<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 ended June 30, 1996.
The Semiannual Report for Separate Account 3 begins on page 3. Separate
Account 3 has net assets of $72,679,335 as of June 30, 1996. 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, Oppenheimer Strategic Bond and
Oppenheimer Growth & Income Divisions as of June 30, 1996 are shown in detail
in the table on page 3.
The Semiannual Report for the MML Series Investment Fund begins on page 10. 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 ended June 30, 1996.
The Semiannual Report for the Oppenheimer Variable Account Funds begins on
page 37. 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, Oppenheimer Strategic Bond and Oppenheimer
Growth & Income Funds for the period ended June 30, 1996.
Management appreciates the interest and confidence you have shown in Separate
Account 3.
MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
/s/ Thomas B. Wheeler
Thomas B. Wheeler
Chairman and Chief Executive Officer
August 1, 1996
1
<PAGE>
Table of Contents
<TABLE>
<CAPTION>
Massachusetts Mutual Variable Annuity Separate Account 3
<S> <C>
Statement of Assets and Liabilities as of June 30, 1996................. 3
Statement of Operations For the Six Months Ended June 30, 1996.......... 4
Statement of Changes in Net Asset For the Six Months Ended June 30,
1996 and 1995.......................................................... 5-6
Notes to Financial Statements........................................... 7-9
MML Series Investment Fund
To Our Shareholders..................................................... 10-14
Statement of Assets and Liabilities as of June 30, 1996................. 15
Statement of Operations For the Six Months Ended June 30, 1996.......... 16
Statement of Changes in Net Assets For the Six Months Ended June 30,
1996 and For the Year Ended December 31, 1995.......................... 17
Financial Highlights.................................................... 18-20
Schedule of Investments as of June 30, 1996
MML Equity Fund........................................................ 21-23
MML Money Market Fund.................................................. 24
MML Managed Bond Fund.................................................. 25-27
MML Blend Fund......................................................... 28-33
Notes to Financial Statements........................................... 34-36
Oppenheimer Variable Account Fund
Oppenheimer Fund Managers' Message...................................... 37-45
Statement of Assets and Liabilities as of June 30, 1996................. 46
Statement of Operations For the Six Months Ended June 30, 1996.......... 47
Statement of Changes in Net Assets For the Six Months Ended June 30,
1996 and For the Year Ended December 31, 1995.......................... 48-49
Financial Highlights.................................................... 50-58
Schedule of Investments as of June 30, 1996
Oppenheimer Money Fund................................................ 59-60
Oppenheimer High Income Fund.......................................... 61-67
Oppenheimer Bond Fund................................................. 68-72
Oppenheimer Capital Appreciation Fund................................. 73-75
Oppenheimer Growth Fund............................................... 76-78
Oppenheimer Multiple Strategies Fund.................................. 79-85
Oppenheimer Global Securities Fund.................................... 86-88
Oppenheimer Strategic Bond Fund....................................... 89-95
Oppenheimer Growth & Income Fund...................................... 96-98
Notes to Financial Statements........................................... 99-109
</TABLE>
2
<PAGE>
Massachusetts Mutual Variable Annuity Separate Account 3
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
MML MML Oppenheimer
MML Money Managed MML Oppenheimer High Oppenheimer
Equity Market Bond Blend Money Income Bond
Division Division Division Division Division Division Division
---------- ----------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments
Number of shares (Note 2)..... 69,544 69,544 69,544 69,544 69,544 69,544 69,544
---------- ----------- ---------- ---------- ----------- ---------- ----------
Identified cost (Note 3B)..... $1,862,533 $ 2,874,551 $1,206,797 $1,284,387 $ 2,307,695 $5,604,276 $1,332,568
========== =========== ========== ========== =========== ========== ==========
Value (Note 3A)............... $1,957,196 $ 2,874,551 $1,182,244 $1,312,419 $ 2,307,695 $5,585,162 $1,302,385
Dividends receivable........... -- 12,293 -- -- 3,121 -- --
Receivable from Massachusetts
Mutual Life Insurance Company. 1,400 -- -- 29,528 -- 35,135 --
---------- ----------- ---------- ---------- ----------- ---------- ----------
Total assets................. 1,958,596 2,886,844 1,182,244 1,341,947 2,310,816 5,620,297 1,302,385
LIABILITIES
Payable to Massachusetts
Mutual
Life Insurance Company........ -- 10,235 3,756 -- 7,769 -- 4,227
---------- ----------- ---------- ---------- ----------- ---------- ----------
NET ASSETS..................... $1,958,596 $ 2,876,609 $1,178,488 $1,341,947 $ 2,303,047 $5,620,297 $1,298,158
========== =========== ========== ========== =========== ========== ==========
Net assets consists of:
Accumulation units - value..... $1,958,596 $ 2,876,609 $1,178,488 $1,341,947 $ 2,303,047 $5,620,297 $1,298,158
========== =========== ========== ========== =========== ========== ==========
Accumulation units (Note 7)
Number of units:
Contractowners............... 1,404,055 2,696,945 1,014,648 1,048,225 2,155,323 4,608,169 1,140,050
Massachusetts Mutual
Life Insurance Company...... 5,000 5,000 5,000 5,000 5,000 5,000 5,000
---------- ----------- ---------- ---------- ----------- ---------- ----------
Total units................ 1,409,055 2,701,945 1,019,648 1,053,225 2,160,323 4,613,169 1,145,050
========== =========== ========== ========== =========== ========== ==========
NET ASSET VALUE PER
ACCUMULATION UNIT
June 30, 1996................. $ 1.39 $ 1.06 $ 1.16 $ 1.27 $ 1.07 $ 1.22 $ 1.13
June 30, 1995................. 1.15 1.03 1.12 1.12 1.03 1.07 1.09
</TABLE>
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Capital Oppenheimer Multiple Global Strategic Growth &
Appreciation Growth Strategies Securities Bond Income
Division Division Division Division Division Division
---------- ----------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments
Number of shares (Note 2)...... 69,544 69,544 69,544 69,544 69,544 793,265
---------- ----------- ---------- ---------- ----------- -----------
Identified cost (Note 3B)...... $7,181,727 $11,001,876 $7,576,206 $6,692,751 $10,570,586 $10,965,682
========== =========== ========== ========== =========== ===========
Value (Note 3A)................ $7,725,046 $11,274,240 $7,652,814 $6,936,703 $10,612,105 $11,716,526
Dividends receivable............ -- -- -- -- -- --
Receivable from Massachusetts
Mutual Life Insurance Company.. 38,407 44,526 32,336 32,765 20,542 16,183
---------- ----------- ---------- ---------- ----------- -----------
Total assets.................. 7,763,453 11,318,766 7,685,150 6,969,468 10,632,647 11,732,709
LIABILITIES
Payable to Massachusetts Mutual
Life Insurance Company......... -- -- -- -- -- --
NET ASSETS...................... $7,763,453 $11,318,766 $7,685,150 $6,969,468 $10,632,647 $11,732,709
========== =========== ========== ========== =========== ===========
Net assets consists of:
Accumulation units - value...... $7,763,453 $11,318,766 $7,685,150 $6,969,468 $10,632,647 $11,732,709
========== =========== ========== ========== =========== ===========
Accumulation units (Note 7)
Number of units:
Contractowners................ 5,016,590 7,718,358 6,172,187 6,831,666 9,195,036 7,985,104
Massachusetts Mutual
Life Insurance Company....... 5,000 5,000 5,000 5,000 5,000 5,000
---------- ----------- ---------- ---------- ----------- -----------
Total units................. 5,021,590 7,723,358 6,177,187 6,836,666 9,200,036 7,990,104
========== =========== ========== ========== =========== ===========
NET ASSET VALUE PER
ACCUMULATION UNIT
June 30, 1996.................. $ 1.55 $ 1.47 $ 1.24 $ 1.02 $ 1.16 $ 1.47
June 30, 1995.................. 1.12 1.18 1.11 .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, 1996
(Unaudited)
<TABLE>
<CAPTION>
MML MML Oppenheimer
MML Money Managed MML Oppenheimer High Oppenheimer
Equity Market Bond Blend Money Income Bond
Division Division Division Division Division Division Division
---------- ----------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment income
Dividends (Note 3B)........... $ 23 $ 63,465 $ 15,247 $ 6,210 $ 52,595 $ 233,223 $ 38,454
Expenses
Mortality and expense
risk fee (Note 4)............ 8,963 18,159 6,631 5,593 14,673 28,137 7,380
---------- ----------- ---------- ---------- ----------- ---------- ----------
Net investment income (loss)
(Note 3C).................... (8,940) 45,306 8,616 617 37,922 205,086 31,074
---------- ----------- ---------- ---------- ----------- ---------- ----------
Net realized and unrealized
gain (loss) on investments
Net realized gain on investments
(Notes 3B, 3C and 6)......... 23,010 -- 11,841 19,507 -- 24,978 6,927
Change in net unrealized
appreciation/depreciation of
investments.................. 67,704 -- (40,371) 17,801 -- (33,422) (43,092)
---------- ----------- ---------- ---------- ----------- ---------- ----------
Net gain (loss) on investments 90,714 -- (28,530) 37,308 -- (8,444) (36,165)
---------- ----------- ---------- ---------- ----------- ---------- ----------
Net increase (decrease)
in net assets resulting
from operations.............. $ 81,774 $ 45,306 $ (19,914) $ 37,925 $ 37,922 $ 196,642 $ (5,091)
========== =========== ========== ========== =========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Capital Oppenheimer Multiple Global Strategic Growth &
Appreciation Growth Strategies Securities Bond Income
Division Division Division Division Division Division
---------- ----------- ---------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Investment income
Dividends (Note 3B)........... $ 226,078 $ 499,455 $ 324,176 $ -- $ 353,687 $ 46,241
Expenses
Mortality and expense
risk fee (Note 4)............ 31,116 48,680 42,524 29,090 55,615 38,581
---------- ----------- ---------- ----------- ----------- -----------
Net investment income (loss)
(Note 3C).................... 194,962 450,775 281,652 (29,090) 298,072 7,660
---------- ----------- ---------- ----------- ----------- -----------
Net realized and unrealized
gain (loss) on investments
Net realized gain on investments
(Notes 3B, 3C and 6)......... 116,974 113,542 10,919 10,680 12,004 360,757
Change in net unrealized
appreciation/depreciation of
investments.................. 320,913 52,746 6,620 290,190 (40,000) 502,778
---------- ----------- ---------- ----------- ----------- -----------
Net gain (loss) on investments. 437,887 166,288 17,539 300,870 (27,996) 863,535
---------- ----------- ---------- ----------- ----------- -----------
Net increase (decrease)
in net assets resulting
from operations.............. $ 632,849 $ 617,063 $ 299,191 $ 271,780 $ 270,076 $ 871,195
========== =========== ========== =========== =========== ===========
</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, 1996
(Unaudited)
<TABLE>
<CAPTION>
MML MML Oppenheimer
MML Money Managed MML Oppenheimer High Oppenheimer
Equity Market Bond Blend Money Income Bond
Division Division Division Division Division Division Division
---------- ----------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net
assets
Operations:
Net investment income (loss).. $ (8,940) $ 45,306 $ 8,616 $ 617 $ 37,922 $ 205,086 $ 31,074
Net realized gain
on investments............... 23,010 -- 11,841 19,507 -- 24,978 6,927
Change in net unrealized
appreciation/depreciation
of investments............... 67,704 -- (40,371) 17,801 -- (33,422) (43,092)
---------- ----------- ---------- ---------- ----------- ---------- ----------
Net increase (decrease) in
net assets resulting from
operations................... 81,774 45,306 (19,914) 37,925 37,922 196,642 (5,091)
---------- ----------- ---------- ---------- ----------- ---------- ----------
Capital transactions: (Note 7)
Net contract payments
(Note 5)...................... 1,080,469 2,982,314 791,264 749,305 829,459 2,793,913 488,305
Withdrawal of funds........... (4,795) (124,506) -- -- (78,053) (34,468) (7,408)
Reimbursement (payment) of
accumulation unit value
fluctuation.................. (181) 42 (191) (518) 35 (623) (682)
Withdrawal due to
administrative and contingent
deferred sales charges
(Note 5)..................... (121) (74) -- (74) (147) (164) (22)
Divisional transfers.......... 101,918 (1,799,436) (179,326) (82,436) (1,057,689) 217,934 80,072
---------- ----------- ---------- ---------- ----------- ---------- ----------
Net increase (decrease) in
net assets resulting
from capital transactions.... 1,177,290 1,058,340 611,747 666,277 (306,395) 2,976,592 560,265
---------- ----------- ---------- ---------- ----------- ---------- ----------
Total increase (decrease)...... 1,259,064 1,103,646 591,833 704,202 (268,473) 3,173,234 555,174
NET ASSETS, at beginning
of the year................... 699,532 1,772,963 586,655 637,745 2,571,520 2,447,063 742,984
---------- ----------- ---------- ---------- ----------- ---------- ----------
NET ASSETS, at end of the
period........................ $1,958,596 $ 2,876,609 $1,178,488 $1,341,947 $ 2,303,047 $5,620,297 $1,298,158
========== =========== ========== ========== =========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Capital Oppenheimer Multiple Global Strategic Growth &
Appreciation Growth Strategies Securities Bond Income
Division Division Division Division Division Division
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in
net assets
Operations:
Net investment income (loss).. $ 194,962 $ 450,775 $ 281,652 $ (29,090) $ 298,072 $ 7,660
Net realized gain
on investments............... 116,974 113,542 10,919 10,680 12,004 360,757
Change in net unrealized
appreciation/depreciation
of investments............... 320,913 52,746 6,620 290,190 (40,000) 502,778
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in
net assets resulting from
operations................... 632,849 617,063 299,191 271,780 270,076 871,195
----------- ----------- ----------- ----------- ----------- -----------
Capital transactions: (Note 7)
Net contract payments
(Note 5)...................... 4,406,639 6,654,993 2,160,990 3,927,360 5,013,710 8,237,366
Withdrawal of funds........... (15,361) (49,758) (73,733) (18,080) (143,189) (53,619)
Reimbursement (payment) of
accumulation unit value
fluctuation.................. (10,796) 144 1,005 (2,853) 1,706 15,180
Withdrawal due to
administrative and
contingent deferred sales
charges (Note 5)............. (401) (630) (370) (210) (636) (123)
Divisional transfers.......... 165,092 426,407 683,536 294,155 579,553 570,220
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in
net assets resulting from
capital transactions......... 4,545,173 7,031,156 2,771,428 4,200,372 5,451,144 8,769,024
----------- ----------- ----------- ----------- ----------- -----------
Total increase (decrease)...... 5,178,022 7,648,219 3,070,619 4,472,152 5,721,220 9,640,219
NET ASSETS, at beginning
of the year................... 2,585,431 3,670,547 4,614,531 2,497,316 4,911,427 2,092,490
----------- ----------- ----------- ----------- ----------- -----------
NET ASSETS, at end of the
period........................ $ 7,763,453 $11,318,766 $7,685,150 $ 6,969,468 $10,632,647 $11,732,709
=========== =========== ========== =========== =========== ===========
</TABLE>
See Notes to Financial Statements.
5
<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)
Change in net 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)
Net contract payments (Note 5)............ 156,069 175,792 28,500 81,588 2,445,177 450,171
Withdrawal of funds....................... (96) (198) -- -- -- (792)
Reimbursement (payment) of accumulation
unit value fluctuation................... 450 30 (9) 145 86 384
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
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
Change in net 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)
Net contract payments (Note 5)............ 88,863 485,219 735,285 765,055 532,468 1,197,295
Withdrawal of funds....................... -- (540) (356) -- (395) (62,413)
Reimbursement (payment) of accumulation
unit value fluctuation................... (30) 337 436 469 (2,596) 379
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.
6
<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.
On July 5, 1995, MassMutual paid $5,000 to establish Separate Account 3's
thirteenth division: 500 shares were purchased in the Growth & Income
Division of the Oppenheimer Variable Account Fund described in Note 2.
2. INVESTMENT OF THE SEPARATE ACCOUNT 3 ASSETS
Separate Account 3 maintains thirteen 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 DLB Acquisition Corporation
which is a controlled 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, Oppenheimer
Strategic Bond Fund and Oppenheimer Growth & Income Fund (the "Oppenheimer
Funds") are the nine separate funds of the Oppenheimer Trust. The Oppenheimer
Trust is a registered, open-end, diversified management investment company,
for which OppenheimerFunds, Inc. ("OFI") acts as investment advisor. (Prior
to January 5, 1996, OFI was known as Oppenheimer Management Corporation.)
In addition to the thirteen 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.
7
<PAGE>
Notes To Financial Statements (Continued)
D. Annuity Reserves
Since all contracts are in the accumulation phase, Separate Account 3 has not
recorded any annuity reserves at June 30, 1996.
E. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
4. CHARGES
An asset charge is computed against the net asset value of Separate
Account 3's assets ("Net Asset Value"). The asset charge is equivalent on an
annual basis to 1.40% of the Net Asset Value. The mortality and expense risk
part of the 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 the asset charge is made daily at an annual
rate of 0.l5%. The third component of the asset charge 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. MassMutual also charges for
administrative costs and may impose a contingent deferred sales charge and a
premium tax charge upon redemption, maturity or annuitization.
5. CHARGES/DEDUCTIONS FOR ADMINISTRATIVE CHARGES, CONTINGENT DEFERRED
SALES CHARGES AND PREMIUM TAXES
<TABLE>
<CAPTION>
Administrative
Charges and
Contingent
For the Six Months Contract Deferred
Ended June 30, 1996 Payments Sales Charges
------------------- ---------- --------------
<S> <C> <C>
MML Equity Division......................... $1,080,469 $121
MML Money Market Division................... 2,982,314 74
MML Managed Bond Division................... 791,264 --
MML Blend Division.......................... 749,305 74
Oppenheimer Money Division.................. 829,459 147
Oppenheimer High Income Division............ 2,793,913 164
Oppenheimer Bond Division................... 488,305 21
Oppenheimer Capital Appreciation Division... 4,406,639 401
Oppenheimer Growth Division................. 6,654,993 629
Oppenheimer Multiple Strategies Division.... 2,160,990 370
Oppenheimer Global Securities Division...... 3,927,360 210
Oppenheimer Strategic Bond Division......... 5,013,710 636
Oppenheimer Growth & Income Division........ 8,237,366 124
</TABLE>
6. PURCHASES AND SALES OF INVESTMENTS
<TABLE>
<CAPTION>
For the Six Months Cost of Proceeds
Ended June 30, 1996 Purchases from Sales
------------------- ----------- ----------
<S> <C> <C>
MML Equity Fund............................. $1,348,865 $ 156,402
MML Money Market Fund....................... 3,072,692 1,947,312
MML Managed Bond Fund....................... 968,858 335,856
MML Blend Fund.............................. 1,017,870 362,242
Oppenheimer Money Fund...................... 3,949,544 3,768,346
Oppenheimer High Income Fund................ 3,788,898 633,522
Oppenheimer Bond Fund....................... 1,005,932 410,436
Oppenheimer Capital Appreciation Fund....... 5,290,410 578,366
Oppenheimer Growth Fund..................... 8,205,510 744,226
Oppenheimer Multiple Strategies Fund........ 3,237,042 186,456
Oppenheimer Global Securities Fund.......... 4,683,372 539,032
Oppenheimer Strategic Bond Fund............. 6,160,254 432,053
Oppenheimer Growth & Income Fund............ 10,157,022 1,378,496
</TABLE>
8
<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 Six Months Equity Market Bond Blend Money Income Bond
Ended June 30, 1996 Division Division Division Division Division Division Division
------------------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Units purchased......... 793,557 2,826,491 673,877 597,060 783,133 2,338,668 432,353
Units withdrawn and
transferred to
Guaranteed
Principal Account...... (3,682) (118,228) -- (58) (73,976) (28,824) (6,514)
Units transferred
between divisions...... 76,556 (1,700,995) (149,335) (68,479) (1,004,768) 182,869 70,544
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Increase............ 866,431 1,007,268 524,542 528,523 (295,611) 2,492,713 496,383
Units, at beginning of
the year............... 542,624 1,694,677 495,106 524,702 2,455,934 2,120,456 648,667
---------- ---------- ---------- ---------- ---------- ---------- ----------
Units, at end of the
period................. 1,409,055 2,701,945 1,019,648 1,053,225 2,160,323 4,613,169 1,145,050
========== ========== ========== ========== ========== ========== ==========
MML MML Oppenheimer
MML Money Managed MML Oppenheimer High Oppenheimer
For the Six Months Equity Market Bond Blend Money Income Bond
Ended June 30, 1995 Division Division Division Division Division Division Division
------------------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Units transferred to
MassMutual for
initial capital........ 139,132 171,763 26,588 74,226 2,410,900 422,532 82,725
Units purchased......... (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
========== ========== ========== ========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Capital Oppenheimer Multiple Global Strategic Growth &
For the Six Months Appreciation Growth Strategies Securities Bond Income
Ended June 30, 1996 Division Division Division Division Division Division
------------------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Units purchased......... 2,961,851 4,683,849 1,763,318 3,935,891 4,418,899 5,916,530
Units withdrawn and
transferred to
Guaranteed
Principal Account...... (11,017) (34,917) (60,908) (18,457) (126,847) (37,168)
Units transferred
between divisions...... 95,205 304,007 563,538 285,080 512,743 428,967
---------- ---------- ---------- ---------- ---------- ----------
Net Increase............ 3,046,039 4,952,939 2,265,948 4,202,514 4,804,795 6,308,329
Units, at beginning of
the year............... 1,975,551 2,770,419 3,911,239 2,634,152 4,395,241 1,681,775
---------- ---------- ---------- ---------- ---------- ----------
Units, at end of the
period................. 5,021,590 7,723,358 6,177,187 6,836,666 9,200,036 7,990,104
========== ========== ========== ========== ========== ==========
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Capital Oppenheimer Multiple Global Strategic
For the Six Months Appreciation Growth Strategies Securities Bond
Ended June 30, 1995 Division Division Division Division Division
------------------- ---------- ---------- ---------- ---------- ----------
Units transferred to
MassMutual for
initial capital........ 454,574 641,387 699,006 567,464 1,149,669
Units purchased......... (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 Distributors, Inc. (``MML Distributors"), a wholly-owned subsidiary of
MassMutual, acts as principal underwriter (as defined in the Investment
Company Act of 1940, as amended) of the contracts. MML Distributors may enter
into sales agreements for the sale of the contracts with independent broker-
dealer firms whose registered representatives are licensed and appointed as
insurance agents of MassMutual under the State Insurance Law.
MML Investors Services, Inc. (``MMLISI"), a wholly-owned subsidiary of
MassMutual, acts as co-underwriter of the contracts.
9
<PAGE>
MML Series Investment Fund
Table of Contents
<TABLE>
<CAPTION>
Page
----
<S> <C>
To Our Shareholders................................................. 2-6
Statement of Assets and Liabilities as of June 30, 1996............. 7
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Operations For the Six Months Ended June 30, 1996...... 8
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, 1996 and For the Year Ended December 31, 1995.............. 9
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Financial Highlights
MML Equity Fund.................................................. 10
MML Money Market Fund............................................ 10
MML Managed Bond Fund............................................ 11
MML Blend Fund................................................... 12
Schedule of Investments as of June 30, 1996
MML Equity Fund.................................................. 13-15
MML Money Market Fund............................................ 16
MML Managed Bond Fund............................................ 17-19
MML Blend Fund................................................... 20-25
Notes to Financial Statements....................................... 26-28
</TABLE>
1
<PAGE>
MML Series Investment Fund
To Our Shareholders
Low Interest Rates Defined Markets Through Year-End
To put the first six months of 1996 in perspective, it's helpful to look back
for a moment. Throughout 1995, concern over how quickly the domestic economic
growth rate was slowing prompted the Federal Reserve to cut interest rates. The
Fed reduced rates in an effort to prolong the period of expansion at a slower,
but more sustainable rate, thus staving off the possibility of a recession.
Lower interest rates strongly benefited both the stock and bond markets during
1995. Stocks did well because lower rates both increased corporate
profitability and encouraged consumer spending, especially on goods that had to
be financed. Bonds reacted favorably to declining rates because as new bonds
are issued at lower current rates, investors are willing to pay more for the
higher income of existing bonds.
Interest Rates Change Direction On Reports Of Faster Growth
In contrast to last year, when slowing growth was a concern, economic data in
early 1996 suggested that growth had again picked up. While growth in and of
itself is good, at this point in the economic cycle, it could create
inflationary pressures, causing prices of goods and services to increase and
consequently investments to lose their relative value.
Beginning with reports of an increase in non-farm payroll for the month of
February, which was especially surprising considering the difficult winter most
of the country suffered, rapid economic growth became a concern. This fact
started the investment community discussing not when the Fed might cut rates
further, but rather how far rates might be increased in order to preempt an
inflationary GDP growth rate.
The Stock Market, While Still Positive, Becomes Volatile
Reacting to both increasing interest rates and persistent concerns over whether
reports of faster growth were accurate, the domestic stock market became
volatile over the first half. Investors alternately focused on the types of
companies that should be able to grow faster than the overall economy, and on
stocks of companies that would benefit from the increased consumer demand that
seemed to be reflected by improving economic statistics.
Smaller company stocks and stocks in traditional growth sectors of the market
performed well at various times, as did cyclical stocks - those of companies
whose prospects are tied to the strength of the economy.
The Bond Market Is Less Resilient
As interest rates climbed over the past six months, the bullish bond market of
1995 dissipated. Bonds with the most exposure to interest rate changes fared
most poorly. Long-term Treasuries reported negative price performance for the
period, and the yield curve steepened dramatically.
Bonds with shorter maturities, and bonds that are influenced by other factors
than interest rates - such as corporate bonds, which were buoyed somewhat by
continued corporate profitability - performed somewhat better.
Value Investing During Volatile Markets
Both the stock and bond markets have been decidedly more volatile during 1996,
and we expect that to continue. Price fluctuations have received a great deal
of attention in the financial press, and caused some discomfort for investors in
both markets. However, it is during times of market volatility that value
investors like us have an advantage. When prices are moving steadily higher,
value strategies tend to underperform because they rely heavily on buying
securities when they're selling at discounted prices. In a market with price
fluctuations, astute value investors have the opportunity to purchase securities
they think will perform well at temporarily reduced prices and then profit as
the securities return to favor in the market.
2
<PAGE>
An Optimistic Outlook Regardless of Market Uncertainty
Regardless of the volatility in the U.S. markets in recent months, we think
there are compelling reasons to believe the economy is in good shape. The
economy grew at a real rate of more than three percent during the first half of
1996, which is well above what had been forecasted. So even with a potentially
slower second half, growth will have continued at an impressive rate. And
though threats of inflation are a large factor in the markets' volatility, the
core rate of inflation, minus increases in the food and energy sectors, is still
quite low at approximately 2.7 percent.
The current debate in the markets concerns how the Federal Reserve will react to
this data, and consequently whether rates will be increased. We expect that if
the Fed does move to tighten money supply, its move will not be a large one. In
any event, we intend to focus more on inherent strengths and long-term value.
It is in an environment like this that we'd expect our portfolio strategies to
perform well.
/s/ Stuart Reese
Stuart H. Reese
President
MML Series Investment Fund
August 1, 1996
3
<PAGE>
MML EQUITY
How has the Fund performed over the past six months?
The Fund's performance has been very good, though it has slightly lagged broad
market indices for the period. In the sixth year of an economic growth cycle,
investors tended to focus more on traditional high growth sectors of the market
than the lower-risk area where we invest. Still, due to good stocks selection,
our performance was sound in an absolute sense and it built a solid foundation
for full year results.
Has the fact that market leadership has moved away from large stocks impacted
the portfolio?
Not greatly. One place where investors reached for higher returns in the first
half was smaller company stocks, in contrast to last year, when large company
stocks were runaway leaders. Still, solid companies with recognized competitive
strengths and sustainable earnings have remained in favor regardless of their
size. Ours is a portfolio of very high quality companies, and we have not been
disadvantaged by the shift in market interest towards smaller companies.
What types of companies performed best for you over the period?
Because of faster than expected economic growth in the first half, many cyclical
(or economically-sensitive) stocks performed very well. As value investors, we
had purchased a number of cyclical names at the end of 1995, when fears about
the economy's weakness made cyclicals one of the few real values within a strong
bull market. This positioning became advantageous this year. Some of our best
performers included machinery manufacturers Parker-Hannifin Corporation, Dover
Corporation and Harsco Corporation, electrical equipment firms such as General
Electric Company, Honeywell Inc. and General Signal Corporation, and retailers
including The May Department Stores Company, Sears Roebuck and Co., Albertson's,
Inc. and American Stores Company.
How are you currently positioning the portfolio?
Recently, we've been working to reduce our total number of portfolio holdings,
anticipating continued selectivity in the market. We are both eliminating
smaller holdings that we believe don't merit being brought up to full position
size, and adding to those we feel confident are positioned for growth, but that
are still selling for reasonable prices. For example, we've recently increased
our insurance holdings, adding strong companies like Marsh & McLennan Companies,
Inc., where we see good cash flows being generated, a healthy dividend and
strong prospects for future dividend growth.
What is your outlook for the portfolio?
We believe the Fund will continue to do well, especially in light of increased
market volatility. While volatility can be uncomfortable for market watchers,
it is precisely this type of environment that creates opportunity for value
investors. Price fluctuations both allow us to buy stocks we want to own at
temporarily reduced prices and to sell stocks when they reach our target sell
price. Our value-oriented investment approach is one that has been very
successful over time, and we expect it to help us continue to provide superior
returns going forward.
MML MONEY MARKET
How has the Fund performed over the past six months?
We're very pleased with the Fund's performance for the period. While we
continued to offer investors a safe and highly liquid income vehicle, we also
benefited from yields that were higher this year than last as a result of
increases in interest rates.
How was the Fund positioned in this market and why?
During 1995, when interest rates were declining, we had lengthened the average
maturity of our portfolio in an effort to take advantage of higher rates for as
long as possible. In contrast, during the first half of this year, we kept
average maturity shorter. Shorter-term securities must be replaced with new
issues more often, and since we were able to do so on favorable terms as the
yield curve steepened, the Fund benefited.
What changes are you currently making to the portfolio?
Our assets have grown by approximately 11 percent over the past six months, and
as we've been investing this money, we're working to remain well-diversified
among issuers and securities.
At this time, most of the newly issued securities in our market are extremely
short in maturity. We're looking for ways to extend our average maturity
slightly - its June 30th length was 43 days - but longer-maturity issues are
currently in short supply.
As we always do, we're evaluating and researching all of our investment
opportunities in an effort to capture the most income we can in this environment
without taking on unnecessary risk.
4
<PAGE>
What is your outlook for the Fund?
We believe the outlook remains favorable. U.S. economic growth appears to be
strong. That fact has given rise to the possibility of a tightening of the
money supply, or an increase in interest rates, in an effort to counteract any
upward move in inflation. If the Federal Reserve should increase rates later in
the year, extremely short-term income vehicles like this one are one of the few
types of investments that would benefit. Since the income we pay relates
directly to prevailing interest rates, a higher rate environment would allow us
to pay a higher yield without taking on additional risk.
MML MANAGED BOND
How has the Fund performed over the past six months?
While the general bond market has been weak this year as a result of increasing
interest rates, the Fund's performance has been relatively favorable. Due to
portfolio allocation decisions, it finished the six months ended June 30th
slightly ahead of the Lehman Government/Corporate Index.
What effect did this year's rise in interest rates have on the market?
Bond prices, especially in longer-term maturities, were hurt as interest rates
edged up. Treasuries, which had rallied most on last year's rate declines,
suffered most in the first half of this year. In addition, the yield curve
significantly steepened so that in contrast to last year's market, moving
farther out in maturity made a large difference in the amount of yield available
in the Treasury market.
How was the portfolio positioned in light of these changes?
As always, the portfolio was well-diversified, with a focus on providing a high
rate of total return without taking on undue risk to principal. One of the
moves we made was to increase our allocation to mortgage-backed securities over
the period. Mortgages tend to pay higher income than Treasuries, and because
interest rates had risen, the prepayment risk associated with them in last
year's market had declined. Our focus was on well-seasoned and call-protected
securities, where we felt the income we were buying was fairly reliable.
Additionally, we were consistent in our allocation to corporate bonds over the
period, and they performed well regardless of increasing rates. Corporate
America weathered the economic slowdown at the end of 1995 well, and now that
growth appears to have picked up somewhat, these bonds remain in demand.
How are you currently positioning the portfolio and why?
At this time we're looking for areas of the market where we can add value for
the portfolio. We're holding on to the corporate bonds we own and selectively
adding to our allocation there. In this economic environment, however, we are
conducting a tremendous amount of research into individual corporate credits
before buying. Beyond corporate bonds, we're still building our position in
well-structured mortgage securities. In the Treasury market, we're considering
making investments into the three year maturity range, where the yield curve is
exceptionally steep. We would also consider adding to long bonds if the yield
differential between 10 and 30 year bonds were to increase further. We don't
make bets on the direction of interest rates, so the decisions we're making now
reflect our beliefs about what sectors of the market offer the best potential
value relative to the rest of the market.
What is your outlook for the Fund?
Our outlook is optimistic. This is a Fund that was designed to perform well in
many markets through its diversification over various categories of bonds, its
neutral duration strategy, and its total return focus. While current economic
data suggests the likelihood of the Federal Reserve's increasing interest rates
later this year, we expect our portfolio positioning to help us to continue to
be able to provide a competitive rate of return without undue risk to principal.
MML BLEND
How has the Fund performed over the past six months?
The Fund has performed well, benefiting from the strength in the stock market
and from having avoided some of the difficulties of the fixed income market.
While our performance has lagged that of pure equity investments over the
period, we believe our portfolio diversification will be a plus, allowing us
exposure to the growth potential of stocks, but tempering any dramatic price
swings.
Did your allocation between stocks, bonds and cash change over the period?
Yes. While remaining underweighted in both stocks and bonds, we did slightly
increase our allocation over the last six months, and consequently reduced our
cash position. Though both markets have been volatile, we believe they offer
significant reward
5
<PAGE>
potential over the long term. As of June 30th, our equity holdings represented
55 percent of the portfolio, and our bond position was 19 percent. The remaining
26 percent was invested in money market securities.
Within your allocations, what investment decisions benefited the portfolio over
the period?
Because of faster than expected economic growth in the first half, many cyclical
(or economically-sensitive) stocks performed very well. As value investors, we
had purchased a number of cyclical names at the end of 1995, when fears about
the economy's weakness made cyclicals one of the few real values within a strong
bull market. This positioning became advantageous this year.
On the fixed income side, we benefited from having increased our allocation to
mortgage-backed securities over the period. Mortgages tend to pay higher income
than Treasuries, and because interest rates had risen, the prepayment risk
associated with them in last year's market had declined. Additionally, our
allocation to strong performing corporate bonds helped us over the period.
Where are you currently finding the greatest potential value in the markets?
On the equity side, we've been working to reduce our total number of portfolio
holdings, anticipating continued selectivity in the market. We are both
eliminating smaller holdings that we believe don't merit being brought up to
full position size, and adding to those we feel confident are positioned for
growth, but that are still selling for reasonable prices.
In bonds, we're looking for areas of the market where we can add value for the
portfolio. We're holding on to the corporate bonds we own and selectively adding
to our holdings there. In this economic environment, however, we are conducting
a tremendous amount of research into individual corporate credits before buying.
Beyond corporate bonds, we're still building our position in well-structured
mortgage securities.
What is your outlook for the Fund?
Our outlook is positive. With the increased volatility we've seen in both the
stock and bond markets recently, we believe the potential benefits of a
relatively conservative balanced strategy like ours are compelling. With
exposure to stocks, bonds and money market securities, we're positioned to
capture appreciation and income, but with less price volatility than an
investment in either stocks or bonds.
6
<PAGE>
MML Series Investment Fund
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1996
(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: $914,035,124;
$659,848,392 respectively).................................. $1,365,957,086 $ -- $ -- $1,101,017,076
Bonds and notes (Identified cost: $160,743,652;
$377,282,273 respectively).................................. -- -- 159,309,502 375,347,298
Short-term investments (Identified cost: $158,535,275;
$121,197,672; $4,514,278; $534,271,816 respectively).......... 158,520,790 121,197,672 4,514,278 534,080,467
-------------- -------------- -------------- --------------
Total investments........................................... 1,524,477,876 121,197,672 163,823,780 2,010,444,841
Cash.......................................................... 2,130,827 4,006 1,573 (587,733)
Interest and dividends receivable............................. 2,658,858 -- 2,190,138 7,714,192
Receivable for investments sold............................... 2,592,785 -- 10,628 3,811,245
Receivable for settlement of investments
purchased on a forward commitment basis (Note 2D)............ -- -- -- 109,550
Prepaid trustees' fees........................................ 440 280 280 280
-------------- -------------- -------------- --------------
Total assets................................................ 1,531,860,786 121,201,958 166,026,399 2,021,492,375
-------------- -------------- -------------- --------------
LIABILITIES
Payable for investments purchased............................. 5,347,640 -- -- 1,886,523
Dividends payable (Note 2C)................................... -- 470,335 -- --
Investment management fee payable (Note 4).................... 1,394,733 143,563 194,445 1,838,742
Accrued liabilities........................................... 10,817 7,240 6,932 4,015
-------------- -------------- -------------- --------------
Total liabilities........................................... 6,753,190 621,138 201,377 3,729,280
-------------- -------------- -------------- --------------
NET ASSETS.................................................... $1,525,107,596 $ 120,580,820 $ 165,825,022 $2,017,763,095
============== ============== =============== ==============
Net assets consist of:
Series shares (par value $.01 per share; an unlimited number
authorized) (Note 6)........................................ $ 541,909 $ 1,205,808 $ 137,831 $ 940,534
Additional paid-in capital.................................... 1,040,001,460 119,375,012 165,610,676 1,536,766,548
Undistributed net investment income (Note 2C)................. 18,599,104 9,946 2,714,866 18,881,505
Undistributed net realized gain (loss) on investments and
forward commitments (Notes 2D and 3)......................... 14,057,646 (9,946) (1,204,201) 22,022,598
Net unrealized appreciation (depreciation) on:
Investments (Note 2A)........................................ 451,907,477 -- (1,434,150) 439,042,360
Forward commitments (Note 2D)................................. -- -- -- 109,550
-------------- -------------- -------------- --------------
NET ASSETS.................................................... $1,525,107,596 $ 120,580,820 $ 165,825,022 $2,017,763,095
============== ============== =============== ==============
Outstanding series shares..................................... 54,190,898 120,580,820 13,783,081 94,053,405
============== ============== =============== ==============
Net asset value per share..................................... $ 28.14 $ 1.00 $ 12.03 $ 21.45
============== ============== =============== ==============
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
MML Series Investment Fund
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996
(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......................................................... $ 16,673,885 $ -- $ -- $ 14,065,376
Interest.......................................................... 4,671,970 3,091,110 5,716,624 27,010,792
-------------- -------------- ------------ --------------
Total income................................................... 21,345,855 3,091,110 5,716,624 41,076,168
-------------- -------------- ------------ --------------
Expenses
Investment management fee (Note 4)................................ 2,701,607 280,866 389,313 3,635,657
Trustees' fees.................................................... 9,181 7,376 7,376 7,093
Audit fees........................................................ 14,156 9,733 12,724 15,197
Other............................................................. 546 488 365 378
-------------- -------------- ------------ --------------
Total expenses................................................. 2,725,490 298,463 409,778 3,658,325
-------------- -------------- ------------ --------------
Net investment income (Note 2C)................................... 18,620,365 2,792,647 5,306,846 37,417,843
-------------- -------------- ------------ --------------
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).................................... 14,069,458 (212) (353,181) 25,325,060
Forward commitments (Note 2D).................................... -- -- -- (2,601,828)
-------------- -------------- ------------ --------------
Net realized gain (loss)........................................ 14,069,458 (212) (353,181) 22,723,232
-------------- -------------- ------------ --------------
Change in net unrealized appreciation/depreciation on:
Investments (Note 2A)............................................ 81,554,753 -- (7,864,043) 46,307,305
Forward commitments (Note 2D).................................... -- -- -- (1,278,822)
-------------- -------------- ------------ --------------
Total change in net unrealized appreciation/depreciation........ 81,554,753 -- (7,864,043) 45,028,483
-------------- -------------- ------------ --------------
Net gain (loss)................................................... 95,624,211 (212) (8,217,224) 67,751,715
-------------- -------------- ------------ --------------
Net increase (decrease) in net assets resulting from operations... $ 114,244,576 $ 2,792,435 $ (2,910,378) $ 105,169,558
============== ============== ============ ==============
</TABLE>
8
<PAGE>
MML Series Investment Fund
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six Months Ended June 30, 1996
-------------------------------------------------------
(Unaudited)
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......... $ 18,620,365 $ 2,792,647 $ 5,306,846 $ 37,417,843
Net realized gain (loss)
on investments and
forward commitments.......... 14,069,458 (212) (353,181) 22,723,232
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments.................. 81,554,753 -- (7,864,043) 45,028,483
-------------- ------------ ------------ --------------
Net increase (decrease) in
net assets resulting from
operations................... 114,244,576 2,792,435 (2,910,378) 105,169,558
Dividends to shareholders
from: (Note 2C)
Distribution of net
investment income.......... (25,000) (2,792,435) (2,593,548) (18,540,796)
Distribution of net
realized gains............. -- -- -- --
Net increase in capital
share transactions (Note 6) 161,989,014 11,660,619 12,630,810 107,993,403
-------------- ------------ ------------ --------------
Total increase.............. 276,208,590 11,660,619 7,126,884 194,622,165
NET ASSETS, at beginning
of the year.................. 1,248,899,006 108,920,201 158,698,138 1,823,140,930
-------------- ------------ ------------ --------------
NET ASSETS, at end
of the period/year.......... $1,525,107,596 $120,580,820 $165,825,022 $2,017,763,095
============== ============ ============ ==============
(Overdistributed)
undistributed net
investment income included
in net assets at end
of the period/year.......... $ 18,599,104 $ 9,946 $ 2,714,866 $ 18,881,505
============== ============ ============ ==============
Rate per share of dividends
to shareholders from:
Net investment income....... $ .001 $ .024 $ .193 $ .200
Net realized gains.......... -- -- -- --
<CAPTION>
For the Year Ended December 31, 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......... $ 30,576,154 $ 5,460,140 $ 9,299,421 $ 70,293,462
Net realized gain (loss)
on investments and
forward commitments.......... 16,898,835 (841) 1,319,095 35,795,663
Change in net unrealized
appreciation/depreciation on
investments and forward
commitments.................. 237,559,436 -- 13,704,932 243,603,590
-------------- -------------- ------------- ---------------
Net increase (decrease) in
net assets resulting from
operations................... 285,034,425 5,459,299 24,323,448 349,692,715
Dividends to shareholders
from: (Note 2C)
Distribution of net
investment income.......... (30,563,214) (5,459,299) (9,294,583) (70,291,011)
Distribution of net
realized gains............. (16,854,045) -- -- (35,463,987)
Net increase in capital
share transactions (Note 6) 190,498,822 17,134,168 22,459,621 134,942,076
-------------- -------------- ------------- ---------------
Total increase.............. 428,115,988 17,134,168 37,488,486 378,879,793
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/year.......... $1,248,899,006 $ 108,920,201 $ 158,698,138 $ 1,823,140,930
============== ============== ============= ===============
(Overdistributed)
undistributed net
investment income included
in net assets at end
of the period/year.......... $ 3,739 $ 9,734 $ (72,567) $ (7,094)
============== ============== ============= ===============
Rate per share of dividends
to shareholders from:
Net investment income....... $ .634 $ .054 $ .782 $ .811
Net realized gains.......... .350 -- -- .399
</TABLE>
See Notes to Financial Statement
9
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS
Selected per share data for each series share outstanding throughout:
MML EQUITY FUND
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, ------------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year......... $ 25.924 $ 20.520 $ 20.510 $ 19.862 $ 18.735 $ 15.659 $ 16.764 $ 14.929 $ 13.828 $ 15.591
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income...... .344 .634 .594 .524 .543 .563 .636 .694 .646 .525
Net realized and unrealized
gain (loss) on investments 1.876 5.754 .248 1.365 1.420 3.440 (.722) 2.746 1.660 (.066)
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations................ 2.220 6.388 .842 1.889 1.963 4.003 (.086) 3.440 2.306 .459
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income......... (.001) (.634) (.594) (.524) (.543) (.562) (.665) (.711) (.639) (.988)
Distribution from net
realized gains............ -- (.350) (.238) (.717) (.288) (.365) (.354) (.894) (.566) (1.234)
Distribution in excess of
net realized gains........ -- -- -- -- (.005) -- -- -- -- --
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Total distributions........ (.001) (.984) (.832) (1.241) (.836) (.927) (1.019) (1.605) (1.205) (2.222)
--------- --------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value:
End of period/year........ $ 28.143 $ 25.924 $ 20.520 $ 20.510 $ 19.862 $ 18.735 $ 15.659 $ 16.764 $ 14.929 $ 13.828
========= ========= ======== ======== ======== ======== ======== ======== ======== ========
Total return............... 8.56%* 31.13% 4.10% 9.52% 10.48% 25.56% (.51%) 23.04% 16.68% 2.10%
Net assets (in millions):
End of period/year........ $1,525.11 $1,248.90 $820.78 $663.09 $490.62 $355.04 $235.45 $226.41 $172.80 $150.41
Ratio of expenses to
average net assets........ .19%* .41% .43% .44% .46% .48% .49% .50% .50% .51%
Ratio of net investment
income to average net
assets.................... 1.31%* 2.89% 3.04% 3.23% 3.09% 3.43% 4.09% 4.30% 4.05% 3.44%
Portfolio turnover rate.... 5.83%* 11.72% 9.99% 11.28% 9.07% 9.37% 13.50% 15.71% 15.97% 15.73%
</TABLE>
MML MONEY MARKET FUND
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, --------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
----------- ---- ---- ---- ---- ---- ---- ---- ---- ----
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year.............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Income from investment
operations:
Net investment income........... .024 .054 .038 .027 .034 .059 .078 .088 .072 .063
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income.............. (.024) (.054) (.038) (.027) (.034) (.059) (.078) (.088) (.072) (.063)
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Net asset value:
End of period/year............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
Total return.................... 2.44%* 5.58% 3.84% 2.75% 3.48% 6.01% 8.12% 9.16% 7.39% 6.49%
Net assets (in millions):
End of period/year............. $ 120.58 $108.92 $ 91.79 $ 73.66 $ 84.56 $ 94.41 $ 114.59 $ 70.16 $ 66.35 $ 52.35
Ratio of expenses to
average net assets............. .26%* .54% .55% .54% .53% .52% .54% .54% .55% .57%
Ratio of net investment
income to average net assets... 2.44%* 5.43% 3.81% 2.71% 3.42% 5.91% 7.80% 8.79% 7.20% 6.35%
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
MML Series Investment
FINANCIAL HIGHLIGHTS (Continued)
MML MANAGED BOND FUND
<TABLE>
<CAPTION>
Six Months
Ended Year Ended December 31,
June 30, -----------------------------------------------------------------------------------------
1996 1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
(Unaudited)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........... $ 12.448 $ 11.141 $ 12.405 $ 12.041 $ 12.219 $ 11.318 $ 11.354 $ 10.919 $ 11.052 $ 12.541
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income........ .396 .782 .792 .785 .870 .903 .943 .918 .906 .969
Net realized and unrealized
gain (loss) on investments
and forward commitments..... (.620) 1.307 (1.264) .618 .001 .916 (.036) .454 (.133) (.673)
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total from investment
operations.................. (.224) 2.089 (.472) 1.403 .871 1.819 .907 1.372 .773 .296
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income........... (.193) (.782) (.792) (.784) (.869) (.902) (.943) (.918) (.906) (1.229)
Distribution from net
realized gains.............. -- -- -- (.255) (.158) (.016) -- (.019) -- (.556)
Distribution in excess of
net realized gains.......... -- -- -- -- (.022) -- -- -- -- --
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total distributions.......... (.193) (.782) (.792) (1.039) (1.049) (.918) (.943) (.937) (.906) (1.785)
--------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net asset value:
End of period/year.......... $ 12.031 $ 12.448 $ 11.141 $ 12.405 $ 12.041 $ 12.219 $ 11.318 $ 11.354 $ 10.919 $ 11.052
========= ======== ======== ======== ======== ======== ======== ======== ======== ========
Total return (1.78%)* 19.14% (3.76%) 11.81% 7.31% 16.66% 8.38% 12.83% 7.13% 2.60%
Net assets (in millions):
End of period/year.......... $ 165.83 $ 158.70 $121.21 $129.11 $ 88.15 $ 66.98 $ 43.07 $ 40.03 $ 31.35 $ 26.16
Ratio of expenses to average
net assets.................. .25%* .52% .52% .54% .56% .57% .57% .59% .61% .60%
Ratio of net investment
income to
average net assets.......... 3.25%* 6.63% 6.69% 6.37% 7.28% 7.96% 8.40% 8.35% 8.25% 8.24%
Portfolio turnover rate...... 24.02%* 70.00% 32.77% 58.81% 39.51% 61.85% 69.93% 64.77% 74.92% 55.60%
</TABLE>
See Notes to Financial Statements
11
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS (Continued)
MML BLEND FUND
<TABLE>
<CAPTION>
Six Months
Ended
June 30,
1996
----------
(Unaudited)
<S> <C>
Net asset value:
Beginning of year............... $ 20.519
----------
Income from investment
operations:
Net investment income............ .401
Net realized and unrealized
gain (loss) on investments
and forward commitments......... .733
----------
Total from investment
operations...................... 1.134
----------
Less distributions:
Dividends from net
investment income............... (.200)
Distribution from net
realized gains.................. --
Distribution in excess of
net realized gains.............. --
----------
Total distributions.............. (.200)
----------
Net asset value:
End of period/year.............. $ 21.453
==========
Total return..................... 5.55%*
Net assets (in millions):
End of period/year.............. $2,017.76
Ratio of expenses to
average net assets.............. .19%*
Ratio of net investment
income to
average net assets.............. 1.92%*
Portfolio turnover rate.......... 12.06%*
<CAPTION>
Year Ended December 31,
------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987
---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........ $ 17.672 $ 18.305 $ 17.846 $ 17.307 $ 14.839 $ 15.428 $ 13.876 $ 13.095 $ 13.774
--------- --------- --------- --------- -------- -------- -------- -------- --------
Income from investment
operations:
Net investment income..... .811 .707 .655 .707 .736 .792 .823 .734 .624
Net realized and unrealized
gain (loss) on investments
and forward commitments.. 3.246 (.271) 1.057 .880 2.771 (.445) 1.921 1.000 (.148)
--------- --------- --------- --------- -------- -------- -------- -------- --------
Total from investment
operations............... 4.057 .436 1.712 1.587 3.507 .347 2.744 1.734 .476
--------- --------- --------- --------- -------- -------- -------- -------- --------
Less distributions:
Dividends from net
investment income........ (.811) (.707) (.655) (.707) (.736) (.811) (.835) (.728) (.747)
Distribution from net
realized gains........... (.399) (.359) (.598) (.326) (.303) (.125) (.357) (.225) (.408)
Distribution in excess of
net realized gains....... -- (.003) -- (.015) -- -- -- -- --
--------- --------- --------- --------- -------- -------- -------- -------- --------
Total distributions....... (1.210) (1.069) (1.253) (1.048) (1.039) (.936) (1.192) (.953) (1.155)
--------- --------- --------- --------- -------- -------- -------- -------- --------
Net asset value:
End of period/year....... $ 20.519 $ 17.672 $ 18.305 $ 17.846 $ 17.307 $ 14.839 $ 15.428 $ 13.876 $ 13.095
========= ========= ========= ========= ======== ======== ======== ======== ========
Total return.............. 23.28% 2.48% 9.70% 9.36% 24.00% 2.37% 19.96% 13.40% 3.12%
Net assets (in millions):
End of period/year....... $1,823.14 $1,444.26 $1,296.54 $1,013.28 $797.04 $574.15 $524.29 $401.22 $346.12
Ratio of expenses to
average net assets....... .38% .39% .40% .41% .42% .44% .45% .46% .48%
Ratio of net investment
income to
average net assets....... 4.19% 3.93% 3.60% 4.07% 4.54% 5.37% 5.57% 5.29% 4.77%
Portfolio turnover rate... 30.78% 26.59% 20.20% 25.43% 26.92% 24.55% 22.39% 25.70% 36.56%
</TABLE>
*Percentages represent results for the period and are not annualized.
Total return information shown in the Financial Highlights tables 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.
See Notes to Financial Statements.
12
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ -----------
EQUITIES - 89.56%
<S> <C> <C>
Aerospace & Defense - 2.12%
Boeing Company................................... 202,500 $ 17,642,812
TRW, Inc......................................... 164,000 14,739,500
----------- -------------
366,500 32,382,312
----------- -------------
Agribusiness - .81%
Pioneer Hi-Bred International, Inc............... 235,000 12,425,625
----------- -------------
Apparel, Textiles, Shoes - .90%
VF Corporation................................... 230,000 13,713,750
----------- -------------
Automotive & Parts - 4.02%
Ford Motor Company............................... 595,000 19,263,125
Genuine Parts Company............................ 433,500 19,832,625
Goodyear Tire & Rubber Company................... 461,000 22,243,250
----------- -------------
1,489,500 61,339,000
----------- -------------
Banking, Savings & Loans - 5.65%
The Bank of New York Company, Incorporated....... 435,000 22,293,750
Comerica, Incorporated........................... 338,500 15,105,562
CoreStates Financial Corporation................. 585,500 22,541,750
Norwest Corporation.............................. 391,000 13,636,125
Wachovia Corporation............................. 288,200 12,608,750
----------- -------------
2,038,200 86,185,937
----------- -------------
Beverages - 1.88%
Brown-Forman Corporation (Class B)............... 337,300 13,492,000
Pepsico, Incorporated............................ 430,000 15,211,250
----------- -------------
767,300 28,703,250
----------- -------------
Chemicals - 4.24%
Eastman Chemical Company......................... 210,000 12,783,750
E.I. du Pont de Nemours and Company.............. 166,500 13,174,312
The Lubrizol Corporation......................... 242,000 7,350,750
Nalco Chemical Company........................... 336,400 10,596,600
Rohm & Haas...................................... 330,000 20,707,500
----------- -------------
1,284,900 64,612,912
----------- -------------
Communications - 1.97%
AT&T Corporation................................. 441,000 27,342,000
GTE Corporation.................................. 62,000 2,774,500
----------- -------------
503,000 30,116,500
----------- -------------
Computers & Office Equipment - 6.72%
Hewlett-Packard Company.......................... 320,000 31,880,000
International Business Machines Corporation...... 245,000 24,255,000
Pitney Bowes, Inc................................ 452,000 21,583,000
Xerox Corporation................................ 465,000 24,877,500
----------- -------------
1,482,000 102,595,500
----------- -------------
Containers - 1.01%
Temple-Inland, Inc............................... 330,000 15,427,500
----------- -------------
Cosmetics & Personal Care - 1.82%
Kimberly-Clark Corporation....................... 360,000 27,810,000
----------- -------------
Electric Utilities - 1.28%
Niagara Mohawk Power Corporation................. 200 1,550
NIPSCO Industries, Inc........................... 208,000 8,372,000
SCANA Corporation................................ 394,000 11,081,250
----------- -------------
602,200 19,454,800
----------- -------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ --------------
EQUITIES (Continued)
<S> <C> <C>
Electrical Equipment & Electronics - 7.23%
AMP, Incorporated................................ 674,500 $ 27,064,312
General Electric Company......................... 488,500 42,255,250
General Signal Corporation....................... 248,600 9,415,725
Honeywell Inc.................................... 272,500 14,851,250
Hubbell, Incorporated (Class B).................. 252,072 16,699,770
----------- -------------
1,936,172 110,286,307
----------- -------------
Energy - 7.77%
Amoco Corporation................................ 387,500 28,045,313
Atlantic Richfield Company....................... 107,300 12,715,050
Chevron Corporation.............................. 378,000 22,302,000
Kerr-McGee Corporation........................... 226,000 13,757,750
Mobil Corporation................................ 180,000 20,182,500
Unocal Corporation............................... 432,100 14,583,375
USX Corporation - Marathon Group................. 343,200 6,906,900
----------- -------------
2,054,100 118,492,888
----------- -------------
Financial Services - 1.17%
American Express Company......................... 400,000 17,850,000
----------- -------------
Foods - 1.98%
ConAgra, Inc..................................... 202,300 9,179,363
CPC International, Inc........................... 291,500 20,988,000
----------- -------------
493,800 30,167,363
----------- -------------
Forest Products & Paper - 2.07%
Westvaco Corporation............................. 320,055 9,561,643
Weyerhaeuser Company............................. 519,500 22,078,750
----------- -------------
839,555 31,640,393
----------- -------------
Hardware & Tools - 1.23%
The Stanley Works................................ 631,000 18,772,250
----------- -------------
Healthcare - 7.78%
Becton, Dickinson and Company.................... 268,000 21,507,000
Bristol-Myers Squibb Company..................... 520,000 46,800,000
Pfizer, Incorporated............................. 400,000 28,550,000
Schering-Plough Corp............................. 347,500 21,805,625
----------- -------------
1,535,500 118,662,625
----------- -------------
Household Products - .93%
The Clorox Company............................... 159,500 14,135,688
----------- -------------
Industrial Distribution - 1.25%
W. W. Grainger, Inc.............................. 246,000 19,065,000
----------- -------------
Industrial Transportation - 1.37%
Norfolk Southern Corporation..................... 246,000 20,848,500
----------- -------------
Insurance - 6.69%
Allstate Corporation............................. 192,682 8,791,116
Jefferson-Pilot Corporation...................... 207,000 10,686,375
Marsh & McLennan Companies, Inc.................. 280,500 27,068,250
MBIA, Inc........................................ 268,000 20,870,500
SAFECO Corporation............................... 782,500 27,680,938
Unitrin, Inc..................................... 148,000 6,956,000
----------- -------------
1,878,682 102,053,179
----------- -------------
Machinery & Components - 1.66%
Dover Corporation................................ 325,000 14,990,625
Parker-Hannifin Corporation...................... 242,050 10,256,869
----------- -------------
567,050 25,247,494
----------- -------------
</TABLE>
13
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------ -----------
EQUITIES (Continued)
<S> <C> <C>
Miscellaneous - 2.36%
Harsco Corporation............................. 169,500 $ 11,398,875
Minnesota Mining &
Manufacturing Company......................... 356,000 24,564,000
----------- -------------
525,500 35,962,875
----------- -------------
Photography - 1.21%
Eastman Kodak Company.......................... 236,500 18,387,875
----------- -------------
Publishing & Printing - 3.19%
The Dun & Bradstreet Corporation............... 216,000 13,500,000
McGraw-Hill Companies, Inc..................... 466,000 21,319,500
R. R. Donnelley & Sons Company................. 397,000 13,845,375
----------- -------------
1,079,000 48,664,875
----------- -------------
Retail - 1.83%
The May Department Stores Company.............. 363,000 15,881,250
Sears Roebuck and Company...................... 246,000 11,961,750
----------- -------------
609,000 27,843,000
----------- -------------
Retail - Grocery - 1.78%
Albertson's, Inc............................... 492,000 20,356,500
American Stores Company........................ 164,800 6,798,000
----------- -------------
656,800 27,154,500
----------- -------------
Telephone Utilities - 2.90%
Ameritech Corporation.......................... 347,000 20,603,125
Frontier Corporation........................... 423,500 12,969,688
Southern New England
Telecommunications Corporation................ 252,000 10,584,000
----------- -------------
1,022,500 44,156,813
----------- -------------
Tobacco - 2.74%
American Brands, Inc........................... 463,000 21,008,625
UST, Inc....................................... 607,000 20,789,750
----------- -------------
1,070,000 41,798,375
----------- -------------
Total Equities
(Cost $914,035,124)............................ 1,365,957,086
-------------
<CAPTION>
Principal
Amount
------
SHORT-TERM INVESTMENTS - 10.40%
<S> <C> <C>
Commercial Paper
Aristar, Inc.
5.330% 7/19/96......................... $ 4,000,000 3,989,340
Aristar, Inc.
5.370% 7/25/96......................... 7,425,000 7,398,418
Central & Southwest Corp.
5.450% 7/17/96......................... 5,725,000 5,711,133
Central & Southwest Corp.
5.550% 8/19/96......................... 4,785,000 4,747,711
Central & Southwest Corp.
5.550% 8/2/96.......................... 3,700,000 3,681,747
Comdisco, Inc.
5.500% 7/3/96.......................... 4,865,000 4,863,435
Comdisco, Inc.
5.470% 7/15/96......................... 3,490,000 3,482,576
Comdisco, Inc.
5.450% 7/23/96......................... 5,000,000 4,982,754
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------ -----------
SHORT-TERM INVESTMENTS (Continued)
<S>
Commercial Paper (Continued)
Comdisco, Inc.
5.450% 7/1/96.......................... $ 4,000,000 $ 4,000,000
Comdisco, Inc.
5.510% 8/9/96.......................... 5,420,000 5,386,561
ConAgra, Inc.
5.550% 8/7/96.......................... 4,990,000 4,961,536
Countrywide Home Loans
5.420% 8/22/96......................... 5,080,000 5,036,588
Crown Cork & Seal Company Inc.
5.500% 7/8/96.......................... 3,830,000 3,825,759
Crown Cork & Seal Company Inc.
5.470% 7/10/96......................... 5,055,000 5,048,087
Crown Cork & Seal Company Inc.
5.450% 7/18/96......................... 3,900,000 3,889,356
Crown Cork & Seal Company Inc.
5.600% 8/16/96......................... 3,045,000 3,023,211
Dana Credit Corporation
5.460% 7/29/96......................... 4,000,000 3,982,441
Dana Credit Corporation
5.550% 8/12/96......................... 3,980,000 3,954,229
Dana Credit Corporation
5.630% 8/12/96......................... 260,000 258,292
Dominion Resources, Inc.
5.530% 8/5/96.......................... 7,100,000 7,061,828
Illinois Power Company
5.550% 8/15/96......................... 2,600,000 2,581,045
Illinois Power Company
5.630% 8/1/96.......................... 6,375,000 6,344,094
Kerr-McGee Credit Corporation
5.530% 7/12/96......................... 5,455,000 5,445,783
Mattel, Inc.
5.450% 7/11/96......................... 6,000,000 5,990,192
Mattel, Inc.
5.480% 8/8/96.......................... 3,045,000 3,026,018
Mattel, Inc.
5.470% 7/30/96......................... 4,825,000 4,803,739
ORIX Credit Alliance, Inc.
5.540% 7/9/96.......................... 4,565,000 4,559,223
ORIX Credit Alliance, Inc.
5.570% 8/21/96......................... 4,960,000 4,919,099
Praxair, Inc.
5.470% 7/2/96.......................... 4,400,000 4,399,304
Praxair, Inc.
5.480% 7/11/96......................... 3,795,000 3,788,929
Praxair, Inc.
5.450% 7/16/96......................... 5,000,000 4,988,646
Textron Financial Corporation
5.470% 7/22/96......................... 5,000,000 4,983,538
Textron Financial Corporation
5.450% 7/24/96......................... 4,670,000 4,652,880
Textron Financial Corporation
5.500% 7/31/96......................... 4,220,000 4,200,658
Tyson Foods, Inc.
5.470% 7/26/96......................... 4,570,000 4,552,640
------------ ------------
Total Short-Term Investments
(Cost $158,535,275)......................... $159,130,000 158,520,790
============ ------------
</TABLE>
14
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
-----------
<S> <C> <C>
Total Investments --
(Cost $1,072,570,399) (a) 99.96% $1,524,477,876
Other Assets -- .48 7,382,910
Liabilities -- (.44) (6,753,190)
-------- ---------------
Net Assets -- 100.00% $1,525,107,596
======= ===============
(a) Federal Income Tax Information: At
June 30, 1996 the net unrealized
appreciation on investments based
on cost of $1,072,582,274 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................ $ 455,113,614
Aggregate gross unrealized
depreciation for all investments in
which there is an excess of tax cost
over market value.................. (3,218,012)
--------------
Net unrealized appreciation........ $ 451,895,602
==============
</TABLE>
See Notes to Financial Statements
15
<PAGE>
MML Money Market Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------ -----------
SHORT-TERM INVESTMENTS - 100.51%
<S> <C> <C>
Commercial Paper - 91.71%
American Brands, Inc.
5.310% 8/9/96........................... $ 1,120,000 $ 1,113,557
American Brands, Inc.
5.280% 8/27/96.......................... 3,550,000 3,520,322
Anheuser-Busch Companies, Inc.
5.250% 7/8/96........................... 3,530,000 3,526,396
Aristar, Inc.
5.340% 8/12/96.......................... 2,300,000 2,285,671
Baltimore Gas & Electric Company
5.280% 8/2/96........................... 3,995,000 3,976,250
Bellsouth Telecommunications, Inc.
5.330% 8/6/96........................... 1,750,000 1,740,672
Bellsouth Telecommunications, Inc.
5.350% 8/21/96.......................... 3,030,000 3,007,035
Carolina Power & Light Company
5.250% 7/11/96.......................... 2,580,000 2,576,237
Carolina Power & Light Company
5.370% 9/17/96.......................... 1,900,000 1,877,893
Caterpillar Financial Services Corp.
5.280% 11/15/96......................... 2,120,000 2,077,402
Caterpillar Financial Services Corp.
5.280% 7/30/96.......................... 2,575,000 2,564,048
Coca Cola Company
5.300% 8/30/96.......................... 1,450,000 1,437,192
Coca Cola Financial Corporation
5.240% 7/25/96.......................... 2,595,000 2,585,935
Consolidated Natural Gas Company
5.350% 7/10/96.......................... 2,845,000 2,841,195
Dresser Industries, Inc.
5.280% 7/16/96.......................... 1,965,000 1,960,677
Dresser Industries, Inc.
5.350% 7/31/96.......................... 1,135,000 1,129,940
E.I. du Pont de Nemours and Company
5.290% 11/27/96......................... 1,670,000 1,633,436
E.I. du Pont de Nemours and Company
5.360% 9/18/96.......................... 3,170,000 3,132,714
Eli Lilly & Company
5.300% 7/19/96.......................... 2,900,000 2,892,315
Emerson Electric Company
5.270% 7/24/96.......................... 2,800,000 2,790,573
Ford Motor Credit Company
5.350% 7/22/96.......................... 4,000,000 3,987,516
General Electric Company
5.230% 7/31/96.......................... 2,155,000 2,145,608
General Electric Capital Corp.
5.250% 10/22/96......................... 2,250,000 2,212,922
General Motors Acceptance Corporation
5.500% 1/21/97.......................... 1,390,000 1,346,678
Goldman Sachs & Company
5.200% 9/20/96.......................... 2,400,000 2,371,920
Goldman Sachs & Company
5.270% 8/22/96.......................... 1,260,000 1,250,409
Hercules Incorporated
5.420% 7/18/96.......................... 2,295,000 2,289,126
The Home Depot
5.260% 7/3/96........................... 3,765,000 3,763,900
Monsanto Company
5.290% 7/9/96........................... 3,400,000 3,396,003
Motorola Incorporated
5.230% 7/23/96.......................... 3,200,000 3,189,773
<CAPTION>
Market
Principal Value
Amount (Note 2A)
SHORT-TERM INVESTMENTS (Continued)
<S> <C> <C>
Commercial Paper (Continued)
Motorola Incorporated
5.350% 9/20/96.......................... $ 1,500,000 $ 1,481,944
Northern Illinois Gas Company
5.390% 8/9/96........................... 2,430,000 2,415,811
Pepsico Inc.
5.300% 7/18/96.......................... 2,100,000 2,094,744
Pepsico Inc.
5.360% 9/25/96.......................... 1,255,000 1,238,930
Pepsico Inc.
5.380% 9/25/96.......................... 1,445,000 1,426,429
Philip Morris Companies, Inc.
5.280% 8/9/96........................... 415,000 412,626
Pitney Bowes Credit Corporation
5.250% 7/26/96.......................... 3,485,000 3,472,294
Proctor & Gamble Company
5.260% 7/29/96.......................... 4,770,000 4,750,485
Shell Oil Company
5.300% 8/28/96.......................... 2,400,000 2,379,507
Smithkline Beecham Corp.
5.300% 7/12/96.......................... 3,460,000 3,454,397
Southwestern Bell Telecommunications
5.340% 8/23/96.......................... 2,045,000 2,028,923
Unilever Capital Corporation
5.260% 7/15/96.......................... 3,295,000 3,288,260
Walt Disney Company
5.380% 10/21/96......................... 3,470,000 3,411,920
Weyerhaeuser Company
5.290% 7/17/96.......................... 2,975,000 2,968,005
Weyerhaeuser Company
5.350% 8/29/96.......................... 1,150,000 1,139,917
------------ -----------
Total Commercial Paper
(Cost $110,587,507) 111,290,000 110,587,507
------------ -----------
U.S. Treasury Bills - 8.8%
U.S. Treasury Bill
4.900% 9/19/96.......................... 3,950,000 3,906,989
U.S. Treasury Bill
4.915% 7/5/96........................... 2,840,000 2,838,449
U.S. Treasury Bill
4.905% 7/11/96.......................... 3,870,000 3,864,727
------------ -----------
Total U.S. Treasury Bills
(Cost $10,610,165) 10,660,000 10,610,165
------------ -----------
Total Short-Term Investments
(Cost $121,197,672) (a) $121,950,000 121,197,672
============ -----------
Total Investments -
(Cost $121,197,672) (a) 100.51% 121,197,672
Other Assets - .01 4,286
Liabilities - (.52) (621,138)
------ --------------
Net Assets - 100.00% $ 120,580,820
====== ==============
</TABLE>
(a) Federal Income Tax Information: The aggregate cost for investments for the
MML Money Market Fund as of June 30, 1996 is the same for financial
reporting and federal income tax purposes.
June 30, 1996 seven-day average yield for the portfolio: 4.89%
See Notes to Financial Statements.
16
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES-96.07%
Asset Backed Securities-7.97%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02............................ $ 2,241,893 $ 2,232,769
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00........................... 399,810 399,658
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99........................... 733,208 741,222
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98............................ 101,318 100,938
Jet Equipment Trust 1995-A
8.235% 5/1/15............................. 1,967,473 2,060,358
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99............................ 1,098,944 1,101,691
Railcar Trust No. 1992-1
7.750% 6/1/04............................. 1,642,140 1,699,615
World Omni 1996-A Automobile Lease Securitization
Trust
6.300% 6/25/02............................ 1,900,000 1,898,784
World Omni 1995-A Automobile Lease Securitization
Trust
6.050% 11/25/01........................... 3,000,000 2,983,110
------------ --------------
Total Asset Backed Securities
(Cost $13,298,441) 13,084,786 13,218,145
------------ --------------
Corporate Debt-51.55%
American Airlines, Inc.
9.780% 11/26/11........................... 2,000,000 2,231,240
AMR Corporation
9.000% 8/1/12............................. 1,000,000 1,081,200
Analog Devices, Inc.
6.625% 3/1/00............................. 1,000,000 977,010
Associates Corporation of North America
7.875% 9/30/01............................ 2,000,000 2,080,860
Atlantic Richfield Company
7.770% 2/13/02............................ 3,000,000 3,108,780
Bell Atlantic Financial Services, Inc.
6.610% 2/4/00............................. 2,000,000 1,995,080
Champion International Corporation
6.400% 2/15/26............................ 1,500,000 1,386,480
Charles Schwab Corporation
6.250% 1/23/03............................ 2,000,000 1,890,000
CITGO Petroleum Corporation
7.875% 5/15/06............................ 750,000 743,783
Columbia Gas System, Inc.
6.610% 11/28/02........................... 2,000,000 1,948,980
Commercial Credit Company
7.750% 3/1/05............................. 3,000,000 3,081,630
Continental Airlines, Inc. 1996-B 144A
7.820% 4/15/15............................ 1,500,000 1,465,245
Continental Airlines, Inc. 2B 144A
8.560% 7/2/14............................. 1,000,000 1,056,090
Corning Glass Works, Inc.
8.875% 3/15/16............................ 500,000 545,535
Dow Capital
7.125% 1/15/03............................ 4,000,000 3,924,320
English China Clays Delaware, Inc.
7.375% 10/1/02............................ 1,000,000 1,001,750
Equifax, Inc.
6.500% 6/15/03............................ 1,250,000 1,195,000
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
BONDS AND NOTES (Continued)
<S> <C> <C>
Corporate Debt (Continued)
ERAC USA Finance Company 144A
6.950% 1/15/06............................ $ 1,500,000 $ 1,397,475
FBG Finance Ltd. 144A
7.875% 6/1/16............................. 1,250,000 1,245,713
Fletcher Challenge Ltd.
7.750% 6/20/06............................ 1,500,000 1,521,120
Foster Wheeler Corporation
6.750% 11/15/05........................... 2,000,000 1,904,240
General American Transportation Corporation
6.750% 3/1/06............................. 2,000,000 1,902,160
General Electric Capital Corporation
8.750% 5/21/07............................ 1,000,000 1,113,830
General Motors Acceptance Corporation
6.300% 9/10/97............................ 2,500,000 2,506,300
Hercules Incorporated
6.625% 6/1/03............................. 2,000,000 1,942,140
IMCERA Group, Inc.
6.000% 10/15/03........................... 2,000,000 1,805,820
ITT Corporation (New)
7.375% 11/15/15........................... 3,500,000 3,290,525
Leucadia National Corporation
7.750% 8/15/13............................ 2,000,000 1,885,720
Lockheed Corporation
5.650% 4/1/97............................. 2,000,000 1,989,840
McDonnell Douglas Corporation
9.250% 4/1/02............................. 1,400,000 1,540,308
Newmont Mining Corporation
8.625% 4/1/02............................. 2,000,000 2,092,540
Penske Truck Leasing Co., L.P.
7.750% 5/15/99............................ 1,250,000 1,286,688
Polaroid Corporation
7.250% 1/15/97............................ 1,000,000 1,004,970
Polaroid Corporation
8.000% 3/15/99............................ 1,000,000 1,023,590
Ralston Purina Company
7.750% 10/1/15............................ 3,000,000 2,965,230
Rolls-Royce Capital Inc.
7.125% 7/29/03............................ 1,500,000 1,470,930
Service Corporation International
7.000% 6/1/15............................. 2,250,000 2,248,245
Tele-Communications, Inc.
8.650% 9/15/04............................ 890,000 907,132
Tele-Communications, Inc.
9.800% 2/12/12............................ 1,115,000 1,204,735
Textron Inc.
9.550% 3/19/01............................ 1,000,000 1,100,400
Thomas & Betts Corporation
8.250% 1/15/04............................ 1,500,000 1,536,495
Time Warner, Inc.
7.750% 6/15/05............................ 3,000,000 2,928,660
United Air Lines, Inc.
10.110% 2/19/06............................ 469,855 511,352
US Air, Inc. 144A
7.500% 10/15/09........................... 1,000,000 969,360
US West Capital Funding Corporation
8.375% 10/18/99........................... 3,000,000 3,146,580
Union Oil of California
8.750% 8/15/01............................ 1,500,000 1,612,110
Valassis Communications, Inc.
9.550% 12/1/03............................ 2,000,000 2,028,020
Westinghouse Electric Corporation
8.375% 6/15/02............................ 500,000 497,905
</TABLE>
17
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
W.R. Grace & Co.
7.750% 10/1/02............................ $ 2,100,000 $ 2,147,817
W.R. Grace & Co.
8.000% 8/15/04............................ 1,000,000 1,041,600
------------ --------------
Total Corporate Debt
(Cost $87,218,449) 85,224,855 85,482,533
------------ --------------
U.S. Government Agency Obligations -- 24.39%
Federal Home Loan Mortgage
Corporation (FHLMC) -- 3.77%
Collateralized Mortgage Obligations -- 3.64%
FHLMC Series 1322 Class G
7.500% 2/15/07............................ 2,000,000 2,039,360
FHLMC Series 1460 Class H
7.000% 5/15/07............................ 2,000,000 1,996,240
FHLMC Series 1080 Class D
7.000% 7/15/20............................ 2,000,000 2,009,360
------------ --------------
6,000,000 6,044,960
Pass-Through Securities -- .13%
FHLMC
9.000% 3/1/17............................. 199,340 209,369
------------ --------------
6,199,340 6,254,329
------------ --------------
Federal National Mortgage
Association (FNMA) -- 6.44%
Collateralized Mortgage Obligations -- 5.99%
FNMA Series 1993-175 Class PL
5.000% 10/25/02........................... 2,000,000 1,978,120
FNMA Series 1993-191 Class PD
5.400% 3/25/04............................ 1,500,000 1,469,520
FNMA Series 1993-221 Class D
6.000% 12/25/08........................... 1,000,000 934,060
FNMA Series 1993-134 Class GA
6.500% 2/25/07............................ 2,000,000 1,956,240
FNMA Series 1993-186 Class G
6.250% 3/25/08............................ 3,700,000 3,584,375
------------ --------------
10,200,000 9,922,315
Pass-Through Securities -- .45%
FNMA
9.000% 5/1/09............................. 715,774 752,228
------------ --------------
10,915,774 10,674,543
------------ --------------
Government National Mortgage
Association (GNMA) -- 11.80%
Collateralized Mortgage Obligations -- .53%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19............................. 845,242 872,179
------------ --------------
Pass-Through Securities - 11.27% GNMA
8.000% 12/15/03 - 4/15/08................. 7,305,497 7,492,737
GNMA
7.500% 3/15/17 - 7/15/17.................. 4,789,555 4,759,045
GNMA - ARMS
6.000% 7/20/25 - 12/20/25................. 6,399,184 6,444,272
------------ --------------
18,494,236 18,696,054
------------ --------------
19,339,478 19,568,233
------------ --------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes -- 2.38%
1994-A Atlanta, GA
5.780% 8/1/98............................. $ 130,000 $ 128,396
1994-A Baxter Springs, KS
5.780% 8/1/98............................. 700,000 691,362
1994-A Boston, MA
5.780% 8/1/98............................. 745,000 735,807
1994-A Detroit, MI
5.780% 8/1/98............................. 385,000 380,249
1994-A Egg Harbor, NJ
5.780% 8/1/98............................. 260,000 256,791
1994-A Kansas City, MO
5.780% 8/1/98............................. 550,000 543,213
1994-A Mayaguez, PR
5.780% 8/1/98............................. 295,000 291,360
1994-A Rochester, NY
5.780% 8/1/98............................. 300,000 296,298
1994-A Sacramento, CA
5.780% 8/1/98............................. 55,000 54,321
1994-A Saginaw, MI
5.780% 8/1/98............................. 315,000 311,113
1994-A Youngstown, OH
5.780% 8/1/98............................. 265,000 261,730
------------ --------------
4,000,000 3,950,640
------------ --------------
Total U.S. Government Agency Obligations
(Cost $40,206,794) 40,454,592 40,447,745
------------ --------------
U.S. Treasury Obligations -- 12.16%
U.S. Treasury Bonds -- 3.62%
U.S. Treasury Bond
8.875% 8/15/17............................ 5,000,000 6,003,100
U.S. Treasury Notes -- 5.84%
U.S. Treasury Note
7.250% 5/15/04............................ 6,200,000 6,423,758
U.S. Treasury Note
6.375% 5/15/99............................ 3,250,000 3,257,118
------------ --------------
9,450,000 9,680,876
------------ --------------
U.S. Treasury Strips -- 2.70%
U.S. Treasury Strip -- Principal Only
0.000% 2/15/15............................ 16,700,000 4,477,103
------------ --------------
Total U.S. Treasury Obligations
(Cost $20,019,968) 31,150,000 20,161,079
------------ --------------
Total Bonds and Notes
(Cost $160,743,652) $169,914,233 159,309,502
============ ==============
</TABLE>
18
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
----------- ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 2.72%
Commercial Paper
Detroit Edison
5.500% 7/3/96................ $ 1,330,000 $ 1,329,594
Textron Financial Corporation
5.600% 7/2/96................ 2,030,000 2,029,684
Western Resources Inc.
5.530% 7/1/96................ 1,155,000 1,155,000
------------ ------------
Total Short-Term Investments
(Cost $4,514,278) $ 4,515,000 4,514,278
============ ------------
Total Investments
(Cost $165,257,930) (a) 98.79% 163,823,780
Other Assets -- 1.33 2,202,619
Liabilities -- (.12) (201,377)
------- ------------
Net Assets -- 100.00% $165,825,022
======= ============
</TABLE>
(a) Federal Income Tax Information: At
June 30, 1996 the net unrealized
depreciation on investments based on
cost of $165,428,751 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............................... $ 2,136,361
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value........................... (3,741,332)
------------
Net unrealized depreciation......... $ (1,604,971)
============
See Notes to Financial Statements.
19
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ --------------
<S> <C> <C>
EQUITIES -- 54.57%
Aerospace & Defense -- 1.46%
Boeing Company................................ 190,000 $ 16,553,750
TRW, Inc...................................... 143,000 12,852,125
-------------- --------------
333,000 29,405,875
-------------- --------------
Agribusiness -- .52%
Pioneer Hi-Bred International, Inc............ 200,000 10,575,000
-------------- --------------
Apparel, Textiles, Shoes -- .59%
VF Corporation................................ 200,000 11,925,000
Automotive & Parts -- 1.65%
Ford Motor Company............................ 465,600 15,073,800
Genuine Parts Company......................... 397,000 18,162,750
-------------- --------------
862,600 33,236,550
-------------- --------------
Banking, Savings & Loans -- 3.23%
The Bank of New York Company, Incorporated.... 375,000 19,218,750
Comerica, Incorporated........................ 255,000 11,379,375
CoreStates Financial Corporation.............. 374,800 14,429,800
Norwest Corporation........................... 252,000 8,788,500
Wachovia Corporation.......................... 260,000 11,375,000
-------------- --------------
1,516,800 65,191,425
-------------- --------------
Beverages -- 1.24%
Brown-Forman Corporation (Class B)............ 300,000 12,000,000
Pepsico, Incorporated......................... 365,000 12,911,875
-------------- --------------
665,000 24,911,875
-------------- --------------
Chemicals -- 1.95%
Eastman Chemical Company...................... 168,475 10,255,916
E.I. du Pont de Nemours and Company........... 146,000 11,552,250
The Lubrizol Corporation...................... 208,000 6,318,000
Nalco Chemical Company........................ 295,800 9,317,700
Rohm & Haas................................... 30,000 1,882,500
-------------- --------------
848,275 39,326,366
-------------- --------------
Computers & Office Equipment -- 3.99%
Hewlett-Packard Company....................... 268,000 26,699,500
International Business Machines Corporation... 151,000 14,949,000
Pitney Bowes, Inc............................. 371,000 17,715,250
Xerox Corporation............................. 396,000 21,186,000
-------------- --------------
1,186,000 80,549,750
-------------- --------------
Containers -- .34%
Temple-Inland, Inc. 145,000 6,778,750
-------------- --------------
Cosmetic & Personal Care -- .81%
Kimberly-Clark Corporation.................... 211,000 16,299,750
-------------- --------------
Electric Utilities -- .81%
Niagara Mohawk Power Corporation.............. 200 1,550
NIPSCO Industries, Inc........................ 178,000 7,164,500
SCANA Corporation............................. 326,000 9,168,750
------------- --------------
504,200 16,334,800
------------- --------------
Electrical Equipment & Electronics -- 4.63%
AMP, Inc...................................... 530,000 21,266,250
General Electric Company...................... 420,000 36,330,000
General Signal Corporation.................... 217,000 8,218,875
Honeywell Inc................................. 243,000 13,243,500
Hubbell, Incorporated (Class B)............... 215,940 14,306,025
------------- --------------
1,625,940 93,364,650
------------- --------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ --------------
<S> <C> <C>
EQUITIES (Continued)
Energy -- 4.80%
Amoco Corporation............................. 332,000 $ 24,028,500
Atlantic Richfield Company.................... 90,100 10,676,850
Chevron Corporation........................... 324,000 19,116,000
Kerr-McGee Corporation........................ 190,000 11,566,250
Mobil Corporation............................. 150,000 16,818,750
Unocal Corporation............................ 304,200 10,266,750
USX Corporation - Marathon Group.............. 219,900 4,425,488
------------- --------------
1,610,200 96,898,588
------------- --------------
Financial Services -- .77%
American Express Company...................... 346,000 15,440,250
------------- --------------
Foods -- 1.40%
ConAgra, Inc.................................. 170,300 7,727,363
CPC International, Inc........................ 285,000 20,520,000
------------- --------------
455,300 28,247,363
------------- --------------
Forest Products & Paper -- 1.28%
Westvaco Corporation.......................... 275,012 8,215,984
Weyerhaeuser Company.......................... 415,000 17,637,500
------------- --------------
690,012 25,853,484
------------- --------------
Hardware & Tools -- .79%
The Stanley Works 536,000 15,946,000
------------- --------------
Healthcare -- 5.04%
Becton, Dickinson and Company................. 234,000 18,778,500
Bristol-Myers Squibb Company.................. 450,000 40,500,000
Pfizer, Incorporated.......................... 322,000 22,982,750
Schering-Plough Corp.......................... 310,000 19,452,500
------------- --------------
1,316,000 101,713,750
------------- --------------
Household Products -- .62%
The Clorox Company............................ 140,000 12,407,500
------------- --------------
Industrial Distribution -- .80%
W. W. Grainger, Inc. 208,000 16,120,000
------------- --------------
Industrial Transportation -- .88%
Norfolk Southern Corporation.................. 210,000 17,797,500
------------- --------------
Insurance -- 4.08%
Allstate Corporation.......................... 165,501 7,550,983
Jefferson-Pilot Corporation................... 183,000 9,447,375
Marsh & McLennan Companies, Inc............... 186,900 18,035,850
MBIA, Inc..................................... 225,500 17,560,812
SAFECO Corporation............................ 668,000 23,630,500
Unitrin, Inc.................................. 129,500 6,086,500
------------- --------------
1,558,401 82,312,020
------------- --------------
Machinery & Components -- 1.09%
Dover Corporation............................. 286,000 13,191,750
Parker-Hannifin Corporation................... 208,750 8,845,781
------------- --------------
494,750 22,037,531
Miscellaneous -- 1.56%
Harsco Corporation............................ 156,050 10,494,362
Minnesota Mining &
Manufacturing Company........................ 305,000 21,045,000
------------- --------------
461,050 31,539,362
------------- --------------
Photography -- .76%
Eastman Kodak Company......................... 198,500 15,433,375
------------- --------------
</TABLE>
20
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ --------------
<S> <C> <C>
EQUITIES (Continued)
Publishing & Printing - 2.04%
The Dun & Bradstreet Corporation........... 182,000 $ 11,375,000
McGraw-Hill Companies, Inc................. 400,000 18,300,000
R.R. Donnelley & Sons Company.............. 326,500 11,386,687
-------------- --------------
908,500 41,061,687
-------------- --------------
Retail - 1.21%
The May Department Stores Company.......... 312,000 13,650,000
Sears Roebuck and Company.................. 220,000 10,697,500
-------------- --------------
532,000 24,347,500
-------------- --------------
Retail - Grocery - 1.18%
Albertson's, Inc........................... 440,000 18,205,000
American Stores Company.................... 138,200 5,700,750
-------------- --------------
578,200 23,905,750
-------------- --------------
Telephone Utilities - 2.39%
AT&T Company............................... 280,000 17,360,000
Ameritech Corporation...................... 176,000 10,450,000
Frontier Corporation....................... 371,000 11,361,875
Southern New England.......................
Telecommunications Corporation............ 216,000 9,072,000
-------------- --------------
1,043,000 48,243,875
-------------- --------------
Tire & Rubber - .93%
Goodyear Tire & Rubber Company............. 390,000 18,817,500
-------------- --------------
Tobacco - 1.73%
American Brands, Inc....................... 384,000 17,424,000
UST, Inc................................... 513,000 17,570,250
-------------- --------------
897,000 34,994,250
-------------- --------------
Total Equities
(Cost $659,848,392) 1,101,017,076
--------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
------------
<S> <C> <C>
BONDS AND NOTES - 18.60%
Asset Backed Securities - .86%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02........................ $ 1,868,244 1,860,640
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00........................ 799,620 799,317
Ford Credit Auto Loan Master Trust,
Series 1992-1
6.875% 1/15/99......................... 1,500,000 1,507,500
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99......................... 977,611 988,296
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98......................... 101,318 100,938
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99......................... 2,967,149 2,974,567
Railcar Trust No. 1992-1
7.750% 6/1/04.......................... 1,486,137 1,538,151
World Omni 1995-A Automobile Lease
Securitization Trust
6.050% 11/25/01......................... 3,500,000 3,480,295
World Omni 1994-A Automobile Lease
Securitization Trust
6.300% 6/25/02......................... 4,200,000 4,197,312
-------------- --------------
Total Asset Backed Securities
(Cost $17,557,746) 17,400,079 17,447,016
-------------- --------------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt - 5.50%
American Airlines, Inc.
9.780% 11/26/11........................ $ 5,000,000 $ 5,578,100
American General Finance Corporation
7.750% 1/15/97......................... 2,000,000 2,018,280
AMR Corporation
9.000% 8/1/12.......................... 2,000,000 2,162,400
Analog Devices, Inc.
6.625% 3/1/00.......................... 1,500,000 1,465,515
Bell Atlantic Financial Services, Inc.
6.610% 2/4/00.......................... 1,000,000 997,540
Cardinal Distribution, Inc.
8.000% 3/1/97.......................... 2,000,000 2,023,780
Champion International Corporation
6.400% 2/15/26......................... 3,500,000 3,235,120
Charles Schwab Corporation
6.25% 1/23/03......................... 2,500,000 2,362,500
Chrysler Financial Corp.
6.620% 4/29/97......................... 2,000,000 2,007,700
CITGO Petroleum Corporation
7.875% 5/15/06......................... 1,000,000 991,710
Columbia Gas System, Inc.
6.610% 11/28/02........................ 3,000,000 2,923,470
Commercial Credit Company
7.750% 3/1/05.......................... 2,500,000 2,568,025
Continental Airlines, Inc. 1996-B 144A
7.820% 4/15/15......................... 2,000,000 1,953,660
Continental Airlines, Inc. 2B 144A
8.560% 7/2/14.......................... 1,750,000 1,848,157
Corning Glass Works, Inc.
8.875% 3/15/16......................... 500,000 545,535
Delta Air Lines, Inc.
8.540% 1/2/07.......................... 4,409,887 4,578,522
English China Clays Delaware, Inc.
7.375% 10/1/02......................... 1,000,000 1,001,750
ERAC USA Finance Company 144A
6.950% 1/15/06......................... 1,500,000 1,397,475
FBG Finance Ltd. 144A
7.875% 6/1/16.......................... 4,000,000 3,986,280
Fletcher Challenge Ltd.
7.750% 6/20/06......................... 2,000,000 2,028,160
Ford Motor Credit Company
8.450% 7/15/06......................... 1,500,000 1,507,455
Foster Wheeler Corporation
6.750% 11/15/05........................ 2,000,000 1,904,240
General American Transportation Corporation
6.750% 3/1/06.......................... 3,000,000 2,853,240
General Electric Capital Corporation
8.750% 5/21/07......................... 1,500,000 1,670,745
General Motors Corporation
9.125% 7/15/01......................... 1,500,000 1,630,935
Goldman Sachs Group, L.P. 144A
6.200% 2/15/01......................... 4,000,000 3,829,000
GTE Corporation
9.100% 6/1/03.......................... 1,000,000 1,104,870
ITT Corporation (New)
7.375% 11/15/15........................ 5,000,000 4,700,750
Leucadia National Corporation
7.750% 8/15/13......................... 3,000,000 2,828,580
McDonnell Douglas Corporation
9.250% 4/1/02.......................... 2,200,000 2,420,484
Newmont Mining Corporation
8.625% 4/1/02.......................... 5,000,000 5,231,350
</TABLE>
21
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
North Finance (Bermuda) Limited 144A
7.000% 9/15/05......................... $ 4,000,000 $ 3,840,000
Polaroid Corporation
7.250% 1/15/97......................... 4,500,000 4,522,365
Ralston Purina Company
7.750% 10/1/15......................... 2,000,000 1,976,820
Rolls-Royce Capital Inc.
7.125% 7/29/03......................... 2,000,000 1,961,240
Service Corporation International
7.000% 6/1/15.......................... 4,500,000 4,496,490
TCI Communications, Inc.
7.550% 9/2/03.......................... 3,000,000 2,988,120
Tele-Communications, Inc.
8.650% 9/15/04......................... 715,000 728,764
Tele-Communications, Inc.
9.800% 2/12/12......................... 890,000 961,627
Thomas & Betts Corporation
8.250% 1/15/04......................... 1,000,000 1,024,330
Time Warner, Inc.
7.750% 6/15/05......................... 3,000,000 2,928,660
The Toro Company
11.000% 8/1/17.......................... 2,000,000 2,000,000
US Air, Inc. 144A
7.500% 10/15/09........................ 1,000,000 969,360
Valassis Communications, Inc.
9.550% 12/1/03......................... 2,000,000 2,028,020
W.R. Grace & Co.
8.000% 8/15/04......................... 5,000,000 5,208,000
------------ -------------
Total Corporate Debt
(Cost $111,373,250) 110,464,887 110,989,124
------------ -------------
U.S. Government Agency Obligations - 5.42%
Federal Home Loan Mortgage
Corporation (FHLMC) - 1.25%
Collateralized Mortgage Obligations - 1.22%
FHLMC Series 1322 Class G
7.500% 2/15/07......................... 5,000,000 5,098,400
FHLMC Series 1460 Class H
7.000% 5/15/07......................... 1,789,000 1,785,637
FHLMC Series 1080 Class D
7.000% 7/15/20......................... 5,000,000 5,023,400
FHLMC Series 1490 Class PG
6.300% 5/15/07......................... 5,000,000 4,881,250
FHLMC Series 1625 Class EA
5.750% 3/15/07......................... 5,000,000 4,856,250
FHLMC Series 1625 Class D
5.250% 7/15/04......................... 3,100,000 3,030,250
------------ -------------
24,889,000 24,675,187
Pass-Through Securities - .03%
FHLMC
9.000% 3/1/17.......................... 598,021 628,107
------------ -------------
25,487,021 25,303,294
------------ -------------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Federal National Mortgage
Association (FNMA) - 1.53%
Collateralized Mortgage Obligations - .90%
FNMA Series 1993-134 Class GA
6.500% 2/25/07......................... $ 5,000,000 $ 4,890,600
FNMA Series 1993-71 Class PG
6.250% 7/25/07......................... 8,000,000 7,762,480
FNMA Series 1993-175 Class PL
5.000% 10/25/02........................ 4,130,000 4,084,818
FNMA Series 1993-191 Class PD
5.400% 3/25/04......................... 1,500,000 1,469,520
------------ -------------
18,630,000 18,207,418
Pass-Through Securities - .63%
FNMA
8.000% 5/1/13.......................... 2,985,593 3,060,054
FNMA
6.500% 6/25/08......................... 5,000,000 4,782,800
FNMA
6.250% 3/25/08......................... 5,000,000 4,843,750
------------ -------------
12,985,593 12,686,604
------------ -------------
31,615,593 30,894,022
------------ -------------
Government National Mortgage
Association (GNMA) - 1.61%
Collateralized Mortgage Obligations - .09%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19 1,690,483 1,744,359
Pass-Through Securities - 1.52%
GNMA
8.000% 1/15/04 - 5/15/08............... 8,063,756 8,270,430
GNMA
9.000% 8/15/08 - 9/15/09............... 2,382,796 2,525,763
GNMA
7.5 00% 9/15/16 - 10/15/17.............. 4,592,803 4,563,547
GNMA - ARMS
6.000% 7/20/25 - 12/20/25.............. 15,295,667 15,407,793
------------ -------------
30,335,022 30,767,533
------------ -------------
32,025,505 32,511,892
------------ -------------
</TABLE>
22
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -------------
BONDS AND NOTES (Continued)
Government National Mortgage
Association (GNMA) (Continued)
U.S. Government Guaranteed Notes - 1.03%
<S> <C> <C>
1994-A Abilene, TX
5.780% 8/1/98.......................... $ 70,000 $ 69,136
1994-A Bakersfield, CA
5.780% 8/1/98.......................... 245,000 241,977
1994-A Barberton, OH
5.780% 8/1/98.......................... 75,000 74,074
1994-A Buffalo, NY
5.780% 8/1/98.......................... 375,000 370,373
1991-A Caguas, PR
8.740% 8/1/01.......................... 280,000 301,524
1991-A Council Bluffs, IA
8.740% 8/1/01.......................... 155,000 166,915
1994-A Cumberland, MD
5.780% 8/1/98.......................... 55,000 54,321
1994-A Elizabeth, NJ
5.780% 8/1/98.......................... 75,000 74,075
1994-A Erie, PA
5.780% 8/1/98.......................... 70,000 69,136
1994-A Euclid, OH
5.780% 8/1/98.......................... 105,000 103,704
1994-A Fairfax County, VA
5.780% 8/1/98.......................... 110,000 108,643
1991-A Fairfax County, VA
8.740% 8/1/01.......................... 85,000 91,534
1991-A Fajardo, PR
8.740% 8/1/01.......................... 210,000 226,143
1994-A Fort Myers, FL
5.040% 8/1/96.......................... 120,000 120,000
1994-A Fort Myers, FL
5.780% 8/1/98.......................... 135,000 133,334
1991-A Gasden, AL
8.740% 8/1/01.......................... 100,000 107,687
1994-A Jacksonville, FL
5.040% 8/1/96.......................... 200,000 200,000
1994-A Lawrence, MA
5.040% 8/1/96.......................... 35,000 35,000
1994-A Lawrence, MA
5.780% 8/1/98.......................... 40,000 39,506
1994-A Little Rock, AK
5.040% 8/1/96.......................... 310,000 310,000
1994-A Los Angeles County, CA
5.040% 8/1/96.......................... 145,000 145,000
1994-A Los Angeles County, CA
5.780% 8/1/98.......................... 175,000 172,840
1991-A Lorain, OH
8.740% 8/1/01.......................... 30,000 32,306
1994-A Macon, GA
5.040% 8/1/96.......................... 25,000 25,000
1994-A Mayaguez, PR
5.780% 8/1/98.......................... 65,000 64,198
1991-A Mayaguez, PR
8.740% 8/1/01.......................... 150,000 161,530
1994-A Mobile, AL
5.780% 8/1/98.......................... 205,000 202,470
1994-A Montgomery County, PA
5.040% 8/1/96.......................... 215,000 215,000
1994-A Montgomery County, PA
5.780% 8/1/98.......................... 230,000 227,162
1994-A New Orleans, LA
5.780% 8/1/98.......................... 175,000 172,841
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ -------------
BONDS AND NOTES (Continued)
Government National Mortgage
Association (GNMA) (Continued)
U.S. Government Guaranteed Notes (Continued)
<S> <C> <C>
1994-A Ocean Shores, WA
5.780% 8/1/98.......................... $ 110,000 $ 108,643
1994-A Pasadena, CA
5.780% 8/1/98.......................... 140,000 138,272
1994-A Providence, RI
5.040% 8/1/96.......................... 40,000 40,000
1994-A Providence, RI
5.780% 8/1/98.......................... 50,000 49,383
1994-A Reading, PA
5.040% 8/1/96.......................... 15,000 15,000
1994-A Reading, PA
5.780% 8/1/98.......................... 65,000 64,198
1994-A Roanoke, VA
5.780% 8/1/98.......................... 210,000 207,409
1994-A Rochester, NY
5.040% 8/1/96.......................... 155,000 155,000
1994-A Rochester, NY
5.780% 8/1/98.......................... 165,000 162,964
1991-A Rochester, NY
8.650% 8/1/00.......................... 4,295,000 4,571,468
1994-A Sacramento, CA
5.040% 8/1/96.......................... 125,000 125,000
1994-A Sacramento, CA
5.780% 8/1/98.......................... 300,000 296,298
1994-A St. Joseph, MO
5.040% 8/1/96.......................... 70,000 70,000
1994-A Salt Lake City, UT
5.040% 8/1/96.......................... 135,000 135,000
1994-A Schaumburg, IL
5.040% 8/1/96.......................... 60,000 60,000
1994-A Syracuse, NY
5.040% 8/1/96.......................... 50,000 50,000
1994-A Syracuse, NY
5.780% 8/1/98.......................... 50,000 49,383
1994-A Tacoma, WA
5.040% 8/1/96.......................... 130,000 130,000
1994-A Tacoma, WA
5.780% 8/1/98.......................... 155,000 153,087
1994-A Trenton, NJ
5.040% 8/1/96.......................... 120,000 120,000
1994-A Trenton, NJ
5.780% 8/1/98.......................... 130,000 128,396
1994-A Virginia Beach, VA
5.780% 8/1/98.......................... 260,000 256,792
1994-A Waterford Township, MI
5.780% 8/1/98.......................... 55,000 54,321
1994-A Waterford Township, MI
5.040% 8/1/96.......................... 50,000 50,000
1994-A West Palm Beach, FL
5.780% 8/1/98.......................... 105,000 103,704
U.S. Department of Housing
and Urban Development, Series 1995-A
8.240% 8/1/02.......................... 8,475,000 9,114,439
------------ -------------
19,780,000 20,724,186
------------ -------------
Total U.S. Government Agency Obligations
(Cost $107,869,716) 108,908,119 109,433,394
------------ -------------
</TABLE>
23
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Treasury Obligations - 6.82%
U.S. Treasury Bonds - 2.24%
U.S. Treasury Bond
8.750% 5/15/17........................... $ 34,500,000 $ 40,931,145
U.S. Treasury Bond
8.875% 8/15/17........................... 3,500,000 4,202,170
------------ --------------
38,000,000 45,133,315
------------ --------------
U.S. Treasury Notes - 4.41%
U.S. Treasury Note
7.250% 5/15/04........................... 15,400,000 15,955,786
U.S. Treasury Note
6.375% 5/15/99........................... 11,000,000 11,024,090
U.S. Treasury Note
6.375% 1/15/99........................... 22,500,000 22,573,800
U.S. Treasury Note
6.375% 8/15/02........................... 15,000,000 14,880,450
U.S. Treasury Note
6.125% 5/15/98........................... 20,000,000 20,000,000
U.S. Treasury Note
6.125% 3/31/98........................... 4,500,000 4,503,510
------------ --------------
88,400,000 88,937,636
------------ --------------
U.S. Treasury Strips - .17%
U.S. Treasury Strip - Principal only
0.000% 2/15/10........................... 8,750,000 3,406,813
------------ --------------
Total U.S. Treasury Obligations
(Cost $140,481,561)........................... 135,150,000 137,477,764
------------ --------------
Total Bonds and Notes
(Cost $377,282,273)........................... $371,923,085 375,347,298
============ ==============
SHORT-TERM INVESTMENTS - 26.47%
Commercial Paper
Aristar, Inc.
5.350% 7/1/96............................ $ 7,760,000 7,760,000
Baltimore Gas & Electric
5.250% 7/8/96............................ 12,355,000 12,341,319
Bausch & Lomb, Inc.
5.400% 7/15/96........................... 10,000,000 9,977,853
Boston Edison Company
5.470% 7/10/96........................... 3,530,000 3,524,891
Boston Edison Company
5.470% 7/24/96........................... 8,000,000 7,970,672
Carolina Power & Light Company
5.250% 7/11/96........................... 15,945,000 15,918,936
Caterpillar Service Corporation
5.320% 10/11/96.......................... 10,020,000 9,855,756
Caterpillar Service Corporation
5.280% 11/15/96.......................... 13,660,000 13,361,453
Central and South West Corporation
5.500% 7/9/96............................ 2,500,000 2,496,836
Central and South West Corporation
5.550% 7/29/96........................... 8,000,000 7,965,467
Central and South West Corporation
5.550% 8/27/96........................... 12,900,000 12,783,266
Central and South West Corporation
5.570% 8/23/96........................... 5,450,000 5,404,551
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Coca Cola Company
5.230% 7/31/96........................... $ 7,960,000 $ 7,921,937
Comdisco, Inc.
5.470% 7/29/96........................... 6,620,000 6,590,939
Comdisco, Inc.
5.450% 8/2/96............................ 3,730,000 3,711,455
Comdisco, Inc.
5.490% 8/9/96............................ 4,340,000 4,313,224
Comdisco, Inc.
5.520% 8/5/96............................ 7,375,000 7,334,531
Comdisco, Inc.
5.550% 8/9/96............................ 1,185,000 1,177,875
Comdisco, Inc.
5.550% 8/22/96........................... 7,135,000 7,074,026
ConAgra, Inc.
5.460% 8/26/96........................... 8,545,000 8,469,302
ConAgra, Inc.
5.530% 8/30/96........................... 11,560,000 11,446,307
ConAgra, Inc.
5.540% 7/19/96........................... 525,000 523,546
ConAgra, Inc.
5.560% 7/23/96........................... 8,175,000 8,147,223
Countrywide Home Loans
5.350% 8/19/96........................... 12,350,000 12,253,757
Crown Cork & Seal Company, Inc.
5.470% 7/23/96........................... 1,620,000 1,614,412
Crown Cork & Seal Company, Inc.
5.440% 8/28/96........................... 16,185,000 16,033,486
Crown Cork & Seal Company, Inc.
5.580% 9/4/96............................ 9,000,000 8,904,460
Dana Corporation
5.570% 7/25/96........................... 7,600,000 7,571,779
Dana Credit Corporation
5.500% 7/9/96............................ 8,000,000 7,989,876
Dana Credit Corporation
5.520% 7/16/96........................... 1,365,000 1,361,819
Dana Credit Corporation
5.500% 7/16/96........................... 11,135,000 11,109,050
Dana Credit Corporation
5.500% 7/12/96........................... 7,095,000 7,082,654
Dana Credit Corporation
5.550% 8/12/96........................... 8,890,000 8,832,437
Dominion Resources, Inc.
5.490% 7/22/96........................... 13,265,000 13,221,327
Dominion Resources, Inc.
5.480% 8/13/96........................... 8,675,000 8,615,991
Dominion Resources, Inc.
5.530% 8/16/96........................... 10,000,000 9,927,232
E.I. du Pont de Nemours and Company
5.360% 9/18/96........................... 10,580,000 10,444,564
Illinois Power Company
5.500% 7/17/96........................... 10,000,000 9,974,727
Illinois Power Company
5.450% 8/6/96............................ 7,400,000 7,357,707
Kerr-McGee Credit Corporation
5.550% 8/14/96........................... 14,650,000 14,546,330
Lockheed Martin Corporation
5.450% 7/30/96........................... 11,835,000 11,781,191
Mattel, Inc.
5.480% 8/1/96............................ 11,450,000 11,392,496
</TABLE>
24
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ --------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Mattel, Inc.
5.480% 8/8/96............................ $ 11,430,000 $ 11,358,747
Mattel, Inc.
5.500% 7/25/96........................... 2,525,000 2,515,183
Monsanto Company
5.280% 7/18/96........................... 10,460,000 10,431,452
ORIX Credit Alliance, Inc.
5.530% 7/23/96........................... 2,945,000 2,934,842
ORIX Credit Alliance, Inc.
5.570% 8/21/96........................... 13,000,000 12,892,799
ORIX Credit Alliance, Inc.
5.660% 10/22/96.......................... 7,558,000 7,421,133
Pepsico, Inc.
5.380% 9/25/96........................... 10,105,000 9,964,602
Pitney Bowes Credit Corporation
5.260% 7/26/96........................... 10,445,000 10,402,014
Praxair, Inc.
5.470% 7/3/96............................ 9,800,000 9,796,848
Praxair, Inc.
5.470% 9/23/96........................... 8,240,000 8,128,087
Praxair, Inc.
5.450% 8/20/96........................... 8,000,000 7,936,384
Proctor & Gamble Company
5.350% 9/5/96............................ 14,785,000 14,625,741
Public Service Electric and Gas Company
5.520% 8/2/96............................ 5,445,000 5,418,283
Shell Oil Company
5.310% 8/29/96........................... 11,040,000 10,939,039
Texas Utilities Electric Company
5.550% 7/12/96........................... 7,900,000 7,886,603
Textron Financial Corporation
5.470% 7/10/96........................... 1,600,000 1,597,812
Textron Financial Corporation
5.520% 8/15/96........................... 8,840,000 8,774,974
Textron Financial Corporation
5.530% 8/29/96........................... 4,000,000 3,961,284
Textron Inc.
5.470% 7/19/96........................... 6,755,000 6,735,868
Textron Inc.
5.450% 7/10/96........................... 6,945,000 6,935,538
Tyson Foods, Inc.
5.430% 8/7/96............................ 6,495,000 6,456,212
VF Corporation
5.470% 8/12/96........................... 5,845,000 5,806,165
Weyerhaeuser Company
5.270% 7/2/96............................ 5,075,000 5,074,197
------------ --------------
Total Short-Term Investments
(Cost $534,271,816) $537,598,000 534,080,467
============ --------------
Total Investments -
(Cost $1,571,402,481) (a) 99.64% 2,010,444,841
Other Assets - .55 11,047,534
Liabilities - (.19) (3,729,280)
------- --------------
Net Assets - 100.00% $2,017,763,095
======= ==============
</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>
United States of America
6.875% due 5/15/06 $26,200,000 November 1996 $ 109,550
-------------
Total Forward Commitment
Contracts $ 109,550
=============
</TABLE>
(a) Federal Income Tax Information: At
June 30, 1996 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$1,598,207,304 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..................................... $ 446,508,647
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value...................................... (7,973,384)
-------------
Net unrealized appreciation................... $ 438,535,263
=============
See Notes to Financial Statements.
25
<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, 1996, was
the beneficial owner of 1.1% 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.
Distributions are determined in accordance with income tax regulations which
may differ from generally accepted accounting principles. These differences
are primarily due to the deferral of wash sale losses, and paydowns on certain
mortgage-backed securities. As a result, net investment income (loss) and net
realized gain (loss) on investment transactions for a reporting period may
differ significantly from distributions during such period. Accordingly, the
Funds may periodically make reclassifications among certain of their capital
accounts without impacting the net asset value of the Funds.
26
<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 liquid high quality 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, 1996, the cost (value) of forward commitments to
purchase securities amounted to $26,188,176 ($26,297,726) for the MML Blend
Fund.
E. Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
3. CAPITAL LOSS CARRYFORWARD
The accumulated net realized loss on investments for the MML Money Market Fund
results in a capital loss carryforward of $9,734 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, $5,364 expires December 31,
2002 and $841 expires December 31, 2003.
The accumulated net realized loss on investments for the MML Managed Bond Fund
results in a capital loss carryforward of $840,829 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 manage 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, 1997, 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,
1996, MassMutual was not required to reimburse the Funds for any expenses.
27
<PAGE>
Notes To Financial Statements (Continued)
5. PURCHASES AND SALES OF INVESTMENTS AND FORWARD COMMITMENTS
<TABLE>
<CAPTION>
Proceeds
For the Six Months Acquisition from Sales
Ended June 30, 1996 Cost and Maturities
------------------- ----------- --------------
Investments
-----------
<S> <C> <C>
MML EQUITY FUND
Equities................................................ $ 188,494,689 $ 73,326,389
Short-term investments.................................. 616,310,817 608,686,076
MML MONEY MARKET FUND
Short-term investments.................................. 307,772,864 299,203,351
MML MANAGED BOND FUND
Bonds and notes......................................... 27,115,781 15,838,564
U.S. Government investments - long-term................. 25,311,866 21,500,472
Short-term investments.................................. 255,604,483 253,827,117
MML BLEND FUND
Equities................................................ 94,685,193 88,142,812
Bonds and notes......................................... 73,112,216 24,755,983
U.S. Government investments - long-term................. 196,089,735 162,087,556
Short-term investments.................................. 1,351,327,320 1,415,125,736
<CAPTION>
Cost
Forward Commitments of Contracts
------------------- ------------
<S> <C>
MML MANAGED BOND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened....................................... $ 1,579,688
Contracts closed....................................... 1,579,688
Outstanding at June 30, 1996 --
MML BLEND FUND
U.S. Treasury and GNMA Forward Commitment Contracts:
Contracts opened....................................... 80,489,254
Contracts closed....................................... 107,406,914
Outstanding at June 30, 1996.......................... 26,188,176
<CAPTION>
6. NET INCREASE FROM CAPITAL SHARE TRANSACTIONS
MML MML
MML Money Managed MML
For the Six Months Equity Market Bond Blend
Ended June 30, 1996 Fund Fund Fund Fund
------------------- -------- --------- --------- --------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends 1,828,658 3,268,135 416,352 3,474,840
Sales of shares 5,050,175 49,324,064 1,317,783 3,841,746
Redemptions of shares (863,510) (40,931,580) (699,744) (2,114,653)
------------ ----------- ------------ ------------
Net increase 6,015,323 11,660,619 1,034,391 5,201,933
============ ============ ============ ============
Amount
Reinvestment of dividends $ 47,407,259 $ 3,268,135 $ 5,049,837 $ 72,037,801
Sales of shares 138,127,563 49,324,064 16,033,962 80,550,561
Redemptions of shares (23,545,808) (40,931,580) (8,452,989) (44,594,959)
------------ ------------ ------------ ------------
Net increase $161,989,014 $ 11,660,619 $ 12,630,810 $107,993,403
============ ============ ============ ============
<CAPTION>
MML MML
MML Money Managed MML
For the Year Ended Equity Market Bond Blend
December 31, 1995 Fund Fund Fund Fund
----------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Shares
Reinvestment of dividends 1,621,795 5,376,748 763,489 5,184,192
Sales of shares 8,464,024 92,327,266 2,219,273 6,885,480
Redemptions of shares (1,909,273) (80,569,846) (1,113,390) (4,944,135)
------------ ------------ ------------ ------------
Net increase 8,176,546 17,134,168 1,869,372 7,125,537
============ ============ =========== ============
Amount
Reinvestment of dividends $ 33,282,252 $ 5,376,748 $ 8,979,443 $ 96,495,329
Sales of shares 203,078,940 92,327,266 26,776,179 135,128,246
Redemptions of shares (45,862,370) (80,569,846) (13,296,001) (96,681,499)
------------ ------------ ------------ ------------
Net increase $190,498,822 $ 17,134,168 $ 22,459,621 $134,942,076
============ ============ ============ ============
</TABLE>
28
<PAGE>
Oppenheimer Money Fund
Objective
Oppenheimer Money Fund primarily seeks maximum current income from investments
in "money market" securities consistent with low capital risk and the
maintenance of liquidity. This includes short-term U.S. government securities,
certificates of deposit, bankers' acceptances and commercial paper. An
investment in the Money Fund is neither insured nor guaranteed by the U.S.
Government. While the Money Fund seeks to maintain a stable net asset value of
$1.00 per share, there can be no assurance that it will be able to do so.
Narrative by Art Zimmer and Dorothy Warmack, Fund Managers
During what was a very difficult year for the fixed income market, Oppenheimer
Money Fund performed well. By positioning our investments in securities offering
competitive yields and relatively steady prices, we successfully provided
investors with a current income while maintaining a constant share price.
The portfolio's objective is to preserve capital while capturing the highest
yield possible. To meet this objective, that means our assets are invested in
low risk, short term securities such as commercial paper, letters of credit and
floating rate securities - all generally conservative securities. However,
within these areas, there are actions we took to maximize the portfolio's
performance as the market changed. For example, as interest rates began to rise
early this year, we began to invest in securities that had even shorter
maturities than we owned last year. Shorter maturity securities must be replaced
by new issues more frequently, and as rates have risen, we have been able to
replace our maturing holdings with new securities that offered higher yields.
This positioning is one factor that helped us maintain a competitive yield
during the period.
As we move through the remainder of the year, we will continue to focus on
maximizing the portfolio's yield while watching interest rates carefully. At
this time, we believe reports of stronger than expected economic growth are
making further interest rate cuts unlikely this year. We feel it is likely that
the Federal Reserve will tighten monetary policy slightly this summer. We're
currently maintaining our focus on shorter securities and watching carefully for
ways to increase yield. This should be accomplished through purchase of floating
rate securities, new commercial paper programs and structuring the maturities of
our investments./1/
Because the securities in which we must invest have short maturities, the yields
paid are directly related to prevailing interest rates. As a result, Oppenheimer
Money Fund is one of the few types of investments that benefits from higher
interest rates. The fact that rates are higher now than they were at the
beginning of the year should continue to work in our favor over the near term.
Still, unless we begin to see clear evidence of a slowdown in the economy,
relative to last year, we will remain fairly short in our average maturity.
Given this outlook for the market, we expect to continue to provide investors
with a competitive income stream as well as safety of principal as the year
progresses.
We appreciate your confidence in Oppenheimer Money Fund. We look forward to
helping you with your financial goals in the future.
- ---------------------
/1/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer High Income Fund
Objective
Oppenheimer High Income Fund seeks a high level of current income with a
secondary objective of capital growth. The Fund invests in high yielding, lower
rated and unrated corporate bonds.
Narrative by David Negri, Fund Manager
The portfolio did very well over the past six months, continuing what was an
extremely strong previous twelve months. Despite a rise in interest rates that
hurt most bond investments, high yield bonds have continued to perform well. The
portfolio's aggressive positioning at the beginning of this period allowed us to
take advantage of the strength of high yield bonds in the midst of a generally
weak bond market.
Beyond being aggressive in terms of credit quality, our good performance was
primarily the result of several well-timed sector allocations. In particular,
our decision to overweight holdings in the gaming industry and underweight
holdings in paper and forest products companies proved positive for the Fund./1/
Gaming companies performed well because of the ongoing consolidations and
mergers within the industry. This year many gaming companies began growing their
businesses by making acquisitions. In addition, the management of quite a few of
these companies were able to consolidate their operations and improve their
bottom lines. With most of this activity viewed as positive, the bonds of many
of these companies did well.
We also benefited from avoiding the bonds of companies who manufacture paper and
forest products. With demand for these products relatively light and supply
ample, their bonds performed poorly during the year.
In addition to good industry allocations, we invested about 12 percent of our
assets in foreign government bonds, in both developed and emerging nations. By
doing so, we were able to diversify the portfolio, as well as significantly
increase returns over the period.
Though the majority of our investments performed very well, we experienced some
disparity related to our overweight in media and telecommunications bonds. An
increase of high-yield issues in this sector caused the supply and demand
relationship to be temporarily thrown off-balance. However, we expect this area
to even itself out in the near future due to deregulation and increasing demand
that should continue to drive future growth, especially for companies who
borrowed money over the past six months to finance their expansion efforts.
Thus, we have maintained our holdings in this sector, and expect the supply and
demand imbalance to level out shortly.
Looking toward the remainder of the year, in addition to maintaining our focus
on growth businesses, we continue to emphasize investment opportunities that
offer good value. Because lower-rated high-yielding bonds have performed so
well, their valuations have crept upward since the beginning of the year and are
now at a level where we feel they offer less opportunity for price appreciation.
Consequently, we're moving to relatively higher credit quality bonds within the
high yield market, where valuations have not yet peaked, and repositioning the
Fund to become slightly more conservative. This may reduce the risks of
investing in lower rated, high yield bonds, described in the Fund's prospectus.
Going forward, our outlook is very favorable. High yield bonds have been one of
the best performing sectors of the bond market over the period, and we expect
that to continue in the coming months. There are two reasons for this. First, in
a bond market where coupon income is likely to drive returns, non-investment
grade corporate bonds offer the advantage of higher income. Second, because we
expect the economy will be stronger than it was at the end of 1995, corporate
earnings should remain strong, so that credit strength should continue to offset
any negative effects that interest rate changes may have on high yield bonds.
We appreciate your confidence in Oppenheimer High Income Fund. We look forward
to helping you reach your financial goals in the future.
- ---------------------
/1/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Bond Fund
Objective
Oppenheimer Bond Fund primarily seeks a high level of current income from
investing in high yield fixed-income securities rated "Baa" or better by
Moody's of "BBB" or better by Standard & Poor's. Secondarily, the Fund seeks
capital growth when consistent with its primary objective of high current
income.
Narrative by David Negri, Fund Manager
There were two major factors that contributed to the performance of Oppenheimer
Bond Fund. First, was our defensive decision to keep the portfolio's average
maturity relatively short, and second, was our strategic diversification over a
variety of different types of bonds. A short average maturity was a benefit as
interest rates rose. Since longer bonds are typically the most sensitive to
changes in interest rates, they depreciated the most this year. So, by having a
shorter portfolio, we were able to capture a competitive level of income, but
suffered less in terms of price than some longer-term investments. Our
diversification among different classes of bonds also benefited the portfolio.
In particular, our international bonds performed well, avoiding the difficulties
experienced by most types of domestic bonds. Our mortgage-backed securities also
performed well. As interest rates rose, prepayment risk decreased supporting
mortgage bond prices. Mortgage-backed securities also pay very competitive
income, which benefited the portfolio./2/
While the Fund's short average maturity and high degree of current income helped
to offset the negative price performance of the general bond market, our
Treasury securities performed poorly in comparison with our other holdings.
Still, at only half of our U.S. government bond allocation, and with shorter-
term maturities, we were able to limit their potentially negative impact.
As we move through the second half of the year, we will continue to work on
capturing as much income as possible. Because we believe the economy is
relatively healthy, we will continue to focus on corporate bonds. In particular,
we believe there is great potential to be found in bonds issued by financial
services firms and oil- and gas-related businesses. Within the financial
services industry, companies with ongoing consolidations should improve balance
sheets and profitability, while in the oil and gas industry, technology stocks
are experiencing improving profits.
We also believe that foreign government bonds offer greater income and relative
value than domestic government bonds, so we'll continue to emphasize the bonds
of developed nations where we see compelling yield and total return
opportunities.
Finally, we continue to favor mortgage-related securities over Treasuries, and
have been adding to our holdings in private label mortgages. Because these are
loans underwritten by banks rather than the federal government, in general they
tend to offer higher yields than similar securities.
Looking forward, we think the Fund will continue to do well because of its
strategic positioning. Currently, we expect that economic growth in the U.S.
will continue, though it may not necessarily accelerate. In this type of
environment, it's difficult to imagine the Federal Reserve will cut interest
rates, so it's hard to imagine another bull market like the one we experienced
last year. In light of our outlook on the economy, we will continue to position
the portfolio around income opportunities and avoid taking on unnecessary
interest rate risk. By investing in quality bonds, with an attractive inflation-
adjusted real rate of return, we expect to provide investors with relative price
stability and competitive income going forward.
We appreciate your confidence in Oppenheimer Bond Fund. We look forward to
helping your reach your financial goals in the future.
- ---------------------
/1/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Capital Appreciation Fund
Objective
Oppenheimer Capital Appreciation Fund primarily seeks aggressive capital
appreciation through investments in the common stocks of "growth type"
companies. In addition, the Fund may selectively invest in some "special
situations" which management believes may provide opportunities for growth.
Narrative by Paul LaRocco, Fund Manager
The Capital Appreciation Fund has been an excellent investment over the past six
months. The results can be attributed to the strong performance of smaller
company growth stocks as well as the fact that we made some well-timed
investment decisions. We are pleased to report that the portfolio's total
return for the six months ended June 30, 1996 is 18.92%./1/
Small company stocks performed well over the period for two main reasons.
First, their profitability and growth potential are less dependent on the U.S.
dollar rising than are some larger companies, when the dollar rose early this
year, smaller company stocks were not as negatively impacted. Second, because
the current economic growth phase has been unexpectedly long - creating concern
among investors about companies' continuing profitability - investor demand
shifted to some of the same high growth areas of the market in which we tend to
focus on.
When we buy growth stocks for the portfolio, we look for companies with
extremely attractive earnings growth rates, new products, or strong gains in
market share. We think these are some of the attributes that companies will
need to continue to grow quickly over time.
In healthcare, we owned stocks in selected physician practice management stocks,
a growing part of the healthcare industry. Physician practice management
companies help doctors manage their practices thereby enabling the doctors to
spend more time with patients and less time doing administrative work. As for
technology, we focused on telecommunications and software firms, where companies
have profited from high demand both in the U.S. and abroad. In the business
services area, our successes were in the credit card transaction processing
area, and we've also done well with selected apparel and footwear
manufacturers./2/
We're generally very pleased with our performance over the period. We didn't
have many disappointments in the companies we owned, and we didn't miss many
opportunities. Looking back, the only area we weren't invested in but would
have liked to have been was in energy stocks. Energy companies performed
unexpectedly well as a result of high demand and price increases.
While the portfolio has performed exceptionally well, we are currently slightly
cautious in our approach to the market. We want to make sure that the companies
we own will be able to deliver consistent earnings in an environment of slower
growth than last year. As a hedge against slower future growth, we're carefully
watching for changes in stocks' price/earnings ratios, trying to avoid paying
too much for a company's growth potential. But beyond this vigilant posture,
we're optimistic.
Going forward, we expect to see moderate economic growth here in the U.S.
That's a situation that could benefit the portfolio, by keeping investors
focused on the types of stocks we normally own - companies with well-defined
business niches, great competitive strengths and the potential to grow quickly
even if the overall economic growth rate is only modest. In addition, we
believe smaller company stocks are still in an extended period of
outperformance. Taken together, these factors support our belief that the
portfolio will continue to help investors take advantage of the market's
tremendous growth potential over time.
We appreciate your confidence in Oppenheimer Capital Appreciation Fund. We look
forward to helping your reach your financial goals in the future.
- -------------------
/1/Based on the change in net asset value per share for the periods shown. Does
not reflect separate account expenses. Such performance would have been lower if
expenses were taken into account.
/2/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Growth Fund
Objective
Oppenheimer Growth Fund primarily seeks capital appreciation from investments in
securities of well-known and established companies. Current income is a
secondary consideration. The Fund's present focus is principally in securities
of companies having a medium of large capitalization, and a history of earnings
and dividend growth.
Narrative by Jane Putnam, Fund Manager
Oppenheimer Growth Fund has been an excellent investment over the past six
months. Our performance was helped by the fact that the U.S. economy was still
expanding, and as a result, traditional growth sectors of the market
outperformed more value-oriented investments. However, we also did well compared
to our growth-oriented peers, finishing in the top third of all rated funds with
our investment objective./3/
Beyond being growth investors at a time when growth was very much in demand,
one of the decisions that benefited us over the past six months was our stock
selection. Over the period, we were heavily weighted in cyclical stocks compared
to our peers. Because these companies do best when the economy is strong,
investor demand drove cyclical stock prices up when first quarter reports showed
stronger-than-expected economic growth. Thus, our concentration in cyclicals --
primarily chemical and paper companies -- was a benefit. We also owned a large
number of technology stocks that did well because of their high growth
potential.
On the other hand, we were overweighted versus our peers in financial services
companies. Over the long term, this is an area we believe offers great
prospects. However, because of the rise in interest rates in the first half of
this year, financial stocks underperformed. The fact that they lagged year-to-
date made their stock prices more attractive on a relative basis, giving us even
greater confidence in their merits as a long-term investment. As a result, we
recently added stocks of some asset managers and brokerage firms.
After last year's run-up in stock prices, we had some difficulty finding stocks
selling at what we'd consider low-to-reasonable price levels. As a consequence,
our cash position was slightly higher than normal. While having a high level of
cash can protect a portfolio when the stock market is declining, it's a drag
when the market's going up. So, although we've outperformed some of our peers,
our cash position held us back somewhat.
As we move through the remainder of the year, we continue to hold higher-than-
average weightings in both technology and financial services companies. Although
prices have risen dramatically for both sectors, the earnings of many technology
and financial services firms are rising faster. For this reason, we believe
their stocks are still excellent growth investments.
In contrast, we've recently been selling some of our cyclical stocks. Because
they've performed so well over the past six months, we believe these companies
have appreciated enough to become more than fully-valued. Specifically, we took
profits in some chemical and basis materials stocks as sell as in some of our
retail holdings.
All in all, our outlook for the fund is very favorable, though we have become
somewhat contrarian in our approach to the market. We are holding enough cash to
be able to take quick advantage of any opportunities created when various
companies or market sectors fall out of favor. However, we remain aggressive in
our high growth potential stock and sector holdings.
We appreciate your confidence in Oppenheimer Growth Fund. We look forward to
helping you reach your financial goals in the future.
- -------------------------
/(1)/ Source: Lipper Analytical Services 6/30/96. Oppenheimer Growth Fund is
catagorized by Lipper as a growth fund.
<PAGE>
Oppenheimer Multiple Strategies
Objective
Oppenheimer Multiple Strategies seeks a total investment return (including
current income and capital appreciation in the value of its shares) from
investments in common stocks and other equity securities bonds and other debt
securities, and "money market" securities. The current allocation of the Fund's
portfolio aims to take advantage of current economic conditions while managing
risk.
Narrative by Richard Rubinstien, Fund Manager
The Multiple Strategies portfolio delivered solid results for the past six
months. Its performance can be attributed to both the benefits of an investment
strategy designed to work well under a variety of conditions and the continued
strength of the domestic stock markets and our diversified approach to bonds.
Our domestic stock holdings, which included large positions in technology and
healthcare stocks, performed well for us even as earnings momentum in general
began to slow. These companies are positioned to grow rapidly regardless of the
overall U.S. economic growth rate, and as a result, they were very much in
demand with investors. In addition, our bond allocation decisions helped
performance as we moved away from government bonds to seek the more competitive
returns of high yield, lower rated bonds./1/
And, while the Fund's international equity holdings contributed less to the
portfolio's total return than did its U.S. stock component, our broad
international diversification helped us maintain a low risk profile. And
although our foreign stock holdings failed to meet our expectations this period,
our philosophy for including these securities in the portfolio is that they may
help limit overall portfolio risk. However, over the long-term they offer the
potential to add to performance.
As we position the portfolio for the remainder of the year, we have looked at
current economic factors and reallocated the portfolio's assets to a more
conservative mix. The combination of slowing U.S. corporate earnings momentum,
high valuations and an increase in interest rates of over 100 basis points, led
us to make some strategic changes. These changes resulted in a decrease in our
total equity holdings by about five percent as well as a decrease in our total
number of securities. At the same time, we increased, on a percentage basis,
those holdings, we believe are best positioned for the future. Our expectation
is that the stock market will continue to become very selective, and these
changes may be to our advantage.
More specifically, we continued to focus on growth stocks that are issued by
companies with strong competitive positions and consistent earnings. We also
recently added to our position in energy stocks. These stocks tend to sell at
low prices relative to cash flows. With energy prices on the rise, we believe
they offer reward potential.
A strong part of our overall strategy involved a contrarian approach to
investing. Using this approach we looked for opportunities in out-of-favor
industries and companies on the rebound. Recently, we bought retail stocks.
Though sales have suffered from consumer uneasiness, these companies still have
attractive store economics. As a result, we think their prospects look good.
On the international side, we increased positions in companies having
comparative advantages over the U.S. competitors or that sell at valuation
discounts. We located companies offering advantages in Argentina, Turkey and the
Far East, as well as in several more established European markets, and invested
in those firms.
Going forward, our long-term outlook is positive. In spite of the increased
volatility experienced by the stock market during the first half of 1996 and the
risks of foreign investing and of high yield bonds, described in the Fund's
prospectus. We feel the portfolio's diversification may help it ride the current
market waves and continue to offer excellent opportunities for the long-term
investor.
We appreciate your confidence in Oppenheimer Multiple Strategics Fund. We look
forward to helping you reach your financial goals in the future.
- ------------------------
/(1)/ The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Global Securities Fund
Objective
Oppenheimer Global Securities Fund seeks capital growth by investing in a
diversified portfolio of foreign and domestic stocks.
Narrative by William Wilby, Fund Manager
Oppenheimer Global Securities Fund has performed well over the past six months.
Using our theme-driven investment approach, we turned in results that were
better than most of our competitors. Even so, it was difficult for global funds
to compete with the outstanding returns from the U.S. market over the period.
As the domestic market has continued to evolve, however, we are beginning to see
evidence of a shift toward international stocks. The long-term potential for
growth may be greater in international stocks than it is in the U.S. market,
especially at current valuation levels.
Because of the strength in the domestic market and where we were positioned
within it, our U.S. holdings performed extremely well over the period. One of
our largest concentrations within domestic stocks was in the technology sector.
And just as technology led the U.S. market, our efficiency-enhancing technology
theme led the portfolio. Our Japanese technology companies performed
particularly well, as Japan began to climb out of a five year recession. In
fact, our Japanese technology stocks have appreciated to the point that we think
they're slightly expensive now. As a result, we've been selling Japanese and
buying U.S. technology again./1/
On the negative side, toward the end of 1995 and into 1996, we thought European
cyclicals companies - the economically sensitive chemical, automotive, and
industrial companies - had become overly discounted as a result of slow European
economic growth. We felt that their reduced prices would allow us to buy them
while they were good values and then participate in their gains as local
economies improved. However, western European growth has remained somewhat
subdued, so these companies have not yet returned to favor.
After the huge rally in U.S. stocks, we've cut back on our domestic holdings
slightly. While we believe the outlook for the U.S. market remains favorable,
we believe there may be better opportunities overseas at this time. As such,
we've reduced our domestic allocation to 43%, down from a high of 49%.
Recently, we've also been buying some gold stocks, both as part of our natural
resources theme and to help diversify the portfolio. Gold stocks look like a
good investment right now for several reasons. First, gold production worldwide
is below what is needed to meet current demand, particularly due to the
increased demand for jewelry from the emerging markets. And because gold may be
a good hedge against - both inflation and deflation - demand from investors
could increase.
We expect the remainder of the year will be good for us. Since our market
lagged somewhat during 1995, we've been able to buy what we believe are
excellent stocks at good prices, and that should give us an extra push when the
U.S. market returns to favor. We think the Fund's portfolio, invested as it is
in high growth potential stocks, continues to offer investors an outstanding
opportunity both for diversification and long-term appreciation potential.
We appreciate your confidence in Oppenheimer Global Securities Fund. We look
forward to helping you reach your financial goals in the future.
- -------------------
/1/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Strategic Bond Fund
Objective
Oppenheimer Strategic Bond Fund seeks a high level of current income by
investing in three sectors: foreign fixed-income securities, lower-rated high
yield corporate bonds, and U.S. government issues.
Narrative by David Negri, Fund Manager
The Strategic Bond portfolio performed well over the past six months despite a
rise in domestic interest rates. Our investment strategy involves investing in
sectors of the bond market that offer high income and total return potential
separately, while also responding to broad market factors independently. By
diversifying our investments across high yield, lower rated corporate bonds,
U.S. government bonds, and foreign bonds, we were able to maintain strong
performance even as many other bond investments suffered.
While rising interest rates hurt domestic government bonds over the past six
months, both foreign bonds and high yield bonds performed very well, providing
the majority of our returns. While high yield bonds generally entail greater
risks than investment grade bonds, they also tend to be less sensitive to
interest rates, which helped them perform well. In addition, because payment of
interest and principal depends on an issuing company's profitability, high yield
bonds tend to follow upward moves in the stock market, like those we've seen so
far this year. We owned high yield bonds of companies in two categories - those
we expected to be able to grow faster than the economy as a whole, and those we
felt were temporarily undervalued. In particular, our holdings in the gaming
industry benefited us over the period./1/
Like high yield bonds, foreign bonds also offered higher yield and return
potential over the past six months than did domestic government securities. So,
by owning foreign bonds, the Fund was more than compensated for the currency
risk and added expense they entail.
In the U.S. government sector of the portfolio, a shift from Treasuries toward
the better-performing mortgage-backed securities area was another benefit. When
interest rates increase, mortgage-backed securities perform better than other
fixed-income securities because the risk of early prepayment declines. In
general, mortgage-backed securities also tend to offer higher yields than
comparable Treasuries.
Looking toward the remainder of the year, we expect to continue our current
approach to the market, taking advantage where we can of opportunities in
foreign bonds and high yield bonds while we wait for the domestic market to
improve. We will continue to focus on emerging markets' debt over developed
nations' debt, and to look for high yield bonds of companies we think are well-
positioned for the coming business environment. Mortgage-backed securities will
remain an important part of our U.S. government allocation, and where we are
invested in Treasuries, we plan to stay put in shorter-term bonds, since they
carry less interest rate risk.
Because of its strategic positioning, we think this portfolio will continue to
do well as the year plays out. Currently, we expect that economic growth in the
U.S. will continue, though it may not necessarily accelerate. With this view,
we will continue to position the portfolio around what we consider the best
income and return opportunities worldwide, while we avoid taking on unnecessary
interest rate risk. We are confident this portfolio should perform well in a
variety of market climates.
We appreciate your confidence in Oppenheimer Strategic Bond Fund. We look
forward to helping you reach your financial goals in the future.
- -------------------
/1/The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Growth & Income Fund
Objective
Oppenheimer Growth & Income Fund seeks high total return, which includes growth
in the value of its shares as well as current income from equity and debt
securities.
Narrative By Robert Milnamow, Fund Manager
Oppenheimer Growth & Income Fund performed well over the last six months. We
have positioned our holdings in the stocks of companies representing five
strategic areas of the market. These five areas are comprised of companies in
emerging industries and improving industries: large growth companies that
define their industries; smaller companies with niche businesses; companies
undergoing restructuring; and finally companies that are fundamentally strong
selling at extremely low valuations./1/
In emerging industries, we were pleased with our investments in
telecommunications equipment manufacturers, small long distance telephone
companies and internet-related companies. In the first half of 1996, small
stocks outperformed their larger counterparts due to the deemed for their
superior growth rates. As a result, our smaller growth companies did well as a
group. After their excellent performance in 1995, large cap stock prices
started the year at fairly high valuations, so we didn't expect tremendous
advancement. Even so, we did well with several large cap energy stocks. We
also did well with selected chemical stocks and financial services companies
that had undergone restructuring. Finally, three undervalued areas that
performed particularly well for us were domestic retail and gaming as well as
selected Japanese stocks.
Although our performance was very good overall, we had some disappointments in
the healthcare industry during the period. After having done well in 1995,
healthcare stocks were subject to profit taking in the first half of 1996. In
addition, early in 1996, investors' interest moved away from steady growth
industries like healthcare to more economically-sensitive industries like
aerospace, based on reports of fast economic growth. However, we remain
committed to the belief that healthcare is dynamic and holds the potential for
growth over time.
Our asset mix has remained relatively constant for the year, and should not
change dramatically over the near term. Currently, 87 percent of our holdings
are in stocks, roughly 4 percent in convertible securities, and the remainder
in cash. Looking ahead, we plan to remain focused on carefully selecting
companies that fall into our five targeted market segments. As always, we will
continue to look for value and growth potential across all our investments.
We believe we have enough flexibility to do well in almost any market
environment. As we move toward the remainder of the year. We've positioned the
portfolio to benefit from worldwide economic expansion while aiming for a
combination of long-term growth and current income. As the domestic market
becomes more volatile, we also expect our income focus to provide some shelter
from risk and price volatility.
We appreciate your confidence in Oppenheimer Growth & Income Fund. We look
forward to helping you reach your financial goals in the future.
- ---------------
/1/ The Fund's portfolio is subject to change.
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Oppenheimer
Oppenheimer Oppenheimer Oppenheimer Capital Oppenheimer
Money High Income Bond Appreciation Growth
Fund Fund Fund Fund Fund
------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost*) (including repurchase
agreements**) - see accompanying statements .............. $ 115,072,969 $156,651,526 $311,908,746 $496,438,966 $144,789,612
Unrealized appreciation on forward foreign currency
exchange contracts - See applicable note ................. -- 86,396 44,513 -- --
Cash ....................................................... 19,755 239,189 33,484 1,171,411 231,093
Receivables:
Closed forward foreign currency exchange contracts ....... -- 28,112 4,502 -- --
Dividends and interest ................................... 174,385 2,102,997 5,038,216 89,350 92,377
Shares of beneficial interest sold ....................... 36,125 327,796 173,827 1,379,023 188,713
Investments sold ......................................... -- 611,959 1,426,309 3,904,622 1,096,302
Other ...................................................... 2,633 3,814 4,736 6,546 3,708
------------- ------------ ------------ ------------ ------------
Total assets ............................................. 115,305,867 160,051,789 318,634,333 502,989,918 146,401,805
------------- ------------ ------------ ------------ ------------
LIABILITIES:
Options written, at value (premiums received ***)
- see accompanying statements and notes .................. -- 22,241 45,966 -- --
Unrealized depreciation on forward foreign currency
exchange contracts - See applicable note ................. -- 8,511 15,592 -- --
Payables and other liabilities:
Closed forward foreign currency exchange contracts ....... -- 11,240 18,999 -- --
Daily variation on futures contracts - See notes ......... -- -- -- -- --
Dividends ................................................ 158,183 -- -- -- --
Investments purchased (including those purchased .........
on a when-issued basis ****) - Note 1 .................... -- 4,275,977 759,038 16,011,339 1,655,939
Shares of beneficial interest redeemed ................... 544,471 -- 142,079 52,678 644
Custodian fees ........................................... 3,308 9,098 14,005 9,821 3,287
Other .................................................... 13,647 17,572 21,754 43,898 19,727
------------- ------------ ------------ ------------ -----------
Total liabilities ........................................ 719,609 4,344,639 1,017,433 16,117,736 1,679,597
============= ============ ============ ============ ============
NET ASSETS ................................................. $ 114,586,258 $155,707,150 $317,616,900 $486,872,182 $144,722,208
============= ============ ============ ============ ============
COMPOSITION OF NET ASSETS:
Paid-in capital ............................................ $ 114,602,218 $150,590,951 $315,750,262 $357,898,519 $107,561,054
Undistributed net investment income ........................ -- 624,260 901,640 98,398 684,501
Accumulated net realized gain (loss) from
investments and foreign currency transactions ............ (15,960) (2,275,267) (92,383) 23,861,818 5,825,003
Net unrealized appreciation on investments and
translation of assets and liabilities
denominated in foreign currencies ........................ -- 6,767,206 1,057,381 105,013,447 30,651,650
------------- ------------ ------------ ------------ ------------
NET ASSETS ................................................. $ 114,586,258 $155,707,150 $317,616,900 $486,872,182 $144,722,208
============= ============ ============ ============ ============
SHARES OF BENEFICIAL INTEREST OUTSTANDING .................. 114,602,218 14,510,103 27,823,143 12,713,932 5,972,737
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE ................................... $ 1.00 $10.73 $11.42 $38.29 $24.23
*Cost ...................................................... $ 115,072,969 $149,958,141 $310,870,304 $391,425,519 $114,137,962
**Repurchase agreements .................................... $ -- $ 15,800,000 $ 18,900,000 $ 87,800,000 $ 17,400,000
***Premiums received ....................................... $ -- $ 17,175 $ 30,995 $ -- --
****When-issued basis ...................................... $ -- $ 3,235,962 $ -- $ -- --
</TABLE>
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Multiple Global Strategic Growth &
Strategies Securities Bond Income
Fund Fund Fund Fund
------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost*) (including repurchase
agreements**) - see accompanying statements .............. $ 421,715,693 $481,017,994 $ 78,632,872 $ 21,997,374
Unrealized appreciation on forward foreign currency
exchange contracts - See applicable note ................. -- 2,092,219 34,104 --
Cash ....................................................... 190,678 1,178,720 134,233 99,773
Receivables:
Closed forward foreign currency exchange contracts ....... -- -- 18,995 --
Dividends and interest ................................... 3,113,392 1,159,071 1,144,202 31,638
Shares of beneficial interest sold ....................... 239,641 1,154,637 130,475 160,670
Investments sold ......................................... 471,269 3,499,164 635,623 393,763
Other ...................................................... 7,460 6,374 2,460 1,295
------------- ------------ ------------ ------------
Total assets ............................................. 425,738,133 490,108,179 80,732,964 22,684,513
------------- ------------ ------------ ------------
LIABILITIES:
Options written, at value (premiums received ***)
- see accompanying statements and notes .................. 879,731 -- 53,826 1,138
Unrealized depreciation on forward foreign currency
exchange contracts - See applicable note ................. -- 21,657 36,086 --
Payables and other liabilities:
Closed forward foreign currency exchange contracts ....... -- -- -- --
Daily variation on futures contracts - See notes ......... -- -- 3,094 --
Dividends ................................................ -- -- -- --
Investments purchased (including those purchased
on a when-issued basis ****) - Note 1 .................... 2,873,028 8,584,203 1,999,087 1,332,856
Shares of beneficial interest redeemed ................... 13,965 1,038 1,616 --
Custodian fees ........................................... 27,847 108,084 2,328 5,406
Other .................................................... 17,248 50,021 10,762 12,422
------------- ------------ ------------ ------------
Total liabilities ........................................ 3,811,819 8,765,003 2,106,799 1,351,822
============= ============ ============ ============
NET ASSETS ................................................. $ 421,926,314 $481,343,176 $ 78,626,165 $ 21,332,691
============= ============ ============ ============
COMPOSITION OF NET ASSETS:
Paid-in capital ............................................ $ 366,114,884 $450,940,815 $ 77,920,709 $ 19,093 273
Undistributed net investment income ........................ 853,394 3,185,134 652,100 1,351
Accumulated net realized gain (loss) from
investments and foreign currency transactions ............ 6,442,997 (25,451,676) (851,495) 1,596,051
Net unrealized appreciation on investments and
translation of assets and liabilities
denominated in foreign currencies ........................ 48,515,039 52,668,903 904,851 642,016
------------- ------------ ------------ ------------
NET ASSETS ................................................. $ 421,926,314 $481,343,176 $ 78,626,165 $ 21,332,691
============= ============ ============ ============
SHARES OF BENEFICIAL INTEREST OUTSTANDING .................. 28,714,076 29,630,799 15,990,133 1,444,474
NET ASSET VALUE, REDEMPTION PRICE AND
OFFERING PRICE PER SHARE ................................... $14.69 $16.24 $4.92 $14.77
*Cost ...................................................... $ 373,134,359 $430,416,694 $ 77,701,887 $ 21,358,757
**Repurchase agreements .................................... $ 71,300,000 $ 17,900,000 $ 4,500,000 $ 3,300,000
***Premiums received ....................................... $ 809,437 $ -- $ 34,452 $ 4,537
****When-issued basis ...................................... $ -- $ -- $ 1,244,208 $ --
</TABLE>
See Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF OPERATIONS
For the Six Months Ended June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Oppenheimer
Oppenheimer Oppenheimer Oppenheimer Capital Oppenheimer
Money High Income Bond Appreciation Growth
Fund Fund Fund Fund Fund
---------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (net of withholding taxes of *)............. $2,079,835 $ 6,828,844 $ 8,882,639 $ 1,540,454 $ 619,167
Dividends (net of withholding taxes of **)........... -- 275,031 47,527 106,666 593,891
---------- ----------- ----------- ----------- ----------
Total income....................................... 2,079,835 7,103,875 8,930,166 1,647,120 1,213,058
---------- ----------- ----------- ----------- ----------
EXPENSES:
Management fees - See applicable note................ 169,884 535,556 874,928 1,464,761 488,805
Custodian fees and expenses.......................... 2,230 34,329 18,960 24,420 5,212
Legal and auditing fees.............................. 6,597 8,332 6,595 6,494 5,513
Insurance expenses................................... 1,769 2,443 2,887 2,099 2,251
Trustees' fees and expenses.......................... 1,177 1,746 1,790 2,433 1,103
Registration and filing fees......................... - 8,598 14,607 30,591 5,888
Other................................................ 1,713 919 590 899 229
---------- ----------- ----------- ----------- ----------
Total expenses...................................... 183,370 591,923 920,357 1,531,697 509,001
---------- ----------- ----------- ----------- ----------
NET INVESTMENT INCOME................................ 1,896,465 6,511,952 8,009,809 115,423 704,057
---------- ----------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain from:
Investments:
Unaffiliated companies.............................. 2,387 1,161,443 104,747 24,183,340 5,982,807
Affiliated companies................................ - - - - -
Closing of futures contracts......................... - - (67,865) - -
Closing and expiration of options written............ - 33,013 83,599 - -
Foreign currency transactions........................ - (62,140) (85,215) - -
Change in net unrealized appreciation or depreciation on:
Investments......................................... - 1,128,846 (7,873,177) 42,038,100 7,033,727
Translation of assets and liabilities denominated
in foreign currencies.............................. - (86,883) 104,084 - -
---------- ----------- ----------- ----------- ----------
Net realized and unrealized gain (loss).............. 2,387 2,174,279 (7,733,827) 66,221,440 13,016,534
---------- ----------- ----------- ----------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............................ $1,898,852 $ 8,686,231 $ 275,982 $66,336,863 $13,720,591
========== =========== =========== =========== ===========
*Interest............................................ $ - $ 13,605 $ 36,464 $ - $ -
**Dividends.......................................... $ - $ - $ - $ - $ -
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Multiple Global Strategic Growth &
Strategies Securities Bond Income
Fund Fund Fund Fund
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (net of withholding taxes of *)........... $9,684,176 $ 1,229,932 $ 3,178,234 $ 60,155
Dividends (net of withholding taxes of **)......... 2,439,305 3,698,778 36,922 66,087
------------ ----------- ----------- -----------
Total income...................................... 12,123,481 4,928,710 3,215,156 126,242
------------ ----------- ----------- -----------
EXPENSES:
Management fees - See applicable note.............. 1,477,367 1,541,026 251,463 39,407
Custodian fees and expenses........................ 40,788 152,700 21,499 14,821
Legal and auditing fees............................ 11,188 11,848 6,299 6,550
Insurance expenses................................. 4,756 3,529 - 886
Trustees' fees and expenses........................ 5,005 2,328 458 1,287
Registration and filing fees....................... 14,779 29,472 6,516 5,218
Other.............................................. 1,846 1,605 431 1,603
------------ ----------- ----------- -----------
Total expenses.................................... 1,555,729 1,742,508 286,666 69,772
------------ ----------- ----------- -----------
NET INVESTMENT INCOME.............................. 10,567,752 3,186,202 2,928,490 56,470
------------ ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain from:
Investments:
Unaffiliated companies............................ 6,574,588 3,725,263 688,881 1,598,305
Affiliated companies.............................. - 20,580 - -
Closing of futures contracts....................... - - 18,778 -
Closing and expiration of options written.......... 765,694 - (24,449) 1,764
Foreign currency transactions...................... (22,836) (3,023,567) 113,470 -
Change in net unrealized appreciation or depreciation on:
Investments....................................... 7,003,866 31,486,881 (903,801) 144,321
Translation of assets and liabilities denominated
in foreign currencies............................ (648,298) (2,628,229) (32,399) (7,480)
------------ ----------- ----------- -----------
Net realized and unrealized gain (loss)............ 13,673,014 29,580,928 (139,520) 1,736,910
------------ ----------- ----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.......................... $ 24,240,766 $32,767,130 $ 2,788,970 $ 1,793,380
============ =========== =========== ===========
*Interest.......................................... $ 9,155 $ - $ 21,403 $ -
**Dividends........................................ $ 65,226 $ 228,319 $ - $ 561
</TABLE>
See Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended June 30, 1996 (Unaudited) and the Year Ended
December 31, 1995
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Money High Income Bond
Fund Fund Fund
---------------------------- ------------------------------ ---------------------------
1996 1995 1996 1995 1996 1995
------------- ------------- -------------- -------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income...... $ 1,896,465 $ 4,149,627 $ 6,511,952 $ 11,343,977 $ 8,009,809 $ 11,813,502
Net realized gain.......... 2,387 5,356 1,132,316 622,733 35,266 1,310,131
Change in net unrealized
appreciation or
depreciation............. - - 1,041,963 9,413,001 (7,769,093) 13,318,419
------------ ------------ -------------- -------------- ------------- ------------
Net increase in net assets
resulting from operations. 1,898,852 4,154,983 8,686,231 21,379,711 275,982 26,442,052
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income......... (1,896,465) (4,149,626) (7,360,821) (12,039,383) (8,450,650) (11,209,883)
Distributions from net
realized gain............. - - - - (133,010) -
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from
beneficial interest
transactions - Note 2..... 49,197,411 (24,289,814) 20,930,960 28,412,143 114,692,808 60,932,217
------------ ------------ -------------- -------------- ------------- ------------
Total increase (decrease).. 49,199,798 (24,284,457) 22,256,370 37,752,471 106,385,130 76,164,386
NET ASSETS:
Beginning of period........ 65,386,460 89,670,917 133,450,780 95,698,309 211,231,770 135,067,384
------------ ------------ -------------- -------------- ------------- ------------
End of period.............. $114,586,258 $ 65,386,460 $ 155,707,150 $ 133,450,780 $ 317,616,900 $211,231,770
============ ============ ============= ============= ============= ============
<CAPTION>
Oppenheimer
Capital Oppenheimer
Appreciation Growth
Fund Fund
------------------------------- ----------------------------
1996 1995 1996 1995
-------------- ------------- ------------ -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income...... $ 115,423 $ 1,123,451 $ 704,057 $ 1,297,719
Net realized gain.......... 24,183,340 22,379,477 5,982,807 8,674,291
Change in net unrealized
appreciation or
depreciation............. 42,038,100 47,042,428 7,033,727 16,396,856
-------------- ------------- ------------- -------------
Net increase in net assets
resulting from operations. 66,336,863 70,545,356 13,720,591 26,368,866
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income......... (1,132,964) (719,183) (1,310,185) (821,641)
Distributions from net
realized gain............. (21,289,430) (363,458) (8,706,724) (973,385)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from
beneficial interest
transactions - Note 2..... 117,553,622 70,167,835 23,308,636 29,852,876
-------------- ------------- ------------- -------------
Total increase (decrease).. 161,468,091 139,630,550 27,012,318 54,426,716
NET ASSETS:
Beginning of period........ 325,404,091 185,773,541 117,709,890 63,283,174
-------------- ------------- ------------- -------------
End of period.............. $ 486,872,182 $ 325,404,091 $ 144,722,208 $ 117,709,890
============= ============= ============= =============
</TABLE>
See Notes To Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
For the Six Months Ended June 30, 1996 (Unaudited) and the Year Ended December 31, 1995
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Multiple Global Strategic
Strategies Securities Bond
Fund Fund Fund
---------------------------- ------------------------------ ---------------------------
1996 1995 1996 1995 1996 1995
------------- ------------- -------------- -------------- ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income...... $ 10,567,752 $ 16,593,514 $ 3,186,202 $ 2,845,513 $ 2,928,490 $ 3,514,505
Net realized gain (loss)... 7,317,446 8,275,324 722,276 (25,767,883) 796,680 (869,176)
Change in net unrealized
appreciation or
depreciation.............. 6,355,568 39,976,755 28,858,652 31,653,008 (936,200) 2,877,343
------------- ------------- -------------- -------------- ------------- ------------
Net increase in net assets
resulting from operations. 24,240,766 64,845,593 32,767,130 8,730,638 2,788,970 5,522,672
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income......... (11,075,637) (16,066,432) - - (2,760,328) (3,151,540)
Distributions from net
realized gain............. (9,273,310) (8,717,288) - (8,174,158) - -
Distributions in excess
of net realized gain...... - - - - - -
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase in net
assets resulting from
beneficial interest
transactions - Note 2..... 36,771,331 49,134,087 87,597,213 62,580,432 18,499,910 37,406,166
------------- ------------- -------------- -------------- ------------- ------------
Total increase............. 40,663,150 89,195,960 120,364,343 63,136,912 18,528,552 39,777,298
NET ASSETS:
Beginning of period........ 381,263,164 292,067,204 360,978,833 297,841,921 60,097,613 20,320,315
------------- ------------- -------------- -------------- ------------- ------------
End of period.............. $ 421,926,314 $ 381,263,164 $ 481,343,176 $ 360,978,833 $ 78,626,165 $ 60,097,613
============= ============= ============== ============== ============= ============
<CAPTION>
Oppenheimer
Growth &
Income
Fund
----------------------------
1996 1995
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income...... $ 56,470 $ 4,573
Net realized gain (loss)... 1,600,069 27,238
Change in net unrealized
appreciation or
depreciation.............. 136,841 505,175
------------- -------------
Net increase in net assets
resulting from operations. 1,793,380 536,986
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income......... (54,801) (4,891)
Distributions from net
realized gain............. (31,219) -
Distributions in excess
of net realized gain...... - (37)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase in net
assets resulting from
beneficial interest
transactions - Note 2..... 15,336,880 3,756,393
------------- -------------
Total increase............. 17,044,240 4,288,451
NET ASSETS:
Beginning of period........ 4,288,451 -
------------- -------------
End of period.............. $ 21,332,691 $ 4,288,451
============= =============
1. For the period from July 5, 1995 (commencement of operations) to December 31, 1995.
</TABLE>
See Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Money Fund
FINANCIAL HIGHLIGHTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
-----------------------------------------------------------------------------
PER SHARE OPERATING DATA:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
Income from investment operations - net
investment income and net realized gain 0.02 0.06 0.04 0.03 0.04 0.06
Dividends and distributions to shareholders (0.02) (0.06) (0.04) (0.03) (0.04) (0.06)
-----------------------------------------------------------------------------
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)/ 2.52% 5.62% 4.25% 3.09% 3.93% 6.18%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $114,586 $65,386 $89,671 $61,221 $58,266 $58,709
Average net assets (in thousands) $ 76,205 $75,136 $90,264 $57,654 $61,317 $75,747
Ratios to average net assets:
Net investment income 4.99%/(2)/ 5.52% 4.18% 3.12% 3.76% 5.97%
Expenses 0.48%/(2)/ 0.51% 0.43% 0.43% 0.50% 0.49%
</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.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
-----------------------------------------------------------------------------
PER SHARE OPERATING DATA:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $10.63 $9.79 $11.02 $9.74 $9.40 $7.90
Income (loss) from investment operations:
Net investment income 0.49 0.98 0.94 0.82 1.19 1.28
Net realized and unrealized gain (loss) 0.17 0.94 (1.27) 1.65 0.43 1.30
-----------------------------------------------------------------------------
Total income (loss) from investment operations 0.66 1.92 (0.33) 2.47 1.62 2.58
-----------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (0.56) (1.08) (0.66) (1.19) (1.28) (1.08)
Distributions from net realized gain -- -- (0.24) -- -- --
-----------------------------------------------------------------------------
Total dividends and distributions to shareholders (0.56) (1.08) (0.90) (1.19) (1.28) (1.08)
-----------------------------------------------------------------------------
Net asset value, end of period $10.73 $10.63 $ 9.79 $11.02 $9.74 $9.40
=============================================================================
TOTAL RETURN, AT NET ASSET VALUE/(1)/ 6.30% 20.37% (3.18)% 26.34% 17.92% 33.91%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $155,707 $133,451 $ 95,698 $93,011 $40,817 $27,308
Average net assets (in thousands) $143,730 $115,600 $101,096 $67,000 $36,861 $23,663
Ratios to average net assets:
Net investment income 9.06%/(2)/ 9.81% 9.15% 10.50% 12.08% 14.26%
Expenses 0.82%/(2)/ 0.81% 0.67% 0.68% 0.73% 0.75%
Portfolio turnover rate/(3)/ 57.00% 107.10% 110.10% 135.70% 144.20% 108.00%
</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.
Purchases and sales of investment securities (excluding short-term
securities) for the period ended June 30, 1996 were $81,578,215 and
$73,441,819, respectively.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
-----------------------------------------------------------------------------
PER SHARE OPERATING DATA:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $11.84 $10.78 $11.65 $10.99 $11.15 $10.33
Income (loss) from investment operations:
Net investment income 0.33 0.72 0.76 0.65 0.87 0.95
Net realized and unrealized gain (loss) (0.37) 1.07 (0.98) 0.76 (0.17) 0.80
-----------------------------------------------------------------------------
Total income (loss) from investment operations (0.04) 1.79 (0.22) 1.41 0.70 1.75
-----------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (0.37) (0.73) (0.62) (0.75) (0.86) (0.93)
Distributions from net realized gain (0.01) -- (0.03) -- -- --
-----------------------------------------------------------------------------
Total dividends and distributions to shareholders (0.38) (0.73) (0.65) (0.75) (0.86) (0.93)
-----------------------------------------------------------------------------
Net asset value, end of period $11.42 $11.84 $10.78 $11.65 $10.99 $11.15
=============================================================================
TOTAL RETURN, AT NET ASSET VALUE/(1)/ (0.33)% 17.00% (1.94)% 13.04% 6.50% 17.63%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $317,617 $211,232 $135,067 $111,846 $63,354 $32,762
Average net assets (in thousands) $236,650 $170,929 $121,884 $87,215 $45,687 $22,169
Ratios to average net assets:
Net investment income 6.79%/(2)/ 6.91% 7.30% 7.20% 7.81% 8.73%
Expenses 0.78%/(2)/ 0.80% 0.57% 0.46% 0.56% 0.64%
Portfolio turnover rate/(3)/ 40.20% 79.40% 35.10% 36.30% 41.30% 7.60%
</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. Purchases and sales of investment securities (excluding short-
term securities) for the period ended June 30, 1996 were $194,115,687 and
$84,471,602, respectively.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $34.21 $25.95 $31.64 $26.04 $23.24 $15.24
Income (loss) from
investment operations:
Net investment income -- 0.11 0.10 0.05 0.06 0.08
Net realized and unrealized
gain (loss) 6.26 8.29 (2.22) 6.71 3.43 8.18
---------------------------------------------------------------------------------------
Total income (loss) from
investment operations 6.26 8.40 (2.12) 6.76 3.49 8.26
---------------------------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment
income (0.11) (0.09) (0.04) (0.06) (0.14) (0.26)
Distributions from net
realized gain (2.07) (0.05) (3.53) (1.10) (0.55) --
---------------------------------------------------------------------------------------
Total dividends and
distributions to shareholders (2.18) (0.14) (3.57) (1.16) (0.69) (0.26)
---------------------------------------------------------------------------------------
Net asset value, end of period $38.29 $34.21 $25.95 $31.64 $26.04 $23.24
=======================================================================================
TOTAL RETURN, AT NET ASSET VALUE/(1)/ 18.92% 32.52% (7.59)% 27.32% 15.42% 54.72%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $486,872 $325,404 $185,774 $136,885 $83,335 $49,371
Average net assets (in thousands) $402,843 $240,730 $153,832 $98,228 $56,371 $34,887
Ratios to average net assets:
Net investment income 0.06%/(2)/ 0.47% 0.50% 0.23% 0.30% 0.81%
Expenses 0.76%/(2)/ 0.78% 0.57% 0.47% 0.54% 0.63%
Portfolio turnover rate/(3)/ 54.60% 125.50% 96.50% 122.80% 78.90% 122.30%
Average brokerage commission rate/(4)/ $0.0677 $0.0577 -- -- -- --
</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. Purchases and sales of investment securities (excluding short-
term securities) for the period ended June 30, 1996 were $232,545,916 and
$191,854,268, respectively.
4. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period divided by the total of related shares
purchased and sold.
See accompanying Notes to Financial statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
-----------------------------------------------------------------------------
PER SHARE OPERATING DATA:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $23.55 $17.68 $17.70 $16.96 $15.17 $12.54
Income (loss) from investment operations:
Net investment income 0.11 0.25 0.22 0.46 0.16 0.30
Net realized and unrealized gain (loss) 2.49 6.10 (0.05) 0.74 1.99 2.82
-----------------------------------------------------------------------------
Total income (loss) from investment operations 2.60 6.35 0.17 1.20 2.15 3.12
-----------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (0.25) (0.22) (0.15) (0.14) (0.36) (0.49)
Distributions from net realized gain (1.67) (0.26) (0.04) (0.32) -- --
-----------------------------------------------------------------------------
Total dividends and distributions to shareholders (1.92) (0.48) (0.19) (0.46) (0.36) (0.49)
-----------------------------------------------------------------------------
Net asset value, end of period $24.23 $23.55 $17.68 $17.70 $16.96 $15.17
=============================================================================
TOTAL RETURN, AT NET ASSET VALUE/(1)/ 11.37% 36.65% 0.97% 7.25% 14.53% 25.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $144,722 $117,710 $63,283 $56,701 $36,494 $22,032
Average net assets (in thousands) $131,211 $88,803 $59,953 $46,389 $25,750 $18,810
Ratios to average net assets:
Net investment income 1.08%/(2)/ 1.46% 1.38% 1.13% 1.36% 2.82%
Expenses 0.78%/(2)/ 0.79% 0.58% 0.50% 0.61% 0.70%
Portfolio turnover rate/(3)/ 27.70% 58.20% 53.80% 12.60% 48.70% 133.90%
Average brokerage commission rate/(4)/ $0.0572 $0.0590 -- -- -- --
</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.
Purchases and sales of investment securities (excluding short-term
securities) for the period ended June 30, 1996 were $38,780,897 and
$30,005,422, respectively.
4. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
-----------------------------------------------------------------------------
PER SHARE OPERATING DATA:
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $14.55 $12.91 $13.88 $12.47 $11.96 $10.90
Income (loss) from investment operations:
Net investment income 0.37 0.66 0.63 0.55 0.55 0.69
Net realized and unrealized gain (loss) 0.52 2.00 (0.90) 1.41 0.50 1.15
-----------------------------------------------------------------------------
Total income (loss) from investment
operations 0.89 2.66 (0.27) 1.96 1.05 1.84
-----------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (0.40) (0.65) (0.60) (0.55) (0.54) (0.78)
Distributions from net realized gain (0.35) (0.37) (0.10) -- -- --
-----------------------------------------------------------------------------
Total dividends and distributions to shareholders (0.75) (1.02) (0.70) (0.55) (0.54) (0.78)
-----------------------------------------------------------------------------
Net asset value, end of period $14.69 $14.55 $12.91 $13.88 $12.47 $11.96
=============================================================================
TOTAL RETURN, AT NET ASSET VALUE/(1)/ 6.18% 21.36% (1.95)% 15.95% 8.99% 17.48%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $421,926 $381,263 $292,067 $250,290 $159,464 $124,634
Average net assets (in thousands) $404,869 $344,745 $279,949 $199,954 $139,011 $117,000
Ratios to average net assets:
Net investment income 5.25%/(2)/ 4.81% 4.90% 4.44% 4.63% 5.95%
Expenses 0.77%/(2)/ 0.77% 0.56% 0.48% 0.55% 0.54%
Portfolio turnover rate/(3)/ 15.70% 39.00% 31.40% 32.40% 57.80% 80.30%
Average brokerage commission rate/(4)/ $0.0310 $0.0329 -- -- -- --
</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.
Purchases and sales of investment securities (excluding short-term
securities) for the period ended June 30, 1996 were $76,723,721 and
$53,523,995, respectively.
4. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993 1992 1991
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $15.00 $15.09 $16.30 $9.57 $10.38 $10.04
Income (loss) from investment operations:
Net investment income (loss) 0.11 0.12 0.04 (0.02) 0.07 0.04
Net realized and unrealized gain (loss) 1.13 0.19 (0.96) 6.75 (0.80) 0.30
---------------------------------------------------------------------------------------
Total income (loss) from investment
operations 1.24 0.31 (0.92) 6.73 (0.73) 0.34
---------------------------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment income -- -- (0.04) -- (0.04) --
Distributions from net realized gain -- (0.40) (0.25) -- (0.04) --
---------------------------------------------------------------------------------------
Total dividends and distributions to
shareholders -- (0.40) (0.29) -- (0.08) --
---------------------------------------------------------------------------------------
Net asset value, end of period $16.24 $15.00 $15.09 $16.30 $9.57 $10.38
=======================================================================================
TOTAL RETURN, AT NET ASSET VALUE/(1)/ 8.27% 2.24% (5.72)% 70.32% (7.11)% 3.39%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $481,343 $360,979 $297,842 $96,425 $13,537 $7,339
Average net assets (in thousands) $423,899 $332,336 $214,545 $31,696 $11,181 $3,990
Ratios to average net assets:
Net investment income 1.51%/(2)/ 0.86% 0.54% 0.72% 1.04% 0.75%
Expenses 0.83%/(2)/ 0.89% 0.91% 0.92% 1.06% 1.32%
Portfolio turnover rate/(3)/ 48.10% 131.30% 70.40% 65.10% 34.10% 29.50%
Average brokerage commission rate/(4)/ $0.0047 $0.0092 -- -- -- --
</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. Purchases and sales of investment securities (excluding short-
term securities) for the period ended June 30, 1996 were $289,298,449 and
$193,923,292, respectively.
4. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period divided by the total number of related
shares purchased and sold.
See Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1996 Year Ended December 31,
(Unaudited) 1995 1994 1993/(1)/
-------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $4.91 $4.60 $5.12 $5.00
Income (loss) from investment operations:
Net investment income 0.21 0.38 0.35 0.10
Net realized and unrealized gain (loss) (0.01) 0.30 (0.54) 0.11
Total income (loss) from investment operations 0.20 0.68 (0.19) 0.21
Dividends and distributions to shareholders:
Dividends from net investment income (0.19) (0.37) (0.32) (0.09)
Distributions from net realized gain -- -- -- --
Distributions in excess of net realized gain -- -- (0.01) --
-------------------------------------------------------------
Total dividends and distributions to shareholders (0.19) (0.37) (0.33) (0.09)
-------------------------------------------------------------
Net asset value, end of period $4.92 $4.91 $4.60 $5.12
=============================================================
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 4.14% 15.33% (3.78)% 4.25%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $78,626 $60,098 $20,320 $9,887
Average net assets (in thousands) $67,533 $37,698 $15,389 $4,259
Ratios to average net assets:
Net investment income 8.67%/(3)/ 9.32% 8.36% 5.67%/(3)/
Expenses 0.85%/(3)/ 0.85% 0.87% 0.96%/(3)/
Portfolio turnover rate/(4)/ 46.10% 87.00% 136.60% 10.90%
</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. Purchases and sales of investment securities (excluding short-
term securities) for the period ended June 30, 1996 were $44,216,010 and
$25,961,308, respectively.
See Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth & Income Fund
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Six Months
Ended Year Ended
June 30, 1996 December 31,
(Unaudited) 1995/(1)/
--------------------------------
PER SHARE OPERATING DATA:
<S> <C> <C>
Net asset value, beginning of period $12.51 $10.00
Income from investment operations:
Net investment income 0.04 0.01
Net realized and unrealized gain 2.31 2.52
--------------------------------
Total income from investment operations 2.35 2.53
--------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (0.04) (0.02)
Distributions from net realized gain (0.05) --
--------------------------------
Total dividends and distributions to
shareholders (0.09) (0.02)
--------------------------------
Net asset value, end of period $14.77 $12.51
================================
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 18.81% 25.25%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $21,333 $4,288
Average net assets (in thousands) $10,659 $1,809
Ratios to average net assets:
Net investment income 1.06%/(3)/ 0.50%/(3)/
Expenses 1.32%/(3)/ 2.07%/(3)/
Portfolio turnover rate/(4)/ 80.10% 23.70%
Average brokerage commission rate/(5)/ $0.0603 $0.0598
</TABLE>
1. For the period from July 5, 1995 (commencement of operations) to December 31,
1995.
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.
Purchases and sales of investment securities (excluding short-term
securities) for the period ended June 30, 1996 were $21,134,121 and
$7,698,850, respectively.
5. Total brokerage commissions paid on applicable purchases and sales of
portfolio securities for the period divided by the total number of related
shares purchased and sold.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Money Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
---------- ------------
<S> <C> <C>
Certificates of Deposit - 2.6%
Eurodollar Certificates of Deposit - 2.6%
Deutsche Bank, 5.10%, 8/23/96
(Cost $3,000,043)......................... $ 3,000,000 $ 3,000,043
-----------
Direct Bank Obligations - 12.0%
Credit Suisse, guaranteeing commercial
paper of Guandong Enterprises
(Holdings) Ltd., 5.46%, 7/24/96........... 5,253,000 5,234,676
Huntington National Bank, 5.09%,
8/21/96.................................... 3,000,000 3,000,000
National Westminster Bank of Canada,
5.40%, 7/26/96............................. 3,000,000 2,988,750
Societe Generale, guaranteeing
commercial paper of Banco Nacional de
Comercio Exterior, SNC-Series A,
5.20%, 7/10/96............................. 2,500,000 2,496,750
---------
Total Direct Bank Obligations
(Cost $13,720,176)......................... 13,720,176
----------
Short-Term Notes - 85.2%
Banks - 4.4%
Barnett Banks, Inc., 5.36%, 7/1/96......... 5,000,000 5,000,000
---------
Broker/Dealers - 9.0%
Dean Witter, Discover & Co., 5.77%,
1/15/97/(1)/............................... 2,000,000 2,002,556
Merrill Lynch & Co., Inc.:
5.29%, 7/15/96............................. 1,478,400 1,475,359
5.36%, 7/8/96.............................. 4,000,000 3,995,839
Morgan Stanley Group, Inc., 5.27%,
9/30/96/(1)/............................... 2,800,000 2,800,000
-----------
10,273,754
-----------
Chemicals - 0.8%
Monsanto Co., 5.27%, 7/23/96............... 924,000 921,024
-----------
Commercial Finance - 10.7%
CIT Group Holdings, Inc., 5.60%,
7/11/96/(1)(2)(3)/......................... 1,000,000 1,000,000
Countrywide Home Loan, 5.35%,
7/3/96..................................... 1,500,000 1,499,554
FINOVA Capital Corp.:
5.45%, 9/3/96.............................. 3,500,000 3,466,400
5.50%, 7/2/96.............................. 720,000 719,890
Heller Financial, Inc.:
5.48%, 8/15/96/(1)/......................... 2,600,000 2,582,190
5.70%, 12/1/96/(1)/......................... 3,000,000 3,001,696
-----------
12,269,730
-----------
Computer Software - 3.0%
First Data Corp., 5.38%, 7/2/96............ 3,400,000 3,399,492
Diversified Financial - 9.9%
General Electric Capital Corp., 4.94%,
8/21/96.................................... 3,000,000 2,979,005
General Motors Acceptance Corp.:
5.42%, 11/8/96............................. 3,500,000 3,431,497
5.42%, 8/19/96............................. 2,000,000 1,985,246
Prudential Funding Corp., 5.06%,
7/8/96..................................... 3,000,000 2,997,048
-----------
11,392,796
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
---------- ------------
<S> <C> <C>
Short-Term Notes (Continued)
Electronics - 6.9%
ITT Industries, Inc., 5.40%, 7/8/96/(2)/... $ 3,000,000 $ 2,996,850
Mitsubishi Electric Finance America, Inc.:
5.12%, 7/24/96/(2)/........................ 3,000,000 2,990,187
5.41%, 8/7/96/(2)/......................... 2,000,000 1,988,879
-----------
7,975,916
-----------
Environmental - 2.6%
WMX Technologies, Inc., 5.32%,
9/10/96/(2)/............................... 3,000,000 2,968,523
-----------
Healthcare/Supplies & Services - 0.8%
Allergan, Inc., 5.33%, 7/16/96............. 916,600 914,564
-----------
Leasing & Factoring - 7.7%
CSW Credit, Inc., 5.42%, 8/7/96............ 5,600,000 5,568,805
The Hertz Corp., 5.37%, 7/10/96............ 3,250,000 3,245,637
-----------
8,814,442
-----------
Special Purpose Financial - 22.8%
Asset Securitization Cooperative Corp.,
5.31%, 7/8/96/(2)/......................... 739,200 738,424
CIESCO L.P., 5.42%,5/19/97/(1)//(2)/........ 3,000,000 2,999,545
Cooperative Association of Tractor
Dealers, Inc.:
5.08%, 7/2/96.............................. 1,478,400 1,478,182
5.45%, 7/3/96.............................. 1,550,000 1,549,531
Corporate Asset Funding Co., Inc.,
5.60% 7/1/96............................... 4,761,000 4,761,000
Falcon Asset Securitization Corp.,
5.41%, 7/25/96/(2)/........................ 5,645,000 5,624,640
First Deposit Master Trust 1993-3,
5.42%, 8/12/96/(2)/........................ 4,600,000 4,570,913
Sheffield Receivables Corp., 5.35%,
7/8/96..................................... 4,400,000 4,395,406
-----------
26,117,641
-----------
Specialty Retailing - 1.9%
St. Michael Finance Ltd., guaranteed by
Marks & Spencer PLC, 5.35%, 9/4/96......... 2,200,000 2,178,749
-----------
Telecommunications-Technology - 4.7%
NYNEX Corp.:
5.33%, 7/12/96............................. 3,400,000 3,394,463
5.35%, 7/29/96............................. 2,000,000 1,991,538
-----------
5,386,001
-----------
Total Short-Term Notes
(Cost $97,612,632)......................... 97,612,632
-----------
U.S. Government Obligations - 0.6%
U.S. Treasury Nts., 6.13%, 7/31/96
(Cost $740,118)............................ 740,000 740,118
-----------
Total Investments, at Value................. 100.4% 115,072,969
-------- -----------
Liabilities in Excess of Other Assets....... (0.4) (486,711)
-------- -----------
Net Assets.................................. 100.0% $114,586,258
======== ===========
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Money Fund
STATEMENT OF INVESTMENTS (CONTINUED)
June 30, 1996
(Unaudited)
Short-term notes and direct bank obligations 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) Floating or variable rate obligation maturing in more than one year. The
interest rate, which is based on specific, or an index of, market interest
rates, is subject to change periodically and is the effective rate on June
30, 1996. This instrument may also have a demand feature which allows the
recovery of principal at any time, or at specified intervals not exceeding
one year, on up to 30 days' notice. Maturity date shown represents
effective maturity based on variable rate and, if applicable, demand
feature.
(2) Restricted securities amount to $25,877,961, or 22.58% of the Fund's net
assets, at June 30, 1996. In addition to being restricted, the security may
be considered illiquid by virtue of the absence of a readily available
market or because of legal or contractual restrictions on resale. Illiquid
securities amount to $1,000,000, or 0.87% of the Fund's net assets, at June
30, 1996. The Fund may not invest more than 10% of its net assets
determined at the time of purchase in illiquid securities.
(3) Put obligation redeemable at full face value on the date reported.
See accompanying Notes to Financial Statements
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
--------- -------------
<S> <C> <C>
Mortgage-Backed Obligations-- 2.8%
CBA Mortgage Corp., Mtg. Pass
Through Certificates, Series 1993-C1,
Cl. F, 7.153%, 12/25/03/(2)(3)/.............................. $ 700,000 $ 523,687
Merrill Lynch Mortgage Investors. Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2, Cl. D, 8.266%, 6/15/21/(2)/......................... 482,223 482,751
Morgan Stanley Capital I, Inc.,
Commercial Mtg. Pass-Through
Certificates, Series 1996-C1, Cl. E,
7.51%, 2/1/28/(2)(4)/........................................ 835,342 653,133
Mortgage Capital Funding, Inc.,
Multifamily Mortgage Pass-Through
Certificates, Series 1996-MC1, Cl. G,
7.15%, 6/15/06/(4)(5)/....................................... 750,000 560,625
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates:
Series 1994-C1, Cl. E, 8%, 6/25/26........................... 722,038 638,553
Series 1994-C2, Cl. G, 8%, 4/25/25........................... 863,240 728,898
Series 1995-C1, Cl. F, 6.90%, 2/25/27........................ 1,028,041 841,388
-------------
Total Mortgage-Backed Obligations
(Cost $4,356,982)............................................ 4,429,035
-------------
Foreign Government Obligations--9.5%
Argentina (Republic of):
Bonds, 11.25%, 4/10/06 DEM.................................... 175,000 116,004
Unsub. Unsec. Bonds, 10.25%,
2/6/03 DEM................................................... 810,000 537,467
Banco Estado Minas Gerais, 8.25%,
2/10/00...................................................... 550,000 503,250
Banco Hipotecario Nacional (Argentina)
Medium-Term Nts., 10.625%,
3/29/99/(4)/................................................. 150,000 151,875
Banco Nacional de Comercio Exterior
SNC International Finance BV Gtd.:
Bonds, 8.75%, 9/28/00 GBP..................................... 110,000 156,070
Nts., 8%, 8/5/03.............................................. 450,000 384,469
Brazil (Federal Republic of) Nts.,
Banco Estado Minas Gerais, 7.875%,
2/10/99...................................................... 30,000 27,787
Buenos Aires (Province of) Bonds,
10%, 3/5/01 DEM.............................................. 214,000 143,403
Bulgaria (Republic of):
Front-Loaded Interest Reduction Bearer
Bonds, Tranche A, 2%, 7/28/12/(2)/........................... 820,000 273,419
Interest Arrears Bonds, 6.25%,
7/28/11/(2)/................................................. 970,000 460,750
Canada (Government of) Real Return
Debs., 4.517%, 12/1/21/(6)/ CAD.............................. 1,600,000 1,153,117
Central Bank of Costa Rica Interest
Claim Bonds, Series B, 6.328%,
5/21/05/(2)/................................................. 262,123 242,464
Denmark (Kingdom of) Bonds, 8%,
5/15/03 DKK.................................................. 4,545,000 820,228
Ecuador (Republic of) Disc. Bonds,
6.063%, 2/28/25/(2)/......................................... 430,000 244,025
Hashemite Kingdom of Jordan:
Disc. Bonds, 6.625%, 12/23/23/(2)/............................ 1,000,000 702,500
Interest Arrears Bonds, 6.625%,
12/23/05/(2)/................................................ 100,000 80,750
Italy (Republic of) Certificati di
Credito del Tesoro Nts., 11.20%,
8/1/00/(2)/ ITL.............................................. 480,000,000 320,636
National Treasury Management Agency
(Irish Government) Bonds, 8%,
10/18/00 IEP................................................. 370,000 617,111
New South Wales Treasury Corp. Gtd.
Bonds, 12%, 12/1/01 AUD...................................... 1,150,000 1,028,252
New Zealand (Republic of) Bonds, 8%,
2/15/01 NZD.................................................. 660,000 434,679
Panama (Republic of) Debs., 6.629%,
5/10/02/(2)/................................................. 161,539 151,847
Poland (Republic of) Treasury Bills,
Zero Coupon:
21.464%, 10/16/96/(7)/ PLZ................................... 500,000 173,205
20.376%, 3/19/97/(7)/ PLZ.................................... 800,000 255,785
22.405%, 7/24/96/(7)/ PLZ.................................... 1,000,000 362,939
Portugal (Republic of) Gtd. Bonds,
Obrigicion do tes Medio Prazo, 11.875%,
2/23/00 PTE.................................................. 85,000,000 607,007
Sweden (Kingdom of) Bonds, Series
1030, 13%, 6/15/01 SEK....................................... 3,200,000 589,679
Telecomunicacoes Brasileiras SA, 13%
Bonds, 2/5/99 ITL............................................ 385,000,000 258,684
United Kingdom Treasury Nts., 13%,
7/14/00/(14)/ GBP............................................ 815,000 1,520,409
United Mexican States:
Bonds, 10.375%, 1/29/03 DEM................................... 850,000 570,431
Nacional Financiera SNC Nts., 13.60%,
4/2/98 ESP................................................... 100,000,000 827,738
Venezuela (Republic of) Disc. Bonds,
Series DL, 6.625%, 12/18/07/(2)/............................. 1,500,000 1,061,250
-------------
Total Foreign Government Obligations
(Cost $14,458,053)........................................... 14,777,230
-------------
Loan Participations-- 2.1%
Algeria (Republic of) Reprofiled Debt
Loan Participation, Tranche A, 6.812%,
9/4/06/(2)(3)/............................................... 500,000 298,438
Colombia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 6.563%,
7/1/01/(2)(3)/............................................... 1,021,540 952,586
Morocco (Kingdom of) Loan
Participation Agreement, Tranche A,
6.437%, 1/1/09/(2)/.......................................... 875,000 630,273
Pulsar Internacional SA de CV, 11.80%
Nts., 9/19/96/(3)/........................................... 700,000 703,500
Trinidad & Tobago Loan Participation
Agreement, Tranche B, 1.772%,
9/30/00/(2)(3)/ JPY.......................................... 92,319,750 719,660
-------------
Total Loan Participations
(Cost $3,328,297)............................................ 3,304,457
-------------
Municipal Bonds and Notes-- 0.8%
San Joaquin Hills, California
Transportation Corridor Agency Toll
Road Capital Appreciation Revenue
Bonds, Jr. Lien, Zero Coupon, 9%,
1/1/28 (Cost $781,004)....................................... 12,500,000 1,163,225
-------------
Corporate Bonds and Notes-- 63.1%
Basic Industry--4.9%
Chemicals--0.8%
NL Industries, Inc.:
0%/13% Sr. Sec. Disc. Nts.,
10/15/05/(8)/................................................ 500,000 392,500
11.75% Sr. Sec. Nts., 10/15/03................................ 650,000 666,250
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- -------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Basic Industry (Continued)
Chemicals (Continued)
Texas Petrochemicals Corp., 11.125% Sr.
Sub. Nts., 7/1/06/(4)(5)/.................................... $ 200,000 $ 204,062
-------------
1,262,812
-------------
Metals/Mining--0.5%
Carbide/Graphite Group, Inc. (The),
11.50% Sr. Nts., 9/1/03...................................... 454,000 493,725
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05........................................... 230,000 262,200
-------------
755,925
-------------
Paper--3.1%
Domtar, Inc.:
11.25% Debs., 9/15/17......................................... 400,000 427,000
12% Nts., 4/15/01............................................. 250,000 289,375
Florida Coast Paper Co. LLC/Florida
Coast Paper Finance Corp., 12.75%
First Mtg. Nts., 6/1/03(4)................................... 550,000 572,000
Gaylord Container Corp., 12.75% Sr.
Sub. Disc. Debs., 5/15/05.................................... 500,000 528,750
Indah Kiat International Finance Co.
BV, 12.50% Sr. Sec. Gtd. Nts., Series C,
6/15/06...................................................... 350,000 373,625
QUNO Corp., 9.125% Sr. Nts., 5/15/05.......................... 200,000 196,500
Repap Wisconsin, Inc., 9.25% First
Priority Sr. Sec. Nts., 2/1/02............................... 500,000 473,750
Riverwood International Corp.:
10.25% Sr. Nts., 4/1/06....................................... 600,000 598,500
10.875% Sr. Sub. Nts., 4/1/08................................. 250,000 247,500
SD Warren Co., 12% Sr. Sub. Nts.,
12/15/04..................................................... 250,000 266,250
Stone Container Corp.:
10.75% First Mtg. Nts., 10/1/02............................... 800,000 812,000
10.75% Sr. Sub. Nts., 6/15/97................................. 100,000 102,500
-------------
4,887,750
-------------
Steel--0.5%
Jorgensen (Earle M.) Co., 10.75% Sr.
Nts., 3/1/00................................................. 175,000 173,250
Republic Engineered Steels, Inc., 9.875%
First Mtg. Nts., 12/15/01.................................... 600,000 562,500
-------------
735,750
-------------
Consumer Related--11.9%
Consumer Products--2.4%
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 11.074%,
5/27/98/(7)/................................................. 400,000 337,000
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/(8)/................................ 500,000 297,500
Revlon Worldwide Corp., Zero Coupon
Sr. Sec. Disc. Nts., 32.881%,
3/15/98/(7)/................................................. 350,000 293,125
TAG Heuer International SA, 12% Sr.
Sub. Nts., 12/15/05/(4)/..................................... 400,000 419,000
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04................................................. 600,000 592,500
-------------
3,745,875
-------------
Food/Beverages/Tobacco--0.6%
Consolidated Cigar Corp., 10.50% Sr.
Sub. Nts., 3/1/03............................................ 400,000 420,000
Doane Products Co., 10.625% Sr. Nts.,
3/1/06........................................................ 250,000 251,250
Foodbrands America, Inc., 10.75% Sr.
Sub. Nts., 5/15/06........................................... 235,000 237,350
-------------
908,600
-------------
Healthcare--2.8%
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02................................................ 1,600,000 2,040,000
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02........................................... 400,000 446,000
IHF Holdings, Inc., 0%/15% Sr. Sub.
Disc. Nts., Series B, 11/15/04/(8)/.......................... 250,000 171,250
Magellan Health Services, Inc., 11.25% Sr.
Sub. Nts., Series A, 4/15/04................................. 500,000 540,000
Total Renal Care, Inc., 0%/12% Sr. Sub.
Disc. Nts., 8/15/04/(8)/..................................... 1,244,000 1,219,120
-------------
4,416,370
-------------
Hotel/Gaming--2.6%
Capital Gaming International, Inc.,
Promissory Nts.(9)........................................... 9,500 --
Majestic Star Casino LLC (The),
12.75% Sr. Sec. Nts., 5/15/03/(4)/........................... 450,000 488,250
Mohegan Tribal Gaming Authority,
13.50% Sr. Sec. Nts., 11/15/02/(4)/.......................... 400,000 504,000
Players International, Inc., 10.875% Sr.
Nts., 4/15/05................................................ 500,000 508,750
Showboat Marina Casino
Partnership/Showboat Marina Finance
Corp., 13.50% First Mtg. Nts.,
3/15/03(4)................................................... 550,000 594,000
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03................................................. 500,000 492,500
Trump Atlantic City Associates/Trump
Atlantic City Funding, Inc., 11.25%
First Mtg. Nts., 5/1/06...................................... 1,500,000 1,515,000
-------------
4,102,500
-------------
Leisure--0.2%
Gillett Holdings, Inc., 12.25% Sr. Sub.
Nts., Series A, 6/30/02/(3)/................................. 278,779 293,763
-------------
Restaurants--1.8%
Apple South, Inc., 9.75% Sr. Nts.,
6/1/06....................................................... 500,000 493,750
Carrols Corp., 11.50% Sr. Nts., 8/15/03....................... 430,000 438,600
Foodmaker, Inc.:
9.25% Sr. Nts., 3/1/99........................................ 200,000 197,500
9.75% Sr. Sub. Nts., 6/1/02................................... 1,750,000 1,688,750
-------------
2,818,600
-------------
Textile/Apparel--1.5%
Clark-Schwebel, Inc., 10.50% Sr. Nts.,
4/15/06/(4)/................................................. 500,000 512,500
Polysindo International Finance Co. BV,
11.375% Bonds, 6/15/06....................................... 600,000 613,500
PT Polysindo Eka Perkasa, Zero Coupon
Promissory Nts.:
19.111%, 2/28/97/(7)/ IDR..................................... 1,000,000,000 378,930
19.348%, 4/29/97/(7)/ IDR..................................... 980,000,000 359,344
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02.......................................... 500,000 531,250
-------------
2,395,524
-------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- -------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Energy--4.9%
BP America, Inc., 10.875% Nts.,
8/1/01 CAD ................................................. $ 350,000 $ 290,894
Chesapeake Energy Corp.:
10.50% Sr. Nts., 6/1/02 .................................... 500,000 525,000
9.125% Sr. Nts., 4/15/06 ................................... 350,000 346,500
Falcon Drilling, Inc., 8.875% Sr. Nts.,
Series B, 3/15/03 .......................................... 300,000 289,875
Kelley Oil & Gas Corp., 13.50% Sr.
Nts., 6/15/99 .............................................. 600,000 637,500
Maxus Energy Corp., 11.50% Debs.,
11/15/15 ................................................... 800,000 838,000
Mesa Operating Co., 10.625% Gtd. Sr.
Sub. Nts., 7/1/06/(5)/ ..................................... 1,450,000 1,472,656
OPI International, Inc., 12.875% Sr. Gtd.
Nts., 7/15/02 .............................................. 750,000 832,500
Petroleum Heat & Power Co., Inc.:
12.25% Sub. Debs., 2/1/05 .................................. 157,000 173,485
9.375% Sub. Debs., 2/1/06 .................................. 650,000 614,250
Triton Energy Corp.:
0%/9.75% Sr. Sub. Disc. Nts.,
12/15/00/(8)/ .............................................. 200,000 195,000
Zero Coupon Sr. Sub. Disc. Nts.,
10.318%, 11/1/97/(7)/ ...................................... 1,200,000 1,086,000
Vintage Petroleum, Inc., 9% Sr. Sub.
Nts., 12/15/05 ............................................. 250,000 236,250
-------------
7,537,910
-------------
Financial Services--2.3%
Banks & Thrifts--1.2%
Banco Bamerindus do Brasil SA, 11%
Sr. Unsub. Unsec. Bonds, 10/6/97 ........................... 280,000 270,900
First Nationwide (Parent) Holdings,
Inc., 12.50% Sr. Nts., 4/15/03 ............................. 800,000 838,000
PT Inti Indorayon Utama, Zero Coupon
Promissory Nts., 17.234%,
2/12/97/(7)/ IDR ........................................... 1,800,000,000 699,028
-------------
1,807,928
-------------
Diversified Financial--1.1%
ECM Fund, L.P.I., 14% Sub. Nts.,
6/10/02/(3)/ ............................................... 207,685 228,455
GPA Delaware, Inc., 8.75% Gtd. Nts.,
12/15/98 ................................................... 1,500,000 1,500,000
-------------
1,728,455
-------------
Housing Related--1.4%
Building Materials--0.1%
Building Materials Corp., 0%/11.75% Sr.
Deferred Coupon Nts., Series B,
7/1/04/(8)/ ................................................ 250,000 185,625
-------------
Homebuilders/Real Estate--1.3%
First Place Tower, Inc.:
9.22% First Mtg. Bonds, 12/15/05 CAD ........................ 300,400 223,823
Units (each unit consists of one $10
principal amount of 8.50% cv. sub.
debs., 12/15/15 and 40 common
shares)/(10)/ CAD .......................................... 180,660 238,125
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Sec. Nts., Series B,
4/1/02 ..................................................... 1,000,000 1,030,000
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11/(4)/ ................................ 700,000 532,000
-------------
2,023,948
-------------
Manufacturing--2.4%
Aerospace/Electronics/Computers--1.6%
Communications & Power Industries,
Inc., 12% Sr. Sub. Nts., 8/1/05 ............................ 1,000,000 1,062,500
Dell Computer Corp., 11% Sr. Nts.,
8/15/00 .................................................... 500,000 548,125
Rohr, Inc., 11.625% Sr. Nts., 5/15/03 ....................... 800,000 884,000
-------------
2,494,625
-------------
Automotive--0.8%
Aftermarket Technology Corp., 12% Sr.
Sub. Nts., Series B, 8/1/04 ................................ 400,000 434,000
Collins & Aikman Products Co., 11.50%
Gtd. Sr. Sub. Nts., 4/15/06 ................................ 250,000 255,000
Foamex LP/Foamex Capital Corp.,
9.50% Sr. Sec. Nts., 6/1/00 ................................ 240,000 240,000
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04 ..................................................... 350,000 327,250
-------------
1,256,250
-------------
Capital Goods--0.0%
Farley, Inc., Zero Coupon Sub. Debs.,
14.143%, 12/30/12/(3)//(7)/ ................................ 198,000 20,991
-------------
Media--13.5%
Broadcasting--4.4%
American Radio Systems Corp., 9% Sr.
Sub. Nts., 2/1/06 .......................................... 700,000 665,000
Argyle Television, Inc., 9.75% Sr. Sub.
Nts., 11/1/05 .............................................. 200,000 188,500
Outlet Broadcasting, Inc., 10.875% Sr.
Sub. Nts., 7/15/03 ......................................... 1,000,000 1,114,594
Paxson Communications Corp., 11.625%
Sr. Sub. Nts., 10/1/02 ..................................... 1,200,000 1,254,000
SFX Broadcasting, Inc., 10.75% Sr.
Sub. Nts., 5/15/06/(4)/ .................................... 300,000 300,000
Sinclair Broadcast Group, Inc.:
10% Sr. Sub. Nts., 12/15/03 ................................. 345,000 332,925
10% Sr. Sub. Nts., 9/30/05 .................................. 400,000 390,000
Summit Communications Group, Inc.,
10.50% Sr. Sub. Debs., 4/15/05 ............................. 850,000 924,375
Univision Television Group, Inc., 11.75%
Sr. Sub. Nts., 1/15/01 ..................................... 700,000 745,500
Young Broadcasting, Inc., 9% Sr. Sub.
Nts., 1/15/06 .............................................. 950,000 850,250
-------------
6,765,144
-------------
Cable Television--4.4%
American Telecasting, Inc., 0%/14.50%
Sr. Disc. Nts., 6/15/04/(8)/ ............................... 50,106 35,074
Australis Media Ltd., Units (each unit
consists of $1,000 principal amount of
0%/14% sr. sub. disc. nts., 5/15/03
and one warrant to purchase 57.721
ordinary shares)/(8)(10)/ .................................. 1,650,000 990,000
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04/(8)/ ................................... 1,700,000 1,198,500
Cablevision Industries Corp., 9.25% Sr.
Debs., Series B, 4/1/08 .................................... 600,000 607,500
Cablevision Systems Corp.:
10.50% Sr. Sub. Debs., 5/15/16 ............................. 250,000 243,750
10.75% Sr. Sub. Debs., 4/1/04 .............................. 500,000 517,500
Fundy Cable Ltd./Ltee, 11% Sr. Sec.
Second Priority Nts., 11/15/05 ............................. 400,000 407,000
Helicon Group LP/Helicon Capital Corp.,
9% Sr. Sec. Nts., Series B, 11/1/03/(2)/ ................... 500,000 497,500
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- -------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Media (Continued)
Cable Television (Continued)
International CableTel, Inc.:
0%/10.875% Sr. Deferred Coupon Nts.,
10/15/03/(8)/................................................ $ 100,000 $ 73,000
0%/11.50% Sr. Deferred Coupon Nts.,
Series A, 2/1/06/(8)/........................................ 500,000 282,500
0%/12.75% Sr. Deferred Coupon Nts.,
4/15/05(8)................................................... 350,000 225,750
People's Choice TV Corp., 0%/13.125%
Sr. Disc. Nts., 6/1/04/(8)/.................................. 250,000 143,750
Rogers Cablesystems Ltd., 10% Sr. Sec.
Second Priority Debs., 12/1/07............................... 800,000 782,000
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/20/07..................................................... 300,000 334,004
United International Holdings, Inc.:
0%/14% Sr. Disc. Nts., 5/15/06/(4)(8)/....................... 350,000 184,625
Zero Coupon Sr. Sec. Disc. Nts.,
12.057%, 11/15/99/(7)/....................................... 500,000 330,000
Videotron Holdings PLC, 0%/11% Sr.
Disc. Nts., 8/15/05/(8)/..................................... 25,000 16,375
-------------
6,868,828
-------------
Diversified Media--3.7%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03............................. 750,000 780,937
EchoStar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(8)/....................... 1,800,000 1,314,000
GSPI Corp., 10.15% First Mtg. Bonds,
6/24/10/(4)/................................................. 475,896 535,859
Heritage Media Corp., 8.75% Sr. Sub.
Nts., 2/15/06................................................ 350,000 327,250
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03................................................ 500,000 513,750
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03...................................................... 300,000 312,000
Panamsat LP/Panamsat Capital Corp.:
0%/11.375% Sr. Sub. Disc. Nts., 8/1/03/(8)/.................. 1,850,000 1,618,750
9.75% Sr. Sec. Nts., 8/1/00.................................. 350,000 364,000
-------------
5,766,546
-------------
Entertainment/Film--1.0%
Imax Corp., 7% Sr. Nts., 3/1/01/(11)/......................... 1,600,000 1,568,000
-------------
Other--0.8%
Conglomerates--0.5%
MacAndrews & Forbes Group, Inc.,
12.25% Sub. Nts., 7/1/96..................................... 750,000 753,750
-------------
Services--0.3%
Protection One, Inc., 0%/13.625% Sr.
Disc. Nts., 6/30/05/(8)/..................................... 550,000 470,250
-------------
Retail--2.7%
Specialty Retailing--0.6%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03............................................ 630,000 652,050
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03................................................. 300,000 301,500
-------------
953,550
-------------
Supermarkets--2.1%
Grand Union Co., 12% Sr. Nts., 9/1/04......................... 1,000,000 938,750
Kash 'N Karry Food Stores, Inc.,
11.50% Sr. Nts., 2/1/03...................................... 564,400 568,633
Penn Traffic Co.:
10.25% Sr. Nts., 2/15/02..................................... 400,000 366,000
11.50% Sr. Nts., 4/15/06..................................... 450,000 419,625
Ralph's Grocery Co.:
10.45% Sr. Nts., 6/15/04..................................... 300,000 288,750
10.45% Sr. Nts., 6/15/04/(4)/................................ 750,000 721,875
-------------
3,303,633
-------------
Transportation--1.9%
Air Transportation--0.5%
Atlas Air, Inc., 12.25% Pass-Through
Certificates, 12/1/02........................................ 750,000 819,375
-------------
Railroads--1.0%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03/(8)/...................................... 2,200,000 1,518,000
-------------
Shipping--0.4%
Trans Ocean Container Corp., 12.25%
Sr. Sub. Nts., 7/1/04........................................ 600,000 621,000
-------------
Utilities--16.4%
Electric Utilities--2.7%
California Energy Co., 0%/10.25% Sr.
Disc. Nts., 1/15/04/(8)/..................................... 1,000,000 980,000
El Paso Electric Co., 9.40% First Mtg.
Bonds, Series E, 5/1/11...................................... 1,000,000 997,500
First PV Funding Corp.:
10.15% Lease Obligation Bonds, Series
1986B, 1/15/16............................................... 500,000 526,250
10.30% Lease Obligation Bonds, Series
1986A, 1/15/14............................................... 1,000,000 1,052,500
Subic Power Corp., 9.50% Sr. Sec.
Nts., 12/28/08............................................... 646,551 653,017
-------------
4,209,267
-------------
Telecommunications--13.7%
A+ Network, Inc., 11.875% Sr. Sub. Nts.,
11/1/05...................................................... 1,025,000 1,066,000
American Communications Services, Inc.:
0%/12.75% Sr. Disc. Nts., 4/1/06/(8)/........................ 600,000 315,000
0%/13% Sr. Disc. Nts., 11/1/05/(8)/.......................... 500,000 280,000
Arch Communications Group, Inc.,
0%/10.875% Sr. Disc. Nts., 3/15/08/(8)/...................... 100,000 52,000
Brooks Fiber Properties, Inc.,
0%/10.875% Sr. Disc. Nts., 3/1/06(4)/(8)/.................... 250,000 134,375
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04(8)................................................... 1,500,000 1,233,750
CellNet Data Systems, Inc., 0%/13%
Sr. Disc. Nts., 6/15/05/(4)(8)/.............................. 600,000 429,000
Cellular Communications International,
Inc., Zero Coupon Sr. Disc. Nts.,
12.215%, 8/15/00/(7)/........................................ 2,920,000 1,825,000
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03/(8)/............................................ 2,000,000 1,570,000
Comcast Cellular Corp., Zero Coupon
Nts., Series B, 7.185%, 3/5/00/(7)/.......................... 500,000 345,000
Comunicacion Celular SA, 0%/13.125%
Sr. Deferred Coupon Bonds, 11/15/03/(8)/..................... 750,000 483,750
Geotek Communications, Inc., 0%/15%
Sr. Sec. Disc. Nts., 7/15/05/(8)/............................ 1,750,000 1,115,625
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
--------- -------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Utilities (Continued)
Telecommunications (Continued)
GST Telecommunications, Inc.,
0%/13.875% Cv. Sr. Sub. Disc. Nts.,
12/15/05/(4)/(8)/............................................ $ 178,000 $ 176,443
GST USA, Inc., 0%/13.875% Bonds,
12/15/05/(8)/................................................ 1,499,000 869,420
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00(8)/...................................... 2,250,000 2,120,625
Hyperion Telecommunications, Inc., Units
(each unit consists of $1,000 principal
amount of 0%/13% sr. disc. nts., 4/15/03
and one warrant to purchase 1.8645
shares of common stock)/(4)(8)(10)/.......................... 250,000 141,250
In-Flight Phone Corp., 0%/14% Sr. Disc.
Nts., 5/15/02/(8)/........................................... 500,000 178,750
IntelCom Group (USA), Inc.:
0%/12.50% Gtd. Sr. Disc. Nts.,
5/1/06/(4)(8)/............................................... 735,000 402,413
0%/13.50% Sr. Disc. Nts., 9/15/05/(8)/....................... 2,050,000 1,235,125
InterCel, Inc., 0%/12% Sr. Disc. Nts.,
5/1/06/(8)/.................................................. 500,000 275,000
MFS Communications Co., Inc.:
0%/8.875% Sr. Disc. Nts., 1/15/06/(8)/....................... 150,000 91,125
0%/9.375% Sr. Disc. Nts., 1/15/04/(8)/....................... 1,650,000 1,254,000
Occidente y Caribe Celular SA, Units
(each unit consists of $1,000 principal
amount of 0%/14% sr. disc. nts.,
3/15/04 and one warrant to purchase
5.709 ordinary shares)/(4)(8)(10)/........................... 300,000 155,250
Petersburg Long Distance, Inc.:
9% Cv. Sub. Nts., 6/1/06/(4)/................................ 170,000 200,600
Units (each unit consists of $1,000
principal amount of 0%/14% sr. disc. nts.,
6/1/04 and one warrant to purchase
34 ordinary shares)/(4)(8)(10)/.............................. 850,000 671,500
PriCellular Wireless Corp.:
0%/12.25% Sr. Sub. Disc. Nts.,
10/1/03/(8)/................................................. 750,000 596,250
0%/14% Sr. Sub. Disc. Nts., 11/15/01/(8)/.................... 2,000,000 1,820,000
Teleport Communications Group, Inc.,
0%/11.125% Sr. Disc. Nts., 7/1/07/(5)(8)/.................... 1,750,000 1,019,375
Western Wireless Corp., 10.50% Sr. Sub.
Nts., 6/1/06................................................. 1,200,000 1,201,500
-------------
21,258,126
-------------
Total Corporate Bonds and Notes
(Cost $95,470,094)............................................ 98,254,670
-------------
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks--3.0%
American Communications Services, Inc./(12)/.................. 2,700 35,100
Australis Media Ltd./(3)(12)/................................. 100,000 33,843
Berg Electronics Corp./(3)(12)/............................... 11,246 253,738
Celcaribe SA/(4)(12)/......................................... 203,250 345,525
EchoStar Communications Corp., CI. A/(12)/.................... 2,700 76,275
ECM Fund, L.P.I./(3)/......................................... 150 150,000
El Paso Electric Co./(12)/.................................... 42,384 254,304
Equitable Bag, Inc./(3)(12)/.................................. 3,723 9,307
Gillett Holdings, Inc./(3)(12)/............................... 22,355 670,650
Grand Union Co./(12)/......................................... 26,511 172,321
GST Telecommunications, Inc./(12)/............................ 37,800 496,125
Gulfstream Holding, Inc./(12)/................................ 56 --
Gulfstream Housing Corp./(12)/................................ 27,850 --
IntelCom Group, Inc./(12)/.................................... 3,000 75,000
J. Ray McDermott, SA/(12)/.................................... 10,965 274,125
Kash 'N Karry Food Stores, Inc./(12)/......................... 6,292 163,592
New World Communications Group,
Inc., CI. B/(12)/............................................ 2,093 30,610
Omnipoint Corp./(3)(12)/...................................... 46,875 1,157,813
Teleport Communications Group, Inc.,
CI. A/(12)/.................................................. 4,300 82,238
Triangle Wire & Cable, Inc./(3)(12)/.......................... 21,111 21,111
Walter Industries, Inc./(12)/................................. 23,455 331,302
-------------
Total Common Stocks
(Cost $3,483,076)............................................. 4,632,979
-------------
Preferred Stocks--5.6%
BankAmerica Corp., 8.375%, Series K........................... 13,000 331,500
Cablevision Systems Corp., 8.50% Cum.
Cv., Series I................................................ 25,000 650,000
California Federal Bank, 10.625% Non-
Cum., Series B............................................... 7,000 766,500
Earthwatch, Inc., 12% Cv. Sr. Preferred
Stock, Series C/(4)(13)/..................................... 90,000 931,500
El Paso Electric Co., 11.40% Series A
Preferred Stock/(13)/........................................ 2,950 309,750
Fidelity Federal Bank, 12% Non-Cum.
Exchangeable Perpetual Preferred
Stock, Series A.............................................. 20,000 550,000
First Nationwide Bank, 11.50% Non-
Cum.......................................................... 8,500 930,750
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E....................................... 16,500 792,000
K-III Communications Corp., $11.625
Exchangeable, Series B/(13)/................................. 7,954 801,380
Kelley Oil & Gas Corp., $2.625 Cv............................. 4,000 89,000
Navistar International Corp., $6.00 Cv.,
Series G..................................................... 2,500 139,062
Pantry Pride, Inc., $14.875
Exchangeable, Series B....................................... 2,000 200,500
Prime Retail, Inc., $19.00 Cv., Series B...................... 17,000 306,000
SDW Holdings Corp., 15% Cum. Sr.
Exchangeable Preferred Stock/(4)(12)/........................ 37,500 1,181,250
Walden Residential Properties, Inc.,
9.16% Cv., Series A.......................................... 30,000 742,500
-------------
Total Preferred Stocks
(Cost $7,952,366)............................................ 8,721,692
-------------
<CAPTION>
Market Value
Units (Note 1)
----- ------------
<S> <C> <C>
Rights, Warrants and Certificates--0.9%
American Communications Services,
Inc. Wts., Exp. 11/05/(4)/................................... 300 30,000
American Telecasting, Inc. Wts., Exp. 6/99.................... 6,000 36,000
Ames Department Stores, Inc.:
Excess Cash Flow Payment
Certificates, Series AG-7A/(3)/.............................. 12,400 124
Litigation Trust/(3)/......................................... 39,658 397
Capital Gaming International, Inc. Wts.,
Exp. 2/99.................................................... 21,112 1,056
Casino America, Inc. Wts., Exp. 11/96......................... 1,631 --
Cellular Communications International,
Inc. Wts., Exp. 8/03......................................... 2,920 43,800
Communication Cellular SA Wts., Exp.
11/03/(4)/................................................... 750 3,750
Digicon, Inc. Wts., Exp. 7/96................................. 1,566 49
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Units (Note 1)
----- -------------
<S> <C> <C>
Rights, Warrants and Certificates (Continued)
Eye Care Centers of America, Inc.
Wts., Exp. 10/03/(4)/....................................... 630 $ 3,150
Foamex LP/JPS Automotive Corp.
Wts., Exp. 7/99/(3)/........................................ 500 2,500
Gaylord Container Corp. Wts., Exp.
11/02....................................................... 14,410 112,578
Geotek Communications, Inc. Wts., Exp.
7/05(4)..................................................... 52,500 367,500
Icon Health & Fitness, Inc. Wts., Exp.
11/99/(4)/.................................................. 400 10,000
IHF Holdings, Inc. Wts., Exp. 3/99........................... 250 30,000
In-Flight Phone Corp. Wts., Exp. 8/02/(4)/................... 950 --
IntelCom Group, Inc. Wts., Exp. 9/05/(4)/.................... 5,940 114,345
Jewel Recovery LP, Participation Units
of Limited Partners' Interest............................... 2,360 --
Omnipoint Corp. Wts., Exp. 11/00............................. 7,500 185,250
People's Choice TV Corp. Wts., Exp. 6/00..................... 250 250
Protection One, Inc. Wts.:
Exp. 11/03.................................................. 28,000 416,500
Exp. 6/05................................................... 1,600 20,400
SDW Holdings Corp., Cl. B Wts., Exp.
12/06/(4)/.................................................. 3,750 48,750
Terex Corp. Rts., Exp. 7/96/(4)/............................. 744 37
Trizec Corp. Wts., Exp. 7/99................................. 3,970 3,343
UGI Corp. Wts., Exp. 3/98.................................... 6,000 300
United International Securities Ltd.
Wts., Exp. 11/99............................................ 1,440 41,760
-------------
Total Rights, Warrants and Certificates
(Cost $305,906).............................................. 1,471,839
-------------
<CAPTION>
Principal
Amount(1)
---------
<S> <C> <C>
Structured Instruments--2.6%
Bayerische Landesbank Girozentrale,
New York Branch, 14% CD Linked Nts.,
12/17/96 (indexed to the cross currency
rates of Greek Drachma and European
Currency Unit).............................................. $ 250,000 250,400
Bayerische Landesbank Girozentrale,
New York Branch, 5.60% CD Linked Nts.,
1/30/97 (indexed to the closing Nikkei 225
Index on 1/23/97, 10 yr. Japanese Yen
swap rate & New Zealand Dollar on
1/28/97) NZD................................................ 905,113 671,814
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, 5.469%,
4/1/00 and an interest rate swap between
Goldman Sachs and the Trust]/(3)/........................... 695,652 645,218
Internationale Nederlanden Bank NV,
Prague Branch, Zero Coupon Promissory
Nts., 10.488%, 4/28/97/(7)/ CZK............................ 8,600,000 287,394
Internationale Nederlanden (U.S.) Capital
Holdings Corp., Zero Coupon Chilean Peso
Linked Nts., Zero Coupon, 11.813%,
6/23/97)/(7)/............................................... 420,000 372,330
Internationale Nederlanden (U.S.) Capital
Holdings Corp., Zero Coupon Czech Crown
Linked Nts., 11.911%, 6/26/97/(7)/.......................... 350,000 312,515
Salomon Brothers, Inc., Zero Coupon
Brazilian Credit Linked Nts., 12.638%,
1/3/97 (indexed to the Brazilian
National Treasury Nts., Zero Coupon,
12.638%, 1/2/97)/(7)/....................................... 800,000 754,160
Swiss Bank Corp., New York Branch,
6.05% CD Linked Nts., 6/20/97 (indexed to
the closing Nikkei 225 Index on 1/23/97 5 yr.
& 3 mos. Japanese Yen swap rate & New
Zealand Dollar)............................................. 450,000 454,568
United Mexican States Linked Nts. (indexed to
the greater of Cetes Option Amount or USD
LIBOR Option Amount, 11/27/96............................... 300,000 348,000
-------------
Total Structured Instruments
(Cost $4,022,363)........................................... 4,096,399
-------------
Repurchase Agreement--10.2%
Repurchase agreement with Canadian Imperial
Bank of Commerce, 5.45%, dated 6/28/96,
to be repurchased at $15,807,176 on 7/1/96,
collateralized by U.S. Treasury Bonds, 9.125%-
11.25%, 2/15/15-5/11/18, with a value of
$5,585,108, and U.S. Treasury Nts., 5.25%-
8.50%, 1/11/97-11/15/04, with a value of
$10,555,109 (Cost $15,800,000).............................. 15,800,000 15,800,000
Total Investments, at Value
(Cost $149,958,141)......................................... 100.6% 156,651,526
------ -------------
Liabilities in Excess of Other Assets........................ (0.6) (944,376)
------ -------------
Net Assets................................................... 100.0% $ 155,707,150
====== =============
</TABLE>
(1) Principal amount is reported in U.S. Dollars, except for those denoted in
the following currencies:
AUD - Australian Dollar IEP - Irish Punt
CAD - Canadian Dollar ITL - Italian Lira
CZK - Czech Koruna JPY - Japanese Yen
DEM - German Deutsche Mark NZD - New Zealand Dollar
DKK - Danish Krone PLZ - Polish Zloty
ESP - Spanish Peseta PTE - Portuguese Escudo
GBP - British Pound Sterling SEK - Swedish Krona
IDR - Indonesian Rupiah
(2) Represents the current interest rate for a variable rate security.
(3) Identifies issues considered to be illiquid - See applicable note of Notes
to Financial Statements.
(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 $12,280,442 or 7.89% of the Fund's
net assets,at June 30, 1996.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1995
(Unaudited)
(5) When-issued security to be delivered and settled after June 30, 1996.
(6) Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign index.
(7) For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
(8) Denotes a step bond: a zero coupon bond that converts to a fixed rate of
interest at a designated future date.
(9) Non-income producing - issuer is in default of interest payment.
(10) Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. For units
which represent debt securities, principal amount disclosed represents
total underlying principal.
(11) Represents the current interest rate for an increasing rate security.
(12) Non-income producing security.
(13) Interest or dividend is paid in kind.
(14) A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
Contracts/
Principal
Subject Expiration Exercise Premium Market Value
To Call Date Price Received (Note 1)
------- ---- ----- -------- --------
<S> <C> <C> <C> <C>
Call option on Australian Dollar 248,000 7/3/96 1.25 AUD $ 1,885 $ 198
Call option on Czech Koruna 280,000 9/6/96 28.357 CZK 3,752 6,896
Call option on Mexican Peso 270,000 8/5/96 8.03 MXP 7,263 9,611
Call option on Morocco (Kingdom of)
Loan Participation Agreement,
Tranche A, 6.437%, 1/1/09 450,000 07/12/96 $71.25 4,275 5,536
------- -------
$17,175 $22,241
======= =======
</TABLE>
See accompanying Notes To Financial Statements
<PAGE>
Oppenheimer Variable Account Funds--Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
Mortgage-Backed Obligations--26.4%
Government Agency--21.0%
FHLMC/FMNA/Sponsored--16.9%
Federal Home Loan Mortgage Corp.,
Gtd. Multiclass Mtg. Participation
Certificates, 7%, 4/1/25.................. $ 5,188,488 $ 4,997,967
Federal National Mortgage Assn.:
6.50%, 3/1/11-5/1/11....................... 25,017,373 24,211,064
7%, 4/1/04-11/1/25......................... 10,090,581 9,725,799
7.50%, 1/1/08-1/1/25....................... 5,457,662 5,398,311
8%, 5/1/17................................. 625,038 636,345
Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 8.75%,
11/25/05.................................. 3,000,000 3,123,750
Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates,
10.40%, 4/25/19........................... 1,793,536 1,914,026
Interest-Only Stripped Mfg.-Backed Security:
Trust 218, C1. 2, 12.588%-13.20%,
4/1/23/(2)/............................... 7,725,412 2,569,907
Trust 257, C1. 2, 11.448%-15.373%,
2/1/24/(2)/............................... 3,529,536 1,219,897
-----------
53,797,066
-----------
GNMA/Guaranteed--4.1%
Government National Mortgage Assn.:
6%, 10/20/25............................... 4,842,429 4,863,639
7%, 1/15/09-10/20/24....................... 6,199,401 8,049,413
-----------
12,913,052
-----------
Private--5.4%
Commercial--3.8%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1:
C1. 2-D, 8.70%,9/25/25/(3)/............... 1,500,000 1,549,688
C1. 2-E, 8.70%, 9/25/25/(3)/.............. 1,500,000 1,537,031
Merrill Lynch Mortgage Investors, Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2, C1. C, 7.906%, 6/15/21/(4)/...... 964,447 967,160
Morgan Stanley Capital I, Inc. Commercial
Mtg. Pass-Through Certificates, Series
1996-C1, Cl. D-1, 7.51%, 2/1/28/(3)//(4)/. 1,000,000 951,250
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1992-CHF, C1, C, 8.25%, 12/25/20... 1,030,504 1,041,936
Series 1994-C1,C1. C, 8%, 6/25/26......... 1,500,000 1,505,625
Series 1995-C1, C1. D, 6.90%, 2/25/27..... 3,000,000 2,725,313
Structured Asset Securities Corp.,
Multiclass Pass-Through Certificates, Series
1996-CFL, C1. D, 7.034%, 2/25/26.......... 1,800,000 1,713,375
-----------
11,991,378
-----------
Manufactured Housing--0.2%
Green Tree Financial Corp., Series
1994-6, C1. A3, 7.70%, 1/15/20............. 738,000 750,678
-----------
Multi-Family--1.1%
Countrywide Funding Corp., Series
1993-12, C1. B1, 6.625%, 2/25/24.......... 1,000,000 875,547
Merrill Lynch Trust, Collateralized
Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates, Series 43,
C1. E, 6.50%, 8/27/15..................... 500,000 471,715
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1991-M5, C1. A, 9%, 3/25/17............... 2,092,478 2,152,637
-----------
3,499,899
-----------
Other--0.0%
Salomon Brothers Mortgage Securities VI:
Interest-Only Stripped Mtg.-Backed
Security, Series 1987-3, C1. B, 9.549%,
10/23/17/(2)/............................. 108,078 27,898
Principal-Only Stripped Mtg.-Backed
Security, Series 1987-3, C1. A, 9.489%,
10/23/17/(5)/............................. 159,996 106,198
-----------
134,096
-----------
Residential--0.3%
Contimortgage Home Equity Loan Trust,
Series 1995-2, C1. A2, 7.95%, 4/15/10..... 554,000 559,367
Ryland Mortgage Securities Corp. III,
Sub. Bonds, Series 1992-A, C1. 1A,
7.17%, 3/29/30/(4)/....................... 293,427 291,502
-----------
850,869
-----------
Total Mortgage-Backed Obligations
(Cost $83,636,632)......................... 83,937,039
-----------
U.S. Government Obligations--31.5%
Treasury--31.5%
U.S. Treasury Bonds:
10.375%, 11/15/12......................... 365,000 483,550
6.875%, 8/15/25/(6)/...................... 3,500,000 3,463,904
7.125%, 2/15/23........................... 3,000,000 3,030,936
7.50%, 11/15/16........................... 6,780,000 7,123,237
8%, 11/15/21.............................. 5,000,000 5,565,625
6.125%, 8/15/19........................... 2,060,000 2,311,062
8.875%, 8/15/17........................... 740,000 888,231
9.25%, 2/15/16............................ 740,000 915,518
STRIPS, Zero Coupon, 7.329%,
5/15/15/(7)/.............................. 1,107,000 292,936
STRIPS, Zero Coupon, 7.341%,
8/15/14/(7)/.............................. 3,690,000 1,031,118
U.S. Treasury Nts.:
5.875%, 11/15/05.......................... 3,000,000 2,826,561
6%, 12/31/97.............................. 3,000,000 3,000,936
6.375%, 6/30/97........................... 1,000,000 1,005,625
6.50%, 5/15/05-8/15/05.................... 18,000,000 17,740,305
6.75%, 6/30/99............................ 16,340,000 16,539,134
7.25%, 6/15/04-8/15/04.................... 11,980,000 12,406,787
7.375%, 11/15/97.......................... 2,000,000 2,035,626
7.50%, 11/15/01-2/15/05................... 12,486,000 13,115,585
7.75%, 12/31/99........................... 2,000,000 2,085,000
7.875%, 11/15/04.......................... 2,000,000 2,150,624
9.25%, 8/15/98............................ 2,000,000 2,120,624
-----------
Total U.S. Government Obligations
(Cost $99,580,053)........................ 100,112,924
------------
Foreign Government Obligations--14.2%
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 37.779%, 3/6/97/(7)/ MXP..... 5,300,000 567,967
Canada (Government of) Real Return
Debs., 4.517%, 12/1/21/(6)/ CAD........... 3,390,000 2,443,167
CEZ AS, Zero Coupon Disc.
Promissory Nts., 10.762%, 7/1/96/(7)/ CZK. 14,000,000 508,534
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds--Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
Foreign Government Obligations (Continued)
Corporacion Andian de Fomento
Sr. Unsec. Debs.:
6.625%, 10/14/98/(3)/..................... $ 1,000,000 $ 998,125
7.25%, 4/20/98/(2)/....................... 1,000,000 1,004,688
Denmark (Kingdom of) Bonds:
8%, 3/15/06 DKK........................... 17,000,000 3,014,340
8%, 5/15/03 DKK........................... 22,140,000 3,995,567
Financiera Energetica Nacional SA,
9.375% Eurobonds, 6/15/06/(3)/............ 2,350,000 2,355,875
Germany (Republic of) Bonds:
7.375%, 12/2/02 DEM....................... 1,250,000 875,495
8.25%, 9/20/02 DEM........................ 1,950,000 1,424,830
Italy (Republic of) Certificati di
Credito del Tesoro Nts., 11.20%
8/1/00/(4)/............................... 2,835,000,000 1,893,759
National Treasury Management Agency
(Irish Government) Bonds, 8%,
10/16/00 IEP.............................. 1,495,000 2,493,462
New South Wales Treasury Corp. Gtd.
Bonds, 12%, 12/1/01 AUD................... 3,490,000 3,120,520
New Zealand (Republic of) Bonds, 8%
2/15/01 NZD............................... 2,760,000 1,817,748
Ontario, Canada (Province of) Bonds,
9%, 10/17/01.............................. 554,000 584,492
Poland (Republic of):
Disc. Bonds, 8.437%, 10/27/24/(4)/........ 5,250,000 4,935,000
Treasury Bills, Zero Coupon:
21.658%, 10/2/96/(7)/ PLZ................. 720,000 251,334
21.466%, 12/4/96/(7)/ PLZ................. 2,250,000 759,038
20.371%, 3/19/97/(7)/ PLZ................. 600,000 255,785
22.37%, 7/24/96/(7)/ PLZ.................. 3,000,000 1,088,816
Portugal (Republic of) Gtd. Bonds,
Obligation do les Medio Prazo, 11.875%,
2/23/00 PTE............................... 65,000,000 464,182
South Africa (Republic of) Debs.,
9.625%, 12/15/99.......................... 1,000,000 1,046,250
Spain (Kingdom of) Gtd. Bonds, Bonos
y Obliagcion del Estado, 12.25%,
3/25/00 ESP............................... 100,000,000 884,090
Sweden (Kingdom of) Bonds, Series
1030, 13%, 6/15/01 SEK.................... 12,600,000 2,321,861
United Kingdom Treasury Nts.:
13%, 7/14/00 GBP.......................... 1,630,000 3,040,818
7.50%, 12/7/06 GBP........................ 2,000,000 3,020,201
-----------
Total Foreign Government Obligations
(Cost $44,980,690)........................ 45,165,964
-----------
Loan Participations--0.5%
Colombia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 8.563%,
7/1/01 (Cost $1,457,891)/(4)(9)/.......... 1,571,600 1,465,517
-----------
Municipal Bonds and Notes--0.6%
Dade County, Florida Educational
Facilities Authority:
Exchangeable Revenue Bonds, University
of Miami, Prerefunded, MBIA Insured,
7.65%, 4/1/10............................. 175,000 196,550
Revenue Bonds, University of Miami,
MBIA Insured, 7.65%, 4/1/10............... 205,000 225,008
Taxable Exchange Revenue Bonds,
University of Miami, MBIA Insured,
9.70%, 4/1/10............................. 120,000 131,712
Pinole, California Redevelopment Agency
Tax Allocation TAxable Bonds, Pinole
Vista Redevelopment, Series B, 8.35%, 8/1/17. 670,000 675,954
Port of Portland, Oregon Special
Obligation Taxable Revenue Bonds,
PAMCO Project, 9.20% 5/15/22.............. 500,000 537,055
-----------
Total Municipal Bonds and Notes
(Cost $1,663,889)......................... 1,766,278
-----------
Corporate Bonds and Notes--16.7%
Basic Industry--2.1%
Chemicals--1.0%
Lyondell Petrochemical Co., 8.25% Nts.,
3/15/97................................... 738,000 748,040
Quantum Chemical Corp., 10.375% First
Mtg. Nts., 6/1/03......................... 2,100,000 2,305,911
-----------
3,053,951
-----------
Paper--1.1%
Boise Cascade Corp., 9.90% Nts.,
3/15/00................................... 750,000 817,223
Noranda Forest, Inc., 11% Debs.,
7/15/98 CAD............................... 1,000,000 792,138
Potiaich Corp., 9.46% Medium-Term
Nts., 4/2/02.............................. 369,000 409,524
Scotia Pacific Holding Co., 7.95%
Timber Collateralized Nts., 7/20/15....... 1,508,981 1,484,643
-----------
3,503,628
-----------
Consumer Related--2.4%
Consumer Products--0.7%
Fletcher, Challenge Capital Canada, Inc., 7.75%
Nts., 6/20/06............................. 1,800,000 1,827,324
Procter & Gamble Co., 9.36% Debs.,
1/1/21.................................... 369,000 441,729
-----------
2,269,053
-----------
Food/Beverages/Tobacco--0.4%
Bass America, Inc., 6.75% Gtd. Nts.,
8/1/99.................................... 554,000 555,750
Phillip Morris Cos., Inc. 8.875% Nts.,
7/1/96.................................... 500,000 500,000
Unilever CR spol. s.r.o., guaranteed by
Unilever NV, Rotterdam, The
Netherlands, Zero Coupon Promissory
Nts., 11.189% 10/11/96/(7)/ CZK........... 7,000,000 246,639
-----------
1,302,339
-----------
Healthcare--0.5%
R.P. Scherer Corp., 6.75% Sr. Nts.,
2/1/04.................................... 1,250,000 1,195,314
Roche Holdings, Inc., 2.75% Bonds,
4/14/00................................... 920,000 811,325
-----------
2,006,639
-----------
Hotel/Gaming--0.1%
Circus Circus Enterprises, Inc., 6.75%
Nts., 7/15/03............................ 375,000 363,378
-----------
Textile/Apparel--0.3%
Fruit of the Loom, Inc., 7% Debs.,
3/15/11................................... 1,097,000 985,410
-----------
Toys--0.3%
Mattel, Inc., 6.875% Sr. Nts., 8/1/97...... 1,000,000 1,006,052
-----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
------------ ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Consumer Related (Continued)
Energy - 1.9%
BP America Inc., 10.875% Nts.,
8/1/01 CAD..................................... $ 650,000 $ 540,231
Coastal Corp.:
8.75% Sr. Nts. 5/15/99......................... 369,000 368,071
9.75% Sr. Debs., 8/1/03........................ 200,000 225,716
Colorado International Gas Corp., 10%
Sr. Debs., 6/15/05............................. 369,000 431,634
Enron Corp., 9.875% Debs., 6/15/03.............. 375,000 429,130
McDermott Inc., 9.375% Nts., 3/15/02............ 400,000 425,047
Mitchell Energy & Development Corp.,
9.25% Sr. Nts., 1/15/02........................ 1,000,000 1,027,077
Norsk Hydro AS, 8.75% Bonds,
10/23/01....................................... 738,000 784,125
Sonat, Inc. 9.50% Nts., 8/15/99................. 250,000 268,589
Southwest Gas Corp., 9.75% Debs.,
Series F, 6/15/02.............................. 500,000 549,655
Texaco Capital, Inc., 8.875% Gtd. Debs.,
9/1/21......................................... 369,000 421,875
TransCanada Pipelines Ltd., 9.875%
Debs., 1/1/21.................................. 554,000 680,090
------------
6,172,240
------------
Financial Services - 3.7%
Banks & Thrifts - 1.1%
Banco Ganadero SA, 9.75% Sr. Unsub.
Unsec. Nts. 8/26/99/(3)/....................... 185,000 190,781
BankAmerica Corp.:
7.50% Sr. Nts., 3/15/97........................ 100,000 101,060
7.75% Sub. Nts.. 7/15/02....................... 554,000 574,663
Chase Manhattan Corp. (New), 10,125%
Sub. Nts., 11/1/00............................. 554,000 620,844
First Chicago Corp.:
11.25% Sub. Nts., 2/20/01...................... 750,000 877,050
9% Sub. Nts., 6/15/99.......................... 150,000 159,482
First Fidelity Bancorporation, 8.50%
Sub. Capital Nts., 4/1/98...................... 654,000 675,462
------------
3,199,342
------------
Diversified Financial - 2.4%
Allied-Lyons Finance BV, 6.50% Debs.,
8/26/97........................................ 369,000 368,539
American Car Line Co., 8.25%
Equipment Trust Certificates, Series
1993-A, 4/15/08................................ 578,000 585,004
American General Finance Corp., 5.875%
Sr. Nts., 7/1/00............................... 554,000 536,764
Associates Corp. of North America, 8.625%
Sr. Nts., 06/15/97............................. 369,000 377,618
AVCO Financial Services Asia Ltd.,
5.875% Sr. Nts., 10/15/97...................... 369,000 367,643
Catepillar Financial Services, Inc.,
6.85% Medium-Term Nts., Series D,
9/15/97........................................ 369,000 372,310
Chrysler Financial Corp., 6.65%
Medium-Term Nts., 04/28/97..................... 369,000 370,506
Countrywide Funding Corp., 6.57% Gtd.
Medium-Term Nts, Series A, 8/4/97.............. 554,000 556,366
Fleet Mtg. Group, Inc., 6.50% Nts.,
8/15/99........................................ 369,000 366,900
General Motors Acceptance Corp.
7.875% Medium-Term Nts., 2/27/97............... 369,000 373,702
Golden West Financial Corp.:
10.25% Sub. Nts., 5/15/97...................... 369,000 381,747
8.625% Sub. Nts., 8/30/98...................... 185,000 192,463
</TABLE>
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
------------ ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Financial Services (Continued)
Diversified Financial (Continued)
Household Finance Corp., 8.95% Debs.,
9/15/99........................................ $ 369,000 $ 392,637
Household International, BV, 6% Gtd.
Sr. Nts., 3/15/99.............................. 369,000 362,189
Lehman Brothers Holdings, Inc., 8.375%
Nts., 2/15/99.................................. 700,000 726,461
Penske Truck Leasing Co. LP, 7.75%
Sr. Nts., 5/15/99.............................. 738,000 761,374
U.S. Leasing International, 7% Nts.,
11/1/97........................................ 554,000 559,271
------------
7,651,444
------------
Insurance - 0.2%
SunAmerica, Inc., 9% Sr. Nts., 1/15/99.......... 554,000 561,652
------------
Manufacturing - 0.7%
Aerospace/Electronics/Computers - 0.2%
British Aerospace PLC, 8% Debs.,
5/27/97........................................ 740,000 750,175
------------
Automotive - 0.5%
Chrysler Corp., 10.95% Debs., 8/1/17............ 800,000 876,920
General Motors Acceptance Corp.,
7.75% Nts., 4/15/97............................ 700,000 708,659
------------
1,585,579
------------
Media - 2.8%
Broadcasting - 0.2%
Tele-Communications, Inc., 5.28%
Medium-Term Nts., 8/20/96...................... 701,000 700,546
------------
Cable Television - 1.3%
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23........ 1,850,000 1,801,214
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07....................................... 2,200,000 2,449,365
------------
4,250,579
------------
Diversified Media - 0.8%
GSPI Corp., 10.15% First Mtg. Bonds,
6/24/10/(3)/................................... 1,142,150 1,286,062
News America Holdings, Inc.:
10.125% Sr. Gtd. Debs., 10/15/12............... 500,000 566,122
12% Sr. Nts., 12/15/01......................... 500,000 541,698
------------
2,393,882
------------
Entertainment/Film - 0.2%
Columbia Pictures Entertainment, Inc.,
9.875% Sr. Sub. Nts., 2/1/98................... 500,000 525,797
------------
Publishing/Printing - 0.3%
Reed Elsevier, Inc., 6.625% Nts.,
10/15/23/(3)/.................................. 600,000 519,270
Reed Publishing (USA), Inc., 7.24%
Gtd. Medium-Term Nts., 2/10/97................. 500,000 503,640
------------
1,022,910
------------
Other - 0.7%
Conglomerates - 0.6%
Tenneco, Inc.:
10% Debs., 3/15/06.............................. 400,000 472,077
10% Debs., 8/1/98............................... 554,000 590,198
7.875% Nts., 10/1/02............................ 650,000 669,822
------------
1,732,097
------------
Services - 0.1%
PHH Corp., 8.50% Nts., 2/1/00................... 369,000 365,606
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount\(1)\ (Note 1)
------------ ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Retail -- 0.2%
Drug Stores -- 0.2%
Hook-SuperRx, Inc. 10.125% Sr. Nts.,
6/1/02.......................................................... $ 600,000 $ 641,269
------------
Transportation -- 0.1%
Railroads -- 0.1%
Union Pacific Corp., 9.65% Medium-Term Nts., 4/17/00............ 400,000 435,511
------------
Utilities -- 2.1%
Electric Utilities -- 0.7%
Commonwealth Edison Co., 6.50% Nts.,
7/15/97........................................................ 775,000 773,183
HNG Internorth/Enron Corp., 9.625%
Debs., 3/15/06................................................. 369,000 419,709
Long Island Lighting Co., 7% Nts.,
3/1/04......................................................... 150,000 134,636
Public Service Co. of Colorado, 8.75%
First Mtg. Bonds, 3/1/22....................................... 750,000 792,497
------------
2,120,025
------------
Telecommunications -- 1.4%
360 Communications Co.:
7.125% Sr. Nts., 3/1/03........................................ 1,450,000 1,392,654
7.50% Sr. Nts., 3/1/06......................................... 2,000,000 1,900,920
GTE Corp.
8.85% Debs., 3/1/98............................................ 554,000 574,946
9.375% Debs., 12/1/00.......................................... 500,000 546,176
------------
4,414,696
------------
Total Corporate Bonds and Notes
(Cost $53,354,901).............................................. 53,033,700
------------
Preferred Stocks -- 0.4% Shares
Bank America Corp. 8.375%, Series K ---------
(Cost $1,177,404).............................................. 45,400 1,157,700
------------
<CAPTION>
Principal
Amount\(1)\
------------
<S> <C> <C>
Structured Instruments -- 2.0%
Bayerische Landesbank Girozenriale,
New York Branch, 14% CD Linked Nts.,
12/17/96 (indexed to the cross currency
rates of Greek Drachma and European
currency unit)................................................ $ 1,000,000 1,001,600
Bayerische Landesbank Girozenriale,
New York Branch, 5.60% CD Linked
Nts., 1/30/97 (indexed to the closing
Nikkei 225 Index on 1/23/97, 10 yr.
Japanese Yen swap rate and New
Zealand Dollar on 1/26/97) NZD............................... 1,508,523 1,119,691
Canadian Imperial Bank of Commerce,
New York Branch, 14% CD Linked Nts.,
11/25/96 (Indexed to the cross currency
rates of Greek Drachma and European
currency unit)................................................ 250,000 245,325
<CAPTION>
Principal Market Value
Amount\(1)\ (Note 1)
------------ ------------
<S> <C> <C>
International Naderlandan Bank NV,
Prague Branch, Zero Coupon
Promissory Nts., 10.488%
4/28/97 /(7)/ CZK............................................ $ 13,800,000 $ 461,167
International Nederlanden (U.S.) Capital
Holdings Corp., Zero Coupon Chilean
Peso Linked Nts.:
11.813%, 6/23/97/(7)/......................................... 900,000 797,850
11.738%, 6/24/97/(7)/......................................... 900,000 797,670
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)/(9)/............................................... 1,000,000 1,138,200
Swiss Bank Corp., New York Branch,
6.05% CD Linked Nts., 6/20/97
(indexed to the colosing Nikkei 225
Index on 1/23/97 5 yr. & 3 mos.
Japanese Yen swap rate and New Zealand Dollar)................ 800,000 808,120
------------
Total Structured Instruments
(Cost $6,218,844)............................................. 6,369,623
------------
Repurchase Agreement - 5.9%
Repurchase agreement with Canadian
Imperial Bank of Commerce, 5.45%, date
6/26/96, to be repurchased at $18,908,584
on 7/1/96, collateralized by U.S. Treasury
Bonds, 9.125%-11.25%, 2/15/15-5/11/18, with
a value of $6,680,920, and U.S. Treasury
Nts., 5.25%-8.50%, 1/11/97-11/15/04, with a
value of $12,626,048 (Cost $18,900,000)....................... 16,900,000 18,900,000
------------
Total Investments, at Value
(Cost $310,870,304)........................................... 98.2% 311,908,745
------------ ------------
Other Assets Net of Liabilities................................. 1.8 5,708,154
Net Assets...................................................... 100.0% $317,616,900
============ ============
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
/1/ Principal amount is reported in U.S. Dollars, except for those denoted in
the following currencies:
AUD - Australian Dollar IEP - Irish Punt
CAD - Canadian Dollar ITL - Italian Lira
CZD - Czech Koruna MXP - Mexican Peso
DEM - German Deutsche Mark NZD - New Zealand
DKK - Danish Krone PLZ - Polish Zloty
ESP - Spanish Peseta PTE - Portuguese Escudo
GBP - British Pound Sterling SEK - Swedish Krona
/2/ 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 national amount on
which current interest is calculated. The price of these securities is
typically more sensitive to changes in prepayment rates than traditional
mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis
and estimated timing and amount of future cash flows.
/3/ Represents a security said 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 $10,392,770 or 3.27% of the Fund's
net assets at June 30, 1996.
/4/ Represents the current interest rate for a variable rate security.
/5/ Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these
securities generally increases as interest rates decline and prepayment
rates rise. The price of these securities is typically more volatile than
that of coupon-bearing bonds of the same maturity. Interest rates disclosed
represent current yields based upon the current cost basis and estimated
timing of future cash flows.
/6/ A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
Contracts
Subject Expiration Exercise Premium Market Value
To Call Date Price Received (Note 1)
----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Call option on Australian Dollar 352,000 7/3/96 1.25 /AUD/ $ 2,675 $ 282
Call option on Czech Koruna 1,190,000 9/6/96 28.357/CZK/ 15,946 29,310
Call option on Mexican Peso 460,000 8/5/96 8.03 /MXP/ 12,374 16,374
----------- ------------
$ 30,995 $ 45,966
</TABLE>
/7/ For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
/8/ Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign index.
/9/ Identifies issues considered to be illiquid - See applicable note of Notes
to Financial Statements.
See accompanying Notes to Financial Statements
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
------ ------------
<S> <C> <C>
Short-Term Notes -- 2.1%
Federal Home Loan Mortgage Corp.,
5.27%, 7/1/96 (Cost $10,000,000).................. $ 10,000,000 $ 10,000,000
-------------
Convertible Corporate Bonds
and Notes -- 0.6%
Danka Business Systems PLC, 6.75%
Cv. Sub. Nts., 4/1/02............................. 800,000 950,000
United Waste Systems, Inc., 4.50%
Cv. Sub. Nts., 6/1/01/(1)/........................ 2,000,000 2,187,500
-------------
Total Convertible Corporate Bonds and Notes
(Cost $2,800,000).................................. 3,137,500
-------------
<CAPTION>
Shares
------
<S> <C> <C>
Common Stocks -- 81.2%
Consumer Cyclicals -- 16.9%
Autos & Housing -- 1.2%
Alrenco, Inc./(2)/................................. 72,000 1,296,000
ITI Technologies, Inc./(2)/........................ 80,000 2,640,000
NHP, Inc./(2)/..................................... 100,000 2,062,500
-------------
5,998,500
Leisure & Entertainment -- 4.9%
Apple South, Inc................................... 121,100 3,239,425
Applebee's International, Inc...................... 75,000 2,409,375
CKE Restaurants, Inc............................... 185,000 4,717,500
Landry's Seafood Restaurants, Inc./(2)/............ 200,000 4,950,000
Longhorn Steaks, Inc./(2)/......................... 78,600 1,965,000
Quality Dining, Inc./(2)/.......................... 74,500 2,439,875
Regal Cinemas, Inc./(2)/........................... 56,600 2,589,450
Studio Plus Hotels, Inc./(2)/...................... 50,000 1,650,000
-------------
23,960,625
-------------
Media -- 2.0%
Chancellor Broadcasting Co., Cl. A/(2)/............ 58,900 1,840,625
Evergreen Media Corp., Cl. A/(2)/.................. 60,000 2,565,000
Infinity Broadcasting Corp., Cl. A/(2)/............ 90,000 2,700,000
SFX Broadcasting, Inc., Cl. A/(2)/................. 63,200 2,464,800
-------------
9,570,425
-------------
Retail: General -- 3.6%
Donna Karan International, Inc..................... 102,200 2,861,600
Fila Holding SpA, ADR.............................. 40,000 3,450,000
Nautica Enterprises, Inc./(2)/..................... 105,000 3,018,750
Polymer Group, Inc./(2)/........................... 100,000 1,750,000
Vans, Inc./(2)/.................................... 201,000 3,417,000
Wolverine World Wide, Inc.......................... 89,000 2,892,500
-------------
17,389,850
-------------
Retail: Specialty -- 5.2%
Boise Cascade Office Products Corp./(2)/........... 100,000 3,462,500
Copart, Inc./(2)/.................................. 78,100 1,288,650
Corporate Express, Inc./(2)/....................... 82,500 3,300,000
General Nutrition Cos., Inc./(2)/.................. 62,700 1,097,250
Gymboree Corp./(2)/................................ 75,000 2,287,500
Men's Wearhouse, Inc. (The)/(2)/................... 100,100 3,228,225
Moovies, Inc./(2)/................................. 99,600 784,350
MSC Industrial Direct Co., Inc., Cl. A/(2)/........ 35,000 1,128,750
Petco Animal Supplies, Inc./(2)/................... 120,000 3,450,000
Staples, Inc./(2)/................................. 101,250 1,974,375
Viking Office Products, Inc./(2)/.................. 110,000 3,451,250
-------------
25,452,850
-------------
Consumer Non-Cyclicals -- 21.7%
Food -- 1.0%
Safeway, Inc./(2)/................................. 150,000 4,950,000
-------------
<CAPTION>
Principal Market Value
Amount (Note 1)
------ --------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Non-Cyclicals (Continued)
Healthcare/Drugs -- 8.1%
Agouron Pharmaceuticals, Inc./(2)/................. 40,000 1,560,000
Alpha-Beta Technology, Inc./(2)/................... 140,000 1,242,500
Apache Medical Systems, Inc........................ 100,000 1,225,000
BioChem Pharma, Inc./(2)/.......................... 105,000 3,937,500
CIMA Labs, Inc./(2)/............................... 82,500 618,750
Corvas International, Inc./(2)/.................... 112 546
Dura Pharmaceuticals, Inc./(2)/.................... 75,000 4,200,000
Elan Corp. PLC, ADR/(2)/........................... 45,000 2,570,625
Ethical Holdings PLC, Sponsored ADR/(2)/........... 50,000 487,500
Genome Therapeutics Corp./(2)/..................... 110,000 990,000
Genzyme Corp./(2)/................................. 50,000 587,500
Gilead Sciences, Inc./(2)/......................... 39,300 992,325
Guilford Pharmaceuticals, Inc./(2)/................ 63,400 1,505,750
Incyte Pharmaceuticals, Inc./(2)/.................. 40,000 1,542,500
Integra LifeSciences Corp./(2)/.................... 53,000 516,750
Martek Biosciences Corp./(2)/...................... 40,000 1,170,000
Matrix Pharmaceutical, Inc./(2)/................... 80,400 1,447,200
Mentor Corp........................................ 60,000 1,530,000
Millennium Pharmaceuticals, Inc./(2)/.............. 70,000 1,085,000
Nuerocrine Biosciences, Inc./(2)/.................. 105,000 931,875
Physician Support Systems, Inc./(2)/............... 180,000 4,072,500
Protein Design Labs, Inc./(2)/..................... 57,500 1,293,750
QIAGEN NV.......................................... 60,000 907,500
SangStat Medical Corp./(2)/........................ 190,000 3,230,000
Watson Pharmaceuticals, Inc./(2)/.................. 35,000 1,325,625
-------------
38,970,696
-------------
Healthcare/Supplies & Services -- 12.6%
Aksys Ltd./(2)/.................................... 42,375 646,219
AmeriSource Health Corp., Cl. A/(2)/............... 115,500 3,840,375
Cardiovascular Dynamics, Inc./(2)/................. 93,700 1,147,825
Compdent Corp./(2)/................................ 40,000 1,860,000
ESC Medical Systems Ltd./(2)/...................... 62,100 1,754,325
Guidant Corp....................................... 95,000 4,678,750
Gulf South Medical Supply, Inc./(2)/............... 108,400 4,227,600
HEALTHSOUTH Corp./(2)/............................. 135,000 4,860,000
Hologic, Inc./(2)/................................. 50,000 2,212,500
Impath, Inc./(2)/.................................. 100,000 1,800,000
Integ, Inc......................................... 150,000 1,443,750
Mariner Health Group, Inc./(2)/.................... 100,000 1,837,500
National Surgery Centers, Inc./(2)/................ 21,750 576,375
Novoste Corp./(2)/................................. 150,000 1,481,250
OccuSystems, Inc./(2)/............................. 45,000 1,681,875
Omnicare, Inc...................................... 153,600 4,070,400
Pediatrix Medical Group, Inc./(2)/................. 85,000 4,122,500
PhyCor, Inc./(2)/.................................. 127,500 4,845,000
Physician Reliance Network, Inc./(2)/.............. 100,000 2,225,000
Physicians Resource Group, Inc./(2)/............... 139,000 4,639,125
Renal Treatment Centers, Inc./(2)/................. 125,000 3,593,750
Total Renal Care Holdings, Inc./(2)/............... 87,600 3,701,100
-------------
61,245,219
-------------
Energy -- 2.7%
Energy Services & Producers -- 2.7%
Diamond Offshore Drilling, Inc./(2)/............... 86,900 4,975,025
Energy Ventures, Inc./(2)/......................... 100,200 3,256,500
Nabors Industries, Inc./(2)/....................... 150,000 2,437,500
NUMAR Corp./(2)/................................... 51,000 777,750
Weatherford Enterra, Inc./(2)/..................... 50,000 1,500,000
-------------
12,946,775
-------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Financial -- 2.5%
Diversified Financial -- 1.2%
Advanta Corp., Cl. B............................... $ 40,000 $ 1,810,000
Associates First Capital Corp., Cl. A/(2)/......... 56,000 2,107,000
Green Tree Financial Corp.......................... 60,000 1,875,000
------------
5,792,000
------------
Insurance -- 1.3%
Berkley (W.R.) Corp................................ 50,000 2,087,500
CapMAC Holdings, Inc............................... 85,600 2,439,600
Executive Risk, Inc................................ 50,000 1,912,500
-------------
6,439,600
-------------
Industrial -- 11.2%
Electrical Equipment -- 0.4%
Honeywell, Inc..................................... 40,000 2,180,000
-------------
Industrial Materials -- 0.5%
BMC West Corp./(2)/................................ 128,000 2,192,000
-------------
Industrial Services -- 9.3%
Affiliated Computer Services, Inc., Cl. A/(2)/..... 48,000 2,256,000
CIBER, Inc./(2)/................................... 133,000 2,926,000
Computer Horizons Corp./(2)/....................... 62,500 2,468,750
CORT Business Services Corp./(2)/.................. 93,800 1,829,100
Danka Business Systems PLC,
Sponsored ADR..................................... 70,000 2,047,500
DecisionOne Holdings Corp./(2)/.................... 90,000 2,137,500
First USA Paymentech, Inc./(2)/.................... 88,100 3,524,000
Greenwich Air Services, Inc., B Shares/(2)/........ 125,000 2,437,500
Kent Electronics Corp./(2)/........................ 56,600 1,768,750
May & Speh, Inc./(2)/.............................. 74,900 1,179,675
NOVA Corp./(2)/.................................... 10,800 364,500
PMT Services, Inc./(2)/............................ 76,500 2,189,812
SITEL Corp./(2)/................................... 118,600 4,981,200
Transaction Network Services, Inc./(2)/............ 92,500 1,988,750
Transaction Systems Architects, Inc.,
Cl. A/(2)/........................................ 46,000 3,082,000
United Waste Systems, Inc./(2)/.................... 74,000 2,386,500
USA Waste Services, Inc./(2)/...................... 171,300 5,074,762
Walsh International, Inc./(2)/..................... 130,000 1,202,500
Whittman-Hart, Inc./(2)/........................... 42,300 1,522,800
-------------
45,367,599
-------------
Manufacturing -- 0.5%
U.S. Filter Corp./(2)/............................. 75,000 2,606,250
-------------
Transportation -- 0.5%
Airborne Freight Corp.............................. 100,000 2,600,000
-------------
Technology -- 25.8%
Computer Hardware -- 0.6%
Encad, Inc./(2)/................................... 160,000 2,720,000
-------------
Computer Software -- 12.1%
Adept Technology, Inc.............................. 137,700 1,927,800
America Online, Inc................................ 40,000 1,750,000
Aspen Technologies, Inc./(2)/...................... 70,000 3,850,000
Business Objects SA, Sponsored ADR/(2)/............ 70,000 2,817,500
Centennial Technologies, Inc./(2)/................. 90,000 2,688,750
Cylink Corp./(2)/.................................. 10,000 172,500
Enterprise Systems, Inc./(2)/...................... 104,100 2,862,750
FileNet Corp./(2)/................................. 60,000 2,190,000
First Data Corp.................................... 78,788 6,273,495
HBO & Co........................................... 70,000 4,742,500
Health Systems Design Corp./(2)/................... 71,000 1,047,250
IMNET Systems, Inc./(2)/........................... 106,300 3,242,150
Indus Group, Inc. (The)/(2)/....................... 75,000 1,518,750
Legato Systems, Inc./(2)/.......................... 20,000 1,100,000
Mecon, Inc./(2)/................................... 95,000 2,149,375
Open Text Corp./(2)/............................... 65,000 674,375
Oracle Corp./(2)/.................................. 97,500 3,845,156
PowerCerv Corp./(2)/............................... 70,000 857,500
Project Software & Development, Inc./(2)/.......... 49,500 2,320,313
Rational Software Corp./(2)/....................... 25,000 1,343,750
Software 2000, Inc./(2)/........................... 121,800 1,964,025
Summit Medical Systems, Inc./(2)/.................. 55,000 1,072,500
Sunquest Information Systems, Inc./(2)/............ 110,000 1,650,000
Transition Systems, Inc./(2)/...................... 100,000 2,850,000
Vantive Corp./(2)/................................. 35,000 1,172,500
Verilink Corp./(2)/................................ 120,000 3,060,000
-------------
59,142,939
-------------
Electronics -- 2.0%
Affinity Technology Group, Inc./(2)/............... 54,700 464,950
Itron, Inc./(2)/................................... 75,000 2,128,125
Sawtek, Inc./(2)/.................................. 95,100 3,280,950
SDL, Inc./(2)/..................................... 135,000 3,746,250
-------------
9,620,275
-------------
Telecommunications-Technology -- 11.1%
Arch Communications Group, Inc./(2)/............... 100,000 1,862,500
Cisco Systems, Inc./(2)/........................... 50,000 2,831,250
Comverse Technology, Inc./(2)/..................... 150,000 4,575,000
Davox Corp./(2)/................................... 60,000 1,770,000
Glenayre Technologies, Inc......................... 122,625 6,131,250
LCI International, Inc./(2)/....................... 132,600 4,160,325
MobileMedia Corp., Cl. A/(2)/...................... 125,000 1,515,625
Newbridge Networks Corp./(2)/...................... 105,000 6,877,500
Octel Communications Corp./(2)/.................... 100,000 1,975,000
PageMart Wireless, Inc., Cl. A/(2)/................ 103,100 1,031,000
Pairgain Technologies, Inc./(2)/................... 54,800 3,397,600
Periphonics Corp./(2)/............................. 100,400 3,413,600
ProNet, Inc./(2)/.................................. 50,000 612,500
Scientific-Atlanta, Inc............................ 80,000 1,240,000
Sterling Commerce, Inc./(2)/....................... 45,500 1,689,188
Tel-Save Holdings, Inc./(2)/....................... 100,000 2,125,000
Tellabs, Inc./(2)/................................. 75,000 5,015,625
Teltrend, Inc./(2)/................................ 100,000 3,875,000
-------------
54,097,963
-------------
Utilities -- 0.4%
Telephone Utilities -- 0.4%
ACC Corp., Cl. A/(2)/.............................. 38,800 1,886,650
-------------
Total Common Stocks
(Cost $290,205,869)................................ 395,130,216
-------------
<CAPTION>
Units
-----
<S> <C> <C>
Rights, Warrants and Certificates -- 0.0%
Windmere Corp. Wts., Exp. 1/98
(Cost $0)......................................... 381 --
-------------
<CAPTION>
Date Strike Contracts
---- ------ ---------
<S> <C> <C> <C> <C>
Put Options Purchased -- 0.1%
NASDAQ 100 Index Put. Opt.
(Cost $619,650).......................... 9/96 $630 300 371,250
-------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund
Statement of Investments (continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
------ ------------
<S> <C> <C>
Repurchase Agreement -- 18.0%
Repurchase agreement with J. P.
Morgan Securities, Inc., 5.45%, dated
6/28/96, to be repurchased at $87,839,876
on 7/1/96, collateralized by U.S. Treasury
Bonds, 11.25%, 2/15/15, with a value of
$81,980,431, and U.S. Treasury Nts., 8.50%,
5/15/97, with a value of $8,245,866
(Cost $87,800,000)........................... $ 87,800,000 $ 87,800,000
Total Investments, at Value
(Cost $391,425,519).......................... 102.0% 496,438,966
------- ------------
Liabilities in Excess of Other Assets.......... (2.0) (9,566,784)
------- ------------
Net Assets..................................... 100.0% $486,872,182
======= ============
</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 $2,187,500 or 0.45% of the Fund's
net assets, at June 30, 1996.
/(2)/ Non-income producing security.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
------------ ------------
<S> <C> <C>
Short-Term Notes - 7.8%
Federal Home Loan Mortgage Corp.,
5.27%, 7/1/96 (cost $11,250,000)........ $ 11,250,000 $ 11,250,000
------------
</TABLE>
<TABLE>
<CAPTION>
Shares
------
<S> <C> <C>
Common Stocks - 80.2%
Basic Materials - 4.9%
Chemicals - 3.9%
FMC Corp./(1)/........................... 8,200 535,050
IMC Global, Inc.......................... 19,000 714,875
Morton International, Inc................ 29,000 1,080,250
PPG Industries, Inc...................... 3,200 156,000
Praxair, Inc............................. 31,600 1,335,100
Sterling Chemicals, Inc./(1)/............ 31,600 367,350
Terra Industries, Inc.................... 51,000 631,125
Union Carbide Corp....................... 19,000 755,250
----------
5,575,000
----------
Paper - 0.9%
Boise Cascade Corp....................... 12,000 439,500
Bowater, Inc............................. 14,000 526,750
Willamette Industries, Inc............... 6,000 357,000
----------
1,323,250
----------
Consumer Cyclicals - 12.2%
Autos & Housing - 1.2%
Autozone, Inc./(1)/...................... 12,000 417,000
Putte Corp............................... 22,000 588,500
Toll Brothers, Inc./(1)/................. 46,000 753,250
----------
1,758,750
----------
Leisure & Entertainment - 4.4%
Alaska Air Group. Inc/(1)/............... 25,000 684,375
AMR Corp................................. 5,000 455,000
Callaway Golf Co......................... 25,000 831,250
Delta Air Lines, Inc..................... 8,000 664,000
Disney (Walt) Co......................... 25,000 1,571,875
ITT Corp. (New)/(1)/..................... 5,000 331,250
McDonald's Corp.......................... 11,000 514,250
Outback Steakhouse, Inc./(1)/............ 20,000 689,687
Wendy's International, Inc............... 35,800 666,775
----------
6,408,462
----------
Media - 0.1%
Viacom, Inc. Cl. B/(1)/.................. 3,667 142,555
----------
Retail: General - 4.2%
Donna Karan International, Inc........... 40,100 1,122,800
Eckard Corp./(1)/........................ 44,000 995,500
Jones Apparel Group, Inc./(1)/........... 19,100 938,287
Liz Claiborne Inc........................ 11,000 380,875
Nautica Enterprises, Inc./(1)/........... 20,000 575,000
Tommy Hilfiger Corp./(1)/................ 20,800 1,115,400
Wal-Mart Stores, Inc..................... 37,000 938,875
----------
6,066,737
----------
Retail: Specialty - 2.3%
Bed Bath & Beyond, Inc./(1)/............. 18,000 481,500
Gap, Inc. (The).......................... 20,000 642,500
General Nutrition Cos., Inc./(1)/........ 18,400 322,000
Home Depot, Inc.......................... 22,000 1,188,000
Lands' End, Inc.......................... 28,000 693,000
----------
3,327,000
----------
Consumer Non-Cyclicals - 17.0%
Beverages - 1.5%
Boston Beer Co., Inc. Cl A/(1)/.......... 13,000 312,000
Cola-Cola Co. (The)...................... 22,000 1,075,250
PepsiCo, Inc............................. 20,000 707,500
Whitman Corp............................. 5,000 120,625
----------
2,215,375
----------
Food - 2.7%
Casey's General Stores, Inc.............. 13,000 258,375
H.J. Heinz Co............................ 15,000 455,625
JP Foodservice, Inc./(1)/................ 25,600 640,000
Kroger Co./(1)/.......................... 25,000 987,500
Richfood Holdings, Inc................... 16,000 520,000
Safeway, Inc./(1)/....................... 32,000 1,056,000
----------
3,917,500
----------
Healthcare/Drugs - 4.6%
Abbott Laboratories...................... 17,000 739,500
Amgen, Inc./(1)/......................... 8,000 432,000
Bristol-Meyers Squibb Co................. 6,500 585,000
Johnson & Johnson........................ 28,516 1,411,542
Pfizer, Inc.............................. 26,500 1,891,437
Schering-Plough Corp..................... 16,000 1,004,000
Warner-Lambert Co........................ 10,000 550,000
----------
6,613,479
----------
Healthcare/Supplies & Services - 5.4%
Boston Scientific Corp./(1)/............. 21,000 945,000
Columbia/HCA Healthcare Corp............. 9,000 427,000
HealthCare COMPARE Corp./(1)/............ 20,000 975,000
HEALTHSOUTH Corp./(1)/................... 17,000 612,000
Lincare Holdings, Inc.................... 21,000 824,250
Medtronic, Inc........................... 26,000 1,456,000
Nellcor Puritan Bennett, Inc./(1)/....... 15,600 766,300
Oxford Health Plans, Inc./(1)/........... 16,000 658,000
Sofamor Danek Group, Inc./(1)/........... 17,000 471,750
Ventritex, Inc./(1)/..................... 18,000 308,250
VISX, Inc./(1)/.......................... 11,000 375,375
----------
7,818,925
----------
Household Goods - 0.7%
Procter & Gamble Co...................... 11,000 996,675
----------
Tobacco - 2.1%
Philip Morris Cos., Inc.................. 15,000 1,560,000
UST, Inc................................. 41,000 1,404,250
----------
2,964,250
----------
Energy - 1.7%
Energy Services & Producers - 0.9%
Global Marine, Inc./1/................... 27,000 374,625
Sonal Offshore Drilling, Inc............. 18,000 909,000
----------
1,283,625
----------
Oil-Integrated - 0.8%
Mobil Corp............................... 6,000 672,750
Royal Dutch Petroleum Co................. 3,500 538,125
----------
1,210,875
----------
Financial - 16.9%
Banks - 4.2%
Bank of Boston Corp...................... 23,000 1,138,500
BankAmerica Corp......................... 7,500 568,125
Chase Manhattan Corp.(New)............... 15,240 1,076,325
NationsBank Corp......................... 10,000 826,250
PNC Bank Corp............................ 24,600 731,850
State Street Boston Corp................. 16,000 948,600
Wells Fargo & Co......................... 3,166 756,278
----------
6,045,928
----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Financial (Continued)
Diversified Financial - 8.5%
Advanta Corp., Cl. A......................... 15,000 $ 765,000
Associates First Capital Corp., Cl. A/(1)/... 15,000 564,375
Federal Home Loan Mortgage Corp.............. 8,000 684,000
Federal National Mortgage Assn............... 32,000 1,072,000
First USA, Inc............................... 25,000 1,375,000
Franklin Resources, Inc...................... 23,000 1,403,000
Green Tree Financial Corp.................... 56,000 1,750,000
Price (T. Rowe) Associates................... 43,200 1,328,400
Salomon, Inc................................. 18,000 792,000
Schwab (Charles) Corp. (New)................. 29,000 710,500
Travelers Group, Inc......................... 40,500 1,847,812
-----------
12,292,087
-----------
Insurance - 3.2%
Allstate Corp................................ 20,000 912,500
Amerin Corp./(1)/............................ 18,500 494,875
ITT Hartford Group, Inc...................... 5,000 266,250
Loews Corp................................... 11,000 867,625
MGIC Investment Corp......................... 14,100 791,363
SunAmerica, Inc.............................. 24,000 1,356,000
-----------
4,688,613
-----------
Industrial - 6.7%
Electrical Equipment - 1.8%
Emerson Electric Co.......................... 16,500 1,491,188
General Electric Co.......................... 9,000 778,500
Kemet Corp./(1)/............................. 20,000 400,000
-----------
2,669,688
-----------
Industrial Materials - 1.5%
Cemex Corp................................... 21,000 653,625
Fluor Corp................................... 6,000 392,250
Rayonier, Inc................................ 23,400 889,200
Wolverine Tube, Inc./(1)/.................... 5,000 175,000
-----------
2,110,075
-----------
Industrial Services - 1.0%
Danka Business Systems PLC.
Sponsored ADR............................... 13,000 380,250
DecisionOne Holdings Corp.................... 23,600 560,500
Manpower, Inc................................ 12,500 490,625
-----------
1,431,375
-----------
Manufacturing - 0.8%
AGCO Corp.................................... 19,200 532,800
ITT Industries, Inc.......................... 3,000 75,375
Kulicke & Soffa Industries, Inc./(1)/........ 33,000 482,625
-----------
1,090,800
-----------
Transportation - 1.6%
Burlington Northern Santa Fe Corp............ 7,000 566,125
Canadian Pacific Ltd......................... 62,000 1,364,000
Illinois Central Corp........................ 15,000 425,625
-----------
2,355,750
-----------
Technology - 21.3%
Aerospace/Defense - 0.6%
Goodrich (B.F.) Co........................... 24,000 897,000
-----------
Computer Hardware - 3.4%
Adaptec. Inc./(1)/........................... 12,000 568,500
Cableron Systems, Inc./(1)/.................. 15,000 1,029,375
Compaq Computer Corp./(1)/................... 16,000 788,000
EMC Corp./(1)/............................... 36,000 670,500
Gateway 2000, Inc./(1)/...................... 30,800 1,047,200
Seagate Technology, Inc./(1)/................ 19,000 855,000
-----------
4,958,575
-----------
Computer Software - 9.1%
Automatic Data Processing, Inc............... 20,000 772,500
BMC Software, Inc./(1)/...................... 22,000 1,314,500
Computer Associates International, Inc....... 6,000 427,500
First Data Corp.............................. 29,000 2,309,125
Infomix Corp./(1)/........................... 35,000 787,500
Microsoft Corp./(1)/......................... 33,000 3,964,125
Oracle Corp./(1)/............................ 45,400 1,790,463
PLATINUM Technology, Inc./(1)/............... 33,000 499,125
Sterling Software, Inc./(1)/................. 11,000 847,000
System Software Associates, Inc.............. 27,500 467,500
-----------
13,179,338
-----------
Electronics - 3.9%
Applied Materials, Inc./(1)/................. 32,000 976,000
Arrow Electronics, Inc./(1)/................. 8,000 345,000
Cypress Semiconductor. Corp./(1)/............ 55,000 660,000
Intel Corp................................... 26,000 1,909,375
LSI Logic Corp./(1)/......................... 16,000 416,000
Motorola, Inc................................ 10,000 828,750
Novellus Systems, Inc./(1)/.................. 8,200 295,200
Philips Electronics NV, ADR.................. 11,000 358,875
Tegal Corp./(1)/............................. 15,000 108,750
-----------
5,697,950
-----------
Telecommunications-Technology - 4.3%
3COM Corp./(1)/.............................. 3,000 137,250
Cisco Systems, Inc./(1)/..................... 23,000 1,302,375
Hong Kong Telecommunications Ltd.,
Sponsored ADR............................... 21,000 378,000
L.M. Ericson Telephone Co., Cl. B, ADR....... 42,000 903,000
Lucent Technologies, Inc..................... 6,200 234,825
Newbridge Networks Corp./(1)/................ 23,000 1,506,500
Telecom Corp. of New Zealand Ltd.,
Sponsored ADR............................... 7,000 467,250
Tellabs, Inc./(1)/........................... 19,800 1,324,125
-----------
6,253,325
-----------
Utilities - 0.5%
Telephone Utilities - 0.6%
BellSouth Corp............................... 3,000 127,125
Cincinnati Bell, Inc......................... 13,800 719,325
-----------
846,450
-----------
Total Common Stocks
(Cost $85,487,962)........................... 116,139,612
-----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
------------- -------------
<S> <C> <C>
Repurchase Agreement - 12.0%
Repurchase agreement with Canadian
Imperial Bank of Commerce. 5.45%,
dated 6/28/96, to be repurchased at
$17,407,903 on 7/1/96, collateralized
by U.S. Treasury Bonds, 9.125%-11.25%,
2/15/15-5/11/16, with a value of
$6,150,689, and U.S. Treasury Nts.,
5.25%-8.50%, 1/11/97-11/15/04, with
a value of $11,623,981
(Cost $17,400,000)...................... $ 17,400,000 17,400,000
------------
Total Investments, at Value
(Cost $114,137,962)..................... 100.0% 144,789,612
------ ------------
Liabilities in Excess of Other Assets..... 0.0 (67,404)
------ ------------
Net Assets................................ 100.0% $144,722,208
====== ============
</TABLE>
(1) Non-income producing security.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
----------- ------------
<S> <C> <C>
Mortgage-Backed Obligations -- 1.4%
Government National Mortgage Assn.:
8%, 4/15/23 .................................. $ 3,356,363 $ 3,398,352
8%, 7/15/22 .................................. 1,546,051 1,567,310
Resolution Trust Corp., Commercial
Mfg. Pass-Through Certificates, Series
1994-C2, Cl. E, 8%, 4/25/25 ................. 731,922 698,185
------------
Total Mortgage-Backed Obligations
(Cost $5,728,187) ............................ 5,663,847
------------
U.S. Government Obligations -- 8.3%
U.S. Treasury Bonds, STRIPS, Zero Coupon:
7.101%, 11/15/18/(2)/ ........................ 24,500,000 5,033,891
7.313%, 8/15/19/(2)/ ......................... 26,800,000 5,221,387
U.S. Treasury Nts.:
6.375%, 8/15/02 .............................. 5,000,000 4,954,685
6.75%, 5/31/97 ............................... 10,300,000 10,390,125
9.25%, 8/15/98 ............................... 9,000,000 9,542,807
------------
Total U.S. Government Obligations
(Cost $34,746,543) ........................... 35,142,895
------------
Foreign Government Obligations -- 16.4%
Argentina (Republic of):
Bonds, Bonos de Consolidecion de
Deudas, Series 1, 5.445%, 4/1/01/(a)(4)/ .... 2,411,806 2,163,275
Par Bonds, 5.25%, 3/31/23/(5)/ ............... 14,000,000 7,691,179
Past Due Interest Bonds, Series L,
6.312%, 3/31/05/(4)/ ........................ 5,940,000 4,651,733
Bonos de la Tesoreria de la Federacion,
Zero Coupon:
13.124%, 10/3/96/(2)/ MXP .................... 5,615,100 684,836
21.258%, 9/12/96/(2)/ MXP .................... 5,977,280 741,705
Brazil (Federal Republic of) Par
Bonds, 5%, 4/15/24/(5)/ ..................... 8,000,000 4,414,960
Canada (Government of) Bonds:
8.50%, 4/1/02 CAD ........................... 1,500,000 1,168,974
8.75%, 12/1/05 CAD .......................... 12,200,000 9,634,964
9.75%, 12/1/01 CAD .......................... 3,000,000 2,459,850
9.75%, 6/1/01 CAD ........................... 2,000,000 1,631,317
Denmark (Kingdom of) Bonds, 8%,
3/15/06 DKK ................................ 32,100,000 5,691,782
Eskom Depositary Receipts, Series
E168, 11%, 6/1/08 ZAR ...................... 8,570,000 1,563,255
Italy (Republic of) Treasury Bonds,
Buoni del Tesoro Poliennali, 8.50%,
8/1/99 ITL ................................. 2,700,000,000 1,765,008
New Zealand (Republic of) Bonds, 8%,
2/15/01 NZD ................................ 10,440,000 6,875,828
Poland (Republic of) Treasury Bills,
Zero Coupon:
24.131%, 11/13/96/(2)/ PLZ .................. 2,300,000 784,858
21.611%, 7/3/96/(2)/ PLZ .................... 2,860,000 1,051,178
24.426%, 9/4/96/(2)/ PLZ .................... 7,060,000 2,503,739
Queensland Treasury Corp.
Exchangeable Gtd. Nts., 10.50%
5/15/03 AUD ................................ 3,600,000 3,068,620
Treasury Corp. of Victoria Gtd. Bonds,
8.25%, 10/15/03 AUD ........................ 6,000,000 4,548,184
United Kingdom Treasury Nts., 13%,
7/14/00 GBP ................................ $ 1,590,000 $ 2,966,197
Venezuela (Republic of) Front-Loaded
Interest Reduction Bonds, Series B,
6.625%, 3/31/07/(4)/ ........................ 4,000,000 2,895,000
------------
Total Foreign Government Obligations
(Cost $66,770,651) .......................... 68,956,442
------------
Municipal Bonds and Notes -- 0.1%
Port of Portland, Oregon Special Obligation
Taxable Revenue Bonds, PAMCO
Project, 9.20%, 5/15/22
(Cost $500,000) ............................. 500,000 537,055
------------
Non-Convertible Corporate Bonds
and Notes -- 12.8%
Basic Materials -- 1.6%
Chemicals -- 0.5%
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03 .............................. 1,350,000 1,383,750
Quamum Chemical Corp., 10.375% First
Mfg. Nts., 6/1/03 ........................... 500,000 549,026
------------
1,932,776
------------
Metals -- 0.7%
AK Steel Corp., 10.75% Sr. Gtd. Nts.,
4/1/04 ...................................... 1,000,000 1,085,000
Armco, Inc., 8.50% Sinking Fund Debs.,
9/1/01 ...................................... 200,000 198,000
Kaiser Aluminum & Chemical Corp.,
12.75% Sr. Sub. Nts., 2/1/03 ................ 1,000,000 1,072,500
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03 .............................. 500,000 466,250
------------
2,821,750
------------
Paper -- 0.4%
Gaylord Container Corp., 11.50% Sr.
Nts., 5/15/01 ............................... 500,000 515,000
Repap Wisconsin, Inc., 9.875% Second
Priorty Sr. Nts., 5/1/06 .................... 1,000,000 892,500
Stone Consolidated Corp., 10.25% Sr.
Sec. Nts., 12/15/00 ......................... 350,000 363,125
------------
1,770,625
------------
Consumer Cyclicals -- 4.9%
Autos & Housing -- 0.5%
Chrysler Financial Corp., 13.25% Nts.,
10/15/99 .................................... 500,000 594,385
Penda Corp., 10.75% Sr.\Nts., Series B,
3/1/04 ...................................... 825,000 771,375
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Sec. Nts., Series B,
4/1/02 ...................................... 950,000 976,500
------------
2,344,260
------------
Leisure & Entertianment -- 0.6%
Apple South, Inc., 9.75% Sr. Nts.,
6/1/06 ...................................... 400,000 395,000
Foodmaker, Inc:
9.25% Sr. Nts., 3/1/99 ....................... 450,000 444,375
9.75% Sr. Sub. Nts., 6/1/02 .................. 350,000 337,750
Imax Corp., 7% Sr. Nts., 3/1/01/(5)/ ......... 600,000 588,000
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03 ................................ 750,000 738,750
------------
2,503,875
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
----------- ------------
<S> <C> <C>
Non- Convertible Corporate Bonds
and Notes (Continued)
Consumer Cyclicals (Continued)
Media -- 3.3%
American Telecasting, Inc., 0%/14.50%
Sr. Disc. Nts., 6/15/04/(6)/ ................ $ 749,948 $ 524,964
Bell & Howell Co. (New), 0%/11.50%
Sr. Disc. Series B. 3/1/05/(6)/ ............. 1,000,000 687,500
Bell Cablemedia, PLC. 0%/11.95% Sr.
Disc. Nts., 7/15/04/(6)/ .................... 900,000 634,500
Cablevision Industries Corp., 9.25% Sr.
Debs., Series B. 4/1/08 ..................... 500,000 506,250
EchoStar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(6)/ ...... 1,100,000 803,000
EchoStar Satelite Broadcasting Corp.,
0%/13.125% Sr. Sec. Disc. Nts.,
3/15/04/(5)(7)/ ............................. 500,000 312,500
Helicon Group LP/Helicon Capital Corp.,
9% Sr. Sec. Nts., Series B. 11/1/03/(4)/ .... 650,000 646,750
International Cable Tel. Inc., 0%/10.875%
Sr. Deferred Coupon Nts., 10/15/03/(6)/ ..... 500,000 385,000
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03 ............................... 750,000 770,625
Outlet Broadcasting. Inc., 10.875% Sr.
Sub. Nts., 7/15/03 .......................... 1,000,000 1,114,594
Panamsat LP/Panamsat Capital Corp.:
0%/11.375% Sr. Sub. Disc. Nts.,
8/1/03/(8)/ ................................. 1,000,000 875,000
9.75% Sr. Sec. Nts., 8/1/00 .................. 500,000 520,000
People's Choice TV Corp., 0%/13.125%
Sr. Disc, Nts., 6/1/04/(6)/ ................. 500,000 287,500
Rogers Cablesystems Ltd., 10% Sr. Sec.
Second Priority Debs., 12/1/07 .............. 1,000,000 977,500
SCI Television, Inc., 11% Sr. Nts.,
Series 1. 6/30/05 ........................... 500,000 522,500
SFX Broadcasting, Inc., 10.75% Sr.
Sub. Nts., 5/15/06/(7)/ ..................... 540,000 540,000
Sinclair Broadcast Group. Inc., 10% Sr.
Sub. Nts., 9/30/05 .......................... 500,000 487,500
TeleWest PLC. 9.625% Sr. Debs.,
10/1/06 ..................................... 500,000 486,250
Time Warner Entertainment LP/Time
Warner, Inc.:
10.15% Sr. Nts., 5/1/12 ...................... 500,000 577,118
6.375% Sr. Debs., 3/15/23 .................... 500,000 486,814
Time Warner, Inc. 9.125% Debs.,
1/15/13 ..................................... 500,000 523,539
TKR Cable 1, Inc., 10.50% Sr. Debs.,
10/30/07 .................................... 1,000,000 1,113,348
------------
13,762,752
------------
Retail: General -- 0.1%
Synthelic Industries, Inc. 12.75% Sr.
Sub. Debs., 12/1/02 ......................... 600,000 637,500
------------
Retail: Specialty -- 0.4%
Cole National Group. Inc., 11.25% Sr.
Nts., 10/1/01 .............................. 1,000,000 1,057,500
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03 ............................... 750,000 753,750
------------
1,811,250
Consumer Non-Cyclicals -- 1.6%
Food -- 0.5%
Grand Union Co., 12% Sr. Nts., 9/1/04 ....... 1,103,000 1,035,441
Penn traffic Co., 9.625% Sr. Sub. Nts.,
4/15/05 .................................... 500,000 361,250
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99 ..................... $ 300,000 $ 324,375
RJR Nabisco, Inc., 9,625% Medium-
Term Nts., 12/1/02 .......................... 500,000 507,944
------------
2,229,010
------------
Healthcare/Supplies & Services -- 0.4%
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02 .......................... 1,000,000 1,115,000
Magelian Health Services, Inc., 11.25% Sr. Sub. Nts.,
Series A, 4/15/04 ............................ 500,000 540,000
------------
1,655,000
------------
Household Goods -- 0.7%
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 11.404%,
5/27/98/(2)/ ................................ 1,500,000 1,263,750
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02 ................... 1,000,000 1,095,000
Revlon Worldwide Corp., Zero Coupon
Sr. Sec. Disc. Nts., 13.169%
3/15/98/(2)/ ................................ 500,000 418,750
------------
2,777,500
------------
Energy -- 0.3%
Energy Services & Producers -- 0.3%
OPI International, Inc., 12.875% Sr. Gtd.
Nts., 7/15/02 ............................... 1,000,000 1,110,000
------------
Financial -- 0.3%
Banks -- 0.1%
First Chicago Corp.:
11.25% Sub. Nts., 2/20/01 .................... 250,000 292,350
9% Sub. Nts., 6/15/99 ........................ 250,000 265,803
------------
558,153
------------
Diversified Financial -- 0.2%
GPA Delaware, Inc., 8.75% Gtd. Nts.,
12/15/98 ................................... 1,000,000 1,000,000
------------
Industrial -- 1.5%
Industrial Materials -- 0.7%
American Standard, Inc., 10.875% Sr.
Nts., 5/15/99 ............................... 500,000 528,750
Owens-Illinios, Inc.:
10% Sr. Sub. Nts., 8/1/02 .................... 500,000 512,500
11% Sr. Debs., 12/1/03 ....................... 500,000 538,750
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03 ...................................... 425,000 415,438
Triangle Pacific Corp., 10.50% Sr. Nts.,
8/1/03 ...................................... 850,000 875,500
------------
2,870,938
------------
Industrial Services -- 0.3%
EnviroSource, Inc., 9.75% Sr. Nts.,
6/15/03 ....................................... 1,250,000 1,150,000
------------
Manufacturing -- 0.4%
Talley Industries, Inc., 0%/12.25% Sr.
Disc. Debs., 10/15/05/(6)/ .................. 1,074,000 859,200
Terex Corp., 13.75% Sr. Sec. Nts.,
5/15/02/(7)/ ................................ 1,000,000 1,040,000
------------
1,899,200
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
Non-Convertible Corporate Bonds
and Notes (Continued)
Industrial (Continued)
Transportation -- 0.1%
Trans Ocean Container Corp - 12.25%
Sr. Sub. Nts.- 7/1/04................................................ $ 500,000 $ 517,500
===========
Technology -- 1.9%
Aerospace/Defense --0.2%
Unisys Corp., 15% Credit Sensitive Nts.,
7/1/97(4)............................................................ 650,000 693,875
-----------
Telecommunications-Technology -- 1.6%
360 Communications Co. 7.50% Sr.
Nts., 3/1/08......................................................... 500,000 475,230
Call-Net Enterprises, Inc. 0%/13.25%
Sr. Disc. Nts. 12/01/04(8)............................................ 800,000 594,000
Comcast Cellular Corp. Zero Coupon
Nts., - Series B, 7.829%,3/5/00(2).................................... 1,000,000 690,000
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00(5)............................................... 1.200,000 1,131,000
IntelCom Group (USA), Inc.,
0%/13.50% Sr. Disc. Nts., 9/15/05(6)................................. 1,000,000 602,500
MFS Communications Co., Inc.,
0%/9.37% Sr. Disc. Nts., 1/15/04(6).................................. 1,850,000 1,406,000
PriCellular Wireless Corp.,0%/14% Sr.
Sub. Disc. Nts., 11/15/01(6).......................................... 1,000,000 910,000
USA Mobile Communications, Inc.II.
9.50% Sr. Nts., 2/1/04................................................ 1,000,000 930,000
-----------
6,738,730
-----------
Utilities -- 0.8%
Electric Utilities --0.4%
First PV Funding Corp., 10.15% Lease
Obligation Bonds, Series 1996B, 1/15/16.............................. 1,500,000 1,578,750
-----------
Gas Utilities -- 0.4%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17................................ 989,000 803,563
California Energy Co., 0%/10.25% Sr.
Disc. Nts., 1/15/04(5)............................................... 750,000 735,000
-----------
1,538,563
-----------
Total Non-Convertible Corporate Bonds
and Notes (Cost $52,822,980)......................................... 53,902,007
-----------
Convertible Corporate Bonds and Notes --0.2%
Castorama Dubois Investments, 3.15%
Cv. Bonds 1/1/03 FRF................................................. 165,000 38,461
MEDIO, Inc., 7.50% Exchangeable Sub.
Debs., 7/15/00........................................................ 1,000,000 850,000
===========
Total Convertible Corporate Bonds and
Names (Cost $966,302)................................................ 888,461
-----------
<CAPTION>
Shares
------
<S>
Common Stocks -- 42.7%
Basic Materials -- 3.1%
Chemicals -- 1.6%
Agrium, Inc.......................................................... 80,000 1,048,750
ARCO Chemical Co..................................................... 17,900 930,800
Bayer AG. Sponsored ADR.............................................. 70,000 2,471,847
Dow Chemical Co. (The)............................................... 8,000 608,000
Georgia Gulf Corp................................................... 20,400 596,700
IMC Global, Inc...................................................... 7,600 285,950
Sybron Chemical Industries, Inc. (8)................................. 48,000 696,000
-----------
6,638,047
Gold -- 0.2%
Santa Fe Pacific Gold Corp........................................... 70,000 988,750
-----------
Metals -- 0.6%
Brush Wellman, Inc................................................... 63,300 1,316,700
Inco Ltd............................................................. 15,200 490,200
J&L Specialty Steel, Inc............................................. 45,500 676,812
-----------
2,483,712
===========
Paper -- 0.7%
Aracruz Cellulose SA, Sponsored ADR,
Cl. B................................................................ 121,000 1,149,500
MacMillan Bioedel Ltd................................................ 76,830 1,018,309
MacMillan Bioedel Ltd................................................ 4,200 55,650
Stone Container Corp................................................. 54,000 742,500
----------
2,965,959
----------
Consumer Cylicals -- 8.2%
Autos & Housing -- 1.2%
Chromcraft Revington, Inc. (8)....................................... 18,500 432,437
Eaton Corp........................................................... 14,000 820,750
Excel Industries, Inc................................................ 52,000 650,000
Fiat SpA............................................................. 310,000 1,038,422
General Motors Corp.................................................. 22,500 1,178,437
IRSA Inversiones y Representaciones,
SA.................................................................. 214,506 730,355
-----------
4,850,401
===========
Leisure & Entertainment -- 3.6%
AMR Corp............................................................. 16,700 1,519,700
Carnival Corp., Cl.A................................................. 34,100 984,637
Cheesecake Factory (The)(6).......................................... 24,000 660,000
Circus Circus Enterprices, Inc. (9)(10).............................. 24,000 1,394,000
Cracker Barrel Old Country Store, Inc................................ 34,000 1,552,000
Disney (Walt) Co..................................................... 23,493 1,477,122
Eastman Kodak Co. (10)............................................... 18,000 1,399,600
International Game Technology........................................ 60,000 1,012,500
King World Productions, Inc. (8)(10)................................. 31,000 1,127,625
Mattel, Inc.......................................................... 32,298 924,480
Primadonna Resorts, Inc. (8)......................................... 45,000 1,035,000
Shimano, Inc......................................................... 70,000 1,250,695
U S West Media Group (8)............................................. 45,700 834,025
-----------
15,171,484
===========
Media -- 1.1%
Bowne & Co., Inc..................................................... 39,100 805,437
Comcast Corp., Cl. A Special......................................... 75,000 1,387,500
Dow Jones & Co., Inc................................................. 19,400 809,950
South China Morning Post Holdings
Ltd................................................................. 1,800,000 1,232,477
Time Warner, Inc..................................................... 13,200 518,100
===========
4,754,464
-----------
Retail: General --1.1%
Cone Mills Corp. (8)................................................. 162,300 1,825,875
Price/Costco, Inc.(8)................................................ 58,900 1,273,712
Tuesday Morning Corp. (8)............................................ 54,500 728,937
Wal-Mart Stores, Inc................................................. 33,700 855,137
-----------
4,683,661
===========
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Cyclicals (Continued)
Retail: Specialty -- 1.2%
Books-A-Million, Inc./(8)/........................................................ 84,800 $ 710,200
Burlington Coat Factory Warehouse Corp./(8)/...................................... 62,000 651,000
Castorama Dubois Investissements LP............................................... 4,131 813,668
Gymboree Corp./(8)(10)/........................................................... 28,900 881,450
Toys "R" Us Inc./(8)/............................................................. 49,200 1,402,200
Tractor Supply Co. ((8)/.......................................................... 30,000 682,500
------------
5,141,018
------------
Consumer Non-Cyclicals -- 7.8%
Beverages -- 0.5%
Buenos Aires Emboteladora SA, Sponsored ADR....................................... 35,000 463,750
Guinness PLC...................................................................... 100,000 727,179
Whitman Corp./(10)/............................................................... 43,400 1,047,025
------------
2,237,954
------------
Food -- 1.0%
Chiquita Brands International, Inc................................................ 18,800 245,440
Grand Union Co./(8)/.............................................................. 6,185 40,202
Groupe Danone..................................................................... 5,013 758,559
IBP, Inc./(10)/................................................................... 31,500 870,187
Nestle SA. Sponsored ADR.......................................................... 12,000 685,020
Sara Lee Corp./(10)/.............................................................. 43,800 1,418,025
------------
4,017,433
------------
Healthcare/Drugs -- 3.8%
Abbott Laboratories............................................................... 20,000 870,000
Agouron Pharmaceuticals, Inc. /(8)/............................................... 17,000 663,000
American Home Products Corp....................................................... 20,000 1,202,500
Astra AB Free. Series A........................................................... 15,500 684,427
Bristol-Myers Squibb Co........................................................... 25,000 2,250,000
Ciba-Geigy AG..................................................................... 2,700 3,289,681
Foundation Health Corp./(8)/...................................................... 24,000 861,000
Genzyme Corp./(8)(10)/............................................................ 24,000 1,206,000
Johnson & Johnson................................................................. 29,800 1,475,100
Mylan Laboratories, Inc........................................................... 43,000 741,750
NBTY, Inc./(8)/................................................................... 167,000 1,680,438
SmithKline Beecham PLC. ADR....................................................... 22,500 1,223,438
------------
16,147,334
------------
Healthcare/Supplies & Services -- 1.3%
Biomer, Inc./(8)/................................................................. 45,100 648,313
Cardinal Health, Inc./(10)/....................................................... 4,146 299,030
Manor Care, Inc./(10)/............................................................ 24,985 983,784
Medtronic, Inc.................................................................... 15,700 879,200
Nellcor Puritan Bennett, Inc./(8)/................................................ 6,600 320,100
Solamor Danek Group, Inc./(8)/.................................................... 15,000 416,250
U.S. Healthcare, Inc./(10)/....................................................... 18,900 1,039,500
WellPoint Health Networks, Inc./(8)(10)/.......................................... 30,481 952,531
------------
5,538,708
------------
Household Goods -- 0.7%
Kimberly-Clark Corp............................................................... 13,100 1,011,975
Procter & Gamble Co./(10)/........................................................ 12,000 1,087,500
Scott's Liquid Gold, Inc./(8)/.................................................... 57,200 121,550
Wella AG.......................................................................... 1,550 888,979
------------
3,110,004
------------
Tobacco -- 0.5%
Philip Morris Cos., Inc........................................................... 21,300 2,215,200
------------
Energy -- 2.5%
Energy Services & Producers -- 0.8%
Kerr-McGee Corp./(10)/............................................................ 12,000 730,500
Landmark Graphics Corp./(8)/...................................................... 59,200 1,139,600
Western Atlas, Inc./(8)/.......................................................... 22,000 1,281,500
------------
3,151,600
------------
Oil-Integrated -- 1.7%
Atlantic Richfield Co............................................................. 11,900 1,410,150
Enterprise Oil PLC................................................................ 118,000 843,403
Louisiana Land & Exploration Co................................................... 23,100 1,331,138
Royal Dutch Petroleum Co.......................................................... 9,500 1,460,625
Saga Petroleum AS, Cl. A.......................................................... 12,000 176,407
Saga Petroleum AS, Cl. B.......................................................... 19,000 257,376
Total SA, Sponsored ADR/(10)/..................................................... 21,701 805,650
Unocal Corp....................................................................... 22,000 742,500
Yukong Ltd., GDR/(7)/............................................................. 27,500 179,677
Yukong Ltd., GDR.................................................................. 958 8,153
Yukong Ltd., GDR.................................................................. 2,336 19,879
------------
7,234,958
------------
Financial -- 5.4%
Banks -- 2.6%
Akbank T.A.S...................................................................... 2,660,750 320,602
Banco Frances del Rio de la Plata SA.............................................. 87,000 838,127
Chase Manhattan Corp. (New)/(10)/................................................. 58,000 4,098,250
Citicorp/(10)/.................................................................... 13,000 1,074,125
Deutsche Bank, Sponsored ADR...................................................... 13,250 626,749
NationsBank Corp.................................................................. 49,600 4,098,200
------------
11,054,053
============
Diversified Financial -- 1.1%
American Express Co............................................................... 35,000 1,561,875
Dean Witter, Discover & Co........................................................ 15,000 858,750
Federal Home Loan Mortgage Corp................................................... 9,700 829,350
H & R Block, Inc./(10)/........................................................... 26,000 848,250
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)/(9)(11)/............ 40,000 505,000
------------
4,603,225
------------
Insurance -- 1.7%
ACE Ltd........................................................................... 21,600 1,015,200
Aetna Life & Casualty Co.......................................................... 4,400 314,600
American International Group, Inc................................................. 12,600 1,242,675
American Re Corp./(10)/........................................................... 43,400 1,947,575
Berkley (W.R.) Corp............................................................... 21,000 876,750
Skandia Forsakrings AB............................................................ 40,000 1,057,950
UNUM Corp......................................................................... 13,600 846,600
------------
7,301,350
------------
Industrial -- 4.3%
Electrical Equipment -- 0.5%
Core Industries, Inc.............................................................. 50,000 718,750
General Electric Co./(10)/........................................................ 18,000 1,557,000
------------
2,275,750
------------
Industrial Materials -- 0.8%
Insituform Technologies, Cl. A/(8)................................................ 83,000 643,250
Interpool, Inc.................................................................... 37,500 684,375
Owens Corning..................................................................... 30,000 1,290,000
Walter Industries, Inc./(8)/...................................................... 2,645 37,361
Wolverine Tube, Inc./(8)/......................................................... 24,200 847,000
------------
3,501,986
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Industrial (Continued)
Industrial Services -- 0.2%
Ecolab, Inc./(10)/................................................................. 23,400 $ 772,200
------------
Manufacturing -- 1.6%
Chic Pacific Ltd................................................................... 216,000 873,431
Griffon Corp./(8)/................................................................. 64,000 520,000
Harnischfeger Industries, Inc./(10)/............................................... 15,800 525,350
Hutchison Whampoa Ltd.............................................................. 128,000 805,322
Mannesmann AG...................................................................... 2,400 826,206
Pacific Dunlop, Ltd................................................................ 400,000 900,389
Tenneco, Inc./(10)/................................................................ 26,000 1,329,250
Westinghouse Air Brake Co.......................................................... 55,000 721,875
------------
6,501,823
------------
Transportation -- 1.2%
Airborne Freight Corp./(10)/....................................................... 37,000 962,000
Burlington Northern Santa Fe Corp./(10)/........................................... 15,600 1,261,650
Canadian National Railway Co....................................................... 38,000 699,828
Consolidated Freightways, Inc...................................................... 12,200 257,725
Spartan Motors, Inc................................................................ 75,000 562,500
Stolt-Nielsen SA................................................................... 44,100 799,313
Stolt-Nielsen SA, ADR.............................................................. 22,050 410,681
------------
4,953,697
------------
Technology -- 10.0%
Aerospace/Defense -- 0.3%
Rockwell International Corp./(10)/................................................. 17,900 1,024,775
------------
Computer Hardware -- 1.6%
Digital Equipment Corp./(8)/....................................................... 17,000 765,000
EMC Corp./(8)/..................................................................... 30,300 564,338
International Business Machines Corp./(10)/........................................ 17,500 1,732,500
Moore Corp. Ltd.................................................................... 31,600 596,450
Seagate Technology, Inc./(8)/...................................................... 11,700 526,500
Silicon Graphics, Inc./(8)/........................................................ 15,000 360,000
Storage Technology Corp. (New)/(10)/............................................... 13,100 501,075
Sun Microsystems, Inc./(10)/....................................................... 7,000 412,125
Xerox Corp./(10)/.................................................................. 25,500 1,364,250
------------
6,822,238
------------
Computer Software -- 3.3%
American Software, Inc............................................................. 100,000 462,500
Computer Associates International, Inc./(10)/...................................... 28,650 2,041,313
Davidson & Associates, Inc./(8)/................................................... 27,200 816,000
Electronic Arts, Inc./(8)/......................................................... 41,300 1,104,775
Inference Corp. Cl. A/(8)/......................................................... 40,000 960,000
Informix Corp./(10)/............................................................... 35,200 792,000
Microsoft Corp./(8)/............................................................... 4,900 588,613
Nintendo Co. Ltd................................................................... 32,000 2,380,712
Novell, Inc./(8)/.................................................................. 130,900 1,816,238
Structural Dynamics Research Corp./(8)/............................................ 31,000 682,000
Sybase, Inc./(8)/.................................................................. 30,000 708,750
Symantec Corp./(8)/................................................................ 117,364 1,467,050
------------
13,819,951
------------
Electronics -- 3.3%
CAE, Inc........................................................................... 115,433 959,392
Duracell International, Inc........................................................ 16,200 698,625
General Motors Corp., Cl. H/(10)/.................................................. 16,600 998,075
Hewlett-Packard Co................................................................. 15,000 1,494,375
Intel Corp......................................................................... 55,400 4,068,438
Kyocere Corp....................................................................... 14,000 989,228
LSI Logic Corp./(8)(10)/........................................................... 24,000 624,000
Nokia Corp., Preference............................................................ 20,300 751,100
Proxima Corp./(8)/................................................................. 70,000 848,750
Samsung Electronics, GDR/(8)/...................................................... 1,320 37,125
Samsung Electronics, GDR (New)/(8)/................................................ 33 1,687
Teradyne, Inc./(8)/................................................................ 49,000 845,250
VLSI Technology, Inc./(8)/......................................................... 58,300 808,913
Xilinx, Inc./(8)/.................................................................. 18,200 577,850
------------
13,702,808
------------
Telecommunications-Technology -- 1.5%
Airtouch Communications, Inc./(8)(10)/............................................. 50,000 1,412,500
Bay Networks, Inc./(8)(10)/........................................................ 16,607 427,630
ECI Telecommunications Ltd./(10)/.................................................. 51,000 1,185,750
Kinnevik Investments AB Free, Series B............................................. 24,500 742,147
MCI Communications Corp............................................................ 47,000 1,204,375
NetCom Systems AB, B Shares/(8)/................................................... 24,500 276,921
Tellabs, Inc./(8)/................................................................. 13,600 909,500
------------
6,158,823
------------
Utilities -- 1.4%
Electric Utilities -- 0.5%
Public Service Enterprise Group, Inc............................................... 52,000 1,423,500
Verbund Dest Electriz.............................................................. 9,400 717,352
------------
2,140,852
------------
Gas Utilities -- 0.3%
Hong Kong & China Gas.............................................................. 232,512 370,974
Southwestern Energy Co............................................................. 72,500 1,024,063
------------
1,395,037
------------
Telephone Utilities -- 0.6%
BCE, Inc........................................................................... 33,000 1,303,500
Portugal Telecom SA................................................................ 15,900 415,321
U S West Communications Group...................................................... 28,000 892,500
------------
2,611,321
------------
Total Common Stocks
(Cost $135,517,312)................................................................ 179,970,576
------------
Preferred Stocks -- 1.2%
Alumax, Inc., $4.00 Cv., Series A.................................................. 8,000 1,043,000
Cyprus Amax Minerals Co., $4.00 Cv., Series A...................................... 24,000 1,314,000
Delta Air Lines, Inc., $3.50 Cv. Depositary Shares, Series C....................... 13,200 831,600
K-III Communications Corp., Sr. Exchangeable, Series A............................. 20,000 527,500
Pantry Pride, Inc., $14,875 Exchangeable, Series B................................. 8,000 802,000
Time Warner, Inc., 10.25% Cum., Series K, Exchangeable
Preferred Stock/(3)(7)/........................................................... 700 686,000
------------
Total Preferred Stocks (Cost $4,753,627)............................................ 5,204,100
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Units (Note 1)
------- ------------
<S> <C> <C>
Rights, Warrants and Certificates -- 0.0%
American Telecasting, Inc. Wts., Exp.
6/29........................................... 6,000 $ 36,000
Hong Kong & China Gas Wis., Exp.
9/97........................................... 29,376 7,685
Gaylord Container Corp. Wts. Exp.
11/02.......................................... 9,232 72,125
Icon Health & Fitness, Inc. Wts., Exp.
11/99(7)....................................... 1,000 25,000
People's Choice TV Corp. Wts., Exp.
6/00........................................... 500 500
Terex Corp. Rts. Exp. 5/02/(7)/................. 4,000 9,000
------------
Total Rights, Warrants and Certificates
(Cost $28,557)................................. 150,310
------------
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
----------- ------------
<S> <C> <C>
Repurchase Agreement -- 16.9%
Repurchase agreement with J.P. Morgan
Securities, Inc., 5.45%, dated 6/28/96, to
be repurchased at $71,332,382 on 7/1/96,
collateralized by U.S. Treasury Bonds,
11.25%, 2/15/15, with a value of
$66,574,086, and U.S. Treasury Nts.,
8.50%, 5/15/97, with a value of
$6,696,244 (Cost $71,300,000).................. $ 71,300,000 $ 71,300,000
------------
Total Investments, at Value
(Cost $373,134,359)............................ 100.0% 421,715,693
------ ------------
Other Assets Net of Liabilities.................. 0.0 210,621
------ ------------
Net Assets....................................... 100.0% $421,926,314
====== ============
</TABLE>
/(1)/ Principal amount is reported in U.S. Dollars, except for those denoted in
the following currencies:
AUD - Australian Dollar ITL - Italian Lira
CAD - Canadian Dollar MXP - Mexican Peso
DKK - Danish Krone NZD - New Zealand Dollar
FRF - French Franc PLZ - Polish Zloty
GBP - British Pound Sterling ZAR - South African Rand
/(2)/ For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
/(3)/ Interest or dividend is paid in kind.
/(4)/ Represents the current interest rate for a variable rate security.
/(5)/ Represents the current interest rate for an increasing rate security.
/(6)/ Denotes a step bond: a zero coupon bond that converts to a fixed rate of
interest at a designated future date.
/(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 $2,792,177 or 0.66% of the
Fund's net assets, at June 30, 1996.
/(8)/ Non-income producing security.
/(9)/ Identifies issues considered to be illiquid - See applicable note of
Notes to Financial Statements.
/(10)/ A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows.
<TABLE>
<CAPTION>
Shares
Subject Expiration Exercise Premium Market Value
to Call Date Price Received (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Airborne Freight Corp. 13,000 8/96 $ 30 $ 22,645 $ 3,250
Airtouch Communications, Inc., 10,000 7/96 35 14,190 625
American Re Corp. 9,600 7/96 45 17,711 12,600
Bay Networks, Inc. 10,000 9/96 35 43,449 6,875
Burlington Northern Santa Fe Corp. 2,600 7/96 85 9,997 1,625
Cardinal Health, Inc. 10,200 7/96 18 16,268 119,850
Chase Manhatten Corp. (New) 11,600 9/96 70 46,050 60,900
Circus Circus Enterprises, Inc. 6,800 9/96 33 21,045 64,600
Citicorp 2,600 7/96 75 8,697 19,825
Computer Associates International, Inc. 5,600 7/96 75 22,623 5,600
ECI Telecommunications Ltd. 11,900 8/96 30 19,830 2,975
Eastman Kodak Co. 3,600 7/96 75 14,742 13,500
Ecolab, Inc. 2,500 7/96 35 2,987 781
General Electric Co. 3,600 9/96 80 11,142 28,800
General Motors Corp., CI.H 3,200 9/96 65 12,304 6,000
Genezyme Corp. 4,200 7/96 80 21,528 263
Gymboree Corp. 6,400 7/96 20 9,408 69,600
H & R Block, Inc. 10,000 7/96 40 20,529 625
Harnschfeger Industries, Inc. 10,600 8/96 35 48,955 9,275
Harnschfeger Industries, Inc. 5,200 8/96 40 5,694 1,300
IBP, Inc. 31,500 11/96 25 69,928 110,250
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Shares
Subject Expiration Exercise Premium Market Value
to Call Date Price Received (Note 1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Informix Corp. 19,000 8/96 $ 35 $ 84,927 $ 2,375
International Business Machines Corp. 3,000 7/96 12 14,160 375
Kerr-McGee Corp. 2,400 7/96 70 2,478 600
King World Productions, Inc. 9,000 8/96 45 15,478 2,250
LSI Logic Corp. 6,000 7/96 35 19,319 750
LSI Logic Corp. 6,000 7/96 45 15,194 375
Manor Care, Inc. 4,800 7/96 45 4,656 600
Procter & Gamble Co. 2,400 7/96 95 4,578 900
Rockwell International Corp. 3,400 7/96 65 8,823 425
Sara Lee Corp. 10,000 7/96 35 13,449 625
Storage Technology Corp. (New) 13,100 9/96 23 60,194 211,237
Sun Microsystems, Inc. 7,000 7/96 48 53,331 84,000
Tenneco, Inc. 5,200 8/96 60 7,644 975
Total SA. Sponsored ADR 4,400 8/96 40 4,268 2,475
U.S. Healthcare, Inc. 4,000 7/96 55 5,380 2,500
Wellpoint Health Networks, Inc. 9,000 7/96 40 9,162 2,250
Whitman Corp. 10,000 9/96 25 9,700 7,500
Xerox Corp. 5,100 7/96 50 13,973 20,400
-------- --------
$809,437 $879,731
======== ========
</TABLE>
/(11)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity as some point in the future. For units
which represent debt securities, principal amount disclosed represents
total underlying principal.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
----------- ------------
<S> <C> <C>
Foreign Government Obligations -- 0.9%
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 36.916%, 4/3/97 (Cost
$4,362,431)/(2)/ MXP..................... $ 41,760,000 $ 4,379,166
------------
<CAPTION>
Shares
------
<S>........................................ <C>
Common Stocks -- 95.3%
Basic Materials -- 4.9%
Chemicals -- 1.1%
Hoechst AG............................... 50,000 1,688,413
Minerals Technologies, Inc............... 100,000 3,425,000
------------
5,113,413
------------
Gold -- 2.3%
Anglo American Corp. of South Africa
Ltd., ADR................................ 30,000 1,897,500
Free State Consolidated Gold Mines
Ltd., ADR................................ 174,000 1,609,500
Homestake Mining Co....................... 80,000 1,370,000
Newmont Mining Corp....................... 80,500 3,974,688
Placer Dome, Inc.......................... 100,000 2,387,500
------------
11,239,188
------------
Metals -- 1.5%
Companhia Vale Do Rio Doce,
Preference............................... 92,000 1,782,173
Compania de Minas Buenaventura SA,
Sponsored ADR/(3)/....................... 46,000 914,250
Freeport-McMoRan Copper & Gold,
Inc., Cl. B.............................. 107,000 3,410,625
Gencor Ltd., Unsponsored ADR.............. 250,000 923,700
------------
7,030,748
------------
Consumer Cyclicals -- 13.5%
Autos & Housing -- 2.4%
Autobacs Seven Co. Ltd.................... 23,000 2,222,800
IRSA Inversiones y Representaciones, SA... 1,028,807 3,502,904
Mahindra & Mahindra Ltd., GDR/(4)/........ 200,000 2,150,000
Volkswagen AG............................. 10,000 3,721,736
------------
11,597,440
------------
Leisure & Entertainment -- 0.7%
Lusomundo SGPS SA......................... 205,200 1,271,573
Resorts World Berhad...................... 350,000 2,005,821
------------
3,277,394
------------
Media -- 2.4%
Grupo Televisa SA, Sponsored ADR/(4)/..... 64,900 1,995,675
News Corp. Ltd., ADR...................... 150,000 3,525,000
Reuters Holdings PLC, Series B, ADR....... 20,000 1,450,000
Tele-Communications, Inc. (New), TCI
Group, Series A/(3)/..................... 162,000 2,936,250
Time Warner, Inc.......................... 45,000 1,766,250
------------
11,673,175
------------
Retail: General -- 0.2%
PT Matahari Putra Prima................... 439,500 802,550
Retail: Specialty -- 7.8%
adidas AG................................. 60,000 4,996,259
Benetton Group SpA........................ 194,500 2,512,214
Cifra SA de CV, Unsponsored ADR, B
Shares/(3)/.............................. 1,500,000 2,164,950
Circuit City Stores, Inc.................. 40,000 1,445,000
FamilyMart Co............................. 49,500 2,202,377
Giordano International Ltd................ 2,100,000 2,034,750
Jusco Co.................................. 85,000 2,782,147
COMMON STOCKS
CONSUMER CYCLICALS
RETAIL SPECIALTY
Reebok International Ltd.................. 124,600 4,189,675
Wella AG.................................. 19,000 11,103,125
Wolford AG................................ 16,400 4,011,083
------------
37,441,580
------------
Consumer Non-Cyclicals -- 16.3%
Beverages -- 2.7%
Allied Domecq PLC......................... 274,400 1,931,425
Buenos Aires Embotelladora SA,
Sponsored ADR............................ 100,300 1,328,975
Hellenic Bottling Co., SA................. 35,000 1,161,592
LVMH Moet Hennessy Louis Vuitton.......... 4,700 1,114,724
Panamerican Beverages, Inc., Cl. A........ 71,800 3,213,050
South African Breweries Ltd............... 150,000 4,399,182
------------
13,148,948
------------
Food -- 1.0%
Disco SA, ADR/(3)/........................ 93,200 2,062,050
Molinos Rio de la Plata SA, Cl. B......... 205,600 2,213,334
Universal Robina Corp..................... 833,300 445,289
------------
4,720,673
------------
Healthcare/Drugs -- 8.3%
Amgen, Inc./(3)/.......................... 100,000 5,400,000
Astra AB Free, Series A................... 200,000 8,831,321
BioChem Pharma, Inc./(3)/................. 50,000 1,875,000
Ciba-Geigy AG............................. 4,000 4,873,602
Eisai Co. Ltd............................. 100,000 1,887,283
Genzyme Corp./(3)/........................ 60,000 3,015,000
Glaxo Wellcome PLC, Sponsored ADR......... 150,000 4,012,500
Johnson & Johnson......................... 23,000 1,138,500
Plant Genetics Systems/(3)(5)/............ 89,104 996,496
Sanofi SA................................. 60,000 4,496,426
Taisho Pharmaceutical Co.................. 100,000 2,160,802
Takeda Chemical Industries Ltd............ 83,000 1,468,069
------------
40,154,999
------------
Healthcare/Supplies & Services -- 3.3%
Gehe AG................................... 6,999 4,754,471
Rhoen Klinikum AG, Preference, Non-vtg./(3)/ 17,920 2,066,145
United States Surgical Corp............... 300,000 9,300,000
------------
16,120,616
------------
Tobacco -- 1.0%
B.A.T. Industries PLC..................... 600,000 4,670,726
------------
Energy -- 6.5%
Energy Services & Producers -- 3.1%
Baker Hughes, Inc......................... 80,000 2,630,000
Coflexip SA, Sponsored ADR/(3)/........... 105,000 1,824,375
Global Marine, Inc./(3)/.................. 117,500 1,630,313
Transocean AS/(3)/........................ 292,360 7,583,150
Western Atlas, Inc./(3)/.................. 19,300 1,124,225
------------
14,792,063
------------
Oil-Integrated -- 3.4%
British Petroleum Co. PLC, ADR............ 25,000 2,671,875
Elf Acquitaine SA......................... 30,000 2,206,256
Gulf Canada Resources Ltd./(3)/........... 565,600 2,857,779
Norsk Hydro AS............................ 90,000 4,405,563
Total SA, B Shares........................ 30,000 2,224,903
Unocal Corp............................... 64,000 2,160,000
------------
16,526,376
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds -- Oppenheimer Global Securities Fund
Statement of Investments (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Financial -- 14.5%
Banks -- 4.9%
Banco Bradesco SA, Preference................... 455,260,951 $ 3,718,063
Banco Frances del Rio de la Plata SA,
ADR............................................ 55,000 1,581,250
Banco Latinoamericano de
Exportaciones SA, Cl. E........................ 24,800 1,395,000
Chase Manhattan Corp. (New)..................... 52,000 3,672,500
Citicorp........................................ 45,000 3,718,125
HSBC Holdings PLC............................... 126,101 1,906,053
Korea Exchange Bank............................. 30,000 388,659
Northern Trust Corp............................. 18,700 1,079,925
PT Lippo Bank................................... 825,000 1,364,706
Standard Chartered Bank PLC/(3)/................ 203,000 2,021,853
Turkiye Garanti Bankasi (New), ADR/(4)/......... 389,250 2,653,011
------------
23,499,145
------------
Diversified Financial -- 3.9%
ABN Amro Holding NV............................. 70,000 3,756,350
American Express Co............................. 24,500 1,093,313
First NIS Regional Fund/(4)/.................... 180,000 1,890,000
ING Groep NV.................................... 89,062 2,655,723
MBNA Corp....................................... 105,000 2,992,500
Merrill Lynch & Co., Inc........................ 30,000 1,953,750
Societe Generale de Paris....................... 35,000 3,848,030
Taiwan Fund, Inc................................ 18,400 441,600
------------
18,631,266
------------
Insurance -- 5.7%
American International Group, Inc............... 35,000 3,451,875
Assicurazioni Generali SpA...................... 150,000 3,459,015
Mapfre Vida Seguros............................. 50,000 2,807,874
Marschollek, Lautenschlaeger und
Partner AG..................................... 5,587 5,872,788
National Mutual Asia Ltd........................ 2,634,000 2,313,957
Reinsurance Australia Corp. Ltd................. 2,283,000 6,648,318
Skandia Forsakrings AB.......................... 100,000 2,644,875
------------
27,198,702
------------
Industrial -- 15.8%
Electrical Equipment -- 1.1%
Ushio, Inc...................................... 100,000 1,221,719
Yokogawa Electric Corp.......................... 425,000 4,262,342
------------
5,484,061
------------
Industrial Services -- 5.9%
BIS SA.......................................... 35,925 3,754,335
Boskalis Westminster............................ 150,000 2,680,178
Cordiant PLC/(3)/............................... 1,700,000 2,905,608
IHC Caland NV................................... 80,000 3,936,786
PT Citra Marga Nusaphala Persada................ 1,165,500 1,777,726
VBH-Vereinigter Baubeschlag Handel AG........... 24,700 6,490,866
WMX Technologies, Inc........................... 80,000 2,620,000
WPP Group PLC................................... 1,200,000 4,008,807
------------
28,174,306
------------
Manufacturing -- 6.3%
Bic Corp........................................ 20,000 2,839,889
Bobst Bearers AG................................ 2,000 2,884,214
Bombardier, Inc., Cl. B......................... 250,000 3,743,720
Chargeurs International SA...................... 14,000 625,747
Consolidated Electric Power Asia Ltd., ADS...... 800,000 1,322,911
Komatsu Ltd..................................... 398,000 3,918,984
Measurex Corp................................... 63,800 1,866,150
Mitsubishi Heavy Industries Ltd................. 530,000 4,605,061
Pathe SA........................................ 14,000 3,285,102
Powerscreen International PLC................... 730,100 5,173,002
------------
30,264,780
------------
Transportation -- 2.5%
Brambles Industries Ltd......................... 180,000 2,504,718
East Japan Railway Co........................... 400 2,096,981
Guangshen Railway Co. Ltd., ADS/(3)/............ 180,000 3,442,500
Kvaerner AS, Series B........................... 97,500 4,119,825
------------
12,164,024
------------
Technology -- 16.2%
Computer Hardware -- 1.9%
Canon, Inc...................................... 150,000 3,118,120
Digital Equipment Corp./(3)/.................... 90,000 4,050,000
International Business Machines Corp............ 20,000 1,980,000
------------
9,148,120
------------
Computer Software -- 6.4%
Baan Co. NV/(3)/................................ 60,000 2,040,000
First Data Corp................................. 87,118 6,936,771
Ines Corp....................................... 60,000 1,121,429
Microsoft Corp./(3)/............................ 35,000 4,204,375
Misys PLC....................................... 200,000 2,414,607
Nintendo Co. Ltd................................ 191,000 14,209,872
------------
30,927,054
------------
Electronics -- 4.6%
Advanced Semiconductor Engineering
GDR/(3)/....................................... 102,420 934,070
Advantest Corp.................................. 33,000 1,308,790
General Motors Corp., Cl. H..................... 40,000 2,405,000
Hewlett-Packard Co.............................. 20,000 1,992,500
Intel Corp...................................... 20,000 1,468,750
Keyence Corp.................................... 25,000 3,396,197
Rohm Co......................................... 45,000 2,970,419
SGS-Thomson Microelectronics NV/(3)/............ 129,400 4,642,225
Sony Corp./(3)/................................. 48,000 3,155,318
------------
22,273,269
------------
Telecommunications-Technology -- 3.3%
Airtouch Communications, Inc./(3)/.............. 70,000 1,977,500
Cisco Systems, Inc./(3)/........................ 34,600 1,959,225
Korea Mobile Telecommunications Corp............ 3,000 3,751,600
Millicom International Cellular SA/(3)/......... 90,000 4,286,250
Millicom, Inc./(3)/............................. 25,000 --
Petersburg Long Distance, Inc./(3)/............. 187,000 1,531,063
PT Telekomunikasi Indonesia, ADR................ 88,000 2,618,000
------------
16,123,638
------------
Utilities -- 7.6%
Electric Utilities -- 1.1%
Empresa Nacional de Electricidad SA............. 30,000 1,869,576
Veba AG......................................... 60,000 3,188,933
------------
5,058,509
------------
Telephone Utilities -- 6.5%
Compania de Telecommunicaciones de
Chile SA, Sponsored ADR........................ 31,500 3,090,938
CPT Telefonica del Peru SA, Cl. B............... 3,400,031 6,851,773
DDI Corp........................................ 600 5,229,688
Portugal Telecom SA............................. 144,000 3,761,396
Telecom Italia Mobile SpA....................... 2,000,000 4,468,506
Telecom Italia SpA.............................. 2,000,000 4,298,898
Telecomunicacoes Brasileiras SA,
Preference..................................... 52,548,000 3,668,738
------------
31,369,937
------------
Total Common Stocks
(Cost $408,154,263)............................. 458,626,700
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
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 Systems Wts. Exp.
12/99/(5)/ ........................... 60,000 112,128
------------
Total Rights, Warrants and Certificates
(Cost $0) ............................ 112,128
------------
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
Repurchase Agreement - 3.7%
Repurchase agreement with Canadian Imperial
Bank of Commerce, 5.45%, dated 6/28/96, to
be repurchased at $17,908,130 on 7/1/96,
collateralized by U.S. Treasury Bonds, 9.125%
- -11.25%, 2/15/15-5/11/18, with a value of
$6,327,433, and U.S. Treasury Nts., 5.25%
- -8.50%, 1/11/97-11/15/04, with a value of
$11,958,003 (Cost $17,900,000)........... $ 17,900,000 $ 17,900,000
------------
Total Investments, at Value
(Cost $430,416,694)..................... 99.9% 481,017,994
------ ------------
Other Assets Net of Liabilities.......... 0.1 325,182
------ ------------
Net Assets............................... 100.0% $481,343,176
====== ============
</TABLE>
(1) Principal amount is reported in U.S. Dollars, except for those denoted in
the following currency:
MXP - Mexican Peso
(2) For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
(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 $8,688,686 or 1.81% of the Fund's
net assets at June 30, 1996.
(5) Identifies issues considered to be illiquid - See applicable note of Notes
to Financial Statements.
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, 1996. There were no
affiliate securities held as of June 30, 1996. Transactions during the period in
which the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
Balance Balance
December 31, 1995 Gross Additions Gross Reductions June 30, 1996
----------------- --------------- ---------------- ------------- Dividend
Shares Cost Shares Cost Shares Cost Shares Cost Income
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Pharmavit GDS 114,000 $1,401,000 -- $ -- 114,000 $1,401,000 -- $ -- $ --
</TABLE>
Distribution of investments by country of issue, as a percentage of total
investments at value, is as follows:
<TABLE>
<CAPTION>
Country Market Value Percent
- ------- ------------ -------
<S> <C> <C>
United States ........................... $ 207,640,602 43.2%
Japan ................................... 63,338,400 13.2
Germany ................................. 43,882,737 9.1
Great Britain ........................... 31,260,402 6.5
France .................................. 30,862,012 6.4
Italy ................................... 14,738,633 3.1
Australia ............................... 12,678,036 2.6
Mexico .................................. 11,752,841 2.4
Canada .................................. 10,863,999 2.3
Argentina ............................... 10,688,513 2.2
Brazil .................................. 9,168,974 1.9
Hong Kong ............................... 7,577,671 1.6
Indonesia ............................... 6,562,982 1.4
Korea, Republic of (South) .............. 4,140,259 0.9
Austria ................................. 4,011,083 0.8
China ................................... 3,442,500 0.7
Chile ................................... 3,090,935 0.6
India ................................... 2,150,000 0.5
Malaysia ................................ 2,005,823 0.4
Greece .................................. 1,161,592 0.2
------------- -----
Total.................................. $ 481,017,994 100.0%
============= =====
</TABLE>
See accompanying Notes to Financial Statements.
<PAGE>
OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND
STATEMENT OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
Principal Market Value
Amount/1/ (Note 1)
--------- ------------
<S> <C> <C>
MORTGAGE-BACKED OBLIGATIONS - 17.8%
GOVERNMENT AGENCY - 15.3%
FHLMC/FNMA/SPONSORED - 1.8%
Federal Home Loan Mortgage Corp.,
Gtd. Multiclass Mtg. Participation
Certificates, Series 178. Cl. F, 8.95%,
3/15/20........................................ $ 21,257 $ 21,377
Federal National Mortgage Assn.:
7.50%, 8/1/25................................... 1,094,148 1,080,209
Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 10.50%,
11/25/20....................................... 130,000 145,518
Series 1994-83, Cl. Z, 7.50%, 6/25/24........... 185,806 168,503
-----------
1,415,607
-----------
GNMA/GUARANTEED - 13.5%
Government National Mortgage Assn.
6%, 11/20/25.................................... 729,856 733,053
7.50%, 8/15/25.................................. 4,946,650 4,883,828
8%, 11/15/25-5/15/26............................ 4,946,550 4,996,016
-----------
10,612,897
-----------
PRIVATE - 2.5%
Commercial - 1.6%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 193-4C1, CA,2-G
8.70%, 8/25/25 /(2)/........................... 153,594 155,130
Merill Lynch Mortgage Investors, Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2 Cl. D, 8.266%, 6/15/21 /(3)/............ 482,223 482,751
Morgan Stanley Capital I, Inc.
Commercial Mtg. Pass-Through
Certificates, Series 1996-C1,Cl. F,
7.51%, 2/1/28 /(2)//(3)/........................ 162,744 104,055
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1992-CHF, Cl. D, 8.25%,
12/25/20........................................ 124,762 125,308
Series 1993-C1, Cl, D, 9.45%, 5/25/24............ 91,000 93,588
Series 1994-C2, E. 8%, 4/25/25................... 228,725 218,163
Structured Asset Securities Corp.,
Multiclass Pass-Through Certificates
Series 1995-C4, Cl. E, 8.663%,
6/25/28 /(2)//(3)/.............................. 46,290 37,625
-----------
1,216,640
-----------
MULTI-FAMILY - 0.1%
DIJ Mortgage Acceptance Corp.,
Benes 1996-CF1, Cl. B3, 8.268%,
3/13/28 /(2)/.................................. 100,000 78,719
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, /(2)/ Series
1991-M6, Cl. B4, 7.145%, 8/25/21............... 37,075 35,731
-----------
114,450
-----------
RESIDENTIAL -0.8%
Mortgage Capital Funding, Inc.
Multifamily Mortgage Pass-Through
Certificates, Series 1996-MC1, Cl. G,
7.15%, 6/15/06 /(2)//(4)/...................... 800,000 598,000
-----------
Total Mortgage-Backed Obligations
(Cost $13,909,362)............................. 13,957,594
-----------
U.S. GOVERNMENT OBLIGATIONS - 13.2%
U.S. Treasury Bonds:
11.625%, 11/15/02............................... 4,300,000 5,415,313
13.125%, 5/15/01................................ $ 2,800,000 $ 3,567,373
6.875%, 6/15/25................................. 1,200,000 1,187,624
8.125%, 8/15/19 /12/............................ 163,000 182,866
-----------
Total U.S. Government Obligations
(Cost $10,552,685).............................. 10,353,176
-----------
FOREIGN GOVERNMENT OBLIGATIONS - 26.3%
ARGENTINA - 0.2%
Banco Hipolecarto Nacional (Argentina)
Medium-Term Nts., 10.625%,
3/29/99 /(2)/................................... 150,000 151,876
AUSTRALIA -- 3.8%
Australia (Commonwealth of) Bonds, 10%,
10/15/07 AUD.................................. 675,000 569,698
Queensland Treasury Corp.:
Exchangeable Gtd. Nts., 8%,
6/14/01 AUD................................... 803,000 450,652
Gtd. Nts., 8%, 5/14/03 AUD..................... 610,000 456,971
Treasury Corp. of Victoria Gtd. Bonds:
10.25%, 11/15/06 AUD........................... 665,000 561,164
12.50%, 10/15/03 AUD........................... 485,000 452,748
Western Australia Treasury Corp. Gtd. Bonds,
10%, 7/15/05 AUD............................... 450,000 372,439
-----------
2,873,672
-----------
BRAZIL - 1.5%
Banco Estado Mines Gerais, 8.25%,
2/10/00........................................ 250,000 228,750
Brazil (Federal Republic of):
Capitalization Bonds, 8%, 4/15/14................ 1,407,159 870,680
Nts., Banco Estado Mines Gerais,
7.875%, 2/10/99................................. 30,000 27,787
Petroquirnica do Nordeste Sr. Unsec.
Unsub. Nts., 9.50%, 10/19/01.................... 50,000 48,828
-----------
1,176,045
-----------
BULGARIA - 0.8%
Bulgaria (Republic of):
Front-Loaded Interest Reduction Bearer
Bonds, Trancne A 2%, 7/28/12 /(3)/............ 905,000 301,761
Interest Arrears Bonds, 6.25%,
7/28/11 /(3)/.................................. 720,000 342,000
-----------
643,761
-----------
CANADA - 2.2%
Canada (Government of) Bonds:
10.25%, 12/1/98 CAD............................ 830,000 662,179
9%, 12/1/04 CAD................................ 660,000 543,618
Series A33, 11.50%, 9/1/00 CAD................. 610,000 521,566
-----------
1,727,363
-----------
COSTA RICA - 0.3%
Central Bank of Costa Rica Interest
Claim Bonds, Series B, 6.328%,
5/21/05 /(3)/.................................. 282,123 242,464
-----------
CZECH REPUBLIC - 0.5%
CEZ AS, Zero Coupon Disc. Promissory
Nts., 10.766%, 7/1/86 /(5)/ CZK............... 10,000,000 363,238
-----------
ECUADOR - 0.3%
Ecuador (Republic of):
Disc. Bonds, 6.083%, 2/28/25 /(3)/............. 190,000 107,625
Interest Equalization Bearer Bonds,
6.625%, 12/21/04 /(3)/......................... 185,000 135,512
-----------
243,337
-----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
------------- -------------
<S> <C> <C>
Foreign Government Obligations (Continued)
Finland - 1.3%
Finland (Republic of) Bonds, 10%
9/15/01 FIN............................... $ 4,000,000 $ 1,003,035
Germany - 0.9%
Germany (Republic of) Bonds:
7.75%, 10/1/04 DEM........................... 480,000 338,429
Series 66, 6% 6/20/16 DEM................... 100,000 56,004
Series 94, 7.50%, 11/11/04 DEM.............. 240,000 167,985
Landeskraditbank Baden-Wurttemberg
Gtd. Bonds, 6%, 1/25/06 DEM.................. 180,000 112,567
-----------
676,985
-----------
Great Britain - 2.2%
United Kingdom Treasury:
Bonds, 10%, 9/8/03 GBP....................... 500,000 875,227
Debs., 8.5% 12/7/05 GBP...................... 75,000 121,524
Nts., 10%, 2/26/01 GBP....................... 210,000 360,254
Nts., 12.50% 11/21/05 GVP.................... 158,000 309,561
Nts., 8% 6/10/03 GBP........................ 60,000 95,209
-----------
1,761,775
-----------
Italy - 1.6%
Italy (Republic of) Treasury Bonds, Buoni del
Tesoro Poliennali:
11.50%, 3/1/03 ITL......................... 445,000,000 325,008
10.50% 4/1/00 ITL......................... 490,000,000 338,280
10.50% 7/15/00 ITL......................... 530,000,000 366,932
10.50% 7/15/98 ITL......................... 380,000,000 257,605
-----------
1,287,825
-----------
Japan - 1.0%
Japan (Government of) Bonds, Series
31m 3.50%, 3/21/16 JPY...................... 12,800,000 112,127
-----------
Jordan - 1.0%
Hashemite Kingdom of Jordan:
Disc. Bonds, 6.625%, 12/23/23 /(3)/......... 500,000 351,250
Interest Arrears Bonds, 6.625%
12/23/05 /(3)/............................. 500,000 403,750
-----------
755,000
-----------
Mexico - 1.4%
Banco Nacional de Comercio Exterior
SNC International Finance BV Gtd.
Bonds, 10.758% 6/23/97 /(2)/ /(3)/......... 250,000 258,750
Bonos de la Tesoreria de la Federacion,
Zero Coupon, 37.786%, 3/8/97 /(5)/ MXP.... 4,200,000 450,102
United Mexican States:
Bonds, 10.37%, 1/29/03 DEM.................. 425,000 285,215
Petroleos Mexicanos Gtd. Unsec. Unsub.
Nts., 7.875%, 3/2/99 CAD.................. 200,000 144,074
-----------
1,138,141
-----------
New Zealand - 1.5%
New Zealand (Republic of) Bonds:
10%, 3/15/02 NZD........................... 780,000 558,060
10%, 7/15/97 NZD........................... 1,045,000 719,166
-----------
1,277,226
-----------
Panama - 0.4%
Panama (Republic of):
Debs., 6.629%, 5/10/02 /(3)/............... 230,770 216,924
Past Due Interest Debs., 12/29/49 /(6)/...... 125,000 76,602
-----------
293,526
-----------
Poland - 0.9%
Poland (Republic of) Treasury bills,
Zero Coupon:
21.464%, 10/16/96 /(5)/ PLZ................ 500,000 173,205
Foreign Government Obligations (Continued)
Poland (Continued)
21.641%, 10/2/96 /(5)/ PLZ................ 720,000 251,334
21.463%, 8/12/96 /(5)/ PLZ................ 800,000 287,394
-----------
Spain - 1.7%................................... 711,933
-----------
Spain (Kingdom of):
Bonds, Bonos y Obligacion del Estado,
10.15%, 1/31/06 ESP........................ 114,000,000 959,236
Bonds, Bonos y Obligacion del Estado,
10.90%, 8/30/03 ESP........................ 26,600,000 231,995
Gld. Bonds, Bonos y Obligacion del
Estado, 11.45%, 08/30/98 ESP............... 22,000,000 181,124
-----------
1,372,355
-----------
Supernational - 0.7%
European Bank for Reconstruction &
Development Sr. Unsec. Medium-Term
Nts., 10%, 12/20/96 CZK.................... 10,000,000 357,940
International Bank for Reconstruction
& Development Bonds, 12.50%
7/25/97 NZD................................ 325,000 229,061
-----------
587,001
-----------
Sweden - 2.45
Sweden (Kingdom of) Bonds:
Series 1030, 13%, 6/15/01 SEK............. 5,500,000 1,013,511
Series 1033, 10.25%, 5/5/03 SEK........... 3,500,000 591,107
Series 1035, 6%, 2/9/06 SEK................ 2,100,000 274,332
-----------
1,878,950
-----------
Venezuela - 0.5%
Venezuela (Republic of):
Disc. Bonds, Series DL, 6.625%
12/18/07 /(3)/............................ 500,000 353,750
Front-Loaded Interest Reduction Bonds,
Series A, 6.375%, 3/31/07 /(3)/........... 100,000 72,375
-----------
426,125
-----------
Total Foreign Government Obligations
(Cost $20,411,350)........................ 20,703,759
-----------
Loan Participations - 2.8%
Algeria (Republic of) Reprofiled Debt
Loan Participation, Tranche A, 6.812%
9/4/06 /(3)//(6)/.......................... 1,300,000 775,937
Columbia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 6.563%
7/1/01 /(3)//(6)/.......................... 235,740 219,627
Jamaica (Government of) 1990 Refinancing
Agreement Nts.:
Tranche A, 6.344%, 10/16/00 /(3)/ /(6)/...... 75,000 71,612
Tranche B, 6.312%, 11/15/04 /(3)/ /(6)/...... 160,000 117,375
Morocco (Kingdom of) Loan Participation
Agreement:
Tranche A, 6.437%, 1/1/09 /(3)/.............. 530,000 381,766
Tranche B, 6.437%, 1/1/04 /(3)/.............. 47,058 37,765
Pulsar International SA de CV, 11.80%
Nts., 9/19/96 /(6)/........................ 250,000 251,250
Trinidad & Tobago Loan Participation
Agreement, Tranche A, 1.772%
9/30/00 /(3)/ /(6)/ JPY................... 35,999,998 280,631
United Mexican States, Combined Facility 3,
Loan Participation Agreement, Tranche A,
6.563%, 9/20/97 /(3)/ /(6)/................ 85,760 71,610
-----------
Total Loan Participations
(Cost $2,173,204).......................... 2,207,973
-----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds -- Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
Corporate Bonds and Notes--28.9%
Basic Industry--2.4%
Chemicals--0.5%
NL Industries, Inc.:
0%/13% Sr. Sec. Disc. Nts.,
10/15/05/(7)/............................. $ 200,000 $ 157,000
11.75% Sr. Sec. Nts., 10/15/03............. 100,000 102,500
Texas Petrochemicals Corp., 11.125% Sr.
Sub. Nts., 7/1/06/(2)(4)/................. 100,000 102,031
----------
361,531
----------
Metals/Mining--0.0%
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05........................ 10,000 11,400
Paper--1.4%
Domiar, Inc., 11.25% Debs., 9/15/17........ 100,000 106,750
Florida Coast Paper Co. LLC/Florida
Coast Paper Finance Corp., 12.75%
First Mtg. Nts., 6/1/03/(2)/.............. 130,000 135,200
Indah Kiat International Finance Co.
BV, 12.50% Sr. Sec. Gtd. Nts., Series C,
6/15/06................................... 250,000 266,875
Riverwood International Corp., 10.25%
Sr. Nts., 4/1/06.......................... 400,000 399,000
Stone Container Corp., 10.75% First
Mtg. Nts., 10/1/02........................ 190,000 192,650
----------
1,100,675
----------
Steel--0.5%
Jorgensen (Earle M.) Co., 10.75% Sr.
Nts., 3/1/00.............................. 50,000 49,500
Republic Engineered Steels, Inc., 9.875%
First Mtg. Nts., 12/15/01................. 250,000 234,375
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03............................ 150,000 139,875
----------
423,750
----------
Consumer Related--6.1%
Consumer Products-1.0%
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 12.575%
5/27/98/(5)/.............................. 50,000 42,125
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)/............. 400,000 238,000
TAG Heuer International SA, 12% Sr.
Sub. Nts., 12/15/05/(2)/.................. 200,000 209,500
Williams (J.B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04.............................. 100,000 98,750
----------
752,625
----------
Food/Beverages/Tobacco--0.8%
Dr. Pepper Bottling Holdings, Inc.,
0%/11.625% Sr. Disc. Nts., 2/15/03/(7)/.. 200,000 167,000
Unilever CR spol. s.r.o., guaranteed by
Unilever NV, Rotterdam, The
Netherlands, Zero Coupon Promissory
Nts., 11.184%, 10/11/96/(5)/CZK.......... 14,000,000 493,278
----------
660,278
----------
Healthcare--0.9%
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02............................. 200,000 255,000
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02........................ 200,000 223,000
Total Renal Care, Inc., 0%/12% Sr. Sub.
Disc. Nts., 6/15/04/(7)/.................. 205,500 200,900
----------
678,900
----------
Hotel/Gaming--2.1%
Grand Casinos, Inc., 10.125% Gtd. First
Mtg. Nts., 12/1/03........................ 250,000 258,750
HMC Acquisition Properties, Inc. 9%
Sr. Nts., 12/15/07........................ 150,000 138,375
Majestic Star Casino LLC (The),
12.75% Sr. Sec. Nts., 5/15/03/(2)/........ 100,000 108,500
Mohegan Tribal Gaming Authority,
13.50% Sr. Sec. Nts., 11/15/02/(2)/....... 100,000 126,000
Players International, Inc. 10.875% Sr.
Nts., 4/15/05............................. 150,000 152,625
Showboat Marina Casino
Partnership/Showboat Marina Finance
Corp., 13.50% First Mtg. Nts.,
3/15/03/(2)/.............................. 150,000 162,000
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03.............................. 100,000 98,500
Trump Atlantic City Associates/Trump
Atlantic City Funding, Inc., 11.25%
First Mtg. Nts., 5/1/06................... 600,000 606,000
----------
1,650,750
----------
Restaurants--0.6%
Carrols Corp., 11.50% Sr. Nts., 8/15/03.... 100,000 102,000
Foodmaker Inc.:
9.25% Sr. Nts., 3/1/99..................... 100,000 98,750
9.75% Sr. Sub. Nts., 6/1/02................ 300,000 289,500
----------
490,250
----------
Textile/Apparel--0.7%
Clark-Schwebel, Inc., 10.50% Sr. Nts.,
4/15/06/(2)/.............................. 100,000 102,500
PT Polysindo Eka Perkasa, Zero Coupon
Promissory Nts.:
17.90%, 10/23/96/(5)/ IDR.................. 300,000,000 121,455
19.348%, 4/29/97/(5)/ IDR.................. 560,000,000 205,339
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02....................... 100,000 106,250
----------
535,544
----------
Energy--1.9%
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02.............................. 150,000 157,500
Falcon Drilling, Inc., 8.875% Sr. Nts.,
Series B, 3/15/03......................... 200,000 193,250
Mesa Operating Co., 10.625% Gtd. Sr.
Sub. Nts., 7/1/06/(4)/.................... 250,000 253,906
Petroleum Heat & Power Co., Inc.:
12.25% Sub. Debs., 2/1/05.................. 64,000 70,720
9.375% Sub. Debs., 2/1/06.................. 200,000 189,000
Plains Resources, Inc., 10.25% Sr. Sub.
Nts., 3/15/06/(2)/........................ 200,000 200,000
Triton Energy Corp., Zero Coupon Sr.
Sub. Disc. Nts., 10.493%, 11/1/97/(5)/.... 100,000 90,500
United Meridian Corp., 10.375% Sr. Sub.
Nts., 10/15/05............................ 200,000 205,750
Vintage Petroleum, Inc., 9% Sr. Sub.
Nts., 12/15/05............................ 100,000 94,500
----------
1,455,126
----------
</TABLE>
<PAGE>
Oppenheimer Variable Account funds - Oppenheimer Stategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/1/ (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Financial Services - 3.0%
Banks & Thrifts - 2.0%
Banco Bamerindus do Brasil SA:
10.50% Debs., 6/23/97........................ $ 100,000 $ 96,750
11% Sr. Unsub. Unsec. Bonds, 10/6/97......... 100,000 96,750
Banco Ganadero SA, Zero Coupon Nts.,
9.931%, 7/1/96 /(2)//(5)/................... 100,000 100,000
Banco Mexicano SA, 8% Sr. Unsub.
Unsec. Exchangeble Medium-Term Nts.,
11/4/98..................................... 200,000 190,000
First Nationwide (Parent) Holdings, Inc.,
12.50% Sr. Nts., 4/15/03.................... 200,000 209,500
PT Hutama Karya, Zero Coupon
Medium-Term Nts., 17.514%,
3/19/97 IDR................................. 400,000,000 152,578
PT Inti Indoryan Utama, Zero Coupon
Promissory Nts., 22.098%
2/12/97 /5/ IDR............................. 1,400,000,000 543,688
Transpower Finance Ltd., 8% Gtd. Unsec
Unsub. Bonds:
2/15/01 /6/ NZD............................. 125,000 80,952
3/15/02 NZD................................. 125,000 81,007
----------
1,551,225
----------
Diversified Financial - 0.9%
Banco del Atlantico SA, 7.875%
Eurobonds. 11/5/98.......................... 320,000 301,200
GPA Delaware, Inc., 8.75% Gld. Nts.,
12/15/98.................................... 300,000 300,000
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00...................................... 100,000 108,000
----------
709,200
----------
Insurance - 0.1%
Terra Nova Insurance (UK) Holdings
PLC 10.75% Sr. Nts., 7/1/05................. 100,000 111,500
----------
Housing Related - 0.5%
Building Materials - 0.1%
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03...................................... 100,000 97,750
----------
Homebuilders/Real Estate - 0.4%
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Sec. Nts., Series B.
4/1/02...................................... 100,000 103,000
Tribasa Toll Road Trust, 10.5% Nts.,
Series 1993-A, 12/1/11 /(2)/................ 250,000 190,000
----------
293,000
----------
Manufacturing - 0.8%
Aerospace/Electronics/Computers - 0.5%
Communications & Power Industries,
Inc., 12% Sr. Sub. Nts., 8/1/05............. 200,000 212,500
Rohr, Inc., 11.625% Sr. Nts., 5/15/03........ 100,000 110,500
Unisys Corp., 15% Credit Sensitive Nts.,
7/1/97 /3/.................................. 50,000 53,375
----------
376,375
----------
Automotive - 0.3%
Foamex LP/Foamex Capital Corp.,
11.25% Sr. Nts., 10/1/02.................... 100,000 103,500
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04...................................... 150,000 140,250
----------
243,750
----------
Media - 5.6%
Broadcasting - 1.3%
Argie Television, Inc., 9.75% Sr. Sub.
Nts., 11/1/05............................... 100,000 94,250
New City Communications, Inc.,
11.375% Sr. Sub. Nts., 11/1/03.............. 50,000 55,250
Paxson Communications Corp., 11.625%
Sr. Sub. Nts., 10/1/02...................... 250,000 261,250
SFX Broadcasting, Inc., 10.75% Sr.
Sub. Nts., 5/15/06 /2/...................... 300,000 300,000
Sinclair Broadcast Group, Inc., 10% Sr.
Sub. Nts., 12/15/03......................... 100,000 96,500
Young Broadcasting, Inc., 9% Sr. Sub.
Nts., 1/15/06............................... 200,000 179,000
----------
986,250
----------
Cable Television - 3.1%
American Telecasting, Inc., 0%/14.50%
Sr. Disc. Nts., 6/15/04 /7/................. 322,737 225,916
Australis Media Ltd., Units (each unit
consists of $1,000 principal amount of
0%/14/% sr. sub. disc. nts., 5/15/03 and
one warrant to purchase 57.721
ordinary shares)/7//8/...................... 600,000 360,000
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04 /7/..................... 200,000 141,000
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04.......................... 100,000 103,500
Continental Cablevision, Inc., 11% Sr.
Sub. Debs., 6/1/07.......................... 300,000 339,955
EchoStar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04 /7/....... 200,000 146,000
Fundy Cable Ltd./Lte, 11% Sr. Sec.
Second Priority Nts., 11/15/05.............. 100,000 101,750
International CableTel, Inc., 0%/11.50%
Sr. Deferred Coupon Nts., Series A,
2/1/06 /7/.................................. 360,000 203,400
Marcus Cable Operating Co.
LP/Marcus Cable Capital Corp.,
0%/13.50% Sr. Sub. Gtd. Disc. Nts.,
Series II, 6/1/04 /7/....................... 200,000 144,000
Rogers Cablesystems Ltd., 10% Sr. Sec.
Second Priority Debs., 12/1/07.............. 300,000 293,250
TeleWest PLC, 0%/11% Sr. Disc. Debs,.
10/1/07 /7/................................. 200,000 119,000
United International Holdings, Inc. Zero
Coupon Sr. Sec. Disc. Nts., 12.544%,
11/15/99 /5/................................ 200,000 132,000
Videotron Holdings PLC, 0%/11% Sr.
Disc. Nts., 8/15/05 /7/..................... 150,000 98,250
----------
2,408,021
----------
Diversified Media - 1.0%
Ackerley Communications, Inc., 10.75% Sr.
Sec. Nts., Series A, 10/1/03................. 200,000 208,250
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03............................... 150,000 154,125
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03..................................... 100,000 104,000
Panamsat LP/Panamast Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00................. 150,000 156,000
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23..... 200,000 194,726
----------
817,101
----------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENT (Continued)
June 30, 1996
(unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Media (Continued)
Entertainment/Film -- 0.2%
Imax Corp. 7% Sr. Nts., 3/1/01 /(9)/............. $ 200,000 $ 196,000
------------
Other - 0.4%
Conglomerates - 0.3%
MacAndrews & Forbes Holdings, Inc.
13% Sub. Debs., 3/1/99.......................... 175,000 172,594
Talley Industries. Inc., 0% 12.25% Sr.
Disc. Debs., 10/15/05 /(7)/....................... 86,000 68,800
------------
241,394
------------
Services - 0.1%
Borg-Warner Security Corp., 9.125% Sr.
Sub. Nts. 5/1/03............................... 100,000 93,750
------------
Retail - 0.8%
Specialty Retailing - 0.2%
Eye Care Centers of America. Inc., 12%
Sr. Nts., 10/1/03.............................. 70,000 72,450
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03................................... 100,000 100,500
------------
172,950
------------
Supermarkets - 0.6%
Grand Union Co., 12% Sr. Nts., 9/1/04........... 200,000 187,750
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99......................... 100,000 108,125
Ralph's Grocery Co., 10.45% Sr. Nts.,
6/15/04 /(2)/................................. 200,000 192,500
------------
488,375
------------
Transportation - 0.6%
Air Transportation - 0.4%
American International Group, Inc.
11.70% Unsec. Unsub. Bonds, 12/4/01 ITL 90,000,000 65,756
Atlas Air, Inc., 12.25% Pass-Through
Certificates, 12/1/02.......................... 250,000 273,125
------------
338,881
------------
Railroads - 0.2%
Transtar Holdings LP/Transtar Capital
Corp., 0% 13.375% Sr. Disc. Nts.,
Series B, 12/15/03 /(7)/....................... 200,000 138,000
------------
Utilities - 6.8%
Electric Utilities - 1.0%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17.......... 199,000 161,688
El Paso Electric Co., 9.40% First Mtg.
Bonds, Series E, 5/1/11........................ 250,000 249,375
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1866A, 1/15/14........ 200,000 210,500
New Zealand Electric Corp., 10% Debs.,
10/15/01 NZD................................. 250,000 175,739
------------
797,302
------------
Telecommunications - 5.8%
A+ Network, Inc., 11.875% Sr. Sub. Nts.,
11/1/05........................................ 200,000 208,000
American Communications Services, Inc.,
0% 12.75% Sr. Disc. Nts., 4/1/06 /(7)/......... 300,000 157,500
Arch Communications Group, Inc.,
0%10.875% Sr. Disc. Nts., 3/15/08 /(7)/........ 200,000 104,000
Call-Net Enterprises, Inc., 0%/13.25% Sr.
Disc. Nts., 12/1/04 /(7)/...................... 200,000 148,500
Celcaribe SA 0%/13.50% Sr. Sec. Nts.,
3/15/04 /(7)/................................. 150,000 123,375
</TABLE>
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Utilities (Continued)
Telecommunications (Continued)
Cellular Communications International,
Inc. Zero Coupon Sr. Disc. Nts.,
22.83%, 8/15/00 /(5)/.......................... $ 550,000 $ 343,750
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.,
Nts., 9/1/13 /(7)/............................. 50,000 39,250
Communicacion Celular SA, 0%/13.125%
Sr. Deferred Coupon Bonds,
11/15/03 /(7)/................................. 200,000 129,000
Geotek Communications, Inc.,
0%/15% Sr. Sec. Disc. Nts., 7/15/05 /(7)/....... 250,000 159,375
12% Cv. Sr. Sub. Nts., 2/15/01.................. 250,000 350,000
GST Telecommunications, Inc.,
0%/13.875 Cv. Sr. Sub. Disc. Nts.,
12/15/05 /(2)//(7)/............................ 25,000 24,761
GST USA, Inc., 0%/13.875% Bonds,
12/15/05 /(7)/................................. 200,000 116,000
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00 /(7)/...................... 250,000 235,625
Hyperlon Telecommunications, Inc., Units
(each unit consists of $1,000 principal
amount of 0%/13% sr. disc. nts., 4/15/03
and one warrant to purchase 1.8645
shares of common stock)/(2)//(7)//(6)/......... 300,000 169,500
In-Flight Phone Corp., 0%/14% Sr. Disc.
Nts., 5/15/02 /(7)/............................ 200,000 71,500
IntelCom Group (USA), Inc.,
0%/12.50% gtd. Sr. Disc. Nts.,
5/1/06 /(2)//(7)/.............................. 370,000 202,575
0%/13.50% Sr. Disc. Nts.,9/15/05 /(7)/.......... 250,000 150,625
InterCel, Inc., 0%/12% Sr. Disc. Nts.,
5/1/06 /(7)/................................... 300,000 165,000
MFS Communications Co., Inc.,
0%/8.875% Sr. Disc. Nts., 1/15/06 /(7)/......... 550,000 334,125
0%/9.375% Sr. Disc. Nts., 1/15/04 /(7)/......... 200,000 152,000
NEXTLINK Communications
LLC/NEXTLINK Capital, Inc., 12.50%
Sr. Nts., 4/15/06 /(2)/........................ 200,000 200,000
Occidente y Caribe Celular SA, Units
(each unit consists of $1,000 principal
amount of 0%/14% sr. disc. nts.,
3/15/04 and one warrant to purchase
5.709 ordinary shares)/(2)//(7)//(8)/.......... 200,000 103,500
Petersburg Long Distance, Inc., Units
(each unit consists of $1,000 principal
amount of 0%/14% sr. disc. nts.,
6/1/04 and one warrant to purchase 34
ordinary shares)/(2)//(7)//(8)/................ 300,000 237,000
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01 /(7)/................ 300,000 273,000
Teleport Communications Group, Inc.,
0%/11.125% Sr. Disc. Nts., 7/1/07 /(4)//(7)/... 300,000 174,750
USA Mobile Communications, Inc. II,
14% Sr. Nts., 11/1/04.......................... 150,000 173,250
------------
4,545,981
------------
Total Corporate Bonds and Notes
(Cost $22,332,402).............................. 22,727,634
------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks - 0.8%
Celcaribe SA /2/ /10/........................ 24,390 $ 41,463
EchoStar Communications Corp., Cl. A /(10)/.. 1,750 49,438
El Paso Electric Co. /10/.................... 4,954 29,724
Gillett Holdings, Inc. /6/ /10/.............. 15,000 450,000
GST Telecommunications, Inc. /10/............ 2,800 36,750
IntelCom Group, Inc. /10/.................... 1,400 35,000
United International Holdings, Inc., CL
A /(10)/.................................... 1,000 13,750
------------
Total Common Stocks
(Cost $485,351) 656,125
------------
Preferred Stocks - 2.3%
BankAmerica Corp., 8.375%, Series K.......... 7,000 178,500
Cablevision Systems Corp., 8.50% Cum. Cv.,
Series I.................................... 6,000 156,000
California Federal Bank, 10.625% Non-Cum.,
Series B.................................... 2,000 219,000
Earthwatch, Inc., 12% Cv. Sr. Preferred
Stock, Series C /2/ /11/.................... 10,000 103,500
El Paso Electric Co., 11.40% Series A
Preferred Stock /10/ /11/................... 1,000 105,000
First Nationwide Bank, 11.50% Non-Cum........ 2,000 219,000
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E...................... 1,000 48,000
Kelly Oil & Gas Corp., $2.625 Cv. ........... 1,000 22,250
Prime Retail, Inc., $19.00 Cv., Series B..... 6,000 108,000
SDW Holdings Corp., 15% Cum. Sr.
Exchangeable Preferred Stock /2/ /10/....... 3,750 118,125
Time Warner, Inc., 10.25% Cum., Series K,
Exchangeable Preferred Stock /2/ /11/....... 250 245,000
Walden Residential Properties, Inc., 9.16%
Cv., Series A............................... 10,000 247,500
------------
Total Preferred Stocks
(Cost $1,737,693)........................... 1,769,875
------------
<CAPTION>
Units
-----
<S> <C> <C>
Rights, Warrants and Certificates - 0.1%
American Telecasting, Inc., Wts., Exp. 6/99.. 1,500 9,000
Cellular Communications International,
Inc. Wts., Exp. 8/03........................ 300 4,500
Communication Cellular SA Wts., Exp.
11/03 /2/................................... 200 1,000
Eye Care Centers of America, Inc. Wts.,
Exp. 10/03 /2/.............................. 70 350
Geotek Communications, Inc. Wts., Exp.
7/05 /2/.................................... 7,500 52,500
Icon Health & Fitness, Inc. Wts., Exp.
11/99 /2/................................... 200 5,000
In-Flight Phone Corp. Wts., Exp. 8/02 /2/.... 200 -
IntelCom Group, Inc. Wts., Exp. 9/05 /2/..... 825 15,881
SDW Holdings Corp., Cl. B Wts., Exp.
12/06 /2/................................... 375 4,875
Terex Corp. Rts., Exp. 7/96 /2/.............. 36 2
United International Securities Ltd. Wts.,
Exp. 11/99.................................. 200 5,800
------------
Total Rights, Warrants and Certificates
(Cost $11,014).............................. 98,908
------------
<CAPTION>
Principal Market Value
Amount /1/ (Note 1)
------ ------------
<S> <C> <C>
Structured Instruments - 2.1%
Bayerische Landesbank Girozentrale,
New York Branch, 14% CD Linked NTS.,
12/17/96 (indexed to the cross
currency rates of Greek Drachma and
European Currency Unit).................... $ 650,000 $ 651,040
Bayerische Landesbank Girozentrale,
New York Branch, 5.60% CD Linked
Nts., 1/30/97 (indexed to the closing
Nikkei 225 Index on 1/23/97, 10 yr.
Japanese Yen swap rate and New
Zealand Dollar on 1/28/97) NZD............ 60,340 44,788
Canadian Imperial Bank of Commerce,
New York Branch, 14% CD Linked Nts.,
11/25/96 (indexed to the cross
currency rates of Greek Drachma and
European Currency Unit).................... 150,000 147,195
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, 5.469%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust) /6/................... 208,695 193,565
Swiss Bank Corp., New York Branch,
6.60% CD Linked Nts., 1/30/97
(indexed to the closing Nikkei 225
Index On 1/23/97) NZD..................... 362,428 273,240
United Mexican States Linked Nts.
(indexed to the greater of Cetes Option
Amount or USD LIBOR Option
Amount, 11/27/96) /2/...................... 300,000 348,000
------------
Total Structured Instruments
(Cost $1,588,826).......................... 1,657,828
------------
Repurchase Agreement - 5.7%
Repurchase agreement with First Chicago
Capital Markets, 5.45%, dated 6/28/96, to
be repurchased at $4,502,044 on 7/1/96,
collateralized by U.S. Treasury Bonds,
6.25%-11.25%, 2/15/07-8/15/23, with a
value of $3,016,773, and U.S. Treasury
Nts., 4.75%-7.875%, 9/30/97-2/15/05,
with a value of $1,574,324 (Cost
$4,500,000)................................ 4,500,000 4,500,000
------------
Total Investments at Value
(Cost $177,701,887)........................ 100.0% 78,632,872
------ ------------
Liabilities in Excess of Other Assets....... (0.0) (6,707)
----- ------------
Net Assets.................................. 100.0% $ 78,626,165
====== ============
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
/(1)/ Principal amount is reported in U.S. Dollars, except for those denoted in
the following currencies:
AUD - Australian Dollar IDR - Indonesian Rupiah
CAD - Canadian Dollar ITL - Italian Lira
CZK - Czech Koruna JPY - Japanese Yen
DEM - German Deutsche Mark MXP - Mexican Peso
ESP - Spanish Paseta NZD - New Zealand dollar
FIM - Finnish Markka PLZ - Polish Zloty
GBP - British Pound Sterling SEK - Swedish Krona
/(2)/ 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 $5,185,437 or 6.60% of the Fund's
net assets at June 30, 1996.
/(3)/ Represents the current interest rate for a variable rate security.
/(4)/ When-issued security to be delivered and settled after June 30, 1996.
/(5)/ For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
/(6)/ Identifies issues considered to be illiquid - See applicable note of Notes
to Financial Statements.
/(7)/ Denotes a step bond: 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. For units
which represent debt securities, principal amount disclosed represents
total underlying principal.
/(9)/ Represents the current interest rate for an increasing rate security.
/(10)/ Non-income producing security.
/(11)/ Interest or dividend is paid in kind.
/(12)/ A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
Contracts/
Principal
Subject Expiration Exercise Premium Market Value
to Call Date Price Received (Note 1)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Call option on Czech Koruna 1,200,000 9/6/96 28.357/CZK/ $ 16,080 $ 29,556
Call option on Mexican Peso 630,000 8/5/96 8.03/MXP/ 16,947 22,425
Call option on Morocco (Kingdom of) Loan
Participation Agreement, Tranche A
6.437%, 1/1/09 150,000 7/12/96 $71.25 1,425 1,845
-------- --------
$ 34,452 $53,826
-------- --------
</TABLE>
/(13)/ Securities with an aggregate market value of $182,866 are held in
collateralized accounts to cover initial margin requirements on open
futures sales contracts. See applicable note of Notes to Financial
Statements.
See accompanying Notes to Financial Statements.
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth & Income Fund
STATEMENT OF INVESTMENTS
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
--------- ------------
<S> <C> <C>
Non-Convertible Corporate Bonds
and Notes - 0.7%
Penn Traffic Co., 11.50% Sr. Nts.,
4/15/06 (Cost $154,500)................. $ 150,000 $ 139,875
------------
Convertible Corporate Bonds and Notes - 9.0%
ALZA Corp., 5% Cv. Sub. Debs., 5/1/06.... 200,000 194,500
Apple Computer, Inc., 6% Cv. Sub. Nts.,
6/1/01/(1)/............................. 200,000 196,750
Continental Airlines, Inc., 6.75% Cv.
Sub. Nts., 4/15/06/(1)/................. 150,000 180,000
Corporate Express, Inc., 4.50% Cv. Nts.,
7/1/00/(1)/............................. 200,000 199,000
Jacor Communications, Inc., Zero
Coupon Cv. Sr. Nts., 5.50%, 6/12/11/(2)/ 250,000 116,562
Nabors Industries, Inc., 5% Cv. Sub.
Nts., 5/15/06........................... 200,000 224,000
Softkey International, Inc., 5.50% Cv.
Sr. Nts., 11/1/00....................... 150,000 120,750
Time Warner, Inc., Zero Coupon Cv. Sr.
Sub. Nts., 5.124%, 6/22/13/(2)/......... 500,000 205,625
U.S. Office Products Co., 5.50% Cv.
Sub. Nts., 5/15/03/(1)/................. 250,000 253,125
Williams-Sonoma, Inc., 5.25% Cv. Sub.
Nts., 4/15/03/(1)/...................... 225,000 240,188
------------
Total Convertible Corporate Bonds and
Notes (Cost $1,875,865).................. 1,930,500
------------
<CAPTION>
Shares
------
<S> <C> <C>
Common Stocks - 65.7%
Basic Materials - 4.0%
Chemicals - 3.1%
IMC Global, Inc.......................... 6,000 225,750
Monsanto Co.............................. 2,500 81,250
Potash Corp. of Saskatchewan, Inc........ 2,000 132,500
W.R. Grace & Co.......................... 3,000 212,625
------------
652,125
------------
Metals - 0.9%
Allegheny Ludlum Corp.................... 2,000 37,750
Century Aluminum Co./(3)/................ 10,000 157,500
------------
195,250
------------
Consumer Cyclicals - 12.3%
Autos & Housing - 0.8%
Ford Motor Co............................ 1,500 48,562
ITI Technologies, Inc./(3)/.............. 4,000 132,000
------------
180,562
------------
Leisure & Entertainment - 5.5%
Delta Air Lines, Inc..................... 3,500 290,500
Disney (Walt) Co......................... 1,250 78,594
Eastman Kodak Co......................... 1,500 116,625
Gaylord Entertainment Co., Cl. A......... 2,100 59,325
Grand Casinos, Inc./(3)/................. 2,000 51,500
ITT Corp. (New)/(3)/..................... 2,500 165,625
Suburban Lodges of America, Inc./(3)/.... 2,000 46,250
U S West Media Group/(3)/................ 8,000 146,000
Wendy's International, Inc............... 5,000 93,125
Western Pacific Airlines, Inc./(3)/...... 8,250 117,562
------------
1,165,106
------------
Media - 3.6%
Comcast Corp., Cl. A Special............. 8,000 148,000
Infinity Broadcasting Corp., Cl. A/(3)/.. 3,500 105,000
Viacom, Inc., Cl. B/(3)/................. 8,250 320,719
World Color Press, Inc./(3)/............. 7,500 190,312
------------
764,031
------------
Retail: General - 1.0%
Dillard Department Stores, Inc., Cl. A... 1,500 54,750
Donna Karan International, Inc........... 3,600 100,800
Warnaco Group, Inc. (The), Cl. A......... 2,000 51,500
------------
207,050
------------
Retail: Specialty - 1.4%
Circuit City Stores, Inc................. 1,500 54,187
MicroAge, Inc./(3)/...................... 8,500 115,812
Neostar Retail Group, Inc./(3)/.......... 10,000 51,250
The Limited, Inc......................... 3,500 75,250
------------
296,499
------------
Consumer Non-Cyclicals - 11.4%
Beverages - 0.4%
Cott Corp................................ 10,000 93,750
------------
Healthcare/Drugs - 1.2%
Astra AB Free, Series A.................. 1,500 66,235
Schering-Plough Corp..................... 3,000 188,250
------------
254,485
------------
Healthcare/Supplies & Services - 6.2%
American Medical Response, Inc........... 2,750 96,937
Arterial Vascular Engineering, Inc./(3)/. 2,000 72,500
Baxter International, Inc................ 3,000 141,750
Boston Scientific Corp./(3)/............. 4,500 202,500
Columbia/HCA Healthcare Corp............. 3,500 186,812
Mid Atlantic Medical Services/(3)/....... 2,500 35,625
St. Jude Medical, Inc./(3)/.............. 4,000 134,000
Tenet Healthcare Corp./(3)/.............. 10,500 224,437
United Healthcare Corp................... 4,500 227,250
------------
1,321,811
------------
Household Goods - 1.5%
Kimberly-Clark Corp...................... 3,500 270,375
Premark International, Inc............... 1,000 18,500
Tupperware Corp./(3)/.................... 1,000 42,250
------------
331,125
------------
Tobacco - 2.1%
Philip Morris Cos., Inc.................. 4,250 442,000
------------
Energy - 1.7%
Energy Services & Producers - 1.1%
Apache Corp.............................. 4,000 131,500
GeoScience Corp./(3)/.................... 7,500 105,000
------------
236,500
------------
Oil-Integrated - 0.6%
Chevron Corp............................. 1,000 59,000
USX-Marathon Group....................... 4,000 80,500
------------
139,500
------------
Financial - 13.0%
Banks - 5.6%
Chase Manhattan Corp. (New).............. 4,000 282,500
Citicorp................................. 2,500 206,562
Coast Savings Financial, Inc./(3)/....... 5,000 163,750
Commercial Federal Corp.................. 1,250 47,812
CoreStates Financial Corp................ 2,500 96,250
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth & Income Fund
STATEMENT OF INVESTMENTS (CONTINUED)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
--------- ------------
<S> <C> <C>
Common Stocks (Continued)
Financial (Continued)
Banks (Continued)
First Chicago NBD Corp................... 1,250 $ 48,906
Fleet Financial Group, Inc............... 5,750 250,125
Great Western Financial Corp............. 4,000 95,500
------------
1,191,405
------------
Diversified Financial - 3.4%
American Express Co...................... 5,000 223,125
Associates First Capital Corp.,
Cl. A/(3)/.............................. 500 18,812
Countrywide Credit Industries, Inc....... 2,500 61,875
Dean Witter, Discover & Co............... 1,250 71,563
Federal National Mortgage Assn........... 1,500 50,250
PMI Group, Inc. (The).................... 3,000 127,500
Travelers Group, Inc..................... 3,750 171,094
------------
724,219
------------
Insurance - 4.0%
Allstate Corp............................ 8,000 365,000
Equitable of Iowa Cos., Inc.............. 750 26,625
Everest Reinsurance Holdings, Inc........ 10,000 258,750
IPC Holdings Ltd......................... 10,000 201,250
------------
851,625
------------
Industrial - 4.1%
Electrical Equipment - 0.4%
Honeywell, Inc........................... 1,750 95,375
------------
Industrial Materials - 1.0%
BMC West Corp./(3)/...................... 12,000 205,500
------------
Industrial Services - 0.5%
DecisionOne Holdings Corp./(3)/.......... 5,000 118,750
------------
Manufacturing - 1.7%
American Standard Cos., Inc./(3)/........ 11,000 363,000
------------
Transportation - 0.5%
Tranz Rail Holdings Ltd., Sponsored
ADR/(3)/................................ 7,500 104,063
------------
Technology - 18.2%
Aerospace/Defense - 2.9%
Boeing Co................................ 1,600 139,400
Northrop Grumman Corp.................... 1,700 115,813
Rockwell International Corp.............. 3,000 171,750
TRW, Inc................................. 2,100 188,738
------------
615,701
------------
Computer Hardware - 7.4%
Cabletron Systems, Inc./(3)/............. 2,500 171,563
Compaq Computer Corp./(3)/............... 1,250 61,563
Digital Equipment Corp./(3)/............. 6,750 303,750
International Business Machines Corp..... 5,000 495,000
Lexmark International Group, Inc.,
Cl. A/(3)/.............................. 5,000 100,625
Seagate Technology, Inc./(3)/............ 6,500 292,500
Sun Microsystems, Inc./(3)/.............. 2,500 147,188
------------
1,572,189
------------
Computer Software - 3.4%
Nintendo Co. Ltd......................... 2,900 215,752
PLATINUM Technology, Inc./(3)/........... 8,000 121,000
Structural Dynamics Research
Corp./(3)/.............................. 11,000 242,000
Sybase, Inc./(3)/........................ 1,500 35,438
Worldtalk Corp./(3)/..................... 10,000 122,500
------------
736,690
------------
Electronics - 3.6%
DuPont Photomasks, Inc./(3)/............. 5,800 118,900
Hewlett-Packard Co....................... 1,000 99,625
Intel Corp............................... 1,500 110,156
LSI Logic Corp./(3)/..................... 4,000 104,000
Nokia Corp., Preference.................. 2,500 92,500
Teradyne, Inc./(3)/...................... 2,750 47,438
Texas Instruments, Inc./(4)/............. 750 37,406
Waters Corp./(3)/........................ 5,000 165,000
------------
775,025
------------
Telecommunications-Technology - 0.9%
Bay Networks, Inc./(3)/.................. 1,000 25,750
Cisco Systems, Inc./(3)/................. 2,000 113,250
Mobile Telecommunication Technologies
Corp./(3)/.............................. 3,000 43,875
------------
182,875
------------
Utilities - 1.0%
Telephone Utilities - 1.0%
Teleport Communications Group, Inc.,
Cl. A................................... 7,100 135,788
Western Wireless Corp./(3)/.............. 3,500 74,813
------------
210,601
------------
Total Common Stocks
(Cost $13,523,070)....................... 14,026,812
------------
Preferred Stocks - 6.2%
Cablevision Systems Corp., 8.50% Cum.
Cv., Series I........................... 4,000 104,000
K-Mart Financing I, 7.75% Cv.
Preferred Stock(3)...................... 5,000 271,250
Noram Financing I, 6.25% Cv. Preferred
Stock................................... 5,000 271,250
SFX Broadcasting, Inc., 6.50% Cv.
Preferred/(1)//(3)/..................... 5,000 261,250
Trans World Airlines, Inc., 8% Cum.
Cv. Exchangeable Preferred Stock/(1)/... 8,500 415,437
------------
Total Preferred Stocks
(Cost $1,285,064)........................ 1,323,187
------------
Other Securities - 6.0%
Alco Standard Corp., $5.04 Depositary
Shares each representing 1/100 of a share
of Conversion Preferred Stock, Series BB,
Automatically Convertible Equity
Securities.............................. 1250 103,750
AnnTaylor Finance Trust, 8.50% Cv.
Trust Originated Preferred
Securities(1)(3)........................ 5,000 298,125
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth & Income Fund
STATEMENT OF INVESTMENTS (Continued)
June 30, 1996
(Unaudited)
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
--------- ------------
<S> <C> <C>
Other Securities (Continued)
Elsag Bailey Financing Trust, 5.50%
Cv. Trust Originated Preferred
Securities/(1)/......................... 2,000 $ 99,000
James River Corp. of Virginia,
Depositary Shares each representing a
one-hundredth interest in a share of
Series P, 9% Cum. Cv. Preferred
Stock, Dividend Enhanced Convertible
Stock................................... 3,000 75,750
Merrill Lynch & Co., 7.25% Structured
Yield Product Exchangeable for
Stock/(3)/.............................. 4,000 226,500
Merrill Lynch & Co., Inc., 6% Cv.
Preferred, Structured Yield Product
Exchangeable for Cox Communications,
Inc., Common Stock/(3)/................. 5,000 110,625
Salomon, Inc., 7.625% Cv. Preferred,
Debt Exchangeable for Common Stock...... 6,800 187,000
Westinghouse Electric Corp.,
Participating Equity Preferred Shares,
$1.30 Cv., Series C/(1)/............... 10,000 176,250
------------
Total Other Securities
(Cost $1,220,258)........................ 1,277,000
------------
<CAPTION>
Principal Market Value
Amount (Note 1)
--------- ------------
<S> <C> <C>
Repurchase Agreements - 15.5%
Repurchase agreement with First
Chicago Capital Markets, 5.45%, dated
6/28/96, to be repurchased at $3,301,499
on 7/1/96, collateralized by U.S. Treasury
Bonds, 6.25%-11.25%, 2/15/07-8/15/23,
with a value of $2,212,300 and U.S.
Treasury Nts., 4.75%-7.875%, 9/30/97-
2/15/05, with a value of $1,154,505
(Cost $3,300,000)....................... $ 3,300,000 $ 3,300,000
------------
Total Investments, at Value
(Cost $21,358,757)....................... 103.1% 21,997,374
------ ------------
Liabilities in Excess of Other
Assets.................................... (3.1) (664,683)
------ ------------
Net Assets................................ 100.0% $ 21,332,691
====== ============
</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 $2,319,125 or 10.87% of the
Fund's net assets, at June 30, 1996.
/(2)/ For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
/(3)/ Non-income producing security.
/(4)/ A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
Shares
Subject Expiration Exercise Premium Market Value
to Call Date Price Received (Note 1)
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Texas Instruments, Inc., Call Opt....... 700 7/96 $ 50.00 $ 4,537 $ 1,138
</TABLE>
See accompanying Notes to Financial Statements.
<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), Oppenheimer Strategic Bond Fund
(OSBF) and Oppenheimer Growth & Income Fund (OGIF) (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 OppenheimerFunds, Inc. (the Manager). The following is a summary of
significant accounting policies consistently followed by the Funds. The
Funds' objectives are as follows:
Oppenheimer Money Fund seeks the maximum current income from investments in
"money market" securities consistent with low capital risk and the
maintenance of liquidity.
Oppenheimer High Income Fund seeks a high level of current income from
investments in high yield fixed income securities.
Oppenheimer Bond Fund primarily seeks a high level of current income from
investments in high yield fixed income securities rated "Baa" or better by
Moody's or "BBB" or better by Standard & Poor's. Secondarily, this Fund
seeks capital growth when consistent with its primary objective.
Oppenheimer Capital Appreciation Fund seeks to achieve capital appreciation
by investing in "growth-type" companies.
Oppenheimer Growth Fund seeks to achieve capital appreciation by investing
in securities of well-known established companies.
Oppenheimer Multiple Strategies Fund seeks a total investment return (which
includes current income and capital appreciation in the value of its shares)
from investments in common stocks and other equity securities, bonds and
other debt securities, and "money market" securities.
Oppenheimer Global Securities Fund seeks long-term capital appreciation by
investing a substantial portion of assets in securities of foreign issuers,
"growth-type" companies, cyclical industries and special institutions which
are considered to have appreciation possibilities.
Oppenheimer Strategic Bond Fund seeks a high level of current income
principally derived from interest on debt securities and seeks to enhance
such income by writing covered call options on: (i) debt securities, (ii)
U.S. Government securities, and (iii) lower-rated high yield domestic debt
securities.
Oppenheimer Growth & Income Fund seeks a high total return (which includes
growth in the value of its shares as well as current income) from equity and
debt securities. From time to time this Fund may focus on small to medium
capitalization common stocks, bonds and convertible securities.
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, OSBF and OGIF are valued at the close of the New York
Stock Exchange 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 and short-term "non-money market" debt securities are
valued by a portfolio pricing service approved by the Board of Trustees.
Such 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 are valued under consistently
applied procedures established by the Board of Trustees to determine fair
value in good faith. Short-term "money market type" 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. Forward foreign currency exchange contracts are
valued based on the closing prices of the forward currency contract rates
in the London foreign exchange markets on a daily basis as provided by a
reliable bank or dealer. 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.
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
B. Securities Purchased on a When-Issued Basis.
Delivery and payment for securities that have been purchased by OHIF, OBF
and OSBF on a forward commitment or when-issued basis can take place a
month or more after the transaction date. During the period, such
securities do not earn interest, are subject to market fluctuation and
may increase or decrease in value prior to their delivery. The Funds
maintain, in segregated accounts with the custodian, assets with a market
value equal to the amount of their purchase commitments. The purchase of
securities on a when-issued or forward commitment basis may increase the
volatility of the Funds' net asset values to the extent the Funds make
such purchases while remaining substantially fully invested.
In connection with their ability to purchase securities on a when-issued
or forward commitment basis, OHIF, OBF and OSBF may enter into mortgage
"dollar-rolls" in which the Funds sell securities for delivery in the
current month and simultaneously contract with the same counterparty to
repurchase similar (same type, coupon and maturity) but not identical
securities on a specified future date. The Funds record each dollar-roll
as a sale and a new purchase transaction. As of June 30, 1996, OHIF and
OSBF had entered into outstanding when-issued or forward commitments of
$3,235,962 and $1,244,208, respectively.
C. Security Credit Risk.
OHIF, OMSF and OSBF invest 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.
D. Foreign Currency Translation.
The accounting records of the Funds are maintained in U.S. dollars.
Prices of securities purchased by OHIF, OBF, OMSF, OGSF, OSBF and OGIF
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.
For OHIF, OBF, OMSF, OGSF, OSBF and OGIF, the effect of changes in
foreign currency exchange rates on investments is separately identified
from the fluctuations arising from changes in market values of securities
held and reported with all other foreign currency gains and losses in the
Funds' Statements of Operations.
E. 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.
F. 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.
G. Distributions to Shareholders.
Dividends and distributions to shareholders of OHIF, OBF, OCAP, OGF,
OMSF, OGSF, OSBF and OGIF 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.
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
H. 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) was recorded by the Funds.
I. 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, OMSF, OGSF,
OSBF and OGIF 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.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities
and disclosure of contingent assets and liabilities of the date of the
financial statements and the reported amounts of income and expenses
during the reporting period. Actual results could differ from those
estimates.
2. SHARES OF BENEFICIAL INTEREST
The 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, 1996 December 31, 1995 June 30, 1996 December 31, 1995
----------------------------- ----------------------------- ---------------------------- ---------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
----------------------------- ----------------------------- ---------------------------- ---------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 191,400,358 $191,400,358 202,748,102 $202,748,102 4,915,849 $53,378,895 5,873,231 $60,932,870
Dividends and
distributions
reinvested 1,901,540 1,901,540 4,222,747 4,222,747 688,571 7,360,821 1,162,957 12,040,152
Redeemed (144,104,487) (144,104,487) (231,260,663) (231,260,663) (3,645,699) (39,808,756) (4,263,757) (44,560,679)
----------------------------- ----------------------------- ---------------------------- ---------------------------
Net increase
(decrease) 49,197,411 $ 49,197,411 (24,289,814) $(24,289,814) 1,958,521 $20,930,960 2,772,431 $28,412,143
============================= ============================= ============================ ===========================
<CAPTION>
Oppenheimer Bond Fund Oppenheimer Capital Appreciation Fund
----------------------------------------------------------- --------------------------------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
June 30, 1996 December 31, 1995 June 30, 1996 December 31, 1995
----------------------------- ----------------------------- ---------------------------- ---------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
----------------------------- ----------------------------- ---------------------------- ---------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sold 10,641,027 $122,534,894 7,311,733 $83,544,442 5,914,854 $217,106,599 8,882,212 $260,650,476
Dividends and
distributions
reinvested 754,523 8,583,660 976,291 11,209,883 643,582 22,422,394 40,594 1,082,642
Redeemed (1,414,825) (16,425,748) (2,972,687) (33,822,108) (3,357,155) (121,975,371) (6,567,729) (191,565,283)
----------------------------- ----------------------------- ---------------------------- ---------------------------
Net increase 9,980,725 $114,692,808 5,315,337 $60,932,217 3,201,281 $117,553,622 2,355,077 $ 70,167,835
============================= ============================= ============================ ===========================
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
Oppenheimer Growth Fund
----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
------------------------------- -----------------------------
Shares Amount Shares Amount
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Sold 2,328,692 $56,424,038 4,302,304 $89,007,340
Dividends and
distributions
reinvested 430,280 10,016,909 95,991 1,795,026
Redeemed (1,763,960) (43,132,311) (2,980,080) (60,949,490)
------------------------------- -----------------------------
Net Increase 975,012 $23,308,636 1,418,215 $29,852,876)
------------------------------- -----------------------------
Oppenheimer Multiple Strategies Fund
----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
------------------------------- -----------------------------
Shares Amount Shares Amount
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Sold 2,802,4046 $41,511,453 6,445,242 $88,771,497
Dividends and
distributions
reinvested 1,394,718 20,348,946 1,818,313 24,783,721
Redeemed (1,695,281) (25,089,068) (4,671,097) (64,421,131)
------------------------------- -----------------------------
Net Increase 2,501,841 $36,771,331 3,592,458 $49,134,087
------------------------------- -----------------------------
Oppenheimer Global Securities Fund
----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
------------------------------- -----------------------------
Shares Amount Shares Amount
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Sold 6,846,766 $107,662,261 11,235,722 $166,766,446
Dividends and
distributions
reinvested -- -- 585,961 8,174,158
Redeemed (1,283,788) (20,065,048) (7,497,205) (112,360,172)
------------------------------- -----------------------------
Net Increase 5,562,978 $87,597,213 4,324,478 $ 62,580,432
------------------------------- -----------------------------
Oppenheimer Strategic Bond Fund
----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
------------------------------- -----------------------------
Shares Amount Shares Amount
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Sold 5,018,279 $24,850,711 9,417,090 $44,897,472
Dividends and
distributions
reinvested 565,134 2,760,329 661,301 3,151,540
Redeemed (1,844,209) (9,111,130) (2,245,623) (10,642,846)
------------------------------- -----------------------------
Net Increase 3,739,204 $18,499,910 7,832,768 $37,406,166
------------------------------- -----------------------------
Oppenheimer Growth & Income Fund
----------------------------------------------------------------
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
------------------------------- -----------------------------
Shares Amount Shares Amount
------------------------------- -----------------------------
<S> <C> <C> <C> <C>
Sold 1,194,344 $16,878,916 358,253 $3,933,459
Dividends and 6,082 86,020 404 4,928
distributions
reinvested
Redeemed (98,746) (1,428,056) (15,863) (181,994)
------------------------------- -----------------------------
Net Increase 1,101,680 $15,336,880 342,794 $3,756,393
------------------------------- -----------------------------
</TABLE>
(1) For the period from July 5, 1995 (commencement of operations) to
December 31, 1995.
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS
At June 30, 1996, net unrealized appreciation or depreciation on investments
and options written consisted of the following:
<TABLE>
<CAPTION>
Oppenheimer
Oppenheimer Oppenheimer Capital Oppenheimer
High Income Bond Appreciation Growth
Fund Fund Fund Fund
--------------------------------------------------------------
<S> <C> <C> <C> <C>
Gross appreciation $ 8,794,461 $ 4,733,340 $ 117,871,439 $ 32,672,573
Gross depreciation (2,106,142) (3,709,869) (12,857,992) (2,020,923)
--------------------------------------------------------------
Net unrealized
appreciation $ 6,688,319 $ 1,023,471 $ 105,013,447 $ 30,651,650
--------------------------------------------------------------
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Multiple Global Strategic Growth &
Strategies Securities Bond Income
Fund Fund Fund Fund
--------------------------------------------------------------
<S> <C> <C> <C> <C>
Gross appreciation $ 56,500,149 $ 61,150,793 $ 1,988,083 $ 1,171,212
Gross depreciation (7,989,109) (10,549,493) (1,076,472) (529,196)
--------------------------------------------------------------
Net unrealized
appreciation $ 48,511,040 $ 50,601,300 $ 911,611 $ 642,016
--------------------------------------------------------------
</TABLE>
4. OPTION ACTIVITY
The Funds (except OMF) may buy and sell put and call options, or write put
and covered call options on portfolio securities in order to produce
incremental earnings or protect against changes in the value of portfolio
securities.
The 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.
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.
Securities designated to cover outstanding call options are noted in the
Statements of Investments where applicable. Shares subject to call,
expiration date, exercise price, premium received and market value are
detailed in a footnote to the Statements of Investments. Options written are
reported as a liability in the Statements of Assets and Liabilities. Gains
and losses are reported in the Statements 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 Funds pay a premium
whether or not the option is exercised. The Funds also have the 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.
<PAGE>
Oppenheimer Variable Account Funds
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OHIF option activity for the six months ended June 30, 1996 was as
follows:
<TABLE>
<CAPTION>
CALL OPTIONS
----------------------------------------------------
Number of Options Amount of Premiums
----------------------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1995 100 $ 1,430
Options written 2,995,422 60,892
Options canceled in closing transactions (990,415) (27,918)
Options expired to exercise (711,177) (13,160)
Options exercised (495,479) (4,069)
----------------------------------------------------
Options outstanding at June 30, 1996 798,451 $17,175
----------------------------------------------------
</TABLE>
OBF option activity for the six months ended June 30, 1996 was as
follows:
<TABLE>
<CAPTION>
CALL OPTIONS
----------------------------------------------------
Number of Options Amount of Premiums
----------------------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1995 -- $ --
Options written 6,637,802 115,114
Options canceled in closing transactions (1,980,331) (47,726)
Options expired prior to excercise (1,450,029) (26,575)
Options exercised (1,195,442) (9,818)
----------------------------------------------------
Options outstanding at June 30, 1996 2,002,000 $ 30,995
----------------------------------------------------
</TABLE>
OMSF option activity for the six months ended June 30, 1996 was as
follows:
<TABLE>
<CAPTION>
CALL OPTIONS
----------------------------------------------------
Number of Options Amount of Premiums
----------------------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1995 3,603 $1,100,095
Options written 3,584 937,173
Options canceled in closing transactions (1,003) (338,500)
Options expired prior to excercise (2,521) (692,359)
Options exercised (678) (196,972)
----------------------------------------------------
Options outstanding at June 30, 1996 2,985 $ 809,437
----------------------------------------------------
</TABLE>
OSBF option activity for the six months ended June 30, 1996 was as
follows:
<TABLE>
<CAPTION>
CALL OPTIONS
----------------------------------------------------
Number of Options Amount of Premiums
----------------------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1995 1,000 $ 14,299
Options written 4,625,262 66,992
Options canceled in closing transactions (1,150) (16,925)
Options expired prior to excercise (1,616,402) (21,688)
Options execised (1,178,560) (8,226)
----------------------------------------------------
Options outstanding at June 30, 1996 1,830,150 $ 34,452
----------------------------------------------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
OGIF option activity for the six months ended June 30, 1996 was as follows:
<TABLE>
<CAPTION>
CALL OPTIONS
-------------------------------------
Number of Options Amount of Premiums
-------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1995 -- $ --
Options written 19 6,301
Options expired prior to exercise (12) (1,764)
-------------------------------------
Options outstanding at June 30, 1996 7 $ 4,537
-------------------------------------
</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 position.
Forward contracts are valued based on the closing prices of the forward
currency contract rates in the London foreign exchange markets on a daily
basis as provided by a reliable bank or dealer. The Funds will realize a gain
or loss upon the closing or settlement of the forward transaction.
Securities held in segregated accounts to cover net exposure on outstanding
forward contracts are noted in the Statements of Investments where
applicable. Unrealized appreciation or depreciation on forward contracts is
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' Statements 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 30,1996, outstanding forward contracts to purchase and sell foreign
currencies were follows:
Oppenheimer High Income Fund
<TABLE>
<CAPTION>
Contract Amount Valuation as of Unrealized Unrealized
Contracts to Purchase Expiration Date (000's) June 30, 1996 Appreciation Depreciation
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Italian Lira (ITL) 5/9/97 628,510 ITL $ 402,139 $ 7,865 $ --
German Deutsche Mark (DEM) 7/1/96 181 DEM 118,685 321 --
--------------- ------------ ------------
$ 520,824 8,186 --
--------------- ------------ ------------
Contracts to Sell
- -----------------------------
Swiss Franc (CHF) 7/18/96-6/26/97 3,145 CHF $ 2,550,344 18,427 8,511
Japanese Yen (JPY) 8/26/96-4/14/97 94,375 JPY 886,549 59,783 --
--------------- ------------ ------------
$ 3,436,893 78,210 8,511
--------------- ------------ ------------
Total Unrealized Appreciation and Depreciation $ 86,396 $ 8,511
------------ ------------
</TABLE>
Oppenheimer Bond Fund
<TABLE>
<CAPTION>
Contract Amount Valuation as of Unrealized Unrealized
Contracts to Purchase Expiration Date (000's) June 30, 1996 Appreciation Depreciation
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Italian Lira (ITL) 5/9/97 671,747 ITL $ 429,803 $ 7,629 --
--------------- ------------ ------------
Contracts to Sell
- -----------------------------
Japanese Yen (JPY) 8/26/96 43,000 JPY $ 396,015 4,749 --
Swiss Franc (CHF) 7/18/96-5/6/97 12,703 CHF 10,233,684 32,135 15,592
--------------- ------------ ------------
$ 10,629,699 36,884 15,592
--------------- ------------ ------------
Total Unrealized Appreciation and Depreciation $ 44,513 $ 15,592
------------ ------------
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
Oppenheimer Global Securities Fund
<TABLE>
<CAPTION>
Contract Amount Valuation as of Unrealized Unrealized
Contracts to Purchase Expiration Date (000's) June 30, 1996 Appreciation Depreciation
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Austrian Schilling (ATS) 7/8/96 10,939 ATS $ 1,021,486 $ 587 $ --
Indonesian Rupiah (IDR) 7/19/96 577,500 IDR 247,097 -- 14
Italian Lira (ITL) 7/4/96 641,785 ITL 418,477 -- 410
Japanese Yen 7/1/96-7/3/96 120,146 JPY 1,095,678 -- 3,702
Norwegian Krone (NOK) 7/1/96-7/2/96 2,268 NOK 349,071 -- 399
South African Rand (ZAR) 7/1/96 15,406 ZAR 3,557,698 3,159 --
Swedish Krona (SEK) 7/1/96 3,726 SEK 561,597 -- 1,056
------------ ------------- -------------
$ 7,251,104 3,746 5,583
------------ ------------- -------------
Contracts to Sell
----------------------------
Argentine Peso (ARP) 7/1/96-7/2/96 267 ARP 267,003 -- 511
French Franc (FRF) 7/31/96 10,133 FRF 1,972,699 -- 15,563
German Deutsche Mark (DEM) 1/8/97 28,680 DEM 19,070,993 929,007 --
Japanese Yen (JPY) 9/30/96 1,475,100 JPY 13,646,090 12,244 --
Swiss Franc (CHF) 10/6/96 17,204 CHF 13,852,776 1,147,222 --
------------ ------------- -------------
$ 48,809,563 2,088,473 16,074
------------ ------------- -------------
Total Unrealized Appreciation and Depreciation $ 2,092,219 $ 21,657
------------- -------------
</TABLE>
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
Contract Amount Valuation as of Unrealized Unrealized
Contracts to Purchase Expiration Date (000's) June 30, 1996 Appreciation Depreciation
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Japanese Yen (JPY) 7/5/96 12,467 JPY $ 113,774 $ -- $ 1,713
------------ ------------ ------------
Contracts to Sell
---------------------------
Australian Dollar (AUD) 7/3/96 22 AUD $ 17,022 -- 36
Finnish Markka (FIM) 8/4/96 4,679 FIM 1,012,159 -- 12,146
Japanese Yen (JPY) 9/5/96-12/18/96 45,175 JPY 421,276 34,104 --
Swiss Franc (CHF) 7/8/96-8/26/96 3,316 CHF 2,656,791 -- 22,191
------------- ------------ ------------
$ 4,107,246 34,104 34,373
------------- ------------ ------------
Total Unrealized Appreciation and Depreciation $ 34,104 $ 36,086
------------ ------------
</TABLE>
6. FUTURES CONTRACTS
The Funds (except OMF) may buy and sell interest rate futures contracts in
order to gain exposure to or protect against changes in interest rates. The
Funds may also buy or write put or call options on these futures contracts.
The Funds generally sell futures contracts to hedge against increases in
interest rates and the resulting negative effect on the value of fixed rate
portfolio securities. The Funds may also purchase futures contracts to gain
exposure to changes in interest rates as it may be more efficient or cost
effective than actually buying fixed income securities.
Upon entering into a futures contract, the Funds are required to deposit
either cash or securities in an amount (initial margin) equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Funds each day. The variation margin payments are
equal to the daily changes in the contract value and are recorded as
unrealized gains and losses. The Funds recognize a realized gain or loss when
the contract is closed or expires.
Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statements of
Investments. The Statements of Assets and Liabilities reflect a receivable or
payable for the daily mark to market for variation margin.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the
value of the contract or option may not correlate with changes in the value
of the underlying securities.
At June 30, 1996, OSBF had outstanding futures contracts to sell debt
securities as follows:
<TABLE>
<CAPTION>
Number of Valuation as of Unrealized
Expiration Date Futures Contracts June 30, 1996 Depreciation
--------------- ----------------- -------------- ----------------
<S> <C> <C> <C> <C>
U.S. Treasury Nts. 9/96 6 $634,500 $ 6,750
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
7. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Trust. For OBF, OCAP, OGF, OMSF, OHIF, OGSF,
OSBF and OGIF, the annual fees are 0.75% of the first $200 million of net
assets, 0.72% of the next $200 million, 0.69% of the next $200 million,
0.66% of the next $200 million and 0.60% of net assets in excess of $800
million. In addition, management fees for OHIF, OBF, and OSBF are 0.50% of
net assets in excess of $1 billion. Management fees for OMF are 0.45% of the
first %500 million, 0.425% of the next 500 million, 0.40% of the next $500
million and 0.375% 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.
8. ILLIQUID AND RESTRICTED SECURITIES
At June 30, 1996, 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. A
security may also be considered illiquid if its valuation has not changed
for a certain period of time. The Funds intend to invest no more than 10% of
net assets (determined at the time of purchase and reviewed from time to
time) in illiquid or restricted securities. Information concerning these
securities is as follows:
Oppenheimer High Income Fund
<TABLE>
<CAPTION>
Acquisition Cost Valuation Per Unit as of
Security Date Per Unit June 30, 1996
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Algeria (Republic of) Reprofilied Debt Loan Participation
Tranche A, 6.812%, 9/4/06 3/13/96 $ 54.75 $ 59.69
Ames Department Stores, Inc.
Excess Cash Flow Payment Certificates, Series AG-7A 12/30/92 $ 0.00 $ 0.01
Litigation Trust 12/30/92 $ 0.00 $ 0.01
Australis Media Ltd. Common Stock 1/16/96-1/25/96 $ 1.19 $ 0.34
Berg Electronics Corp. Common Stock 4/28/93-8/11/93 $ 4.89 $ 22.56
CBA Mortgage Corp., Mtg. Pass-Through Certificates,
Series 1993-C1, Cl.F, 7.153% 12/25/03 8/23/95 $ 72.52 $ 74.81
Colombia (Republic of) 1989-1990 Integrated Loan
Facility Bonds, 6.563%, 7/1/01 12/05/95 $ 92.00 $ 93.25
ECM Fund, L.P.L.
Common Stock 4/14/92 $1,000.00 $1,000.00
14% Sub. Nts., 6/10/02 4/14/92 $ 100.00 $ 110.00
Equitable Bag. Inc. Common Stock 12/16/94 $ 1.50 $ 2.50
Farley, Inc., Zero Coupon Sub. Debs., 14.143% 12/30/12 1/1/93-3/6/95 $ 7.44 $ 10.60
Foamex LP/JPS Automotive Corp. Wis., Exp. 7/99 6/21/94 $ 0.00 $ 5.00
Gillett Holdings, Inc.
Common Stock 12/1/92-1/18/96 $ 16.27 $ 30.00
12.25% Sr. Sub. Nts., Series A, 6/30/02 12/23/92 $ 101.47 $ 105.37
Goldman, Sachs & Co., Argentine
Local Market Securities Trust, 11.30%, 4/1/00 8/24/94 $ 100.00 $ 92.75
Omnipoint Corp. Common Stock 1/26/96 $ 16.00 $ 24.70
Pulsar International SA de CV, 11.80% Nts., 9/19/96 9/14/95 $ 100.00 $ 100.50
</TABLE>
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
<TABLE>
<CAPTION>
Acquisition Cost Valuation per Unit as of
Security Date Per Unit June 30, 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Triangle Wire & Cable, Inc. Common Stock 5/2/94 $ 9.50 $ 1.00
Trinidad & Tobago Loan Participation Agreement,
Tranche B, 1.772%, 9/30/00 12/13/95-4/1/96 $ 0.82 $ 0.78
</TABLE>
The aggregate value of illiquid or restricted securities subject to this 10%
limitation at June 30, 1996 was $6,685,781, or 4.29% 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.
<TABLE>
<CAPTION>
Oppenheimer Bond Fund
Acquisition Cost Valuation per Unit as of
Security Date Per Unit June 30, 1995
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Columbia (Republic of) 1989-1990 Integrated Loan Facility
Bonds, 6.563%,7/1/01 12/5/95 $ 92.00 $ 93.25
Merril Lynch & Co., Inc.
Units, 9.75%, 6/15/99 5/15/95 $110.05 $113.82
</TABLE>
The aggregate value of illiquid or restricted securities subject to this 10%
limitation at June 30, 1996 was $2,603,717, or 0.82% 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.
<TABLE>
<CAPTION>
Oppenheimer Multiple Strategies Fund
Acquisition Cost Valuation per Unit as of
Security Date Per Unit June 30, 1996
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Santa Anita Realty Enterprises, Inc., Units 5/28/93-2/9/95 $16.99 $12.63
</TABLE>
The aggregate value of illiquid or restricted securities subject to this 10%
limitation at June 30, 1996 was $505,000, or 0.12% of the Funds'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.
<TABLE>
<CAPTION>
Oppenheimer Global Securities Fund
Acquisition Cost Valuation per Unit as of
Security Date Per Unit June 30, 1996
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Plant Genetics Systems Common Stock 5/27/92-3/7/95 $13.77 $11.18
Plant Genetics Systems Wts. Exp. 12/99 3/7/95 $ 0.00 $ 1.87
</TABLE>
The aggregate value of illiquid or restricted securities subject to this 10%
limitation at June 30, 1996 was $1,108,624, or 0.23% of the Fund's net assets.
Pursuant to the 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.
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
Oppenheimer Strategic Bond Fund
<TABLE>
<CAPTION>
Acquisition Cost Valuation Per Unit as of
Security Date Per Unit June 30, 1996
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Algeria (Republic of) Reprofiled Debt Loan Participation, 3/1/96-3/2/96 $ 55.04 $ 59.69
Tranche A 6.812% 9/4/06
Columbia (Republic of) 1969-1990 Integrated Loan Facility Bonds, 12/5/95 $ 92.00 $ 93.25
6.563%, 7/1/01
Gillett Holdings, Inc. Common Stock 1/18/96 $ 21.25 $ 30.00
Goldman, Sachs & Co., Argentina Local Market Securities Trust,
11.30% 4/1/00 8/24/94 $100.00 $ 92.75
Jamaica (Government of) 1990 Refinancing Agreement Nts.,
Tranche A, 6.344% 10/15/00 8/15/95 $ 89.75 $ 95.75
Tranche B, 6.312%, 11/15/04 5/8/96 $ 75.88 $ 78.25
Pulsar Internacional SA de CV, 11.80% Nts, 9/19/96 9/15/95 $100.00 $100.50
Transpower Finance Ltd., 8% Gtd, Unsec. Unsub. Bonds 2/15/01 5/17/96 $ 66.17 $ 64.76
Trinidad & Tobago Loan Participation Agreement,
Tranche A, 1.772%, 9/30/00 12/13/95-12/18/95 $ 0.84 $ 0.76
United Mexican States, Combined Facility 3,
Loan Participation Agreement, Tranche A, 6.563%, 9/20/97 10/25/94 $ 89.00 $ 83.50
</TABLE>
The aggregate value of illiquid or restricted securities subject to this 10%
limitation at June 30, 1996, was $2,512,959, or 3.20% of the Fund's net assets.
Pursuant to the 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.
