/96 IDR 300,000,000 96,486
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02 200,000 201,000
------------
297,486
------------
ENERGY -- 1.2%
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02/(3)/ 150,000 148,125
Petroleum Heat & Power Co., Inc.,
12.25% Sub. Debs., 2/1/05 100,000 107,500
Plains Resources, Inc., 12% Sr. Sub.
Nts., 10/1/99 100,000 103,750
Triton Energy Corp., Zero Coupon Sr.
Sub. Disc. Nts., 11/1/97 100,000 81,500
------------
440,875
------------
</TABLE>
41
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (1) (NOTE 1)
------------ ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
FINANCIAL SERVICES -- 0.8%
Banks & Thrifts -- 0.2%
Banco Ganadero SA, Zero Coupon Sr.
Unsub. Unsec. Nts., 6/16/96/(3)/ $ 50,000 $ 45,580
Morgan Stanley Group, 14.25% Indian
Rupee Indexed Nts., 6/26/96 INR 1,570,500 50,016
------------
95,596
------------
Diversified Financial -- 0.3%
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00 100,000 103,000
------------
Insurance -- 0.3%
Terra Nova Holdings, 10.75% Sr. Nts.,
7/1/05 100,000 101,500
------------
HOUSING RELATED -- 0.9%
Building Materials -- 0.2%
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03 100,000 94,750
------------
Homebuilders/Real Estate -- 0.7%
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Nts., 4/1/02 100,000 95,000
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11/(3)/ 250,000 161,250
------------
256,250
------------
MANUFACTURING -- 1.4%
Aerospace/Electronics/Computers -- 0.6%
Berg Electronics Holdings Corp.,
11.375% Sr. Sub. Debs., 5/1/03 50,000 52,000
Rohr, Inc., 11.625% Sr. Nts., 5/15/03 100,000 105,500
Unisys Corp., 13.50% Credit Sensitive
Nts., 7/1/97/(5)/ 50,000 55,817
------------
213,317
------------
Automotive -- 0.5%
Foamex LP/Foamex Capital Corp.,
11.25% Sr. Nts., 10/1/02 50,000 49,500
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04 150,000 137,250
------------
186,750
------------
Capital Goods -- 0.3%
Atlantis Group, Inc., 11% Sr. Nts.,
2/15/03 50,000 49,250
Terex Corp., Units (each Unit consists
of $1,000 principal amount of 13.75%
Sr. Sec. Nts., 5/15/02 and four
Common Stock Appreciation Rights)/(3)(9)/ 100,000 89,000
------------
138,250
------------
MEDIA -- 6.2%
Broadcasting -- 0.8%
Act III Broadcasting, Inc., 9.625% Sr.
Sub. Nts., 12/15/03 50,000 50,688
New City Communications, Inc.,
11.375% Sr. Sub. Nts., 11/1/03 150,000 144,000
Sinclair Broadcasting Group, Inc., 10%
Sr. Sub. Nts., 12/15/03 100,000 101,000
------------
295,688
------------
Cable Television -- 3.2%
American Telecasting, Inc., 0%/12.50%
Sr. Disc. Nts., 6/15/04/(7)/ 300,000 176,250
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04/(7)/ 200,000 134,000
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04 100,000 104,675
Cablevision Systems Corp., 9.875% Sr.
Sub. Debs., 4/1/23 100,000 104,500
Continental Cablevision, Inc., 11% Sr.
Sub. Debs., 6/1/07 300,000 333,000
International CableTel, Inc., 0%/12.75%
Sr. Def. Cpn. Nts., 4/15/05/(3)(7)/ 100,000 59,500
Marcus Cable Operating Co.
LP/Marcus Capital Corp., 0%/13.50%
Gtd. Sr. Sub. Disc. Nts., Series II,
8/1/04/(7)/ 200,000 126,500
People's Choice TV Corp., Units (each
Unit consists of $1,000 principal
amount of 0%/13.125% Sr. Disc. Nts.,
6/1/04 and one Warrant to purchase
1.427 shares of Common Stock)/(7)(9)/ 150,000 71,250
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23 50,000 50,226
Time Warner, Inc., 9.125% Debs.,
1/15/13 50,000 52,420
------------
1,212,521
------------
Diversified Media -- 1.7%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03 200,000 211,000
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(7)/ 50,000 24,375
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03 150,000 150,375
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03 100,000 96,500
Panamsat LP/Panamsat Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00 150,000 154,500
------------
636,750
------------
Entertainment/Film -- 0.5%
Imax Corp., 7% Sr. Nts., 3/1/01/(6)/ 200,000 183,000
OTHER -- 1.5%
Conglomerates -- 1.3%
MacAndrews & Forbes Holdings, Inc.,
13% Sub. Debs., 3/1/99 175,000 174,125
Talley Industries, Inc., 0%/12.25% Sr. Disc.
Debs., 10/15/05/(7)/ 300,000 199,500
Talley Manufacturing & Technology,
Inc., 10.75% Sr. Nts., 10/15/03 100,000 98,500
------------
472,125
------------
Services -- 0.2%
Borg-Warner Security Corp., 9.125% Sr.
Sub. Nts., 5/1/03 100,000 91,000
RETAIL -- 1.8%
Drug Stores -- 0.2%
Duane Reade, 12% Sr. Nts., Series B,
9/15/02 100,000 80,500
Specialty Retailing -- 0.5%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03 100,000 82,000
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03 100,000 96,500
------------
178,500
------------
</TABLE>
42
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET VALUE
AMOUNT (1) (NOTE 1)
------------ ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
RETAIL (Continued)
Supermarkets -- 1.1%
Grand Union Co., 12% Sr. Nts.,
9/1/04/(10)/ $ 300,000 $ 292,500
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99 100,000 107,750
------------
400,250
------------
TRANSPORTATION -- 0.3%
Railroads -- 0.3%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03/(7)/ 200,000 121,000
------------
UTILITIES -- 3.6%
Electric Utilities -- 1.2%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17 199,000 166,247
El Paso Electric Co., 10.75% Lease
Obligation Bonds, 4/1/13/(11)/ 100,000 53,079
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1986A, 1/15/14 200,000 213,631
------------
432,957
------------
Telecommunications -- 2.4%
Call-Net Enterprises, Inc., 0%/13.25%
Sr. Disc. Nts., 12/1/04/(7)/ 200,000 121,750
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04/(3)(7)/ 150,000 105,335
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03/(7)/ 50,000 36,500
Geotek Communications, Inc., Units
(each Unit consists of $1,000 principal
amount 0%/15% Sr. Sec. Disc. Nts. and
thirty Warrants to purchase Common
Stock)/(3)(7)(9)/ 250,000 120,860
In Flight Phone Corp., Units (each Unit
consists of $1,000 principal amount of
0%/14% Sr. Disc. Nts., Series A,
5/15/02 and one Warrant to purchase
one share of Common Stock)/(3)(7)(9)/ 200,000 118,000
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04/(7)/ 100,000 69,750
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01/(7)/ 200,000 161,000
USA Mobile Communications, Inc. II,
14% Sr. Nts., 11/1/04 150,000 162,000
------------
895,195
------------
Total Corporate Bonds and Notes
(Cost $10,565,915) 10,640,939
------------
SHARES
------
COMMON STOCKS -- 0.1%
Celcaribe SA (Cost $29,024)/(3)(12)/ 24,390 21,415
------------
PREFERRED STOCKS -- 2.3%
BankAmerica Corp., 8.375%, Series K 7,000 178,500
California Federal Bank, 10.625% Non-
Cum., Series B 2,000 214,000
First Nationwide Bank, 11.50% Non-Cum. 2,000 216,000
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E 1,000 34,000
Kaiser Aluminum Corp., $.65 Cv.,
Series A 3,000 28,875
Prime Retail, Inc., $19.00 Cv., Series B 6,000 111,750
SDW Holdings Corp. Units (each Unit
consists of ten shares of Sr.
Exchangeable Preferred Stock and one
Cl. B Warrant to purchase one share
of Common Stock)/(3)(9)/ 375 101,408
------------
Total Preferred Stocks
(Cost $889,950) 884,533
------------
UNITS
-----
RIGHTS, WARRANTS AND CERTIFICATES -- 0.0%
American Telecasting, Inc. Wts., Exp.
6/99 1,500 3,750
Echostar Communications Corp. Wts.,
Exp. 6/04 300 3,375
Eye Care Centers of America, Inc.
Wts., Exp. 10/03 100 500
Icon Health & Fitness, Inc. Wts., Exp.
11/99/(3)/ 200 5,000
Terex Corp. Rts., Exp. 7/96/(3)/ 36 5
------------
Total Rights, Warrants and
Certificates (Cost $4,089) 12,630
------------
PRINCIPAL
AMOUNT (1)
----------
STRUCTURED INSTRUMENTS -- 1.4%
Goldman, Sachs & Co. Argentina Local
Market Securities Trust, 11.30%,
4/1/00 (representing debt of Argentina
(Republic of) Bonos del Tesoro Bonds,
Series 10, 6.063%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust)/(2)(4)/ $ 260,869 237,391
Swiss Bank Corp. Investment Banking,
Inc., 10% CD Linked Nt., 7/3/95
(indexed to the British Pound Sterling
2 year swap rate, multiplied by 6)/(2)/ 160,000 160,000
Bayerische Landesbank, N.Y. Branch,
10% CD Linked Nt., 10/30/95 (indexed
to the mid-market yield of the Japanese
Government Bond Series 174, 4.60%,
9/20/04, multiplied by 20)/(4)/ 150,000 138,000
------------
Total Structured Instruments
(Cost $570,870) 535,391
------------
TOTAL INVESTMENTS, AT VALUE
(COST $37,095,767) 100.9% 37,856,609
---------- ------------
LIABILITIES IN EXCESS OF OTHER ASSETS (0.9) (364,616)
---------- ------------
NET ASSETS 100.0% $ 37,491,993
========== ============
</TABLE>
43
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS -- OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS (Continued)
JUNE 30, 1995
(UNAUDITED)
/(1)/ Principal amount is reported in local currency. Foreign currency
abbreviations are as follows:
ARA -- Argentine Austral GBP -- British Pound Sterling
AUD -- Australian Dollar IDR -- Indonesian Rupiah
CAD -- Canadian Dollar INR -- Indian Rupee
CLP -- Chilean Peso NOK -- Norwegian Krone
DEM -- German Deutsche Mark NZD -- New Zealand Dollar
ESP -- Spanish Peseta THB -- Thai Baht
/(2)/ Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign currency.
/(3)/ Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the
Board of Trustees. These securities amount to $2,609,731 or 7% of the
Fund's net assets, at June 30, 1995.
/(4)/ Identifies issues considered to be illiquid -- See Note 7 of Notes to
Financial Statements.
/(5)/ Represents the current interest rate for a variable rate security.
/(6)/ Represents the current interest rate for an increasing rate security.
/(7)/ Represents a zero coupon bond that converts to a fixed rate of interest
at a designated future date.
/(8)/ Interest or dividend is paid in kind.
/(9)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. In most
cases, units involve a higher degree of risk.
/(10)/ When-issued security to be delivered and settled after June 30, 1995.
/(11)/ Non-income producing -- issuer is in default of interest payment.
/(12)/ Non-income producing security.
/(13)/ A sufficient amount of securities has been designated to cover
outstanding forward foreign currency exchange contracts. See Note 5 of
Notes to Financial Statements.
44
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Money Fund (OMF), Oppenheimer High Income Fund (OHIF), Oppenheimer
Bond Fund (OBF), Oppenheimer Capital Appreciation Fund (OCAP), Oppenheimer
Growth Fund (OGF), Oppenheimer Multiple Strategies Fund (OMSF), Oppenheimer
Global Securities Fund (OGSF) and Oppenheimer Strategic Bond Fund (OSBF)
(collectively, the Funds) are separate series of Oppenheimer Variable Account
Funds (the Trust), a diversified, open-end management investment company
registered under the Investment Company Act of 1940, as amended. The Trust's
investment advisor is Oppenheimer Management Corporation (the Manager). The
following is a summary of significant accounting policies consistently followed
by the Funds.
A. INVESTMENT VALUATION.
Portfolio securities of OMF are valued on the basis of amortized cost, which
approximates market value. Portfolio securities of OHIF, OBF, OCAP, OGF, OMSF,
OGSF and OSBF are valued at 4:00 p.m. (New York time) on each trading day.
Listed and unlisted securities for which such information is regularly reported
are valued at the last sale price of the day or, in the absence of sales, at
values based on the closing bid or asked price or the last sale price on the
prior trading day. Long-term debt securities are valued by a portfolio pricing
service approved by the Board of Trustees. Long-term debt securities which
cannot be valued by the approved portfolio pricing service are valued using
dealer-supplied valuations provided the Manager is satisfied that the firm
rendering the quotes is reliable and that the quotes reflect current market
value, or under consistently applied procedures established by the Board of
Trustees to determine fair value in good faith. Short-term debt securities
having a remaining maturity of 60 days or less are valued at cost (or last
determined market value) adjusted for amortization to maturity of any premium or
discount. Options are valued based upon the last sale price on the principal
exchange on which the option is traded or, in the absence of any transactions
that day, the value is based upon the last sale on the prior trading date if it
is within the spread between the closing bid and asked prices. If the last sale
price is outside the spread, the closing bid or asked price closest to the last
reported sale price is used. Forward foreign currency exchange contracts
(forward contracts) are valued at the closing price on the London foreign
exchange market on a daily basis.
B. SECURITY CREDIT RISK.
OHIF and OSBF invests in high yield securities, which may be subject to a
greater degree of credit risk, greater market fluctuations and risk of loss of
income and principal, and may be more sensitive to economic conditions than
lower yielding, higher rated fixed income securities. The Funds may acquire
securities in default, and are not obligated to dispose of securities whose
issuers subsequently default. At June 30, 1995, securities with an aggregate
market value of $1,365,137 for OHIF and $53,079 for OSBF, representing 1.21% and
.14% respectively, of the Funds' net assets, were in default.
C. FOREIGN CURRENCY TRANSLATION.
The accounting records of the Funds are maintained in U.S. dollars. Prices of
securities purchased by OHIF, OBF, OMSF, OGSF and OSBF that are denominated in
foreign currencies are translated into U.S. dollars at the closing rates of
exchange. Amounts related to the purchase and sale of securities and investment
income are translated at the rates of exchange prevailing on the respective
dates of such transactions.
OHIF, OBF, OMSF, OGSF and OSBF account for gains and losses on foreign currency
transactions with the transactions that gave rise to the exchange gain or loss.
The net gain or loss resulting from changes in foreign currency exchange rates
is reported separately in the Statement of Operations by OHIF, OBF, OMSF, OGSF
and OSBF.
D. REPURCHASE AGREEMENTS.
The Funds require the custodian to take possession, to have legally segregated
in the Federal Reserve Book Entry System or to have segregated within the
custodian's vault, all securities held as collateral for repurchase agreements.
The market value of the underlying securities is required to be at least 102% of
the resale price at the time of purchase. If the seller of the agreement
defaults and the value of the collateral declines, or if the seller enters an
insolvency proceeding, realization of the value of the collateral by the Funds
may be delayed or limited.
45
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
E. FEDERAL TAXES.
The Trust intends for each Fund to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required.
F. DISTRIBUTIONS TO SHAREHOLDERS.
Dividends and distributions to shareholders of OHIF, OBF, OCAP, OGF, OMSF, OGSF
and OSBF are recorded on the ex-dividend date. OMF intends to declare dividends
from net investment income each day the New York Stock Exchange is open for
business and pay such dividends monthly. To effect its policy of maintaining a
net asset value of $1.00 per share, OMF may withhold dividends or make
distributions of net realized gains.
G. CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes primarily because of premium amortization,
paydown gains and losses and the recognition of certain foreign currency gains
(losses) as ordinary income (loss) for tax purposes. The character of the
distributions made during the 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 dividend distributions, the fiscal year in
which amounts are distributed may differ from the year that the income or
realized gain (loss) were recorded by the Funds.
H. OTHER.
Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the
ex-dividend date. Discount on securities purchased by OHIF, OBF, OCAP, OGF,
OMSF, OGSF and OSBF is amortized over the life of the respective securities, in
accordance with federal income tax requirements. Realized gains and losses on
investments and unrealized appreciation and depreciation are determined on an
identified cost basis, which is the same basis used for federal income tax
purposes. Dividends in kind are recognized as income on the ex-dividend date, at
the current market value of the underlying security. Interest on payment-in-kind
debt instruments is accrued as income at the coupon rate and a market adjustment
is made on the ex-date.
2. SHARES OF BENEFICIAL INTEREST
The Funds have authorized an unlimited number of no par value shares of
beneficial interest. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
OPPENHEIMER MONEY FUND OPPENHEIMER HIGH INCOME FUND
---------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31, 1994 JUNE 30, 1995 DECEMBER 31, 1994
--------------------------------------------------------- --------------------------------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------------------------- --------------------------- ----------------------- --------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 99,913,035 $ 99,913,035 175,917,558 $ 175,917,558 2,975,278 $30,201,958 9,936,582 $ 81,477,904
Dividends and
distributions
reinvested 2,238,099 2,238,099 3,640,684 3,640,684 501,076 5,088,667 841,101 8,686,931
Redeemed (117,206,540) (117,206,535) (151,084,269) (151,084,269) (2,361,029) (24,392,853) (9,441,490) (75,726,156)
------------ ------------- ------------ ------------- ---------- ------------ ---------- ------------
Net increase
(decrease) (15,055,406) $ (15,055,401) 28,473,973 $ 28,473,973 1,115,325 $ 10,897,772 1,336,193 $ 14,438,679
============ ============= ============ ============= ========== ============ ========== ============
</TABLE>
46
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
OPPENHEIMER MONEY FUND OPPENHEIMER CAPITAL APPRECIATION FUND
---------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31, 1994 JUNE 30, 1995 DECEMBER 31, 1994
--------------------------- --------------------------- ----------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------------------------- --------------------------- ------------------------ --------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 3,798,828 $ 42,466,715 5,002,623 $ 56,466,171 4,239,860 $112,635,717 7,912,557 $ 173,463,586
Dividends and
distributions
reinvested 465,454 5,255,032 666,678 7,384,654 40,594 1,082,642 614,575 17,331,023
Redeemed (1,897,868) (21,282,943) (2,744,016) (30,950,944) (3,281,251) (86,986,692) (5,695,411) (114,272,197)
------------ ------------- ------------ ------------- ---------- ------------ ---------- ------------
Net increase 2,366,414 $ 26,438,804 2,925,285 $ 32,899,881 999,203 $ 26,731,667 2,831,721 $ 76,512,412
============ ============= ============ ============= ========== ============ ========== ============
OPPENHEIMER GROWTH FUND OPPENHEIMER MULTIPLE STRATEGIES FUND
---------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31, 1994 JUNE 30, 1995 DECEMBER 31, 1994
--------------------------- --------------------------- ----------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------------------------- --------------------------- ------------------------ --------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 2,505,152 $ 48,567,231 2,577,268 $ 45,230,951 4,245,187 $ 57,133,806 9,807,084 $ 84,443,396
Dividends and
distributions
reinvested 95,991 1,795,026 36,305 644,411 1,268,564 16,843,085 1,140,244 14,981,165
Redeemed (1,877,437) (36,260,663) (2,236,767) (38,999,875) (3,022,546) (40,685,591) (6,353,523) (37,006,732)
------------ ------------- ------------ ------------- ---------- ------------ ---------- ------------
Net increase 723,706 $ 14,101,594 376,806 $ 6,875,487 2,491,205 $ 33,291,300 4,593,805 $ 62,417,829
============ ============= ============ ============= ========== ============ ========== ============
OPPENHEIMER GLOBAL SECURITIES FUND OPPENHEIMER STRATEGIC BOND FUND
---------------------------------------------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1995 DECEMBER 31, 1994 JUNE 30, 1995 DECEMBER 31, 1994
--------------------------- --------------------------- ----------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
--------------------------- --------------------------- ------------------------ --------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 6,243,202 $ 91,326,621 22,151,454 $ 336,310,887 4,511,606 $ 21,090,640 3,749,500 $ 18,415,292
Dividends and
distributions
reinvested 585,961 8,174,158 178,687 2,801,813 265,203 1,238,330 247,485 1,178,372
Redeemed (3,869,900) (56,937,590) (8,503,911) (112,426,012) (1,315,647) (6,127,111) (1,508,782) (7,350,665)
------------ ------------- ------------ ------------- ---------- ------------ ---------- ------------
Net increase 2,959,263 $ 42,563,189 13,826,230 $ 226,686,688 3,461,363 $ 16,201,859 2,488,203 $ 12,242,999
============ ============= ============ ============= ========== ============ ========== ============
</TABLE>
47
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS, OPTIONS WRITTEN AND FOREIGN
CURRENCY TRANSACTIONS
At June 30, 1995, net unrealized appreciation or depreciation on investments,
options written and foreign currency transactions consisted of the following:
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Oppenheimer Oppenheimer Capital Oppenheimer Multiple Global Strategic
High Income Bond Appreciation Growth Strategies Securities Bond
Fund Fund Fund Fund Fund Fund Fund
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Gross appreciation $ 5,624,107 $ 6,629,477 $ 41,909,298 $17,446,270 $43,847,545 $ 37,143,205 $1,300,826
Gross depreciation (2,492,479) (1,527,436) (4,049,024) (438,083) (9,810,101) (18,532,754) (529,497)
----------- ----------- ------------ ----------- ----------- ------------ ----------
Net unrealized appreciation $ 3,131,628 $ 5,102,041 $ 37,860,274 $17,006,187 $34,037,444 $ 18,610,451 $ 771,329
=========== =========== ============ =========== =========== ============ ==========
Purchases and sales of
Investment securities
(excluding short-term
securities) for the six
months ended June 30, 1995
were as follows:
Purchases $68,877,527 $72,204,024 $179,541,599 $24,732,151 $60,072,425 $259,674,019 $26,799,898
----------- ----------- ------------ ----------- ----------- ------------ -----------
Sales $49,789,133 $30,848,355 $131,434,151 $21,725,933 $66,993,717 $193,639,326 $13,821,418
=========== =========== ============ =========== =========== ============ ===========
</TABLE>
4. OPTION ACTIVITY
The Funds (except OMF) may buy and sell put and call options, or write covered
put and call options on portfolio securities in order to produce incremental
earnings or protect against changes in the value of portfolio securities.
The Funds generally purchase put options or write covered call options to hedge
against adverse movements in the value of portfolio holdings. When an option is
written, the Funds receive a premium and become obligated to sell or purchase
the underlying security at a fixed price, upon exercise of the option. The Funds
segregate assets to cover their obligations under option contracts.
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 Funds 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.
In this report, securities held to cover outstanding call options are noted in
the Statement of Investments. Shares subject to call, expiration date, exercise
price, premium received and market value are detailed in a footnote to the
Statement of Investments. Options written are reported as a liability in the
Statement of Assets and Liabilities. Gains and losses are reported in the
Statement of Operations.
The risk in writing a call option is that the Funds give 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 Funds 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 Funds also have an additional risk of not being able to
enter into a closing transaction if a liquid secondary market does not exist.
The Funds may also write over-the-counter options where the completion of the
obligation is dependent upon the credit standing of the counterparty.
48
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OMSF option activity for the six months ended June 30, 1995 was as follows:
<TABLE>
<CAPTION>
CALL OPTIONS
---------------------------------------
NUMBER OF OPTIONS AMOUNT OF PREMIUMS
---------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 2,255 $ 607,682
Options written 4,779 1,118,511
Options canceled in closing transactions (512) (129,344)
Options expired prior to exercise (1,206) (276,740)
Options exercised (1,003) (339,368)
---------------------------------------
Options outstanding at June 30, 1995 4,313 $ 960,741
=======================================
</TABLE>
OSBF option activity for the six months ended June 30, 1995 was as follows:
<TABLE>
<CAPTION>
PUT OPTIONS
---------------------------------------
NUMBER OF OPTIONS AMOUNT OF PREMIUMS
---------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 -- $ --
Options written 68,493 708
Options expired prior to exercise (68,493) (708)
---------------------------------------
Options outstanding at June 30, 1995 -- $ --
=======================================
CALL OPTIONS
---------------------------------------
NUMBER OF OPTIONS AMOUNT OF PREMIUMS
---------------------------------------
Options outstanding at December 31, 1994 307 $ 1,600
Options written 1,213 8,502
Options canceled in closing transactions (1,069) (7,652)
Options expired prior to exercise (174) (628)
Options exercised (277) (1,822)
---------------------------------------
Options outstanding at June 30, 1995 -- $ --
=======================================
</TABLE>
5. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
A forward foreign currency exchange contract (forward contract) is a commitment
to purchase or sell a foreign currency at a future date, at a negotiated rate.
The Funds (except OMF) use forward contracts to seek to manage foreign currency
risks. They may also be used to tactically shift portfolio currency risk. The
Funds generally enter into forward contracts as a hedge upon the purchase or
sale of a security denominated in a foreign currency. In addition, the Funds may
enter into such contracts as a hedge against changes in foreign currency
exchange rates on portfolio positions.
Forward contracts are valued at the closing price on the London foreign exchange
market on a daily basis. The Funds will realize a gain or loss upon the closing
or settlement of the forward transaction.
49
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
In this report, securities segregated to cover net exposure on outstanding
forward contracts are noted in the Statements of Investments where applicable.
Gains and losses on outstanding contracts (unrealized appreciation or
depreciation on forward contracts) are reported in the Statements of Assets and
Liabilities. Realized gains and losses are reported with all other foreign
currency gains and losses in the Funds' results of operations.
Risks include the potential inability of the counterparty to meet the terms of
the contract and unanticipated movements in the value of a foreign currency
relative to the U.S. dollar.
At June 30, 1995, outstanding forward foreign currency exchange contracts
(forward contracts) to purchase and sell foreign currencies were as follows:
OPPENHEIMER HIGH INCOME FUND
<TABLE>
<CAPTION>
Contract Size Valuation as of Unrealized
Contracts to Sell Expiration Date (In Thousands) June 30, 1995 Depreciation
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
German Deutsch Mark 7/24/95-7/31/95 3,070 $ 2,220,955 $ (18,936)
============ =========
</TABLE>
OPPENHEIMER BOND FUND
<TABLE>
<CAPTION>
Unrealized
Contract Size Valuation as of Appreciation/
Contracts to Buy Expiration Date (In Thousands) June 30, 1995 Depreciation
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
New Zealand Dollar 7/31/95 1,321 $ (883,643) $ 6,829
============ =========
Contracts to Sell
- -----------------------------
Australian Dollar 7/6/95-7/31/95 1,220 $ (899,512) $ 11,892
German Deutsche Mark 7/24/95-7/31/95 6,240 (4,514,392) (40,425)
------------ ---------
$ (5,413,904) (28,533)
============ ---------
$ (21,704)
=========
</TABLE>
OPPENHEIMER GLOBAL SECURITIES FUND
<TABLE>
<CAPTION>
Unrealized
Contract Size Valuation as of Appreciation/
Contracts to Buy Expiration Date (In Thousands) June 30, 1995 Depreciation
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Thailand Baht 9/8/95 47,268 $ 1,914,845 $ 9,646
------------ ---------
Contracts to Sell
- ---------------------------
Austrian Schilling 7/31/95 58,503 $ 6,019,591 $ (19,591)
Australian Dollar 7/31/95 11,220 7,957,774 42,226
British Pound Sterling 7/31/95 4,930 7,853,073 (53,073)
German Deutsche Mark 7/31/95 30,512 22,075,608 (75,608)
Finnish Markka 7/31/95 17,023 3,978,538 21,463
French Franc 7/31/95 68,362 14,090,121 (90,121)
Italian Lira 7/31/95 6,263,848 3,815,590 8,029
Japanese Yen 8/17/95 1,545,660 18,206,865 (206,865)
Netherlands Guilder 7/31/95 12,426 8,028,274 (28,274)
Norwegian Krone 7/31/95 42,070 6,828,559 (28,559)
Portuguese Escudo 7/31/95 1,032 7,028,361 (28,361)
Spanish Peseta 7/5/95-7/31/95 383,615 3,159,695 (11,296)
Swedish Krona 7/3/95-7/31/95 102,659 14,061,707 23,442
Swiss Franc 7/3/95-7/31/95 12,958 11,278,131 23,802
--------- ------------ ---------
8,554,818 $134,381,887 (422,786)
------------ ---------
$(413,140)
=========
</TABLE>
50
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OPPENHEIMER STRATEGIC BOND FUND
<TABLE>
<CAPTION>
Unrealized
Contract Size Valuation as of Appreciation
Contracts to Buy Expiration Date (in Thousands) June 30, 1995 (Depreciation)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
New Zealand Dollar 7/5/95-8/28/95 568 $379,075 $1,770
-------- ------
Contracts to Sell
- ---------------------------
Australian Dollar 7/5/95-8/28/95 523 $370,810 $6,495
Norwegian Krone 7/7/95-7/20/95 319 51,736 (303)
--- -------- ------
842 $422,546 6,192
-------- ------
$7,962
------
</TABLE>
6. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreements with the Trust. For OBF, OCAP, OGF, OMSF, OHIF, OGSF and
OSBF, the annual fees are .75% of the first $200 million of net assets, .72% of
the next $200 million, .69% of the next $200 million, .66% of the next $200
million and .60% of net assets in excess of $800 million. In addition,
management fees for OHIF, OBF and OSBF are .50% of net assets in excess of $1
billion. Management fees for OMF are .45% of the first $500 million, .425% of
the next $500 million, .40% of the next $500 million and .375% of net assets in
excess of $1.5 billion. For OSBF, the Manager has agreed to limit the management
fee charged so that the ordinary operating expenses of the Fund will not exceed
1.0% of its average net assets in any fiscal year.
7. ILLIQUID AND RESTRICTED SECURITIES
At June 30, 1995, investments in securities included issues that are illiquid or
restricted. The securities are often 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. The Funds intend to invest no more
than 10% of net assets (determined at the time of purchase) in illiquid and
restricted securities. Information concerning these securities is as follows:
OPPENHEIMER BOND FUND
<TABLE>
<CAPTION>
Valuation
Acquisition Cost as of
Security Date Per Unit June 30, 1995
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Merrill Lynch & Co., Units, 9.75%, 6/15/99 5/15/95 $110.05 $110.90
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at June 30, 1995 was $1,109,000 or 0.6% of the Fund's net assets.
Pursuant to guidelines adopted by the Board of Trustees, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
OPPENHEIMER HIGH INCOME FUND
<TABLE>
<CAPTION>
Valuation
Acquisition Cost as of
Security Date Per Unit June 30, 1995
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ECM Fund, L.P.I. 4/14/92 $1,000.00 $1,000.00
ECM Fund, L.P.I., 14% Sub. Nts., 6/10/02 4/14/92 $ 100.00 $ 110.00
Gillett Holdings, Inc., Cl.1 12/1/92 $ 10.50 $ 20.00
Goldman Sachs & Co., Argentina Local Market
Securities Trust, 11.30%, 4/1/00 8/24/94 $ 100.00 $ 91.00
Purity Supreme, Inc. Wts., Exp. 8/97 7/29/92 $ 0.00 $ .02
Triangle Wire & Cable, Inc. 5/2/94 $ 9.50 $ 2.00
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at June 30, 1995 was $1,504,286 or 1.3% of the Fund's net assets.
Pursuant to guidelines adopted by the Board of Trustees, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
51
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OPPENHEIMER MULTIPLE STRATEGIES
<TABLE>
<CAPTION>
Valuation
Acquisition Cost as of
Security Date Per Unit June 30, 1995
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Santa Anita Realty Enterprises, Inc., Units 5/28/93-2/9/95 $ 16.99 $ 14.50
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at June 30, 1995 was $580,000 or 0.2% of the Fund's net assets.
Pursuant to guidelines adopted by the Board of Trustees, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
OPPENHEIMER STRATEGIC BOND FUND
<TABLE>
<CAPTION>
Valuation
Acquisition Cost as of
Security Date Per Unit June 30, 1995
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bayerische Landesbank, N.Y. Branch,
10% CD Linked Nt., 10/30/95 4/14/95 $100.00 $92.00
FDIC Trust, Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series
1994-C1, Cl. 2-G, 8.70%, 9/25/95 3/3/95 $ 91.47 $96.38
Goldman, Sachs & Co. Argentina Local Market
Securities Trust, 11.30%, 4/1/00 10/26/94 $ 89.00 $69.50
United Mexican States, Combined Facility 3,
Loan Participation Agreement, Tranche A,
6.75%, 9/20/97 8/24/95 $100.00 $91.00
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at June 30, 1995 was $635,951 or 1.7% of the Fund's net assets.
Pursuant to guidelines adopted by the Board of Trustees, certain unregistered
securities are determined to be liquid and are not included within the 10%
limitation specified above.
8. INTRODUCTION OF OPPENHEIMER GROWTH & INCOME FUND
Oppenheimer Growth & Income Fund commenced operations as a separate series of
the Trust on July 7, 1995.
52
