<PAGE>
A MESSAGE TO OUR CONTRACT OWNERS:
I am pleased to forward this combined Annual 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 year ended December 31, 1995.
The Annual Report for Separate Account 3 begins on page 3. Separate Account 3
has net assets of $29,830,204 as of December 31, 1995. Net asset values per
accumulation unit for the MML Equity, MML Money Market, MML Managed Bond, MML
Blend, Oppenheimer Money, Oppenheimer High Income, Oppenheimer Bond, Oppenheimer
Capital Appreciation, Oppenheimer Growth, Oppenheimer Multiple Strategies,
Oppenheimer Global Securities, Oppenheimer Strategic Bond and Oppenheimer Growth
& Income Divisions as of December 31, 1995 are shown in detail in the table on
page 3.
The Annual Report for the MML Series Investment Fund begins on page 12. 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 year ended December 31, 1995.
The Annual Report for the Oppenheimer Variable Account Funds begins on page 36.
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 year ended December 31, 1995.
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
President and Chief Executive Officer
February 1, 1996
1
<PAGE>
Table of Contents
Massachusetts Mutual Variable Annuity Separate Account 3
Statement of Assets and Liabilities as of December 31, 1995............ 3
Statement of Operations For the Year Ended December 31, 1995........... 4
Statement of Changes in Net Asset For the Years Ended December 31,
1995 and 1994......................................................... 5-6
Notes to Financial Statements.......................................... 7-9
Report of Independent Accountants...................................... 10
MML Series Investment Fund
To Our Shareholders.................................................... 11-13
Statement of Assets and Liabilities as of December 31, 1995............ 14
Statement of Operations For the Year Ended December 31, 1995........... 15
Statement of Changes in Net Assets For the Years Ended December 31,
1995 and 1994......................................................... 16
Financial Highlights................................................... 17-18
Schedule of Investments as of December 31, 1995
MML Equity Fund....................................................... 19-21
MML Money Market Fund................................................. 22
MML Managed Bond Fund................................................. 23-25
MML Blend Fund........................................................ 26-30
Notes to Financial Statements.......................................... 31-33
Report of Independent Accountants...................................... 34
Oppenheimer Variable Account Fund
Statement of Assets and Liabilities as of December 31, 1995............ 35
Statement of Operations For the Year Ended December 31, 1995........... 36
Statement of Changes in Net Assets For the Years Ended December 31,
1995 and 1994........................................................ 37-38
Financial Highlights................................................... 39-47
Schedule of Investments as of December 31, 1995
Oppenheimer Money Fund............................................... 48
Oppenheimer High Income Fund......................................... 49-54
Oppenheimer Bond Fund................................................ 55-58
Oppenheimer Capital Appreciation Fund................................ 59-61
Oppenheimer Growth Fund.............................................. 62-63
Oppenheimer Multiple Strategies Fund................................. 64-70
Oppenheimer Global Securities Fund................................... 71-73
Oppenheimer Strategic Bond Fund...................................... 74-79
Oppenheimer Growth & Income Fund..................................... 80-81
Notes to Financial Statements.......................................... 82-91
Independent Auditor's Report........................................... 92
Federal Income Tax Information......................................... 93
2
<PAGE>
<TABLE>
<CAPTION>
Massachusetts Mutual Variable Annuity Separate Account 3
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
MML MML Oppenheimer Oppenheimer
MML Money Managed MML Oppenheimer High Oppenheimer Capital
Equity Market Bond Blend Money Income Bond Appreciation
Division Division Division Division Division Division Division Division
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments
Number of shares (Note 2) 26,000 1,749,171 46,414 30,191 2,126,497 229,372 62,758 75,274
-------- ---------- -------- -------- ---------- ---------- -------- ----------
Identified cost (Note 3B) $647,060 $1,749,171 $561,954 $609,252 $2,126,497 $2,423,922 $730,145 $2,352,709
======== ========== ======== ======== ========== ========== ======== ==========
Value (Note 3A) $674,018 $1,749,171 $577,772 $619,483 $2,126,497 $2,438,229 $743,054 $2,575,115
Dividends receivable 25,572 7,384 8,943 18,335 5,233 -- -- --
Receivable from
Massachusetts Mutual
Life Insurance Company -- 16,408 -- -- 439,790 8,834 -- 10,316
-------- ---------- -------- -------- ---------- ---------- -------- ----------
Total assets 699,590 1,772,963 586,715 637,818 2,571,520 2,447,063 743,054 2,585,431
LIABILITIES
Payable to Massachusetts
Mutual Life Insurance
Company 58 -- 60 73 -- -- 70 --
-------- ---------- -------- -------- ---------- ---------- -------- ----------
NET ASSETS $699,532 $1,772,963 $586,655 $637,745 $2,571,520 $2,447,063 $742,984 $2,585,431
======== ========== ======== ======== ========== ========== ======== ==========
Net Assets consists of:
Accumulation units - value $699,532 $1,772,963 $586,655 $637,745 $2,571,520 $2,447,063 $742,984 $2,585,431
======== ========== ======== ======== ========== ========== ======== ==========
Contractowners accumulation
units (Note 7)
Number of units: 542,624 1,694,677 495,106 524,702 2,455,934 2,120,456 648,667 1,975,551
========= ========== ======== ======== ========== ========== ======== ==========
NET ASSET VALUE PER
ACCUMULATION UNIT
December 31, 1995 $ 1.29 $ 1.05 $ 1.18 $ 1.22 $ 1.05 $ 1.15 $ 1.15 $ 1.31
December 31, 1994 1.00 1.00 1.01 1.00 1.00 .97 .99 1.00
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Oppenheimer Multiple Global Strategic Oppenheimer
Growth Strategies Securities Bond Growth & Income
Division Division Division Division Division
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments
Number of shares (Note 2) 154,848 315,099 166,100 1,000,387 165,824
---------- ---------- ---------- ---------- ----------
Identified cost (Note 3B) $3,427,050 $4,514,701 $2,537,731 $4,830,381 $1,826,399
========== ========== ========== ========== ==========
Value (Note 3A) $3,646,668 $4,584,689 $2,491,493 $4,911,901 $2,074,464
Dividends receivable -- -- -- -- --
Receivable from
Massachusetts Mutual Life
Insurance Company 23,879 29,842 5,823 -- 18,026
---------- ---------- ---------- ---------- ----------
Total assets 3,670,547 4,614,531 2,497,316 4,911,901 2,092,490
LIABILITIES
Payable to Massachusetts
Mutual Life Insurance
Company -- -- -- 474 --
---------- ---------- ---------- ---------- ----------
NET ASSETS $3,670,547 $4,614,531 $2,497,316 $4,911,427 $2,092,490
========== ========== ========== ========== ==========
Net Assets consists of:
Accumulation units - value $3,670,547 $4,614,531 $2,497,316 $4,911,427 $2,092,490
========== ========== ========== ========== ==========
Contractowners accumulation
units (Note 7)
Number of units: 2,770,419 3,911,239 2,634,152 4,395,241 1,681,775
========== ========== ========== ========== ==========
NET ASSET VALUE PER
ACCUMULATION UNIT
December 31, 1995 $ 1.32 $ 1.18 $ .95 $ 1.12 $ 1.24
December 31, 1994 .98 .99 .94 .98 --
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
MML MML Oppenheimer Oppenheimer
MML Money Managed MML Oppenheimer High Oppenheimer Capital
Equity Market Bond Blend Money Income Bond Appreciation
Division Division Division Division Division Division Division Division
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment income
Dividends (Note 3B) ......... $25,572 $22,637 $18,636 $24,465 $88,726 $118,124 $19,132 $ 335
Expenses
Mortality and expense risk
fee and administrative expenses
(Note 4) .................... 3,338 5,982 3,187 3,143 22,640 11,950 3,199 12,268
------- ------- ------- ------- ------- -------- ------- --------
Net investment income (loss)
(Note 3C) ................... 22,234 16,655 15,449 21,322 66,086 106,174 15,933 (11,933)
------- ------- ------- ------- ------- -------- ------- -------
Net realized and unrealized
gain (loss) on investments
Net realized gain on investments
(Notes 3B, 3C and 6) ........ 5,755 -- 608 8,025 -- 2,457 891 54,553
Change in net unrealized
appreciation/depreciation
of investments .............. 27,162 -- 15,857 10,381 -- 14,550 13,035 222,389
------- ------- ------- ------- ------- ------- ------- --------
Net gain (loss) on
investments ................. 32,917 -- 16,465 18,406 -- 17,007 13,926 276,942
------- ------- ------- ------- ------- ------- ------- --------
Net increase (decrease)
in net assets resulting
from operations .............. $55,151 $16,655 $31,914 $39,728 $66,086 $123,181 $29,859 $265,009
======= ======= ======= ======= ======= ======== ======= ========
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Oppenheimer Multiple Global Strategic Oppenheimer
Growth Strategies Securities Bond Growth & Income
Division Division Division Division Division
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Investment income
Dividends (Note 3B) .......... $ 787 $ 75,425 $ 1,551 $162,795 $ 2,392
Expenses
Mortality and expense risk
fee and administrative
expenses (Note 4) .......... 17,008 20,844 13,698 25,134 5,722
-------- -------- -------- -------- -------
Net investment income (loss)
(Note 3C) ................... (16,221) 54,581 (12,147) 137,661 (3,330)
-------- -------- -------- -------- -------
Net realized and unrealized
gain (loss) on investments
Net realized gain on investments
(Notes 3B, 3C and 6) ........ 49,866 25,446 22,914 11,287 9,555
Change in net unrealized
appreciation/depreciation
of investments .............. 219,700 70,124 (45,921) 81,708 248,065
Net gain (loss) on -------- -------- -------- -------- --------
investments ................. 269,566 95,570 (23,007) 92,995 257,620
-------- -------- -------- -------- --------
Net increase (decrease)
in net assets resulting
from operations ............. $253,345 $150,151 $(35,154) $230,656 $254,290
======== ======== ======== ======== ========
</TABLE>
*For the Period July 3, 1995 (Date of Commencement of Operations) through
December 31, 1995
See Notes to Financial Statements.
4
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1995
<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)................... $ 22,234 $ 16,655 $ 15,449 $ 21,322 $ 66,086 $ 106,174 $ 15,933
Net realized gain
on investments........... 5,755 -- 608 8,025 -- 2,457 891
Change in net unrealized
appreciation/depreciation
of investments........... 27,162 -- 15,857 10,381 -- 14,550 13,035
--------- ---------- -------- -------- ---------- ---------- ---------
Net increase (decrease) in
net assets resulting from
operations............... 55.151 16,655 31,914 39,728 66,086 123,181 29,859
--------- ---------- -------- -------- ---------- ---------- ---------
Capital transactions:
(Note 7)
Net contract payments
(Note 5)................. 630,304 2,145,397 218,912 305,175 3,818,145 2,313,073 646,806
Transfer from Massachusetts
Mutual Life Insurance
Company.................. -- -- -- -- -- -- --
Withdrawal of funds....... (665) (410) -- (4,473) (61,450) (5,171) (2,500)
Reimbursement (payment) of
accumulation unit value
fluctuation.............. 1,318 129 330 (82) 115 688 (16)
Withdrawal due to
administrative and
contingent deferred sales
charges (Note 5)......... (2) -- -- -- -- -- --
Divisional transfers...... 8,315 (393,956) 330,333 292,273 (1,256,498) 10,336 63,776
--------- --------- -------- -------- ---------- ---------- ---------
Net increase in net assets
resulting from capital
transactions............. 639,270 1,751,160 549,575 592,893 2,500,312 2,318,926 708,066
--------- --------- -------- -------- ---------- ---------- ---------
Total increase............. 694,421 1,767,815 581,489 632,621 2,566,398 2,442,107 737,925
NET ASSETS, at beginning
of the year/period........ 5,111 5,148 5,166 5,124 5,122 4,956 5,059
--------- --------- -------- -------- ---------- ---------- ---------
NET ASSETS, at end
of the year............... $699,532 $1,772,963 $586,655 $637,745 $ 2,571,520 $2,447,063 $742,984
========= ========== ======== ======== =========== ========== =========
<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)................... $ (11,933) $ (16,221) $ 54,581 $ (12,147) $ 137,661 $ (3,330)
Net realized gain
on investments........... 54,553 49,866 25,446 22,914 11,287 9,555
Change in net unrealized
appreciation/depreciation
of investments........... 222,389 219,700 70,124 (45,921) 81,708 248,065
---------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) in
net assets resulting from
operations............... 265,009 253,345 150,151 (35,154) 230,656 254,290
---------- ---------- ---------- ---------- --------- ----------
Capital transactions:
(Note 7)
Net contract payments
(Note 5)................. 2,053,494 3,430,028 4,178,837 2,449,565 4,679,812 1,591,201
Transfer from Massachusetts
Mutual Life Insurance
Company.................. -- -- -- -- -- 5,000
Withdrawal of funds....... (2,859) (3,267) (3,954) (4,634) (85,153) (2,850)
Reimbursement (payment) of
accumulation unit value
fluctuation.............. (3,814) 605 (3,308) (3,105) 1,533 5,385
Withdrawal due to
administrative and
contingent deferred sales
charges (Note 5)......... (10) (9) (40) (50) -- (8)
Divisional transfers...... 268,505 (15,564) 287,819 85,521 79,668 239,472
---------- --------- ---------- ---------- --------- ----------
Net increase in net assets
resulting from capital
transactions............. 2,315,316 3,411,793 4,459,354 2,527,297 4,675,860 1,838,200
---------- --------- ---------- --------- --------- ---------
Total increase............. 2,580,325 3,665,138 4,609,505 2,492,143 4,906,516 2,092,490
NET ASSETS, at beginning
of the year/period......... 5,106 5,409 5,026 5,173 4,911 --
---------- --------- --------- --------- --------- ---------
NET ASSETS, at end
of the year............... $2,585,431 $3,670,547 $4,614,531 $2,497,316 $4,911,427 $2,092,490
========== ========== ========== ========== ========== ==========
</TABLE>
*For the Period July 3, 1995 (Date of Commencement of Operations) through
December 31, 1995
See Notes to Financial Statements.
5
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD NOVEMBER 14, 1994 (DATE OF COMMENCEMENT OF OPERATIONS) THROUGH
DECEMBER 31, 1994
<TABLE>
<CAPTION>
MML MML Oppenheimer
MML Money Managed MML Oppenheimer High Oppenheimer
Equity Market Bond Blend Money Income Bond
Division Division Division Division Division Division Division
-------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease) in net
assets
Operations:
Net investment income
(loss).......................$ 190 $ 23 $ 80 $ 149 $ 24 $ 100 $ 88
Net realized loss on
investments.................. (11) -- -- -- -- -- --
Change in net unrealized
appreciation/depreciation
of investments............... (203) -- (39) (150) -- (242) (127)
------ ------ ------ ------ ------ ----- ------
Net increase (decrease) in
net assets resulting from
operations.................... (24) 23 41 (1) 24 (142) (39)
------ ------ ------ ------ ------ ----- ------
Capital transactions:
(Note 7)
Net contract payments
(Note 5)..................... 500 -- -- -- -- -- --
Transfer from
Massachusetts Mutual
Life Insurance Company....... 5,000 5,000 5,000 5,000 5,000 5,000 5,000
Divisional transfers.......... (365) 125 125 125 98 98 98
------ ------ ------ ------ ------ ------ ------
Net increase in net assets
resulting from capital
transactions................. 5,135 5,125 5,125 5,125 5,098 5,098 5,098
------ ------ ------ ------ ------ ------ ------
Total increase................. 5,111 5,148 5,166 5,124 5,122 4,956 5,059
NET ASSETS, at beginning
of the period................. -- -- -- -- -- -- --
------ ------ ------ ------ ------ ------ ------
NET ASSETS, at end
of the year...................$5,111 $5,148 $5,166 $5,124 $5,122 $4,956 $5,059
====== ====== ====== ====== ====== ====== ======
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Capital Oppenheimer Multiple Global Strategic
Appreciation Growth Strategies Securities Bond
Division Division Division Division Division
-------- -------- -------- -------- --------
<S>............................ <C> <C> <C> <C> <C>
Increase (decrease) in net
assets
Operations:
Net investment income
(loss)....................... $ (9) $ (10) $ 64 $ (10) $ 101
Net realized loss on
investments.................. -- -- -- -- (2)
Change in net unrealized
appreciation/depreciation of
investments.................. 17 (81) (136) (317) (188)
------ ------ ------ ------ ------
Net increase (decrease) in
net assets resulting from
operations.................... 8 (91) (72) (327) (89)
------ ------ ------ ----- ------
Capital transactions:
(Note 7)
Net contract payments
(Note 5)..................... -- 500 -- 500 500
Transfer from
Massachusetts Mutual
Life Insurance Company....... 5,000 5,000 5,000 5,000 5,000
Divisional transfers.......... 98 -- 98 -- (500)
------ ------ ------ ------ ------
Net increase in net assets
resulting from capital
transactions................. 5,098 5,500 5,098 5,500 5,000
------ ------ ------ ------ ------
Total increase................. 5,106 5,409 5,026 5,173 4,911
NET ASSETS, at beginning
of the period................. -- -- -- -- --
------ ------ ------ ------ ------
NET ASSETS, at end
of the year................... $5,106 $5,409 $5,026 $5,173 $4,911
====== ====== ====== ====== ======
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT 3
NOTES TO FINANCIAL STATEMENTS
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 Oppenheimer Management Corporation ("OMC")
acts as investment advisor (effective January 5, 1996, the name of OMC was
changed to OppenheimerFunds, Inc.).
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 December 31, 1995.
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
For the Year Ended December 31, 1995 and Charges and
*For the Period July 3, 1995 (Date of Net Contingent
Commencement of Operations) through Contract Deferred
December 31, 1995 Payments Sales Charges
----------------------------------------- -------- -------------
<S> <C> <C>
MML Equity Division ............................. $ 630,304 $ 2
MML Money Market Division ....................... 2,145,397 --
MML Managed Bond Division ....................... 218,912 --
MML Blend Division .............................. 305,175 --
Oppenheimer Money Division ...................... 3,818,145 --
Oppenheimer High Income Division ................ 2,313,073 --
Oppenheimer Bond Division ....................... 646,806 --
Oppenheimer Capital Appreciation Division ....... 2,053,494 10
Oppenheimer Growth Division ..................... 3,430,028 9
Oppenheimer Multiple Strategies Division ........ 4,178,837 40
Oppenheimer Global Securities Division .......... 2,449,565 50
Oppenheimer Strategic Bond Division ............. 4,679,812 --
*Oppenheimer Growth & Income Division ........... 1,591,201 8
</TABLE>
6. PURCHASES AND SALES OF INVESTMENTS
<TABLE>
<CAPTION>
For the Year Ended December 31, 1995 and
*For the Period July 3, 1995 (Date of
Commencement of Operations) through Cost of Proceeds
December 31, 1995 Purchases from Sales
---------------------------------------- --------- ----------
<S> <C> <C>
MML Equity Fund ................................. $ 692,037 $ 55,856
MML Money Market Fund ........................... 2,348,377 604,341
MML Managed Bond Fund ........................... 564,877 8,656
MML Blend Fund .................................. 698,210 102,108
Oppenheimer Money Fund .......................... 3,864,050 1,742,673
Oppenheimer High Income Fund .................... 2,547,044 130,786
Oppenheimer Bond Fund ........................... 755,894 31,835
Oppenheimer Capital Appreciation Fund ........... 2,599,800 306,742
Oppenheimer Growth Fund ......................... 3,753,096 381,412
Oppenheimer Multiple Strategies Fund ............ 4,975,713 491,629
Oppenheimer Global Securities Fund .............. 3,161,440 652,123
Oppenheimer Strategic Bond Fund ................. 5,341,627 527,642
*Oppenheimer Growth & Income Fund ............... 1,923,707 106,862
</TABLE>
8
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. NET INCREASE IN ACCUMULATION UNITS
<TABLE>
<CAPTION>
For the Year Ended
December 31, 1995
and *For the Period July MML MML Oppenheimer
3, 1995 (Date of MML Money Managed MML Oppenheimer High Oppenheimer
Commencement of Operations) Equity Market Bond Blend Money Income Bond
Through December 31, 1995 Division Division Division Division Division Division Division
------------------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Units transferred from
MassMutual for
initial capital ............ -- -- -- -- -- -- --
Units purchased ............. 591,137 2,069,098 195,120 266,091 3,733,194 2,110,662 587,913
Units withdrawn and
transferred to Guaranteed
Principal Account .......... (552) (399) -- (3,737) (59,428) (4,687) (2,258)
Units transferred
between divisions .......... 6,910 (379,146) 294,862 257,221 (1,222,930) 9,382 57,915
------- --------- ------- ------- --------- --------- -------
Net Increase ................ 537,495 1,689,553 489,982 519,575 2,450,836 2,115,357 643,570
Units, at beginning of the
year/period ................ 5,129 5,124 5,124 5,127 5,098 5,099 5,097
------- --------- ------- ------- --------- --------- -------
Units, at end of the year ... 542,624 1,694,677 495,106 524,702 2,455,934 2,120,456 648,667
======= ========= ======= ======= ========= ========= =======
<CAPTION>
For the Year Ended
December 31, 1995
and *For the Period July Oppenheimer Oppenheimer Oppenheimer Oppenheimer
3, 1995 (Date of Capital Oppenheimer Multiple Global Strategic *Oppenheimer
Commencement of Operations) Appreciation Growth Strategies Securities Bond Growth & Income
Through December 31, 1995 Division Division Division Division Division Division
------------------------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Units transferred from
MassMutual for
initial capital ............ -- -- -- -- -- 5,000
Units purchased ............. 1,738,329 2,774,690 3,654,332 2,543,717 4,395,634 1,460,313
Units withdrawn and
transferred to Guaranteed
Principal Account .......... (2,321) (2,540) (3,464) (4,897) (80,091) (2,541)
Units transferred
between divisions .......... 234,442 (7,236) 255,271 89,830 74,698 219,003
--------- --------- --------- --------- --------- ---------
Net Increase ................ 1,970,450 2,764,914 3,906,139 2,628,650 4,390,241 1,681,775
Units, at beginning of the
year/period ................ 5,101 5,505 5,100 5,502 5,000 --
--------- --------- --------- --------- --------- ---------
Units, at end of the year ... 1,975,551 2,770,419 3,911,239 2,634,152 4,395,241 1,681,775
========= ========= ========= ========= ========= =========
</TABLE>
<TABLE>
<CAPTION>
For the Period November
14, 1994 (Date of MML MML Oppenheimer
Commencement of MML Money Managed MML Oppenheimer High Oppenheimer
Operations) Through Equity Market Bond Blend Money Income Bond
December 31, 1994 Division Division Division Division Division Division Division
----------------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Units transferred from
MassMutual for
initial capital ............ 5,000 5,000 5,000 5,000 5,000 5,000 5,000
Units purchased ............. 501 -- -- -- -- -- --
Units transferred
between divisions ........... (372) 124 124 127 98 99 97
----- ----- ----- ----- ----- ----- -----
Net increase ................ 5,129 5,124 5,124 5,127 5,098 5,099 5,097
Units, at beginning
of the period ............... -- -- -- -- -- -- --
----- ----- ----- ----- ----- ----- -----
Units, at end of the year.... 5,129 5,124 5,124 5,127 5,098 5,099 5,097
===== ===== ===== ===== ===== ===== =====
For the Period November
14, 1994 (Date of Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Commencement of Capital Oppenheimer Multiple Global Strategic
Operations) Through Appreciation Growth Strategies Securities Bond
December 31, 1994 Division Division Division Division Division
----------------- -------- -------- -------- -------- --------
Units transferred from
MassMutual for
initial capital ............ 5,000 5,000 5,000 5,000 5,000
Units purchased ............. -- 505 -- 502 501
Units transferred
between divisions ........... 101 -- 100 -- (501)
----- ----- ----- ----- -----
Net increase ................ 5,101 5,505 5,100 5,502 5,000
Units, at beginning
of the period ............... -- -- -- -- --
----- ----- ----- ----- -----
Units, at end of the year.... 5,101 5,505 5,100 5,502 5,000
===== ===== ===== ===== =====
</TABLE>
8. DISTRIBUTION AGREEMENT
MML Investors Services, Inc. ("MMLISI"), a wholly-owned subsidary of
MassMutual, acts as the principal underwriter of the Contracts. MMLISI is
registered as a broker-dealer under the Securities Exchange Act of 1934 and
is a member of the National Association of Securities Dealers, Inc. The
Contracts are sold by registered representatives of MMLISI who are also
insurance agents of MassMutual under state insurance law.
Additionally, contracts are offered by independent broker-dealers through
the distribution network of Oppenheimer Funds Distributor, Inc. ("OFDI"), a
subsidiary of OMC. OFDI and MMLISI have entered into an agreement pursuant
to which OFDI has agreed to promote sales of the product through wholesale
distribution arrangements with such broker-dealers.
Offered through MML Investors Services, Inc., Springfield,
Massachusetts and Oppenheimer Funds Distributor, Inc., Denver,
Colorado.
9
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE CONTRACT OWNERS OF MASSACHUSETTS MUTUAL VARIABLE ANNUITY SEPARATE ACCOUNT
3 AND THE BOARD OF DIRECTORS OF MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY
We have audited the accompanying statement of assets and liabilities of the
Massachusetts Mutual Variable Annuity Separate Account 3 (comprising,
respectively, MML Equity Division, MML Money Market Division, MML Managed Bond
Division, MML Blend Division, Oppenheimer Money Division, Oppenheimer High
Income Division, Oppenheimer Bond Division, Oppenheimer Capital Appreciation
Division, Oppenheimer Growth Division, Oppenheimer Multiple Strategies Division,
Oppenheimer Global Securities Division, Oppenheimer Strategic Bond Division and
Oppenheimer Growth & Income Division - the ``Divisions'') as of December 31,
1995, and the related statements of operations and changes in net assets for the
periods indicated thereon. These financial statements are the responsibility of
the Account's management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
verification of investments owned as of December 31, 1995, by examination of the
records of MML Series Investment Fund and by confirmation with Oppenheimer
Variable Account Funds. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of each of the respective
Divisions constituting Massachusetts Mutual Variable Annuity Separate Account 3
as of December 31, 1995, the results of their operations and the changes in
their net assets for the periods indicated thereon, in conformity with generally
accepted accounting principles.
Coopers & Lybrand L.L.P.
Springfield, Massachusetts
February 9, 1996
10
<PAGE>
MML SERIES INVESTMENT FUND
TABLE OF CONTENTS
Page
----
To Our Shareholders..................................................... 2 - 4
Statement of Assets and Liabilities as of December 31, 1995............. 5
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Operations for the year ended December 31, 1995............ 6
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Statement of Changes in Net Assets for the year ended December 31, 1995
and 1994............................................................... 7
MML Equity Fund
MML Money Market Fund
MML Managed Bond Fund
MML Blend Fund
Financial Highlights
MML Equity Fund.................................................... 8
MML Money Market Fund.............................................. 8
MML Managed Bond Fund.............................................. 9
MML Blend Fund..................................................... 9
Schedule of Investments as of December 31, 1995
MML Equity Fund.................................................... 10 - 12
MML Money Market Fund.............................................. 13
MML Managed Bond Fund.............................................. 14 - 16
MML Blend Fund..................................................... 17 - 21
Notes to Financial Statements........................................... 22 - 24
Report of Independent Accountants....................................... 25
1
<PAGE>
MML Series Investment Fund
To Our Shareholders
An Economic Soft Landing Is Achieved in U.S.
The past year saw the continuation of a very good economic environment for
investors in both stocks and bonds. The U.S. economic growth rate as measured by
Gross Domestic Product continued to slow throughout the year from its heated
level of 4.1% in 1994 to roughly 2.5% in 1995. The Federal Reserve, which had
been raising rates during 1994 in an attempt to slow growth somewhat, was able
to change course and even move rates lower. Because the economy is cyclical, the
Fed wanted growth to slow to a more moderate, sustainable level - a "soft
landing" from 1994's rapid pace - to prolong the positive part of the current
cycle.
As demand for goods slowed from 1994 levels, businesses began reducing their
inventories, which had started the year at high levels. This in turn slowed
order- and production-driven demand from the manufacturing sector, which exerted
further downward pressure on the growth rate, supported the cause for interest
rate cuts, and helped keep inflation at bay.
Stock and Bond Markets React
While the Federal Reserve actually increased rates as late as February 1995, the
bond market had begun to rally as early as November 1994 on the belief that
growth would slow enough to indicate a change in monetary policy. The market was
correct. The Fed's February rate increase of 1/2 point was followed during the
year by two cuts of 1/4 point each in July and December. Rates on Treasuries
fell significantly during this period, which drove dramatic price appreciation
for Treasuries. The prices in most other bond sectors followed suit, with 1995
playing out to be one of the strongest bull markets for bonds in history.
Backed by low interest rates and a strong bond market, stocks reached all-time
highs in 1995. The Dow Jones Industrial Average made new highs almost daily,
hitting a peak of 5216 and closing the year at 5117, and the S&P 500 rose
37.58%. In addition to support from the bond market, stocks reacted to continued
positive earnings surprises, merger and consolidation activity, an improving
export picture and growing productivity and efficiency throughout corporate
America.
Outlook for Economy, Markets Remains Positive
The forecast for the economy and markets appears favorable, though both should
be somewhat more moderate than they were during the past year. Economic growth
will probably slow further because employment and personal income - which are
important components of demand - are not strong enough to fuel increases in
demand-driven growth.
Even in the face of a slower economy, sales and earnings remained strong through
the end of 1995. The U.S. had its biggest productivity gain on record in 1995
and exports grew, aided in the early part of the year by a weak dollar, which in
turn created improvements in trade. Going into 1996, we expect to see exports
remain strong, as U.S. businesses recognize that future growth will come in part
from operating in a global market. This opinion is supported by the heavy
outlays we've seen for business equipment, which should further enhance
competitiveness, productivity and export activity for the coming year.
The Case for Value Investing
Because of uncertainty about the slowing in the economy throughout 1995, growth
investing, or buying stocks of companies whose earnings growth rates can surpass
that of the economy, took the lead last year. By the same token it was growth,
rather than income, that led to the dramatic appreciation of 1995's bond market.
With both markets currently at high levels in terms of price, we believe we will
see a return of superior performance from value investing strategies. Value
investing relies on capturing appreciation by "buying well" and seeking out
fundamental values, rather than buying above-average growth. Value investors
like the MML Series Investment Fund work to buy stocks and bonds that are either
temporarily out-of-favor with the markets, or that offer opportunities that have
not yet been recognized by the investment community at large.
With stocks and bonds at highs and an economy that is likely to continue to
slow, we expect both the stocks and bond markets to return to more "normal"
activity in terms of returns and volatility. In this type of environment, value
investing should continue to offer solid long-term results. Since security
selection should be very important in the coming year, your portfolio managers
will continue to rely upon hands-on research and careful analysis in an effort
to find the best opportunities for investors.
/s/ Stuart H. Reese
Stuart H. Reese
President
MML Series Investment Fund
January 31, 1996
2
<PAGE>
MML EQUITY
How has the Fund performed over the period?
The Fund has performed very well, with 1995 returns at nearly three times the
long-term average for stocks. Typically, our value-oriented style has not
outperformed the broad market indices in years where absolute gains have been as
robust as in 1995. Over the long term, however, our value strategy - focusing on
dividend-paying companies with strong balance sheets while their stocks are
selling at what we consider low prices - has been very successful.
How did large company stocks perform in 1995?
Large company stocks were the place to be this year. Benefiting from improved
productivity, falling interest rates and, through August, a weak dollar, large
companies were able to turn in earnings at levels more typical of small company
growth stocks, which drove their prices up. The market's focus on large cap
stocks benefited the Fund.
What strategic moves have you made within the portfolio?
Though we make investments based on researching individual companies rather than
their industry sectors, the biggest move we made over the period was increasing
our exposure to consumer non-durables companies, one of the best performing
sectors for the year. Our purchases in Albertson's, a major grocery concern and
several consumer goods companies such as American Brands and Kimberly-Clark,
benefited the portfolio considerably. These businesses typically are insulated
from slowing economic growth. We also increased our holdings in the very strong
financial services area, buying the stock of MBIA, a municipal bond insurer and
Safeco, a large property and casualty insurance firm. Our higher exposure to
financial services was another plus for the Fund - in fact, looking back, we
would have liked to have owned more. Over the year, the size of the Fund has
grown, and so has the weighted average market capitalization. This was a third
benefit during a period of large cap leadership.
What segments of the market are you currently targeting?
Our buying has shifted from consumer non-durables to more cyclical companies.
Because this area suffered price declines over the year as the market favored
sectors with more stable earnings, we've been able to buy stocks at what we
consider compelling values. We are buying and looking to buy companies that can
benefit from lower basic materials costs and thus improve their profit margins
regardless of the slower economy.
What is your outlook for the Fund?
After the past year, it's become more difficult to find reasonably-priced
stocks, but with inflation and long-term interest rates low, our outlook remains
favorable. We believe the coming year's market will be positive, but that it
will perform more like its historical average than it did in 1995. We expect to
see more typical levels of volatility than last year's market. During the past
year, the broad market advanced significantly. Going forward, we believe stock
selection will again become more important. That could benefit the Fund in that
strong stock selection is one of the major advantages of a research-driven value
strategy like ours.
MML MONEY MARKET
How has the Fund performed over the period?
The Fund has performed well, remaining on target with its goal of providing
principal preservation and a competitive level of current income by investing in
highly liquid short-term debt instruments. While longer-term interest rates
continued to decline over the majority of the year, rates for the extremely
short-term securities we focus on remained favorable, and even exceeded rates on
longer-term issues at certain times during the year.
What strategic moves have you made within the portfolio?
Over the course of the year, we made one major change. Both in the early part of
1995 when it was anticipated and then later when it actually happened, we
lengthened the average maturity of the Fund's portfolio on the likelihood of the
Federal Reserve's interest rate cuts. By lengthening our maturity, we hoped to
make use of available higher current income levels for as long as possible,
expecting that debt issued after a rate cut would offer lower income levels.
This strategy benefited the Fund by allowing us to maintain our income stream
while the market adjusted to the Fed's actions.
What is your outlook for the Fund?
The Fed eased, or lowered rates, twice in 1995 and may do so again in the first
few months of 1996 depending on the forecast for the economy. If it appears that
the economy has slowed too far, or if budget discussions are finalized, another
decline is a distinct possibility. However, we believe that any further declines
will not be significant. In this environment, we are continuing to extend
maturities in an effort to make the most of the current rates while maintaining
an emphasis on principal stability. Our outlook for the Fund remains optimistic,
though our performance as always will be tied to any changes in the Federal
Reserve's monetary policy.
3
<PAGE>
MML MANAGED BOND
How has the Fund performed over the period?
The Fund's performance has been excellent. It compares favorably to its market
indices and has been outstanding on an absolute and historical basis. The past
year has been an extremely strong period for the bond market in general, with
bonds from almost every sector the Fund invests in benefiting from decreasing
interest rates and the price appreciation that accompanies rate declines.
What strategic decisions have you made within the portfolio as a result of lower
rates?
In response to declines in interest rates, our duration increased somewhat over
the period. A longer duration will help us take advantage of any potential
benefits from further changes in the rate structure. New supply in the market
tended to be longer, particularly in corporate bonds. This was due in part to
lower rates. So increasing our duration has allowed us to continue to track the
duration of the Lehman Government/Corporate Index, which is our benchmark. The
portfolio's average duration increased over the period from 4.85 years to 5.23
years.
What other strategic moves have you made within the portfolio?
During the year, the Fund grew from $121 million to $159 million in size. While
this was due in part to asset appreciation and in part to new investments, it
required a great deal of trading activity to become fully invested. Over the
period we initially increased our holdings of Treasuries, and then we sold some
of our Treasuries as the market improved. Corporates also performed well over
the period due to strong fundamentals and demand factors. Additionally, we
increased our holdings of mortgage-backed securities. Though mortgages are
typically sensitive to prepayment risk, our well-seasoned, well-structured
holdings remained strong throughout the period's declines in rates.
What areas of the market are you currently targeting?
As we believe the corporate market still offers strong potential, though within
a slowing economy, we're employing extensive credit research before investing in
corporate issues. We also continue to increase our exposure to the mortgage-
backed sector of the market, especially in adjustable rate mortgages, where
we're finding particularly attractive pricing. Pricing remains an important part
of our investment strategy. We continue to buy bonds across sectors wherever we
believe we've found appreciation potential through mispriced issues.
What is your outlook for the Fund?
This has been a dramatic year for the bond market and the Fund. While current
low inflation and slow to moderate economic growth lead us to believe there is
still room for appreciation in the market, it would be very difficult to imagine
repeating 1995's performance. Our outlook is for the extension of a positive
market environment, where income will again be an important component of total
return. Within this outlook, we expect the Fund to continue to provide high
total return potential consistent with reasonable risk by maintaining a
diversified portfolio of high quality bonds.
MML BLEND
How has the Fund performed over the period?
The Fund has performed quite well, backed by the dramatic appreciation declining
interest rates sparked in both the stock and bond markets. Because of the Fund's
focus on preservation of capital, however, it did not perform as well as some of
its more aggressive peers over this unusual time period. Though it will tend to
lag in strong bull markets, we believe our strategy is prudent for long-term
investors and that it will outperform over time.
Did your allocation between stocks, bonds and cash change over the period?
Our stock holdings will normally fall within a range of 50% to 70% of the
portfolio. In the beginning of the year, we were 53% invested in stocks and by
the end of year, they represented approximately 54%. Our core bond holdings at
the end of 1995 represented 15% of the portfolio, down from 19%. In bonds, a
flattening yield curve also indicated a shortening in the average life of our
portfolio. When the yield curve is flatter, investors are typically not
well-compensated for extending into longer-maturity bonds. While this excluded
us from some of the appreciation in the bond market, our bond portfolio
performed well. Our allocation decisions stem from a policy consistent with
preservation of capital. The remainder of the portfolio, approximately 31% up
from 28% a year ago, is invested in short-term securities.
What is your outlook for the Fund?
An environment of low inflation, favorable interest rates and slow to moderate
economic growth suggests the continuation of decent markets for both stocks and
bonds. While results should remain positive, we expect to see a return to more
normal periods for both markets. In stocks, we are positioning the Fund for
greater volatility and selectivity in the coming year and in bonds, we expect
income to again become the most consistent component of total return. We believe
the MML Blend Fund's conservative strategy should position it to perform well
during this more typical market environment.
4
<PAGE>
MML Series Investment Fund
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1995
<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: $784,795,485;
$627,696,809 respectively)............................... $1,155,154,333 $ -- $ -- $1,008,564,451
Bonds and notes (Identified cost: $145,473,365;
$267,817,760 respectively)............................... -- -- 151,903,257 279,948,878
Short-term investments (Identified cost: $146,006,980;
$109,543,253; $2,578,380; $582,413,954 respectively)..... 146,000,856 109,543,253 2,578,380 582,150,249
-------------- ------------ ------------ --------------
Total investments........................................ 1,301,155,189 109,543,253 154,481,637 1,870,663,578
Cash......................................................... 8,396 2,440 5,639,136 13,407,050
Interest and dividends receivable............................ 2,502,360 497 2,067,198 6,632,527
Receivable for investments sold.............................. 910,994 -- 7,093,878 1,355,885
Receivable for settlement of investments
purchased on a forward commitment basis (Note 2D).......... -- -- -- 1,388,372
Prepaid trustees' fees....................................... 820 522 522 390
-------------- ------------ ------------ --------------
Total assets............................................. 1,304,577,759 109,546,712 169,282,371 1,893,447,802
-------------- ------------ ------------ --------------
LIABILITIES
Payable for investments purchased............................ 7,019,418 -- 7,923,222 14,568,979
Dividends payable (Note 2C).................................. 47,382,259 475,700 2,456,289 53,960,727
Investment management fee payable (Note 4)................... 1,197,689 135,475 187,550 1,722,486
Accrued liabilities.......................................... 79,387 15,336 17,172 54,680
-------------- ------------ ------------ --------------
Total liabilities........................................ 55,678,753 626,511 10,584,233 70,306,872
-------------- ------------ ------------ --------------
NET ASSETS................................................... $1,248,899,006 $108,920,201 $158,698,138 $1,823,140,930
============== ============ ============ ==============
Net assets consist of:
Series shares (par value $.01 per share; an unlimited
number authorized) (Note 6)................................ $ 481,756 $ 1,089,202 $ 127,487 $ 888,515
Additional paid-in capital................................... 878,072,599 107,830,999 152,990,211 1,428,825,164
Undistributed (overdistributed) net investment
income (Note 2C)........................................... 3,739 9,734 (72,567) (7,094)
Undistributed net realized loss on investments and
forward commitments (Notes 2D and 3)....................... -- (9,734) (776,885) --
Overdistributed net realized gain on investments and
forward commitments (Notes 2C and 2D)...................... (11,812) -- -- (689,082)
Net unrealized appreciation on:
Investments (Note 2A)...................................... 370,352,724 -- 6,429,892 392,735,055
Forward commitments (Note 2D).............................. -- -- -- 1,388,372
-------------- ------------ ------------ --------------
NET ASSETS................................................... $1,248,899,006 $108,920,201 $158,698,138 $1,823,140,930
============== ============ ============ ==============
Outstanding series shares.................................... 48,175,574 108,920,201 12,748,690 88,851,472
============== ============ ============ ==============
Net asset value per share.................................... $25.92 $1.00 $12.45 $20.52
============== ============ ============ ==============
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
MML Series Investment Fund
STATEMENT OF OPERATIONS
For The Year Ended December 31, 1995
<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.................................................... $ 28,229,106 $ -- $ -- $ 26,802,102
Interest..................................................... 6,641,154 5,999,684 10,026,269 49,931,175
------------ ---------- ----------- -----------
Total income............................................. 34,870,260 5,999,684 10,026,269 76,733,277
------------ ---------- ----------- -----------
Expenses
Investment management fee (Note 4)........................... 4,178,204 501,924 681,807 6,344,373
Trustees' fees............................................... 14,625 11,617 11,651 11,900
Audit fees................................................... 27,433 18,917 24,467 29,567
Tax expense.................................................. 6,263 -- -- 6,263
Registration fee............................................. 65,689 5,908 7,745 46,532
Other........................................................ 1,892 1,178 1,178 1,180
------------ ---------- ----------- -----------
Total expenses........................................... 4,294,106 539,544 726,848 6,439,815
------------ ---------- ----------- -----------
Net investment income (Note 2C).............................. 30,576,154 5,460,140 9,299,421 70,293,462
------------ ---------- ----------- -----------
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).............................. 16,898,835 (841) 866,079 29,289,639
Forward commitments (Note 2D).............................. -- -- 453,016 6,506,024
------------ ---------- ----------- -----------
Net realized gain (loss)................................. 16,898,835 (841) 1,319,095 35,795,663
------------ ---------- ----------- -----------
Change in net unrealized appreciation/depreciation on:
Investments (Note 2A)...................................... 237,559,436 -- 13,542,298 241,023,762
Forward commitments (Note 2D).............................. -- -- 162,634 2,579,828
Total change in net unrealized appreciation/ ------------ ---------- ----------- -----------
depreciation........................................... 237,559,436 -- 13,704,932 243,603,590
------------ ---------- ----------- -----------
Net gain (loss).............................................. 254,458,271 (841) 15,024,027 279,399,253
------------ ---------- ----------- -----------
Net increase in net assets resulting from operations......... $285,034,425 $5,459,299 $24,323,448 $349,692,715
============ ========== =========== ============
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
MML Series Investment Fund
STATEMENT OF CHANGES IN NET ASSETS
For The Years Ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
1995
-------------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S> <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............... $ 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)
Distribution in excess of net
realized gains.................. -- -- -- --
Net increase in capital share
transactions (Note 6)............ 190,498,822 17,134,168 22,459,621 134,942,076
-------------- ------------ ------------ --------------
Total increase (decrease)........ 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 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 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
<CAPTION>
1994
----------------------------------------------------------------
MML MML
MML Money Managed MML
Equity Market Bond Blend
Fund Fund Fund Fund
------ ------ ------ ------
<S>................................. <C> <C> <C> <C>
Increase (decrease)
in net assets
Operations:
Net investment income............... $ 23,743,493 $ 3,147,135 $ 8,506,956 $ 56,319,900
Net realized gain (loss)
on investments and
forward commitments............... 9,479,860 (5,364) (2,156,483) 28,803,202
Change in net unrealized
appreciation/depreciation
on investments and forward
commitments....................... (1,773,621) -- (11,386,882) (49,350,511)
------------ ----------- ----------- --------------
Net increase (decrease) in
net assets resulting from
operations........................ 31,449,732 3,141,771 (5,036,409) 35,772,591
Dividends to shareholders
from: (Note 2C)
Distribution of net investment
income.......................... (23,735,788) (3,141,771) (8,503,670) (56,320,396)
Distribution of net
realized gains.................. (9,536,463) -- -- (29,300,874)
Distribution in excess of net
realized gains.................. -- -- -- (254,531)
Net increase in capital share
transactions (Note 6)............ 159,512,479 18,127,025 5,640,533 197,821,191
------------ ----------- ------------ --------------
Total increase (decrease)........ 157,689,960 18,127,025 (7,899,546) 147,717,981
NET ASSETS, at beginning
of the year....................... 663,093,058 73,659,008 129,109,198 1,296,543,156
------------ ----------- ------------ --------------
NET ASSETS, at end
of the year....................... $820,783,018 $91,786,033 $121,209,652 $1,444,261,137
============ =========== ============ ==============
(Overdistributed) undistributed
net investment income
included in net assets at
end of the year................... $ (9,200) $ 8,893 $ (3,270) $ 2,008
============ =========== ============ ==============
Rate per share of dividends
to shareholders from:
Net investment income............. $ .594 $ .038 $ .792 $ .707
Net realized gains................ .238 -- -- .362
</TABLE>
See Notes to Financial Statements
7
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS
Selected per share data for each series share outstanding throughout each year
ended ended December 31:
MML EQUITY FUND
<TABLE>
<CAPTION>
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........... $ 20.520 $20.510 $19.862 $18.735 $15.659
--------- ------- ------- ------- -------
Income from investment
operations:
Net investment income......... .634 .594 .524 .543 .563
Net realized and unrealized
gain (loss) on investments.. 5.754 .248 1.365 1.420 3.440
--------- ------- ------- ------- -------
Total from investment
operations................... 6.388 .842 1.889 1.963 4.003
--------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.634) (.594) (.524) (.543) (.562)
Distribution from net
realized gains............... (.350) (.238) (.717) (.288) (.365)
Distribution in excess of
net realized gains........... -- -- -- (.005) --
--------- ------- ------- ------- -------
Total distributions........... (.984) (.832) (1.241) (.836) (.927)
--------- ------- ------- ------- -------
Net asset value:
End of year................. $ 25.924 $20.520 $20.510 $19.862 $18.735
========= ======= ======= ======= =======
Total return.................. 31.13% 4.10% 9.52% 10.48% 25.56%
Net assets (in millions):
End of year................. $1,248.90 $820.78 $663.09 $490.62 $355.04
Ratio of expenses to
average net assets........... .41% .43% .44% .46% .48%
Ratio of net investment
income to average net
assets....................... 2.89% 3.04% 3.23% 3.09% 3.43%
Portfolio turnover rate....... 11.72% 9.99% 11.28% 9.07% 9.37%
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........... $16.764 $14.929 $13.828 $15.591 $13.832
------- ------- ------- ------- -------
Income from investment
operations:
Net investment income......... .636 .694 .646 .525 .495
Net realized and unrealized
gain (loss) on investments.. (.722) 2.746 1.660 (.066) 2.174
------- ------- ------- ------- -------
Total from investment
operations................... (.086) 3.440 2.306 .459 2.669
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.665) (.711) (.639) (.988) (.412)
Distribution from net
realized gains............... (.354) (.894) (.566) (1.234) (.498)
Distribution in excess of
net realized gains........... -- -- -- -- --
------- ------- ------- ------- -------
Total distributions........... (1.019) (1.605) (1.205) (2.222) (.910)
------- ------- ------- ------- -------
Net asset value:
End of year................. $15.659 $16.764 $14.929 $13.828 $15.591
======= ======= ======= ======= =======
Total return.................. (.51%) 23.04% 16.68% 2.10% 20.15%
Net assets (in millions):
End of year................. $235.45 $226.41 $172.80 $150.41 $141.46
Ratio of expenses to
average net assets.......... .49% .50% .50% .51% .52%
Ratio of net investment
income to average net
assets....................... 4.09% 4.30% 4.05% 3.44% 3.54%
Portfolio turnover rate....... 13.50% 15.71% 15.97% 15.73% 14.73%
</TABLE>
MML MONEY MARKET FUND
<TABLE>
<CAPTION>
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- ------- ------- ------- -------
Income from investment
operations:
Net investment income......... .054 .038 .027 .034 .059
--------- ------- ------- ------- -------
Total from investment
operations................... .054 .038 .027 .034 .059
--------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.054) (.038) (.027) (.034) (.059)
--------- ------- ------- ------- -------
Total distributions........... (.054) (.038) (.027) (.034) (.059)
--------- ------- ------- ------- -------
Net asset value:
End of year................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ======= ======= ======= =======
Total return.................. 5.58% 3.84% 2.75% 3.48% 6.01%
Net assets (in millions):
End of year................. $ 108.92 $ 91.79 $ 73.66 $ 84.56 $ 94.41
Ratio of expenses to
average net
assets...................... .54% .55% .54% .53% .52%
Ratio of net investment
income to average net
assets....................... 5.43% 3.81% 2.71% 3.42% 5.91%
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- -------
Income from investment
operations:
Net investment income......... .078 .088 .072 .063 .064
------- ------- ------- ------- -------
Total from investment
operations................... .078 .088 .072 .063 .064
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income............ (.078) (.088) (.072) (.063) (.064)
------- ------- ------- ------- -------
Total distributions........... (.078) (.088) (.072) (.063) (.064)
------- ------- ------- ------- -------
Net asset value:
End of year................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= =======
Total return.................. 8.12% 9.16% 7.39% 6.49% 6.60%
Net assets (in millions):
End of year................. $114.59 $ 70.16 $ 66.35 $ 52.35 $ 33.54
Ratio of expenses to
average net assets........... .54% .54% .55% .57% .57%
Ratio of net investment
income to average net
assets....................... 7.80% 8.79% 7.20% 6.35% 6.44%
</TABLE>
See Notes to Financial Statements
8
<PAGE>
MML Series Investment Fund
FINANCIAL HIGHLIGHTS (Continued)
MML MANAGED BOND FUND
<TABLE>
<CAPTION>
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year $ 11.141 $ 12.405 $ 12.041 $ 12.219 $11.318
--------- --------- --------- --------- -------
Income from investment
operations:
Net investment income .782 .792 .785 .870 .903
Net realized and unrealized
gain (loss) on investments
and forward commitments 1.307 (1.264) .618 .001 .916
--------- --------- --------- --------- -------
Total from investment
operations 2.089 (.472) 1.403 .871 1.819
--------- --------- --------- --------- -------
Less distributions:
Dividends from net
investment income (.782) (.792) (.784) (.869) (.902)
Distribution from net
realized gains -- -- (.255) (.158) (.016)
Distribution in excess of
net realized gains -- -- -- (.022) --
--------- --------- --------- --------- -------
Total distributions (.782) (.792) (1.039) (1.049) (.918)
--------- --------- --------- --------- -------
Net asset value:
End of year $ 12.448 $ 11.141 $ 12.405 $ 12.041 $12.219
========= ========= ========= ========= =======
Total return 19.14% (3.76%) 11.81% 7.31% 16.66%
Net assets (in millions):
End of year $ 158.70 $ 121.21 $ 129.11 $ 88.15 $ 66.98
Ratio of expenses to
average net assets .52% .52% .54% .56% .57%
Ratio of net investment
income to average net
assets 6.63% 6.69% 6.37% 7.28% 7.96%
Portfolio turnover rate 70.00% 32.77% 58.81% 39.51% 61.85%
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year $11.354 $10.919 $11.052 $12.541 $11.978
------- ------- ------- ------- -------
Income from investment
operations:
Net investment income .943 .918 .906 .969 1.061
Net realized and unrealized
gain (loss) on investments
and forward commitments (.036) .454 (.133) (.673) .597
------- ------- ------- ------- -------
Total from investment
operations .907 1.372 .773 .296 1.658
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income (.943) (.918) (.906) (1.229) (1.095)
Distribution from net
realized gains -- (.019) -- (.556) --
Distribution in excess of
net realized gains -- -- -- -- --
------- ------- ------- ------- -------
Total distributions (.943) (.937) (.906) (1.785) (1.095)
------- ------- ------- ------- -------
Net asset value:
End of year $11.318 $11.354 $10.919 $11.052 $12.541
======= ======= ======= ======= =======
Total return 8.38% 12.83% 7.13% 2.60% 14.46%
Net assets (in millions):
End of year $ 43.07 $ 40.03 $ 31.35 $ 26.16 $ 30.38
Ratio of expenses to
average net assets .57% .59% .61% .60% .60%
Ratio of net investment
income to average net
assets 8.40% 8.35% 8.25% 8.24% 8.87%
Portfolio turnover rate 69.93% 64.77% 74.92% 55.60% 203.76%
</TABLE>
MML BLEND FUND
<TABLE>
<CAPTION>
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year $ 17.672 $ 18.305 $ 17.846 $ 17.307 $14.839
--------- --------- --------- --------- -------
Income from investment
operations:
Net investment income .811 .707 .655 .707 .736
Net realized and unrealized
gain (loss) on investments
and forward commitments 3.246 (.271) 1.057 .880 2.771
--------- --------- --------- --------- -------
Total from investment
operations 4.057 .436 1.712 1.587 3.507
--------- --------- --------- --------- -------
Less distributions:
Dividends from net
investment income (.811) (.707) (.655) (.707) (.736)
Distribution from net
realized gains (.399) (.359) (.598) (.326) (.303)
Distribution in excess of
net realized gains -- (.003) -- (.015) --
--------- --------- --------- --------- -------
Total distributions (1.210) (1.069) (1.253) (1.048) (1.039)
--------- --------- --------- --------- -------
Net asset value:
End of year $ 20.519 $ 17.672 $ 18.305 $ 17.846 $17.307
========= ========= ========= ========= =======
Total return 23.28% 2.48% 9.70% 9.36% 24.00%
Net assets (in millions):
End of year $1,823.14 $1,444.26 $1,296.54 $1,013.28 $797.04
Ratio of expenses to
average net assets .38% .39% .40% .41% .42%
Ratio of net investment
income to average net
assets 4.19% 3.93% 3.60% 4.07% 4.54%
Portfolio turnover rate 30.78% 26.59% 20.20% 25.43% 26.92%
<CAPTION>
1990 1989 1988 1987 1986
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net asset value:
Beginning of year $15.428 $13.876 $13.095 $13.774 $12.244
------- ------- ------- ------- -------
Income from investment
operations:
Net investment income .792 .823 .734 .624 .540
Net realized and unrealized
gain (loss) on investments
and forward commitments (.445) 1.921 1.000 (.148) 1.653
------- ------- ------- ------- -------
Total from investment
operations .347 2.744 1.734 .476 2.193
------- ------- ------- ------- -------
Less distributions:
Dividends from net
investment income (.811) (.835) (.728) (.747) (.560)
Distribution from net
realized gains (.125) (.357) (.225) (.408) (.103)
Distribution in excess of
net realized gains -- -- -- -- --
------- ------- ------- ------- -------
Total distributions (.936) (1.192) (.953) (1.155) (.663)
------- ------- ------- ------- -------
Net asset value:
End of year $14.839 $15.428 $13.876 $13.095 $13.774
======= ======= ======= ======= =======
Total return 2.37% 19.96% 13.40% 3.12% 18.30%
Net assets (in millions):
End of year $574.15 $524.29 $401.22 $346.12 $236.15
Ratio of expenses to
average net assets .44% .45% .46% .48% .51%
Ratio of net investment
income to average net
assets 5.37% 5.57% 5.29% 4.77% 4.81%
Portfolio turnover rate 24.55% 22.39% 25.70% 36.56% 58.75%
</TABLE>
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
9
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES - 92.49%
Aerospace & Defense - 2.23%
The Boeing Company......................... 202,500 $ 15,870,938
TRW, Inc................................... 154,100 11,942,750
------------ ------------
356,600 27,813,688
------------ ------------
Agribusiness - 1.56%
Archer-Daniels-Midland Company............. 359,975 6,479,550
Pioneer Hi-Bred International, Inc......... 235,000 13,071,875
------------ ------------
594,975 19,551,425
------------ ------------
Apparel, Textiles, Shoes - .93%
VF Corporation............................. 220,000 11,605,000
------------ ------------
Automotive & Parts - 4.20%
Ford Motor Company......................... 477,000 13,833,000
Genuine Parts Company...................... 433,500 17,773,500
Goodyear Tire & Rubber Company............. 461,000 20,917,875
------------ ------------
1,371,500 52,524,375
------------ ------------
Banking, Savings & Loans - 6.16%
The Bank of New York Company,
Incorporated.............................. 435,000 21,206,250
Comerica, Incorporated..................... 435,000 17,454,375
CoreStates Financial Corporation........... 410,500 15,547,687
Norwest Corporation........................ 291,000 9,603,000
Wachovia Corporation....................... 288,200 13,185,150
------------ ------------
1,859,700 76,996,462
------------ ------------
Beverages - 1.95%
Brown-Forman Corporation (Class B)......... 333,000 12,154,500
Pepsico, Incorporated...................... 218,000 12,180,750
------------ ------------
551,000 24,335,250
------------ ------------
Chemicals - 4.03%
Eastman Chemical Company................... 240,000 15,030,000
E.I. du Pont de Nemours and Company........ 166,500 11,634,187
The Lubrizol Corporation................... 242,000 6,745,750
Nalco Chemical Company..................... 335,000 10,091,875
Rohm & Haas................................ 106,300 6,843,063
------------ ------------
1,089,800 50,344,875
------------ ------------
Communications - 2.18%
AT&T Corporation........................... 420,000 27,195,000
------------ ------------
Computers & Office Equipment - 6.41%
Hewlett-Packard Company.................... 385,000 32,243,750
International Business Machines Corporation 121,000 11,101,750
Pitney Bowes, Inc.......................... 423,500 19,904,500
Xerox Corporation.......................... 123,000 16,851,000
------------ ------------
1,052,500 80,101,000
------------ ------------
Containers - .97%
Temple-Inland, Inc......................... 273,500 12,068,188
------------ ------------
Cosmetics & Personal Care - 1.28%
Kimberly-Clark Corporation................. 193,600 16,020,400
------------ ------------
Electric Utilities - 1.84%
Niagara Mohawk Power Corporation........... 463,500 4,461,187
NIPSCO Industries, Inc..................... 200,000 7,650,000
SCANA Corporation.......................... 378,000 10,820,250
------------ ------------
1,041,500 22,931,437
------------ ------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Electrical Equipment & Electronics - 7.53%
AMP, Incorporated.......................... 580,000 $ 22,257,500
General Electric Company................... 470,000 33,840,000
General Signal Corporation................. 269,500 8,725,063
Honeywell Inc.............................. 272,500 13,250,313
Hubbell, Incorporated (Class B)............ 242,072 15,916,234
------------ ------------
1,834,072 93,989,110
------------ ------------
Energy - 8.65%
Amoco Corporation.......................... 380,000 27,312,500
Atlantic Richfield Company................. 175,500 19,436,625
Chevron Corporation........................ 360,000 18,900,000
Kerr-McGee Corporation..................... 250,100 15,881,350
Mobil Corporation.......................... 197,200 22,086,400
USX Corporation - Marathon Group........... 145,000 2,827,500
Union Pacific Resources Group, Inc......... 62,100 1,575,787
------------ ------------
1,569,900 108,020,162
------------ ------------
Financial Services - 1.33%
American Express Company................... 400,000 16,550,000
------------ ------------
Foods - 1.57%
CPC International, Inc..................... 285,000 19,558,125
------------ ------------
Forest Products & Paper - 2.37%
Westvaco Corporation....................... 335,755 9,317,201
Weyerhaeuser Company....................... 467,500 20,219,375
------------ ------------
803,255 29,536,576
------------ ------------
Hardware & Tools - 1.30%
The Stanley Works.......................... 315,500 16,248,250
------------ ------------
Healthcare - 9.60%
Becton, Dickinson and Company.............. 260,000 19,500,000
Bristol-Myers Squibb Company............... 507,500 43,581,562
Pfizer, Incorporated....................... 600,000 37,800,000
Schering-Plough Corp....................... 347,500 19,025,625
------------ ------------
1,715,000 119,907,187
------------ ------------
Household Products - .91%
The Clorox Company......................... 159,500 11,424,188
------------ ------------
Industrial Distribution - 1.25%
W. W. Grainger, Inc........................ 236,000 15,635,000
------------ ------------
Industrial Transportation - 1.54%
Norfolk Southern Corporation............... 242,000 19,208,750
------------ ------------
Insurance - 4.92%
Allstate Corporation....................... 185,182 7,615,610
Jefferson-Pilot Corporation................ 207,000 9,625,500
MBIA, Inc.................................. 154,000 11,550,000
SAFECO Corporation......................... 750,000 25,875,000
Unitrin, Inc............................... 140,000 6,720,000
------------ ------------
1,436,182 61,386,110
------------ ------------
Machinery & Components - 1.62%
Dover Corporation.......................... 325,000 11,984,375
Parker-Hannifin Corporation................ 242,050 8,290,213
------------ ------------
567,050 20,274,588
------------ ------------
Metals & Mining - .27%
Reynolds Metals Company.................... 60,000 3,397,500
------------ ------------
</TABLE>
10
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Miscellaneous - 2.59%
Harsco Corporation......................... 169,500 $ 9,852,187
Minnesota Mining &
Manufacturing Company..................... 340,000 22,525,000
------------ ------------
509,500 32,377,187
------------ ------------
Photography - 1.21%
Eastman Kodak Company...................... 225,000 15,075,000
------------ ------------
Publishing & Printing - 4.35%
The Dun & Bradstreet Corporation........... 308,500 19,975,375
McGraw-Hill Companies, Inc................. 224,000 19,516,000
R. R. Donnelley & Sons Company............. 378,000 14,883,750
------------ ------------
910,500 54,375,125
------------ ------------
Retail - 2.32%
J.C. Penney Company, Inc................... 89,400 4,257,675
The May Department Stores Company.......... 363,000 15,336,750
Sears Roebuck and Company.................. 242,000 9,438,000
------------ ------------
694,400 29,032,425
------------ ------------
Retail - Grocery - 1.20%
Albertson's, Inc........................... 455,200 14,964,700
------------ ------------
Telephone Utilities - 2.64%
Ameritech Corporation...................... 182,000 10,738,000
Frontier Corporation....................... 423,500 12,705,000
Southern New England
Telecommunications Corporation............ 240,000 9,540,000
------------ ------------
845,500 32,983,000
------------ ------------
Tobacco - 1.58%
American Brands, Inc....................... 442,000 19,724,250
------------ ------------
Total Equities
(Cost $784,795,485)........................ 1,155,154,333
-------------
<CAPTION>
Principal
Amount
-----------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 11.69%
Commercial Paper
Aristar, Inc.
5.600% 2/14/96.................... $ 3,480,000 3,456,181
Comdisco, Inc.
6.030% 1/11/96.................... 3,545,000 3,539,062
Comdisco, Inc.
6.030% 1/12/96.................... 3,300,000 3,293,920
Comdisco, Inc.
6.000% 1/22/96.................... 4,610,000 4,593,235
Comdisco, Inc.
5.950% 2/12/96.................... 4,790,000 4,756,356
ConAgra, Inc.
5.970% 1/3/96..................... 5,585,000 5,583,148
ConAgra, Inc.
5.930% 1/24/96.................... 3,615,000 3,601,304
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
ConAgra, Inc.
5.930% 2/1/96..................... $ 4,590,000 $ 4,566,562
ConAgra, Inc.
5.770% 2/6/96..................... 3,835,000 3,812,872
Dana Credit Corporation
6.000% 1/31/96.................... 6,220,000 6,187,578
Dana Credit Corporation
5.950% 2/16/96.................... 4,295,000 4,261,793
Dana Credit Corporation
5.820% 3/21/96.................... 3,165,000 3,123,042
Dominion Resources Inc.
6.010% 1/23/96.................... 5,200,000 5,180,901
Florida Power & Light Co.
5.580% 2/7/96..................... 2,255,000 2,242,068
GTE Corporation
5.950% 2/2/96..................... 5,225,000 5,197,366
GTE Corporation
5.830% 2/9/96..................... 5,900,000 5,862,737
Illinois Power Company
6.000% 1/25/96.................... 3,225,000 3,212,100
Illinois Power Company
6.100% 2/5/96..................... 2,380,000 2,365,885
Illinois Power Company
5.930% 2/8/96..................... 4,000,000 3,974,962
MAPCO Inc.
6.050% 1/5/96..................... 4,575,000 4,571,925
MAPCO Inc.
6.000% 1/8/96..................... 4,385,000 4,379,884
MAPCO Inc.
6.000% 1/10/96.................... 4,000,000 3,994,000
ORIX Credit Alliance, Inc.
6.080% 1/17/96.................... 5,865,000 5,848,749
ORIX Credit Alliance, Inc.
6.070% 1/19/96.................... 5,160,000 5,144,178
ORIX Credit Alliance, Inc.
6.000% 1/26/96.................... 4,000,000 3,983,333
ORIX Credit Alliance, Inc.
6.070% 1/30/96.................... 4,000,000 3,980,175
ORIX Credit Alliance, Inc.
5.750% 2/14/96.................... 8,000,000 7,943,778
Public Service Company of Colorado
6.000% 1/29/96.................... 6,410,000 6,380,087
Rite Aid Corporation
5.900% 2/26/96.................... 3,790,000 3,754,926
Rite Aid Corporation
5.980% 1/16/96.................... 3,500,000 3,491,057
Texas Utilities Electric Company
5.950% 1/2/96..................... 4,000,000 3,999,339
Textron, Inc.
5.970% 2/29/96.................... 1,500,000 1,485,146
Tyson Foods, Inc.
6.050% 1/4/96..................... 1,340,000 1,339,324
Tyson Foods, Inc.
5.990% 1/9/96..................... 2,745,000 2,741,346
Tyson Foods, Inc.
5.990% 1/18/96.................... 4,165,000 4,152,537
------------ ------------
Total Short-Term Investments
(Cost $146,006,980)....................... $146,650,000 146,000,856
============ ============
</TABLE>
11
<PAGE>
MML Equity Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Value
(Note 2A)
--------------
<S> <C> <C>
Total Investments -
(Cost $930,802,465) (a) 104.18% $1,301,155,189
Other Assets - 27 3,422,570
Liabilities - (4.45) (55,678,753)
------- --------------
Net Assets - 100.00% $1,248,899,006
======= ==============
(a) Federal Income Tax Information: At
December 31, 1995 the net unrealized
appreciation on investments based on cost
of $930,814,277 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.................. $ 378,715,018
Aggregate gross unrealized depreciation for
all investments in which there is an excess
of tax cost over market value.................. (8,374,106)
--------------
Net unrealized appreciation.................... $ 370,340,912
==============
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
MML Money Market Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 100.57%
Commercial Paper
Anheuser-Busch Companies, Inc.
5.550% 3/7/96..................... $ 2,115,000 $ 2,093,480
Aristar, Inc.
5.780% 1/30/96.................... 4,000,000 3,981,375
Atlantic Richfield Corp.
5.600% 2/9/96..................... 2,800,000 2,783,013
Baltimore Gas & Electric Company
5.680% 1/19/96.................... 3,015,000 3,006,437
Bell Atlantic Network Funding Corp.
5.450% 2/22/96.................... 2,035,000 2,018,980
Bell Atlantic Network Funding Corp.
5.510% 2/23/96.................... 2,265,000 2,246,626
Campbell Soup Company
5.650% 1/16/96.................... 3,210,000 3,202,443
Caterpillar Financial Services Corp.
5.650% 2/15/96.................... 1,915,000 1,901,475
Coca Cola Company
5.580% 2/2/96..................... 1,425,000 1,417,932
Coca Cola Company
5.350% 3/6/96..................... 1,000,000 990,340
Coca Cola Financial Corporation
5.580% 2/1/96..................... 1,845,000 1,836,135
Consolidated Natural Gas Company
5.630% 2/6/96..................... 1,435,000 1,426,921
Dresser Industries, Inc.
5.750% 1/31/96.................... 2,200,000 2,189,458
Dresser Industries, Inc.
5.650% 1/26/96.................... 1,800,000 1,792,938
E.I. du Pont de Nemours and Company
5.660% 1/17/96.................... 3,015,000 3,007,416
Echlin Inc.
5.710% 1/26/96.................... 2,000,000 1,992,069
Eli Lilly & Company
5.670% 1/19/96.................... 1,890,000 1,884,642
Eli Lilly & Company
5.550% 3/28/96.................... 2,400,000 2,367,810
Ford Motor Credit Company
5.350% 7/22/96.................... 4,000,000 3,879,328
GTE Corporation
5.850% 2/14/96.................... 2,545,000 2,526,803
GTE Corporation
5.840% 2/16/96.................... 230,000 228,284
GTE Corporation
5.600% 3/5/96..................... 1,580,000 1,564,270
General Electric Company
5.420% 5/3/96..................... 1,125,000 1,104,167
General Motors Acceptance Corporation
5.570% 3/15/96.................... 2,080,000 2,056,185
General Motors Acceptance Corporation
5.847% 1/2/96..................... 510,000 510,000
Georgia Power Company
5.610% 3/6/96..................... 360,000 356,354
Georgia Power Company
5.640% 2/12/96.................... 3,900,000 3,874,338
Great Lakes Chemical Corp.
5.670% 1/22/96.................... 1,735,000 1,729,261
Hercules Incorporated
5.660% 2/16/96.................... 1,870,000 1,856,476
Hercules Incorporated
5.350% 6/19/96.................... 1,600,000 1,559,578
Indianapolis Power & Light Company
5.680% 1/25/96.................... 2,025,000 2,017,332
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
John Deere Capital Corporation
5.680% 2/13/96.................... $ 3,930,000 $ 3,903,337
McCormick & Company Inc.
5.600% 1/29/96.................... 2,855,000 2,842,565
Minnesota Mining and Manufacturing Company
5.480% 3/14/96.................... 2,460,000 2,432,664
Nestle Capital Corporation
5.660% 1/23/96.................... 1,595,000 1,589,483
Nestle Capital Corporation
5.370% 4/11/96.................... 2,720,000 2,679,021
Northern Illinois Gas Company
5.670% 1/12/96.................... 4,500,000 4,492,204
Northern States Power Company
5.680% 1/18/96.................... 2,020,000 2,014,582
Pacificorp
5.710% 1/5/96..................... 1,570,000 1,569,004
Pacificorp
5.700% 2/7/96..................... 2,250,000 2,236,819
J.C. Penney Funding Corp.
5.650% 2/8/96..................... 3,785,000 3,762,427
Pepsico Inc.
5.700% 1/12/96.................... 820,000 818,572
Pepsico Inc.
5.550% 2/6/96..................... 1,770,000 1,760,177
Pioneer Hi-Bred International, Inc.
5.700% 1/24/96.................... 3,375,000 3,362,709
Pitney Bowes Credit Corporation
5.620% 2/5/96..................... 3,060,000 3,043,281
Proctor & Gamble Company
5.610% 2/21/96.................... 4,000,000 3,968,210
Southern New England Telecommunications
Corporation
5.700% 1/31/96.................... 1,530,000 1,522,733
Southwestern Bell Telephone Company
5.500% 2/27/96.................... 4,180,000 4,143,599
------------ ------------
<CAPTION>
Total Short-Term Investments
(Cost $109,543,253) (a) $110,345,000 109,543,253
============ ------------
<S> <C> <C>
Total Investments -
(Cost $109,543,253) (a) 100.57% 109,543,253
Other Assets - .01 3,459
Liabilities - (.58) (626,511)
------- ------------
Net Assets - 100.00% $108,920,201
======= ============
</TABLE>
(a) Federal Income Tax Information: The aggregate cost for investments
for the MML Money Market Fund as of December 31, 1995 is the same for
financial reporting and federal income tax purposes.
December 31, 1995 seven-day average yield for the portfolio: 5.25%
See Notes to Financial Statements.
13
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES - 95.72%
Asset Backed Securities - 10.03%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02..................... $ 2,883,620 $ 2,894,433
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00.................... 660,968 662,059
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99.................... 959,110 977,390
GMAC 1992-E Grantor Trust
4.750% 8/15/97..................... 321,666 320,257
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98..................... 195,325 194,653
Jet Equipment Trust 1995-A
8.235% 5/1/15...................... 1,990,986 2,187,895
Midlantic Auto Grantor Trust 1992-1
4.300% 9/15/97..................... 93,624 93,594
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99..................... 1,547,068 1,560,110
Railcar Trust No. 1992-1
7.750% 6/1/04...................... 1,715,380 1,849,385
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00..................... 2,131,553 2,145,110
World Omni 1995-A Automobile Lease
Securitization Trust
6.050% 11/25/01.................... 3,000,000 3,026,250
------------ ------------
Total Asset Backed Securities
(Cost $15,716,572) 15,499,300 15,911,136
------------ ------------
Corporate Debt - 51.52%
American Airlines, Inc.
9.780% 11/26/11.................... 2,000,000 2,364,400
AMR Corporation
9.000% 8/1/12...................... 1,000,000 1,127,770
Analog Devices, Inc.
6.625% 3/1/00...................... 1,000,000 1,012,980
Associates Corporation of North America
7.875% 9/30/01..................... 2,000,000 2,182,260
Atlantic Richfield Company
7.770% 2/13/02..................... 3,000,000 3,275,310
BP America Inc.
8.500% 4/15/01..................... 2,000,000 2,240,220
Bell Atlantic Financial Services, Inc.
6.610% 2/4/00...................... 2,000,000 2,064,600
Columbia Gas System, Inc.
6.610% 11/28/02.................... 2,000,000 2,036,220
Commercial Credit Company
7.750% 3/1/05...................... 3,000,000 3,333,180
Corning Glass Works, Inc.
8.875% 3/15/16..................... 500,000 603,690
Dow Capital
7.125% 1/15/03..................... 4,000,000 4,167,880
English China Clays Delaware, Inc.
7.375% 10/1/02..................... 1,000,000 1,059,300
Equifax, Inc.
6.500% 6/15/03..................... 1,250,000 1,273,950
ERAC USA Finance Company 144A
7.875% 3/15/98..................... 1,500,000 1,576,875
Foster Wheeler Corporation
6.750% 11/15/05.................... 2,000,000 2,061,620
General Electric Capital Corporation
8.750% 5/21/07..................... 1,000,000 1,206,390
General Motors Acceptance Corporation
6.300% 9/10/97..................... 2,500,000 2,529,150
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt (Continued)
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01..................... $ 2,000,000 $ 2,004,360
Hercules Incorporated
6.625% 6/1/03...................... 2,000,000 2,055,180
Imcera Group, Inc.
6.000% 10/15/03.................... 2,000,000 1,924,780
ITT Corporation (New)
7.375% 11/15/15.................... 3,500,000 3,608,500
Leucadia National Corporation
7.750% 8/15/13..................... 2,000,000 2,070,380
Lockheed Corporation
5.650% 4/1/97...................... 2,000,000 1,995,500
McDonnell Douglas Corporation
9.250% 4/1/02...................... 1,400,000 1,630,160
Newmont Mining Corporation
8.625% 4/1/02...................... 2,000,000 2,209,980
News America Holdings Incorporated
9.250% 2/1/13...................... 1,000,000 1,177,840
Penske Truck Leasing Co., L.P.
7.750% 5/15/99..................... 1,250,000 1,305,450
Polaroid Corporation
7.250% 1/15/97..................... 1,000,000 1,013,290
Polaroid Corporation
8.000% 3/15/99..................... 1,000,000 1,056,350
Ralston Purina Company
7.750% 10/1/15..................... 3,000,000 3,222,240
Rolls-Royce Capital Inc.
7.125% 7/29/03..................... 1,500,000 1,564,890
Service Corporation International
7.000% 6/1/15...................... 2,250,000 2,507,018
Tenaga Nasional Berhad 144A
7.875% 6/15/04..................... 1,250,000 1,373,563
Textron Inc.
9.550% 3/19/01..................... 1,000,000 1,136,100
Thomas & Betts Corporation
8.250% 1/15/04..................... 1,500,000 1,645,035
Time Warner, Inc.
7.750% 6/15/05..................... 3,000,000 3,123,090
US West Capital Funding Corporation
8.375% 10/18/99.................... 3,000,000 3,262,140
Union Oil of California
8.750% 8/15/01..................... 1,500,000 1,669,890
United Air Lines, Inc.
10.110% 2/19/06..................... 476,860 540,998
Valassis Communications, Inc.
9.550% 12/1/03..................... 2,000,000 2,039,240
Westinghouse Electric Corporation
8.375% 6/15/02..................... 1,200,000 1,237,680
W.R. Grace & Co.
7.750% 10/1/02..................... 2,100,000 2,273,250
------------ ------------
Total Corporate Debt
(Cost $78,945,707).......................... 76,676,860 81,762,699
============ ============
</TABLE>
14
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Agency Obligations - 19.01%
Federal Home Loan Mortgage
Corporation (FHLMC) - 4.06%
Collateralized Mortgage Obligations - 3.91%
FHLMC Series 1080 Class D
7.000% 7/15/20..................... $ 2,000,000 $ 2,032,500
FHLMC Series 1322 Class G
7.500% 2/15/07..................... 2,000,000 2,088,740
FHLMC Series 1460 Class H
7.000% 5/15/07..................... 2,000,000 2,072,500
------------ ------------
6,000,000 6,193,740
------------ ------------
Pass-Through Securities - .15%
FHLMC
9.000% 3/1/17...................... 228,281 242,521
------------ ------------
6,228,281 6,436,261
------------ ------------
Federal National Mortgage
Association (FNMA) - 3.32%
Collateralized Mortgage Obligations - 2.81%
FNMA Series 1993-175 Class PL
5.000% 10/25/02.................... 2,000,000 1,980,000
FNMA Series 1993-191 Class PD
5.400% 3/25/04..................... 1,500,000 1,486,395
FNMA Series 1993-221 Class PD
6.000% 12/25/08.................... 1,000,000 989,680
------------ ------------
4,500,000 4,456,075
------------ ------------
Pass-Through Securities - .51%
FNMA
9.000% 5/1/09...................... 761,881 809,971
------------ ------------
5,261,881 5,266,046
------------ ------------
Government National Mortgage
Association (GNMA) - 9.10%
Collateralized Mortgage Obligations - .60%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19...................... 895,053 956,587
------------ ------------
Pass-Through Securities - 8.50%
GNMA
8.000% 6/15/06 - 3/15/08........... 6,449,335 6,833,391
GNMA - ARMS
6.000% 7/20/25 - 12/20/25.......... 6,586,262 6,659,175
------------ ------------
13,035,597 13,492,566
------------ ------------
13,930,650 14,449,153
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes - 2.53%
1994-A Atlanta, GA
5.780% 8/1/98...................... $ 130,000 $ 130,637
1994-A Baxter Springs, KS
5.780% 8/1/98...................... 700,000 703,430
1994-A Boston, MA
5.780% 8/1/98...................... 745,000 748,650
1994-A Detroit, MI
5.780% 8/1/98...................... 385,000 386,887
1994-A Egg Harbor, NJ
5.780% 8/1/98...................... 260,000 261,274
1994-A Kansas City, MO
5.780% 8/1/98...................... 550,000 552,695
1994-A Mayaguez, PR
5.780% 8/1/98...................... 295,000 296,446
1994-A Rochester, NY
5.780% 8/1/98...................... 300,000 301,470
1994-A Sacramento, CA
5.780% 8/1/98...................... 55,000 55,270
1994-A Saginaw, MI
5.780% 8/1/98...................... 315,000 316,544
1994-A Youngstown, OH
5.780% 8/1/98...................... 265,000 266,299
------------ ------------
4,000,000 4,019,602
------------ ------------
Total U.S. Government Agency Obligations
(Cost $29,136,748).......................... 29,420,812 30,171,062
------------ ------------
U.S. Treasury Obligations - 15.16%
U.S. Treasury Bonds - 9.28%
U.S. Treasury Bond
8.875% 8/15/17..................... 11,000,000 14,733,070
------------ ------------
U.S. Treasury Notes - 3.50%
U.S. Treasury Note
7.250% 5/15/04..................... 5,000,000 5,550,000
------------ ------------
U.S. Treasury Strips - 2.38%
U.S. Treasury Strip - Principal Only
0.000% 2/15/15..................... 12,200,000 3,775,290
------------ ------------
Total U.S. Treasury Obligations
(Cost $21,674,338).......................... 28,200,000 24,058,360
------------ ------------
Total Bonds and Notes
(Cost $145,473,365)......................... $149,796,972 151,903,257
============ ============
</TABLE>
15
<PAGE>
MML Managed Bond Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS - 1.62%
Commercial Paper
ORIX Credit Alliance, Inc.
6.400% 1/5/96........................ $ 2,185,000 $ 2,183,446
Ryder System Inc.
6.000% 1/2/96........................ 395,000 394,934
------------ ------------
Total Short-Term Investments
(Cost $2,578,380) $ 2,580,000 2,578,380
============ ------------
<CAPTION>
<S> <C> <C>
Total Investments
(Cost $148,051,745) (a) 97.34% 154,481,637
Other Assets - 9.33 14,800,734
Liabilities - (6.67) (10,584,233)
------- ------------
Net Assets - 100.00% $158,698,138
======= ============
</TABLE>
(a) Federal Income Tax Information. At
December 31, 1995 the net unrealized
appreciation on investments based on
cost of $148,061,936 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................................................. $ 7,077,046
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value............................................. (657,345)
------------
Net unrealized appreciation........................... $ 6,419,701
============
See Notes to Financial Statements
16
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES - 55.32%
Aerospace & Defense - 1.42%
The Boeing Company.......................... 193,500 $ 15,165,563
TRW, Inc.................................... 138,500 10,733,750
------------ ------------
332,000 25,899,313
------------ ------------
Agribusiness - .95%
Archer-Daniels-Midland Company.............. 318,017 5,724,306
Pioneer Hi-Bred International, Inc.......... 208,000 11,570,000
------------ ------------
526,017 17,294,306
------------ ------------
Apparel, Textiles, Shoes - .60%
VF Corporation.............................. 208,000 10,972,000
------------ ------------
Automotive & Parts - 2.57%
Ford Motor Company.......................... 410,000 11,890,000
Genuine Parts Company....................... 397,000 16,277,000
Goodyear Tire & Rubber Company.............. 412,200 18,703,575
------------ ------------
1,219,200 46,870,575
------------ ------------
Banking, Savings & Loans - 3.85%
The Bank of New York Company, Incorporated.. 390,000 19,012,500
Comerica, Incorporated...................... 397,000 15,929,625
CoreStates Financial Corporation............ 374,800 14,195,550
Norwest Corporation......................... 262,000 8,646,000
Wachovia Corporation........................ 270,600 12,379,950
------------ ------------
1,694,400 70,163,625
------------ ------------
Beverages - 1.25%
Brown-Forman Corporation (Class B).......... 319,500 11,661,750
Pepsico, Incorporated....................... 200,000 11,175,000
------------ ------------
519,500 22,836,750
------------ ------------
Chemicals - 2.12%
Eastman Chemical Company.................... 216,475 13,556,747
E.I. du Pont de Nemours and Company......... 146,000 10,201,750
The Lubrizol Corporation.................... 216,000 6,021,000
Nalco Chemical Company...................... 295,000 8,886,875
------------ ------------
873,475 38,666,372
------------ ------------
Communications - .66%
AT&T Corporation............................ 185,000 11,978,750
------------ ------------
Computers & Office Equipment - 3.88%
Hewlett-Packard Company..................... 343,000 28,726,250
International Business Machines Corporation. 106,000 9,725,500
Pitney Bowes, Inc........................... 371,000 17,437,000
Xerox Corporation........................... 108,000 14,796,000
------------ ------------
928,000 70,684,750
------------ ------------
Cosmetic & Personal Care - .80%
Kimberly-Clark Corporation.................. 176,200 14,580,550
------------ ------------
Electric Utilities - 1.11%
Niagara Mohawk Power Corporation............ 416,000 4,004,000
NIPSCO Industries, Inc...................... 178,000 6,808,500
SCANA Corporation........................... 326,000 9,331,750
------------ ------------
920,000 20,144,250
------------ ------------
Electrical Equipment & Electronics - 4.63%
AMP, Inc.................................... 530,000 20,338,750
General Electric Company.................... 420,000 30,240,000
General Signal Corporation.................. 243,000 7,867,125
Honeywell Inc............................... 243,000 11,815,875
Hubbell, Incorporated (Class B)............. 215,940 14,198,055
------------ ------------
1,651,940 84,459,805
------------ ------------
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Energy - 5.08%
Amoco Corporation........................... 332,000 $ 23,862,500
Atlantic Richfield Company.................. 151,000 16,723,250
Chevron Corporation......................... 324,000 17,010,000
Kerr-McGee Corporation...................... 216,000 13,716,000
Mobil Corporation........................... 177,100 19,835,200
Union Pacific Resources Group, Inc.......... 55,400 1,405,775
------------ ------------
1,255,500 92,552,725
------------ ------------
Financial Services - .80%
American Express Company.................... 352,500 14,584,688
------------ ------------
Foods - 1.07%
CPC International, Inc...................... 285,000 19,558,125
------------ ------------
Forest Products & Paper - 1.54%
Westvaco Corporation........................ 363,012 10,073,583
Weyerhaeuser Company........................ 415,000 17,948,750
------------ ------------
778,012 28,022,333
------------ ------------
Hardware & Tools - .81%
The Stanley Works........................... 285,300 14,692,950
------------ ------------
Healthcare - 5.96%
Becton, Dickinson and Company............... 247,800 18,585,000
Bristol-Myers Squibb Company................ 450,000 38,643,750
Pfizer, Incorporated........................ 540,000 34,020,000
Schering-Plough Corp........................ 318,400 17,432,400
------------ ------------
1,556,200 108,681,150
------------ ------------
Household Products - .57%
The Clorox Company.......................... 146,000 10,457,250
------------ ------------
Industrial Distribution - .77%
W. W. Grainger, Inc......................... 212,300 14,064,875
------------ ------------
Industrial Transportation - .92%
Norfolk Southern Corporation................ 212,000 16,827,500
------------ ------------
Insurance - 2.99%
Allstate Corporation........................ 165,501 6,806,228
Jefferson-Pilot Corporation................. 183,000 8,509,500
MBIA, Inc................................... 135,000 10,125,000
SAFECO Corporation.......................... 668,000 23,046,000
Unitrin, Inc................................ 125,000 6,000,000
------------ ------------
1,276,501 54,486,728
------------ ------------
Machinery & Components - 1.05%
Dover Corporation........................... 286,000 10,546,250
Parker-Hannifin Corporation................. 251,750 8,622,438
------------ ------------
537,750 19,168,688
------------ ------------
Metals & Mining - .17%
Reynolds Metals Company..................... 55,000 3,114,375
------------ ------------
Miscellaneous - 1.62%
Harsco Corporation.......................... 159,050 9,244,781
Minnesota Mining &
Manufacturing Company...................... 305,000 20,206,250
------------ ------------
464,050 29,451,031
------------ ------------
Photography - .73%
Eastman Kodak Company....................... 198,500 13,299,500
------------ ------------
</TABLE>
17
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Number Market
of Value
Shares (Note 2A)
------------ ------------
<S> <C> <C>
EQUITIES (Continued)
Publishing & Printing - 2.66%
The Dun & Bradstreet Corporation............ 276,000 $ 17,871,000
McGraw-Hill Companies, Inc.................. 200,000 17,425,000
R.R. Donnelley & Sons Company............... 334,000 13,151,250
------------ ------------
810,000 48,447,250
------------ ------------
Retail - 1.42%
J.C. Penney Company, Inc.................... 81,000 3,857,625
The May Department Stores Company........... 324,000 13,689,000
Sears Roebuck and Company................... 216,000 8,424,000
------------ ------------
621,000 25,970,625
------------ ------------
Retail - Grocery - .75%
Albertson's, Inc............................ 418,300 13,751,612
------------ ------------
Telephone Utilities - 1.63%
Ameritech Corporation....................... 170,000 10,030,000
Frontier Corporation........................ 371,000 11,130,000
Southern New England
Telecommunications Corporation............. 216,000 8,586,000
------------ ------------
757,000 29,746,000
------------ ------------
Tobacco - .94%
American Brands, Inc........................ 384,000 17,136,000
------------ ------------
Total Equities
(Cost $627,696,809)......................... 1,008,564,451
-------------
<CAPTION>
Principal
Amount
------------
<S> <C> <C>
BONDS AND NOTES - 15.36%
Asset Backed Securities - 1.16%
Auto Receivables
Daimler-Benz Auto Grantor Trust 1995-A
5.850% 5/15/02..................... $ 2,403,016 2,412,028
Daimler-Benz Vehicle Trust 1994-A
5.950% 12/15/00.................... 1,321,937 1,324,118
Ford Credit Auto Loan Master Trust,
Series 1992-1
6.875% 1/15/99..................... 1,500,000 1,520,625
Ford Credit 1994-B Grantor Trust
7.300% 10/15/99.................... 1,278,813 1,303,187
GMAC 1992-E Grantor Trust
4.750% 8/15/97..................... 193,000 192,154
Honda Auto Receivables 1992-A Grantor Trust
4.900% 6/15/98..................... 195,325 194,653
Nissan Auto Receivables 1994-A Grantor Trust
6.450% 9/15/99..................... 4,177,084 4,212,297
Railcar Trust No. 1992-1
7.750% 6/1/04...................... 1,552,419 1,673,694
World Omni 1994-A Automobile Lease
Securitization Trust
6.450% 9/25/00..................... 4,689,417 4,719,242
World Omni 1995-A Automobile Lease
Securitization Trust
6.050% 11/25/01.................... 3,500,000 3,530,625
------------ ------------
Total Asset Backed Securities
(Cost $20,966,611)......................... 20,811,011 21,082,623
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Corporate Debt - 5.49%
AMR Corporation
9.000% 8/1/12...................... $ 2,000,000 $ 2,255,540
American Airlines, Inc.
9.780% 11/26/11.................... 5,000,000 5,911,000
American Brands, Inc.
8.750% 2/15/96..................... 1,000,000 1,002,850
American General Finance Corporation
7.750% 1/15/97..................... 2,000,000 2,041,440
Analog Devices, Inc.
6.625% 3/1/00...................... 1,500,000 1,519,470
Bell Atlantic Financial Services Inc.
6.610% 2/4/00...................... 1,000,000 1,032,300
Cardinal Distribution, Inc.
8.000% 3/1/97...................... 2,000,000 2,051,560
Chrysler Financial Corp.
6.620% 4/29/97..................... 2,000,000 2,023,180
Columbia Gas System, Inc.
6.610% 11/28/02.................... 3,000,000 3,054,330
Commercial Credit Company
7.750% 3/1/05...................... 2,500,000 2,777,650
Corning Glass Works, Inc.
8.875% 3/15/16..................... 500,000 603,690
Delta Air Lines, Inc.
8.540% 1/2/07...................... 4,578,616 4,962,075
ERAC USA Finance Company 144A
7.875% 3/15/98..................... 4,000,000 4,205,000
English China Clays Delaware, Inc.
7.375% 10/1/02..................... 1,000,000 1,059,300
Ford Motor Credit Company
8.450% 7/15/06..................... 1,500,000 1,521,360
GTE Corporation
9.100% 6/1/03...................... 1,000,000 1,162,710
General Electric Capital Corporation
8.750% 5/21/07..................... 1,500,000 1,809,585
General Motors Acceptance Corporation
9.125% 7/15/01..................... 1,500,000 1,710,120
The Goldman Sachs Group, L.P. 144A
6.200% 2/15/01..................... 4,000,000 4,008,720
ITT Corporation (New)
7.375% 11/15/15.................... 5,000,000 5,155,000
Leucadia National Corporation
7.750% 8/15/13..................... 3,000,000 3,105,570
McDonnell Douglas Corporation
9.250% 4/1/02...................... 2,200,000 2,561,680
Newmont Mining Corporation
8.625% 4/1/02...................... 5,000,000 5,524,950
News America Holdings Incorporated
9.250%..................................... 2,000,000 2,355,680
North Finance (Bermuda) Limited 144A
7.000% 9/15/05..................... 4,000,000 4,080,000
Polaroid Corporation
7.250% 1/15/97..................... 4,500,000 4,559,805
Ralston Purina Company
7.750% 10/1/15..................... 2,000,000 2,148,160
Rolls-Royce Capital Inc.
7.125% 7/29/03..................... 2,000,000 2,086,520
Service Corporation International
7.000% 6/1/15...................... 4,500,000 5,014,035
Tele-Communications, Inc.
7.550% 9/2/03...................... 3,000,000 3,168,390
Tenaga Nasional Berhad 144A
7.875% 6/15/04..................... 2,500,000 2,747,125
Thomas & Betts Corporation
8.250% 1/15/04..................... 1,000,000 1,096,690
</TABLE>
18
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)-
Time Warner, Inc.
7.750% 6/15/05..................... $ 3,000,000 $ 3,123,090
The Toro Company
11.000% 8/1/17...................... 2,000,000 2,000,000
United States Leasing
International, Inc.
8.750% 5/1/96...................... 3,500,000 3,533,635
Valassis Communications, Inc.
9.550% 12/1/03..................... 2,000,000 2,039,240
Westinghouse Electric Corporation
8.375% 6/15/02..................... 1,000,000 1,031,400
------------ ------------
Total Corporate Debt
(Cost $94,662,584).......................... 93,778,616 100,042,850
------------ ------------
U.S. Government Agency Obligations - 4.03%
Federal Home Loan Mortgage
Corporation (FHLMC) - .93%
Collateralized Mortgage Obligations - .67%
FHLMC Series 1080 Class D
7.000% 7/15/20..................... 5,000,000 5,081,250
FHLMC Series 1322 Class G
7.500% 2/15/07..................... 5,000,000 5,221,850
FHLMC Series 1460 Class 4
7.000% 5/15/07..................... 1,789,000 1,853,851
------------ ------------
11,789,000 12,156,951
------------ ------------
Pass-Through Securities - .26%
FHLMC
9.000% 3/1/17...................... 684,843 727,563
------------ ------------
12,473,843 12,884,514
------------ ------------
Federal National Mortgage
Association (FNMA) - .28%
Collateralized Mortgage Obligations - .08%
FNMA Series 1993-191 Class PD
5.400% 3/25/04..................... 1,500,000 1,486,395
------------ ------------
Pass-Through Securities - .20%
FNMA
5.000% 10/25/02.................... 4,130,000 4,088,700
FNMA
8.000% 5/1/13...................... 3,474,720 3,626,739
------------ ------------
7,604,720 7,715,439
------------ ------------
9,104,720 9,201,834
------------ ------------
Government National Mortgage
Association (GNMA) - 1.64%
Collateralized Mortgage Obligations - .10%
JHM Acceptance Corporation, Series E Class 5
8.960% 4/1/19...................... 1,790,105 1,913,175
------------ ------------
Pass-Through Securities - 1.54%
GNMA
8.000% 1/15/04-5/15/08............. 8,755,864 9,277,277
GNMA
9.000% 8/15/08-9/15/09............. 2,679,591 2,900,658
GNMA - ARMS
6.000% 7/20/25-12/20/25............ 15,725,551 15,900,693
------------ ------------
27,161,006 28,078,628
------------ ------------
28,951,111 29,991,803
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
Government National Mortgage
Association (GNMA) (Continued)
U.S. Government Guaranteed Notes - 1.18%
1994-A Abilene, TX
5.780% 8/1/98...................... $ 70,000 $ 70,343
1994-A Bakersfield, CA
5.780% 8/1/98...................... 245,000 246,200
1994-A Barberton, OH
5.780% 8/1/98...................... 75,000 75,367
1994-A Buffalo, NY
5.780% 8/1/98...................... 375,000 376,837
1991-A Caguas, PR
8.740% 8/1/01...................... 280,000 317,719
1991-A Council Bluffs, IA
8.740% 8/1/01...................... 155,000 175,880
1994-A Cumberland, MD
5.780% 8/1/98...................... 55,000 55,269
1994-A Elizabeth, NJ
5.780% 8/1/98...................... 75,000 75,367
1994-A Erie, PA
5.780% 8/1/98...................... 70,000 70,343
1994-A Euclid, OH
5.780% 8/1/98...................... 105,000 105,514
1994-A Fairfax County, VA
5.780% 8/1/98...................... 110,000 110,539
1991-A Fairfax County, VA
8.740% 8/1/01...................... 85,000 96,450
1991-A Fajardo, PR
8.740% 8/1/01...................... 210,000 238,289
1994-A Fort Myers, FL
5.040% 8/1/96...................... 120,000 119,700
1994-A Fort Myers, FL
5.780% 8/1/98...................... 135,000 135,661
1991-A Gasden, AL
8.740% 8/1/01...................... 100,000 113,471
1994-A Jacksonville, FL
5.040% 8/1/96...................... 200,000 199,500
1994-A Lawrence, MA
5.040% 8/1/96...................... 35,000 34,913
1994-A Lawrence, MA
5.780% 8/1/98...................... 40,000 40,196
1994-A Little Rock, AK
5.040% 8/1/96...................... 310,000 309,225
1994-A LA County, CA
5.040% 8/1/96...................... 145,000 144,638
1994-A LA County, CA
5.780% 8/1/98...................... 175,000 175,858
1991-A Lorain, OH
8.740% 8/1/01...................... 30,000 34,041
1994-A Macon, GA
5.040% 8/1/96...................... 25,000 24,938
1994-A Mayaguez, PR
5.780% 8/1/98...................... 65,000 65,319
1991-A Mayaguez, PR
8.740% 8/1/01...................... 150,000 170,207
1994-A Mobile, AL
5.780% 8/1/98...................... 205,000 206,005
1994-A Montgomery County, PA
5.780% 8/1/98...................... 230,000 231,126
1994-A Montgomery County, PA
5.040% 8/1/96...................... 215,000 214,463
1994-A New Orleans, LA
5.780% 8/1/98...................... 175,000 175,857
</TABLE>
19
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Government Guaranteed Notes (Continued)
1994-A Ocean Shores, WA
5.780% 8/1/98...................... $ 110,000 $ 110,539
1994-A Pasadena, CA
5.780% 8/1/98...................... 140,000 140,686
1994-A Providence, RI
5.040% 8/1/96...................... 40,000 39,900
1994-A Providence, RI
5.780% 8/1/98...................... 50,000 50,245
1994-A Reading, PA
5.040% 8/1/96...................... 15,000 14,962
1994-A Reading, PA
5.780% 8/1/98...................... 65,000 65,319
1994-A Roanoke, VA
5.780% 8/1/98...................... 210,000 211,029
1994-A Rochester, NY
5.040% 8/1/96...................... 155,000 154,613
1994-A Rochester, NY
5.780% 8/1/98...................... 165,000 165,809
1991-A Rochester, NY
8.650% 8/1/00...................... 4,295,000 4,784,029
1994-A Sacramento, CA
5.040% 8/1/96...................... 125,000 124,688
1994-A Sacramento, CA
5.780% 8/1/98...................... 300,000 301,470
1994-A St. Joseph, MO
5.040% 8/1/96...................... 70,000 69,825
1994-A Salt Lake City, UT
5.040% 8/1/96...................... 135,000 134,662
1994-A Schaumburg, IL
5.040% 8/1/96...................... 60,000 59,850
1994-A Syracuse, NY
5.040% 8/1/96...................... 50,000 49,875
1994-A Syracuse, NY
5.780% 8/1/98...................... 50,000 50,245
1994-A Tacoma, WA
5.040% 8/1/96...................... 130,000 129,675
1994-A Tacoma, WA
5.780% 8/1/98...................... 155,000 155,759
1994-A Trenton, NJ
5.040% 8/1/96...................... 120,000 119,700
1994-A Trenton, NJ
5.780% 8/1/98...................... 130,000 130,637
1994-A Virginia Beach, VA
5.780% 8/1/98...................... 260,000 261,274
1994-A Waterford Township, MI
5.780% 8/1/98...................... 55,000 55,269
1994-A Waterford Township, MI
5.040% 8/1/96...................... 50,000 49,875
1994-A West Palm Beach, FL
5.780% 8/1/98...................... 105,000 105,515
U.S. Department of Housing and Urban
Development, Series 1995-A
8.240% 8/1/02...................... 8,475,000 9,557,681
------------ ------------
19,780,000 21,502,366
------------ ------------
Total U.S. Government Agency Obligations
(Cost $69,632,270).......................... 70,309,674 73,580,517
------------ ------------
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
BONDS AND NOTES (Continued)
U.S. Treasury Obligations - 4.68%
U.S. Treasury Bonds - 2.04%
U.S. Treasury Bond
8.750% 5/15/17..................... $ 28,125,000 $ 37,195,313
------------ ------------
U.S. Treasury Notes - 2.43%
U.S. Treasury Note
6.375% 1/15/99..................... 30,000,000 30,932,700
U.S. Treasury Note
7.250% 5/15/04..................... 12,000,000 13,320,000
------------ ------------
42,000,000 44,252,700
------------ ------------
U.S. Treasury Strips - .21%
U.S. Treasury Strip - Principal Only
0.000% 2/15/10..................... 8,750,000 3,794,875
------------ ------------
Total U.S. Treasury Obligations
(Cost $82,556,295).......................... 78,875,000 85,242,888
------------ ------------
Total Bonds and Notes
(Cost $267,817,760)......................... $263,774,301 279,948,878
============ ------------
SHORT-TERM INVESTMENTS - 31.93%
Commercial Paper
Bausch & Lomb, Inc.
5.700% 1/26/96..................... $ 6,745,000 6,716,181
Campbell Soup Company
5.670% 1/2/96...................... 9,165,000 9,163,447
Central and South West Corporation
5.700% 1/22/96..................... 11,250,000 11,209,087
Central and South West Corporation
5.720% 1/19/96..................... 12,170,000 12,132,685
Coca Cola Company
5.580% 2/1/96...................... 11,140,000 11,079,013
Coca Cola Company
5.350% 3/6/96...................... 10,860,000 10,742,048
Comdisco, Inc.
6.000% 1/3/96...................... 14,695,000 14,690,102
ConAgra, Inc.
5.780% 2/21/96..................... 12,350,000 12,244,180
ConAgra, Inc.
5.640% 3/20/96..................... 13,875,000 13,693,276
Consolidated Natural Gas Company
5.650% 1/23/96..................... 5,000,000 4,981,263
Consolidated Natural Gas Company
5.630% 2/6/96...................... 3,525,000 3,503,778
Dana Credit Corporation
5.900% 3/15/96..................... 7,200,000 7,111,450
Dana Credit Corporation
5.880% 3/13/96..................... 10,000,000 9,880,208
Dana Credit Corporation
5.700% 3/21/96..................... 8,995,000 8,875,754
Dean Witter, Discover & Company
5.680% 1/31/96..................... 13,860,000 13,787,754
Dean Witter, Discover & Company
5.700% 2/7/96...................... 16,500,000 16,396,203
Deere Capital Corporation
5.560% 2/29/96..................... 17,070,000 16,900,959
Dial Corp.
5.650% 3/11/96..................... 4,820,000 4,763,800
Echlin Inc.
5.710% 1/23/96..................... 5,265,000 5,245,270
</TABLE>
20
<PAGE>
MML Blend Fund
SCHEDULE OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Echlin Inc.
5.710% 1/24/96..................... $ 7,815,000 $ 7,783,872
GTE California, Inc.
5.780% 2/27/96..................... 7,960,000 7,886,302
GTE Northwest, Inc.
5.580% 3/29/96..................... 11,645,000 11,475,743
Georgia Power Company
5.650% 3/4/96...................... 10,000,000 9,894,583
Hercules Incorporated
5.660% 2/16/96..................... 13,650,000 13,544,463
Hercules Incorporated
5.350% 6/19/96..................... 7,990,000 7,769,221
IBM Credit Corporation
5.630% 2/22/96..................... 16,370,000 16,224,640
IBM Credit Corporation
5.550% 3/5/96...................... 8,650,000 8,557,433
Monsanto Company
5.680% 1/30/96..................... 8,290,000 8,248,913
Nestle Capital Corporation
5.530% 2/23/96..................... 10,000,000 9,908,036
Nestle Capital Corporation
5.530% 2/26/96..................... 10,940,000 10,838,759
Nestle Capital Corporation
5.470% 3/14/96..................... 11,985,000 11,839,516
Northern Illinois Gas Company
5.680% 1/9/96...................... 6,900,000 6,890,644
Northern States Power Company
5.680% 1/18/96..................... 10,725,000 10,692,908
NYNEX Corp.
5.700% 2/2/96...................... 10,000,000 9,945,311
NYNEX Corp.
5.750% 2/8/96...................... 14,625,000 14,528,963
NYNEX Corp.
5.550% 3/19/96..................... 4,680,000 4,619,453
ORIX Credit Alliance, Inc.
6.050% 1/29/96..................... 8,445,000 8,404,588
ORIX Credit Alliance, Inc.
6.000% 2/20/96..................... 7,645,000 7,581,831
ORIX Credit Alliance, Inc.
5.750% 3/21/96..................... 5,900,000 5,821,784
ORIX Credit Alliance, Inc.
5.700% 3/8/96...................... 8,529,000 8,433,641
PHH Corporation
5.680% 1/17/96..................... 10,000,000 9,972,291
Pennsylvania Power & Light Company
6.000% 1/11/96..................... 2,195,000 2,191,342
J.C. Penney Funding Corporation
5.650% 2/12/96..................... 10,000,000 9,929,763
J.C. Penney Funding Corporation
5.620% 2/28/96..................... 7,100,000 7,031,997
PepsiCo, Inc.
5.700% 1/12/96..................... 9,360,000 9,342,549
Pitney Bowes Credit Corporation
5.620% 2/5/96...................... 10,545,000 10,483,279
Proctor & Gamble Company
5.650% 1/25/96..................... 7,600,000 7,567,894
Proctor & Gamble Company
5.620% 2/14/96..................... 10,000,000 9,924,686
Proctor & Gamble Company
5.570% 3/1/96...................... 7,525,000 7,449,279
Public Service Company of Colorado
5.820% 3/22/96..................... 12,000,000 11,839,000
<CAPTION>
Market
Principal Value
Amount (Note 2A)
------------ ------------
<S>.......................................... <C> <C>
SHORT-TERM INVESTMENTS (Continued)
Commercial Paper (Continued)
Public Service Electric and Gas Company
5.900% 1/29/96..................... $ 585,000 $ 582,315
Rite Aid Corporation
5.750% 1/8/96...................... 11,575,000 11,561,267
Rite Aid Corporation
5.920% 2/9/96...................... 7,720,000 7,669,395
Sierra Pacific Power Company
5.950% 1/26/96..................... 5,000,000 4,979,340
SUPERVALU, Inc.
6.020% 2/6/96...................... 7,615,000 7,569,155
Textron Inc.
6.000% 1/16/96..................... 10,500,000 10,473,172
Textron Inc.
5.930% 2/15/96..................... 9,670,000 9,594,296
Textron Inc.
6.000% 1/4/96...................... 8,360,000 8,355,820
Tyson Foods, Inc.
5.850% 1/10/96..................... 10,000,000 9,984,491
Tyson Foods, Inc.
5.870% 1/11/96..................... 7,175,000 7,162,434
Tyson Foods, Inc.
5.910% 1/5/96...................... 8,945,000 8,938,956
VF Corporation
5.850% 2/9/96...................... 5,500,000 5,463,947
Xerox Corporation
5.630% 2/13/96..................... 10,150,000 10,076,519
------------ ------------
Total Short-Term Investments
(Cost $582,413,954)......................... $586,349,000 582,150,249
============ ------------
<CAPTION>
<S> <C> <C>
Total Investments -
(Cost $1,477,928,523) (a) 102.61% 1,870,663,578
Other Assets - 1.25 22,784,224
Liabilities - (3.86) (70,306,872)
------- --------------
Net Assets - 100.00% $1,823,140,930
======= ==============
</TABLE>
<TABLE>
<CAPTION>
Table of Open Forward Commitment Contracts
Forward Aggregate Expiration
Commitment Face Value of of Unrealized
Contracts Contracts Contracts Appreciation
---------- ------------- ----------- ------------
<S> <C> <C> <C> <C>
United States of America
6.500% due 8/15/05 $51,200,000 February 1996 $ 1,388,372
------------
Total Forward Commitment
Contracts $ 1,388,372
===========
</TABLE>
(a) Federal Income Tax Information: At
December 31, 1995 the net unrealized
appreciation on investments and forward
commitment contracts based on cost of
$1,531,480,367 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......................................... $ 400,196,547
Aggregate gross unrealized depreciation for
all investments and forward commitments in
which there is an excess of tax cost over
market value.......................................... (6,519,128)
---------------
Net unrealized appreciation......................... $ 393,677,419
===============
See Notes to Financial Statements.
21
<PAGE>
MML SERIES INVESTMENT FUND
NOTES TO FINANCIAL STATEMENTS
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 December 31, 1995,
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.
22
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
D. Forward Commitments
Each Fund may purchase or sell securities on a "when issued" or delayed
delivery or on a forward commitment basis. The Funds use forward commitments
to manage interest rate exposure or as a temporary substitute for purchasing
or selling particular debt securities. Forward commitments are not used for
purposes of trading. Settlement for securities purchased on a forward
commitment basis can take place a month or more after the date of the
transaction. The Fund generally does not take delivery on these forward
commitments, but such commitments are instead settled with offsetting
transactions. When a forward commitment contract is closed, the Funds record
a realized gain or loss. Forward commitments involve a risk of loss if the
value of the security to be purchased declines prior to the settlement date.
The Funds could also be exposed to loss if they can not close out their
forward commitments because of an illiquid secondary market, or the
inability of counterparties to perform. The Fund monitors exposure to ensure
counterparties are credit worthy and concentration of exposure is minimized.
The Funds instruct the custodian to segregate 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 December 31, 1995, the cost (value) of forward commitments to
purchase securities amounted to $53,105,836 ($54,494,208) 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 year ended December
31, 1995, MassMutual was not required to reimburse the Funds for any expenses.
23
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. PURCHASES AND SALES OF INVESTMENTS AND FORWARD COMMITMENTS
<TABLE>
<CAPTION>
Proceeds
For the Year Ended Acquisition from Sales
December 31, 1995 Cost and Maturities
------------------ -------------- --------------
<S> <C> <C>
Investments
-----------
MML EQUITY FUND
Equities....................................... $ 229,128,687 $ 111,920,115
Short-term investments......................... 1,173,976,609 1,111,406,690
MML MONEY MARKET FUND
Short-term investments......................... 655,453,234 644,100,630
MML MANAGED BOND FUND
Bonds and notes................................ 49,417,797 31,634,617
U.S. Government investments - long term........ 66,464,380 60,934,135
Short-term investments......................... 535,089,316 540,413,398
MML BLEND FUND
Equities....................................... 117,991,665 171,211,503
Bonds and notes................................ 55,930,726 27,095,542
U.S. Government investments - long term........ 176,774,268 197,430,879
Short-term investments......................... 2,401,405,335 2,275,579,310
Cost
Forward Commitments of Contracts
------------------- -------------
MML MANAGED BOND FUND
U.S. Treasury and GNMA Forward
Commitment Contracts:
Contracts opened............................. $ 14,301,523
Contracts closed............................. 21,317,004
Outstanding at December 31, 1995........... --
MML BLEND FUND
U.S. Treasury and GNMA Forward
Commitment Contracts:
Contracts opened............................. 218,072,828
Contracts closed............................. 224,132,699
Outstanding at December 31, 1995........... 53,105,836
</TABLE>
6. NET INCREASE FROM CAPITAL SHARE TRANSACTIONS
<TABLE>
<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
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
============= ============ ============ =============
<CAPTION>
MML Money Managed MML
For the Year Ended Equity Market Bond Blend
December 31, 1994 Fund Fund Fund Fund
------------------ ----------- ---------- ----------- ------------
Shares
Reinvestment of dividends 1,956,594 2,918,570 930,847 5,115,478
Sales of shares 7,668,310 63,560,555 1,691,878 9,445,934
Redemptions of shares (1,955,939) (48,352,100) (2,151,153) (3,664,257)
------------- ------------ ------------ -------------
Net increase 7,668,965 18,127,025 471,572 10,897,155
============= ============ ============ =============
Amount
Reinvestment of dividends $ 40,128,959 $ 2,918,570 $ 11,006,790 $ 92,494,374
Sales of shares 159,968,984 63,560,555 19,994,563 171,986,353
Redemptions of shares (40,585,464) (48,352,100) (25,360,820) (66,659,536)
------------- ------------ ------------ -------------
Net increase $159,512,479 $ 18,127,025 $ 5,640,533 $ 197,821,191
============= ============ ============ =============
</TABLE>
24
<PAGE>
Report Of Independent Accountants
To the Board of Trustees and Shareholders of
MML Series Investment Fund
We have audited the accompanying statement of assets and liabilities of each of
the Funds which comprise the MML Series Investment Fund (a Massachusetts
business trust), including the schedules of investments, as of December 31,
1995, and the related statement of operations for the year then ended, the
statement of changes in net assets for each of the two years in the period then
ended, and the financial highlights for each of the ten years in the period then
ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1995 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the Funds as of December 31, 1995, the results of their respective operations
for the year then ended, the changes in their respective net assets for each of
the two years in the period then ended, and the financial highlights for each of
the ten years in the period then ended, in conformity with generally accepted
accounting principles.
Coopers & Lybrand L.L.P.
Springfield, Massachusetts
February 2, 1996
25
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1995
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer
Oppenheimer Oppenheimer Oppenheimer Capital Oppenheimer Multiple
Money High Income Bond Appreciation Growth Strategies
Fund Fund Fund Fund Fund Fund
------------ ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value
(cost * ) (including
repurchase agreements **)
- see accompanying
statements:
Unaffiliated companies..... $ 62,944,947 $ 131,522,956 $ 205,386,016 $ 335,795,407 $ 117,817,530 $ 378,826,790
Affiliated companies....... -- -- -- -- -- --
Unrealized appreciation on
forward foreign currency
exchange contracts - Note
5.......................... -- 805 -- -- -- 2
Cash........................ 27,216 98,614 475,368 59,048 49,380 38,181
Receivables:
Dividends and interest..... 206,178 2,379,583 3,482,730 96,851 106,959 3,080,691
Shares of beneficial
interest sold............. 2,855,248 92,239 1,549,125 324,174 364,845 1,200,686
Investments sold........... -- 541,324 1,271,263 -- 595,258 870,610
Other...................... 4,817 6,456 7,575 2,162 5,982 12,814
------------ ------------- ------------- ------------- ------------- -------------
Total assets............... 66,038,406 134,641,977 212,172,077 336,277,642 118,939,954 384,029,774
------------ ------------- ------------- ------------- ------------- -------------
LIABILITIES:
Options written, at value
(premiums received ***)
- see accompanying
statements - Note 4....... -- 1,390 -- -- -- 1,043,325
Unrealized depreciation on
forward foreign currency
exchange contracts - Note
5......................... -- -- 15,522 -- -- --
Payables and other
liabilities:
Dividends.................. 162,910 -- -- -- -- --
Investments purchased...... -- 1,044,711 779,747 7,783,979 970,555 1,574,416
Shares of beneficial
interest redeemed......... 440,204 111,962 98,746 3,038,804 231,518 91,258
Other...................... 48,832 33,134 46,292 50,768 27,991 57,611
------------ ------------- ------------- ------------- ------------- -------------
Total liabilities.......... 651,946 1,191,197 940,307 10,873,551 1,230,064 2,766,610
------------ ------------- ------------- ------------- ------------- -------------
NET ASSETS.................. $ 65,386,460 $ 133,450,780 $ 211,231,770 $ 325,404,091 $ 117,709,890 $ 381,263,164
============ ============= ============= ============= ============= =============
COMPOSITION OF NET ASSETS:
Paid-in capital............. $ 65,404,807 $ 129,659,991 $ 201,057,454 $ 240,344,897 $ 84,252,418 $ 329,343,553
Undistributed
(distributions in excess
of) net investment income.. -- 1,473,129 1,342,481 1,115,939 1,290,629 1,361,279
Accumulated net realized
gain (loss) from
investments
and foreign currency
transactions.............. (18,347) (3,407,583) 5,361 20,967,908 8,548,920 8,398,861
Net unrealized
appreciation on
investments and
translation
of assets and liabilities
denominated in foreign
currencies................ -- 5,725,243 8,826,474 62,975,347 23,617,923 42,159,471
------------ ------------- ------------- ------------- ------------- -------------
NET ASSETS.................. $ 65,386,460 $ 133,450,780 $ 211,231,770 $ 325,404,091 $ 117,709,890 $ 381,263,164
============ ============= ============= ============= ============= =============
SHARES OF BENEFICIAL
INTEREST OUTSTANDING....... 65,404,807 12,551,582 17,842,418 9,512,651 4,997,725 26,212,235
NET ASSET VALUE,
REDEMPTION PRICE AND
OFFERING PRICE PER SHARE....$ 1.00 $ 10.63 $ 11.84 $ 34.21 $ 23.55 $ 14.55
*Cost:
Unaffiliated companies..... $ 62,944,947 $ 125,812,139 $ 196,548,402 $ 272,820,061 $ 94,199,607 $ 336,724,928
Affiliated companies....... $ -- $ -- $ -- $ -- $ -- $ --
**Repurchase Agreements..... $ 3,595,000 $ 2,780,000 $ 8,500,000 $ 35,600,000 $ 23,470,000 $ 52,200,000
***Premiums Received........ $ -- $ 1,430 $ -- $ -- $ -- $ 1,100,095
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Global Strategic Growth &
Securities Bond Income
Fund Fund Fund
------------- ------------ -----------
<S> <C> <C> <C>
ASSETS:
Investments, at value
(cost * ) (including
repurchase
agreements **) - see
accompanying statements:
Unaffiliated companies.............. $ 361,259,286 $ 59,245,209 $ 4,045,327
Affiliated companies................ 1,368,000 -- --
Unrealized appreciation on
forward foreign currency
exchange contracts - Note
5.................................. 150,274 -- --
Cash................................. 136,798 162,525 224,728
Receivables:
Dividends and interest.............. 352,962 1,179,469 5,593
Shares of beneficial
interest sold...................... 202,710 200,211 18,236
Investments sold.................... 4,677,263 578,483 --
Other................................ 9,300 3,735 2,359
------------- ------------ -----------
Total assets........................ 368,156,593 61,369,632 4,296,243
------------- ------------ -----------
LIABILITIES:
Options written, at value
(premiums received ***)
- see accompanying
statements - Note 4................ -- 13,900 --
Unrealized depreciation on
forward foreign currency
exchange contracts - Note
5.................................. -- 11,657 --
Payables and other
liabilities:
Dividends........................... -- -- --
Investments purchased............... 6,654,962 1,156,926 --
Shares of beneficial
interest redeemed.................. 367,884 68,024 --
Other............................... 154,914 21,512 7,792
------------- ------------ -----------
Total liabilities................... 7,177,760 1,272,019 7,792
------------- ------------ -----------
NET ASSETS........................... $ 360,978,833 $ 60,097,613 $ 4,288,451
============= ============ ===========
COMPOSITION OF NET ASSETS:
Paid-in capital...................... $ 363,343,602 $ 59,420,799 $ 3,756,393
Undistributed
(distributions in excess
of) net investment income........... (1,068) 483,938 (318)
Accumulated net realized
gain (loss) from
investments
and foreign currency
transactions....................... (26,173,952) (1,648,175) 27,201
Net unrealized
appreciation on
investments and
translation
of assets and liabilities
denominated in foreign
currencies......................... 23,810,251 1,841,051 505,175
------------- ------------ -----------
NET ASSETS........................... $ 360,978,833 $ 60,097,613 $ 4,288,451
============= ============ ===========
SHARES OF BENEFICIAL
INTEREST OUTSTANDING................ 24,067,821 12,250,929 342,794
NET ASSET VALUE,
REDEMPTION PRICE AND
OFFERING PRICE PER SHARE.............$ 15.00 $ 4.91 $ 12.51
*Cost:
Unaffiliated companies.............. $ 337,580,583 $ 57,397,784 $ 3,540,471
Affiliated companies................ $ 1,401,000 $ -- $ --
**Repurchase Agreements.............. $ 17,300,000 $ 500,000 $ 500,000
***Premiums Received................. $ -- $ 14,299 $ --
</TABLE>
See Notes to Financial Statements.
1
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 1995
<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 *).... $ 4,534,276 $ 11,710,273 $ 13,096,739 $ 2,664,312 $ 1,001,964
Dividends:
Unaffiliated companies
(net of withholding
taxes of **)............. -- 569,924 81,190 330,943 992,690
Affiliated companies
(net of withholding
taxes of **)............. -- -- -- -- --
------------ ------------- ------------- ------------- -------------
Total income.............. 4,534,276 12,280,197 13,177,929 2,995,255 1,994,654
------------ ------------- ------------- ------------- -------------
EXPENSES:
Management fees - Note 6.... 338,483 866,154 1,280,422 1,790,785 664,977
Custodian fees and expenses. 22,290 33,144 37,714 27,791 --
Shareholder reports......... 10,988 7,870 8,042 11,912 3,864
Legal and auditing fees..... 7,865 17,092 12,506 12,215 12,202
Insurance expenses.......... 3,683 4,698 5,140 -- 3,525
Trustees' fees and expenses. 538 812 2,637 1,699 1,901
Registration and filing
fees....................... 25 5,404 16,773 24,486 8,881
Other....................... 777 1,046 1,193 2,916 1,585
------------ ------------- ------------- ------------- -------------
Total expenses............ 384,649 936,220 1,364,427 1,871,804 696,935
------------ ------------- ------------- ------------- -------------
NET INVESTMENT INCOME....... 4,149,627 11,343,977 11,813,502 1,123,451 1,297,719
------------ ------------- ------------- ------------- -------------
REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
from:
Investments:
Unaffiliated companies.... 5,356 838,501 861,074 22,379,477 8,674,291
Affiliated companies...... -- -- -- -- --
Closing and expiration of
options written - Note 4... -- (428,900) (14,352) -- --
Foreign currency
transactions............... -- 213,132 463,409 -- --
Net change in unrealized
appreciation or
depreciation on:
Investments............... -- 9,435,938 13,439,159 47,042,428 16,396,856
Translation of assets
and liabilities
denominated
in -foreign currencies.... -- (22,937) (120,740) -- --
------------ ------------- ------------- ------------- -------------
Net realized and
unrealized gain............ 5,356 10,035,734 14,628,550 69,421,905 25,071,147
------------ ------------- ------------- ------------- -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS... $ 4,154,983 $ 21,379,711 $ 26,442,052 $ 70,545,356 $ 26,368,866
============ ============= ============= ============= =============
*Interest................... $ -- $ -- $ 7,577 $ -- $ --
**Dividends
Unaffiliated companies.... $ -- $ -- $ -- $ 999 $ 9,674
Affiliated companies...... $ -- $ -- $ -- $ -- $ --
<CAPTION>
Multiple Global Strategic Growth &
Strategies Securities Bond Income
Fund Fund Fund Fund/(1)/
------------- ------------- ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (net of
withholding taxes of *)............ $ 16,147,769 $ 1,031,404 $ 3,754,007 $ 10,996
Dividends:
Unaffiliated companies
(net of withholding
taxes of **)..................... 3,114,259 4,699,083 79,325 12,525
Affiliated companies
(net of withholding
taxes of **)..................... -- 62,163 -- --
------------- ------------- ------------ ------------
Total income...................... 19,262,028 5,792,650 3,833,332 23,521
------------- ------------- ------------ ------------
EXPENSES:
Management fees - Note 6............ 2,540,311 2,451,556 281,335 6,710
Custodian fees and expense.......... 65,688 457,420 15,150 4,260
Shareholder reports................. 14,490 11,015 3,111 440
Legal and auditing fees............. 23,186 17,395 7,000 5,627
Insurance expenses.................. 9,872 7,400 2,621 595
Trustees' fees and expense.......... 7,851 1,631 286 17
Registration and filing
fees............................... 6,188 -- 8,457 1,287
Other............................... 928 720 867 12
------------- ------------- ------------ ------------
Total expenses.................... 2,668,514 2,947,137 318,827 18,948
------------- ------------- ------------ ------------
NET INVESTMENT INCOME............... 16,593,514 2,845,513 3,514,505 4,573
------------- ------------- ------------ ------------
REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
from:
Investments:
Unaffiliated companies............ 7,599,655 (31,891,633) (826,576) 27,331
Affiliated companies.............. -- 1,000,520 -- --
Closing and expiration of
options written - Note 4........... 378,568 -- (47,991) --
Foreign currency
transactions....................... 297,101 5,123,230 5,391 (93)
Net change in unrealized
appreciation or
depreciation on:
Investments....................... 39,596,962 33,819,559 2,876,481 505,175
Translation of assets
and liabilities
denominated
in -foreign currencies............ 379,793 (2,166,551) 862 --
------------- ------------- ------------ ------------
Net realized and
unrealized gain.................... 48,252,079 5,885,125 2,008,167 532,413
------------- ------------- ------------ ------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS........... $ 64,845,593 $ 8,730,638 $ 5,522,672 $ 536,986
============= ============= ============ ============
*Interest........................... $ 10,875 $ -- $ -- $ --
**Dividends
Unaffiliated companies............ $ 32,241 $ 381,116 $ -- $ 40
Affiliated companies.............. $ -- $ 7,446 $ -- $ --
</TABLE>
/(1)/ For the period from July 5, 1995 (Date of Commencement of Operations) to
December 31, 1995.
See Notes to Financial Statements.
2
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF CHANGES IN NET ASSETS
For the Years Ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Money High Income Bond
Fund Fund Fund
----------------------------- ------------------------------ -------------------------------
1995 1994 1995 1994 1995 1994
------------- ------------- -------------- ------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income........ $ 4,149,627 $ 3,774,464 $ 11,343,977 $ 9,253,988 $ 11,813,502 $ 8,900,922
Net realized gain (loss)..... 5,356 (5,168) 622,733 (3,689,385) 1,310,131 (2,370,155)
Net change in unrealized
appreciation/depreciation.. -- -- 9,413,001 (8,629,376) 13,318,419 (8,824,731)
------------- ------------- -------------- ------------- -------------- ---------------
Net increase (decrease) in
net assets resulting from
operations.................. 4,154,983 3,769,296 21,379,711 (3,064,773) 26,442,052 (2,293,964)
DIVIDENDS AND DISTRIBUTIONS
TO SHAREHOLDERS:
Dividends from net
investment income........... (4,149,626) (3,793,971) (12,039,383) (6,580,907) (11,209,883) (7,101,380)
Distributions from net
realized gain............... -- -- -- (2,106,023) -- (283,274)
Distributions in excess of
net realized gain.......... -- -- -- -- -- --
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from
beneficial interest
transactions - Note 2....... (24,289,814) 28,473,973 28,412,143 14,438,679 60,932,217 32,899,881
------------- ------------- -------------- ------------- -------------- ---------------
Total increase (decrease).... (24,284,457) 28,449,298 37,752,471 2,686,976 76,164,386 23,221,263
NET ASSETS:
Beginning of the year........ 89,670,917 61,221,619 95,698,309 93,011,333 135,067,384 111,846,121
------------- ------------- -------------- ------------- -------------- ---------------
End of the year.............. $ 65,386,460 $ 89,670,917 $ 133,450,780 $ 95,698,309 $ 211,231,770 $ 135,067,384
============= ============= ============== ============= ============== ===============
<CAPTION>
Oppenheimer
Capital Oppenheimer
Appreciation Growth
Fund Fund
------------------------------ -----------------------------
1995 1994 1995 1994
------------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income................ $ 1,123,451 $ 769,034 $ 1,297,719 $ 824,976
Net realized gain (loss)............. 22,379,477 (1,045,951) 8,674,291 1,441,127
Net change in unrealized
appreciation/depreciation.......... 47,042,428 (10,016,034) 16,396,856 (1,915,053)
---------- ---------- ---------- ---------
Net increase (decrease) in
net assets resulting from
operation........................... 70,545,356 (10,292,951) 26,368,866 351,050
DIVIDENDS AND DISTRIBUTION
TO SHAREHOLDERS:
Dividends from net
investment income................... (719,183) (218,275) (821,641) (516,871)
Distributions from net
realized gain....................... (363,458) (17,112,748) (973,385) (127,540)
Distributions in excess of
net realized gain.................. -- -- -- --
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets resulting from beneficial
interest transactions - Note 2....... 70,167,835 76,512,412 29,852,876 6,875,487
------------- ------------- ------------- ------------
Total increase (decrease)............ 139,630,550 48,888,438 54,426,716 6,582,126
NET ASSETS:
Beginning of the year................ 185,773,541 136,885,103 63,283,174 56,701,048
------------- ------------- ------------- ------------
End of the year...................... $ 325,404,091 $ 185,773,541 $ 117,709,890 $ 63,283,174
============= ============= ============= ============
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
Oppenheimer Variable Account Funds
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
For the Years Ended December 31, 1995 and 1994
<TABLE>
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer
Multiple Global Strategic
Strategies Securities Bond
Fund Fund Fund
------------------------------- ------------------------------- -----------------------------
1995 1994 1995 1994 1995 1994
-------------- -------------- -------------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income....... $ 16,593,514 $ 13,727,119 $ 2,845,513 $ 1,162,074 $ 3,514,505 $ 1,286,157
Net realized gain (loss).... 8,275,324 8,803,106 (25,767,883) 385,837 (869,176) (796,115)
Net change in unrealized
appreciation or
depreciation............. 39,976,755 (28,189,733) 31,653,008 (24,015,375) 2,877,343 (1,120,872)
-------------- -------------- -------------- -------------- ------------- -------------
Net increase (decrease) in
net assets
resulting from operations. 64,845,593 (5,659,508) 8,730,638 (22,467,464) 5,522,672 (630,830)
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income.......... (16,066,432) (13,056,112) -- (359,955) (3,151,540) (1,161,570)
Distributions from net
realized gain.............. (8,717,288) (1,925,053) (8,174,158) (2,441,859) -- --
Distributions in excess of
net realized gain......... -- -- -- -- -- (16,802)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets
resulting from beneficial
interest transactions -
Note 2................... 49,134,087 62,417,829 62,580,432 226,686,688 37,406,166 12,242,999
-------------- -------------- -------------- -------------- ------------- -------------
Total increase (decrease)... 89,195,960 41,777,156 63,136,912 201,417,410 39,777,298 10,433,797
NET ASSETS:
Beginning of the year....... 292,067,204 250,290,048 297,841,921 96,424,511 20,320,315 9,886,518
-------------- -------------- -------------- -------------- ------------- -------------
End of the year............. $ 381,263,164 $ 292,067,204 $ 360,978,833 $ 297,841,921 $ 60,097,613 $ 20,320,315
============== ============== ============== ============== ============= =============
<CAPTION>
Oppenheimer
Growth &
Income
Fund/(1)/
----------
1995
----------
<S> <C>
OPERATIONS:
Net investment income................... $ 4,573
Net realized gain (loss)................ 27,238
Net change in unrealized
appreciation or
depreciation......................... 505,175
----------
Net increase (decrease) in
net assets
resulting from operations............. 536,986
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income...................... (4,891)
Distributions from net
realized gain.......................... --
Distributions in excess of
net realized gain..................... (37)
BENEFICIAL INTEREST
TRANSACTIONS:
Net increase (decrease) in
net assets
resulting from beneficial
interest transactions -
Note 2............................... 3,756,393
----------
Total increase (decrease)............... 4,288,451
NET ASSETS:
Beginning of the year................... --
----------
End of the year......................... $4,288,451
==========
</TABLE>
(1) For the period from July 5, 1995 (Date of Commencement of Operations) to
December 31, 1995.
See Notes to Financial Statements.
4
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS
Selected per share data for each fund's share outstanding throughout each year
ended December 31:
<TABLE>
<CAPTION>
Oppenheimer Money Fund
-----------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment operations - net
investment income and net realized gain
on investments .06 .04 .03 .04 .06 .08 .09 .07 .06 .06
Dividends and distributions
to shareholders (.06) (.04) (.03) (.04) (.06) (.08) (.09) (.07) (.06) (.06)
-----------------------------------------------------------------------------------------
Net asset value, end of year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
=========================================================================================
TOTAL RETURN, AT NET ASSET VALUE /(1)/ 5.62% 4.25% 3.09% 3.93% 6.18% 7.84% 9.56% 6.96% 6.74% 6.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in thousands) $65,386 $89,671 $61,221 $58,266 $58,709 $89,143 $68,440 $69,468 $42,538 $28,218
Average net assets (in thousands) $75,136 $90,264 $57,654 $61,317 $75,747 $82,966 $67,586 $60,241 $35,138 $12,914
Ratios to average net assets:
Net investment income 5.52% 4.18% 3.12% 3.76% 5.97% 7.80% 8.82% 7.31% 6.33% 5.68%
Expenses .51% .43% .43% .50% .49% .51% .53% .55% .59% .75%
</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.
See accompanying Notes to Financial Statements.
5
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer High Income Fund
------------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986/(1)/
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of period $ 9.79 $ 11.02 $ 9.74 $ 9.40 $ 7.90 $ 8.59 $ 9.30 $ 9.14 $ 10.04 $ 10.00
Income (loss) from
investment operations:
Net investment income .98 .94 .82 1.19 1.28 1.21 1.09 1.12 1.30 .72
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions .94 (1.27) 1.65 .43 1.30 (.82) (.65) .23 (.51) (.24)
------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.92 (.33) 2.47 1.62 2.58 .39 .44 1.35 .79 .48
------------------------------------------------------------------------------------------------------
Dividends and
distributions to
shareholders:
Dividends from net
investment income (1.08) (.66) (1.19) (1.28) (1.08) (1.08) (1.08) (1.07) (1.55) (.44)
Distributions from net
realized gain on
investments and foreign
currency transactions -- (.24) -- -- -- -- (.07) (.12) (.14) --
------------------------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (1.08) (.90) (1.19) (1.28) (1.08) (1.08) (1.15) (1.19) (1.69) (.44)
------------------------------------------------------------------------------------------------------
Net asset value, end of
period $ 10.63 $ 9.79 $ 11.02 $ 9.74 $ 9.40 $ 7.90 $ 8.59 $ 9.30 $ 9.14 $ 10.04
------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE/(2)/ 20.37% (3.18)% 26.34% 17.92% 33.91% 4.65% 4.84% 15.58% 8.07% 4.73%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $133,451 $95,698 $93,011 $40,817 $27,308 $19,172 $23,698 $25,551 $21,768 $14,833
Average net assets (in
thousands) $115,600 $101,09 $67,000 $36,861 $23,663 $21,493 $26,040 $24,530 $20,637 $ 8,036
Ratios to average net
assets:
Net investment income 9.81% 9.15% 10.50% 12.08% 14.26% 14.32% 11.52% 11.94% 13.13% 11.18%/(3)/
Expenses .81% .67% .68% .73% .75% .75% .75% .75% .75% .75%/(3)/
Portfolio turnover rate/(4)/ 107.1% 110.1% 135.7% 144.2% 108.0% 95.1% 78.7% 57.9% 42.1% 18.3%
</TABLE>
1. For the period from April 30, 1986 (commencement of operations) to December
31, 1986.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of less than one full
year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
3. Annualized
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation.
See accompanying Notes to Financial Statments.
6
<PAGE>
<TABLE>
<CAPTION>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
Oppenheimer Bond Fund
------------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of period $ 10.78 $ 11.65 $ 10.99 $ 11.15 $ 10.33 $ 10.49 $ 10.15 $ 10.19 $ 11.15 $11.27
Income (loss) from
investment operations:
Net investment income .72 .76 .65 .87 .95 .97 .98 .94 .97 .97
Net realized and unrealized
gain (loss) on
investments and foreign
currency transactions 1.07 (.98) .76 (.17) .80 (.18) .32 (.05) (.71) .09
------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.79 (.22) 1.41 .70 1.75 .79 1.30 .89 .26 1.06
------------------------------------------------------------------------------------------------------
Dividends and distributions
to shareholders:
Dividends from net
investment income (.73) (.62) (.75) (.86) (.93) (.95) (.96) (.93) (1.17) (1.03)
Distributions from net
realized gain on
investments and foreign
currency transactions -- (.03) -- -- -- -- -- -- (.05) (.15)
------------------------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (.73) (.65) (.75) (.86) (.93) (.95) (.96) (.93) (1.22) (1.18)
------------------------------------------------------------------------------------------------------
Net asset value, end of
period $ 11.84 $ 10.78 $ 11.65 $ 10.99 $ 11.15 $ 10.33 $ 10.49 $ 10.15 $ 10.19 $11.15
------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE/(1)/ 17.00% (1.94)% 13.04% 6.50% 17.63% 7.92% 13.32% 8.97% 2.53% 10.12%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $211,232 $135,067 $111,846 $63,354 $32,762 $16,576 $13,422 $ 9,989 $10,415 $7,377
Average net assets (in
thousands) $170,929 $121,884 $ 87,215 $45,687 $22,169 $15,088 $11,167 $11,028 $ 8,748 $4,647
Ratios to average net assets:
Net investment income 6.91% 7.30% 7.20% 7.81% 8.73% 9.30% 9.34% 9.08% 9.17% 8.71%
Expenses .80% .57% .46% .56% .64% .61% .64% .70% .75% .75%
Portfolio turnover rate/(2)/ 79.4% 35.1% 36.3% 41.3% 7.6% 7.4% 5.4% 36.3% 5.9% 27.7%
</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. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation.
See accompanying Notes to Financial Statements.
7
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Capital Appreciation Fund
-------------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986/(1)/
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of period $ 25.95 $ 31.64 $ 26.04 $ 23.24 $ 15.24 $ 20.40 $ 16.31 $ 14.39 $ 13.12 $ 16.21
Income (loss) from
investment operations:
Net investment income .11 .10 .05 .06 .08 .32 .50 .33 .21 .12
Net realized and
unrealized gain (loss) on
investments 8.29 (2.22) 6.71 3.43 8.18 (3.54) 3.93 1.60 1.67 (1.24)
-------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 8.40 (2.12) 6.76 3.49 8.26 (3.22) 4.43 1.93 1.88 (1.12)
-------------------------------------------------------------------------------------------------------
Dividends and
distributions to
shareholders:
Dividends from net
investment income (.09) (.04) (.06) (.14) (.26) (.53) (.34) -- (.34) (.21)
Distributions from net
realized gain on investments (.05) (3.53) (1.10) (.55) -- (1.41) -- (.01) (.27) (1.76)
-------------------------------------------------------------------------------------------------------
Total dividends and
distributions to shareholders (.14) (3.57) (1.16) (.69) (.26) (1.94) (.34) (.01) (.61) (1.97)
-------------------------------------------------------------------------------------------------------
Net asset value, end of
period $ 34.21 $ 25.95 $ 31.64 $ 26.04 $ 23.24 $ 15.24 $ 20.40 $ 16.31 $ 14.39 $ 13.12
-------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET
ASSET VALUE/(2)/ 32.52% (7.59)% 27.32% 15.42% 54.72% (16.82)% 27.57% 13.41% 14.34% (1.65)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $325,404 $185,774 $136,885 $83,335 $49,371 $23,295 $27,523 $13,667 $ 9,692 $ 4,549
Average net assets (in
thousands) $240,730 $153,832 $ 98,228 $56,371 $34,887 $24,774 $21,307 $13,239 $ 8,598 $ 3,099
Ratios to average net
assets:
Net investment income .47% .50% .23% .30% .81% 1.93% 3.27% 2.13% 1.68% 2.36%/(3)/
Expenses .78% .57% .47% .54% .63% .71% .68% .73% .75% 1.01%/(3)/
Portfolio turnover rate/(4)/ 125.5% 96.5% 122.8% 78.9% 122.3% 222.0% 130.5% 128.7% 138.7% 100.1%
Average brokerage commission
rate/(5)/ $ 0.18 -- -- -- -- -- -- -- -- --
</TABLE>
1. For the six months ended December 31, 1986. Operating results prior to
August 15, 1986 were achieved by Centennial Capital Appreciation Fund, a
separate investment company acquired by OCAP on August 14, 1986.
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.
5. Total brokerage commissions paid on 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.
8
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Growth Fund
-------------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987 1986
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning
of period $ 17.68 $ 17.70 $ 16.96 $ 15.17 $ 12.54 $ 16.38 $ 13.64 $ 11.21 $ 12.53 $ 10.95
Income (loss) from
investment operations:
Net investment income .25 .22 .46 .16 .30 .56 .66 .29 .20 .13
Net realized and
unrealized gain (loss)
on investments 6.10 (.05) .74 1.99 2.82 (1.79) 2.50 2.19 .24 1.76
-------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 6.35 .17 1.20 2.15 3.12 (1.23) 3.16 2.48 .44 1.89
-------------------------------------------------------------------------------------------------------
Dividends and distributions
to shareholders:
Dividends from net
investment income (.22) (.15) (.14) (.36) (.49) (.62) (.35) -- (.34) (.15)
Distributions from net
realized gain on
investments and foreign
currency transactions (.26) (.04) (.32) -- -- (1.99) (.07) (.05) (1.42) (.16)
-------------------------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders (.48) (.19) (.46) (.36) (.49) (2.61) (.42) (.05) (1.76) (.31)
-------------------------------------------------------------------------------------------------------
Net asset value, end of
period $ 23.55 $ 17.68 $ 17.70 $ 16.96 $ 15.17 $ 12.54 $ 16.38 $ 13.64 $ 11.21 $ 12.53
-------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET
VALUE(1) 36.65% .97% 7.25% 14.53% 25.54% (8.21)% 23.59% 22.09% 3.32% 17.76%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(in thousands) $ 117,710 $63,283 $56,701 $36,494 $22,032 $15,895 $19,301 $17,746 $14,692 $ 8,287
Average net assets (in
thousands) $ 88,803 $59,953 $46,389 $25,750 $18,810 $17,235 $18,596 $15,585 $15,121 $ 3,744
Ratios to average net assets:
Net investment income 1.46% 1.38% 1.13% 1.36% 2.82% 4.09% 3.72% 2.39% 1.56% 2.62%
Expenses .79% .58% .50% .61% .70% .71% .70% .70% .75% .75%
Portfolio turnover rate(2) 58.2% 53.8% 12.6% 48.7% 133.9% 267.9% 148.0% 132.5% 191.0% 100.9%
Average brokerage
commission rate(3) $ 0.07 -- -- -- -- -- -- -- -- --
</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. 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.
3. Total brokerage commissions paid on 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.
9
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Multiple Strategies Fund
----------------------------------------------------------------------------------------------------
1995 1994 1993 1992 1991 1990 1989 1988 1987/(1)/
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of
period $ 12.91 $ 13.88 $ 12.47 $ 11.96 $ 10.90 $ 12.30 $ 11.58 $ 10.04 $ 10.00
Income (loss) from investment
operations:
Net investment income .66 .63 .55 .55 .69 .73 .73 .66 .44
Net realized and unrealized
gain (loss) on investments,
options written and foreign
currency transactions 2.00 (.90) 1.41 .50 1.15 (.97) 1.04 1.53 .07
----------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 2.66 (.27) 1.96 1.05 1.84 (.24) 1.77 2.19 .51
----------------------------------------------------------------------------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment
income (.65) (.60) (.55) (.54) (.78) (.70) (.68) (.65) (.43)
Distributions from net
realized gain on
investments, options written
and foreign currency
transactions (.37) (.10) -- -- -- (.46) (.37) -- (.04)
----------------------------------------------------------------------------------------------------
Total dividends and
distributions to shareholders (1.02) (.70) (.55) (.54) (.78) (1.16) (1.05) (.65) (.47)
----------------------------------------------------------------------------------------------------
Net asset value, end of period $ 14.55 $ 12.91 $ 13.88 $ 12.47 $ 11.96 $ 10.90 $ 12.30 $ 11.58 $ 10.04
====================================================================================================
TOTAL RETURN, AT NET ASSET
VALUE/(2)/ 21.36% (1.95)% 15.95% 8.99% 17.48% (1.91)% 15.76% 22.15% 3.97%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands) $381,263 $292,067 $250,290 $159,464 $124,634 $118,888 $121,286 $78,386 $ 53,291
Average net assets (in
thousands) $344,745 $279,949 $199,954 $139,011 $117,000 $123,231 $101,057 $64,298 $ 34,256
Ratios to average net assets:
Net investment income 4.81% 4.90% 4.44% 4.63% 5.95% 6.53% 6.36% 6.18% 6.12%/(3)/
Expenses .77% .56% .48% .55% .54% .55% .57% .58% .65%/(3)/
Portfolio turnover rate/(4)/ 39.0% 31.4% 32.4% 57.8% 80.3% 99.2% 66.9% 110.0% 46.9%
Average brokerage commission
rate(5) $ 0.04 -- -- -- -- -- -- -- --
</TABLE>
1. For the period from February 9, 1987 (commencement of Operations) to
December 31, 1987.
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.
5. Total brokerage commissions paid on 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.
10
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Global Securities Fund
----------------------------------------------------------------------
1995 1994 1993 1992 1991 1990(1)
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $ 15.09 $ 16.30 $ 9.57 $ 10.38 $10.04 $10.00
Income (loss) from investment operations:
Net investment income .12 .04 (.02) .07 .04 --
Net realized and unrealized gain (loss) on investments and
foreign currency transactions .19 (.96) 6.75 (.80) .30 .04
----------------------------------------------------------------------
Total income (loss) from investment operations .31 (.92) 6.73 (.73) .34 .04
----------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income -- (.04) -- (.04) -- --
Distributions from net realized gain on investments and
foreign currency transactions (.40) (.25) -- (.04) -- --
----------------------------------------------------------------------
Total dividends and distributions to shareholders (.40) (.29) -- (.08) -- --
----------------------------------------------------------------------
Net asset value, end of period $ 15.00 $ 15.09 $ 16.30 $ 9.57 $10.38 $10.04
======================================================================
TOTAL RETURN, AT NET ASSET VALUE(2) 2.24% (5.72)% 70.32% (7.11)% 3.39% .40%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $360,979 $297,842 $96,425 $13,537 $7,339 $ 432
Average net assets (in thousands) $332,336 $214,545 $31,696 $11,181 $3,990 $ 263
Ratios to average net assets:
Net investment income .86% .54% .72% 1.04% .75% .08%(3)
Expenses .89% .91% .92% 1.06% 1.32% 6.84%(3)
Portfolio turnover rate(4) 131.3% 70.4% 65.1% 34.1% 29.5% 0.0%
Average brokerage commission rate(5) $ 0.01 -- -- -- -- --
</TABLE>
1. For the period from November 12, 1990 (commencement of operations) to
December 31, 1990.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of less than one full
year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
3. Annualized.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation.
5. Total brokerage commissions paid on 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.
11
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
-----------------------------------
1995 1994 1993/(1)/
--------- --------- ---------
<S> <C> <C> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $ 4.60 $ 5.12 $ 5.00
Income (loss) from investment operations:
Net investment income .38 .35 .10
Net realized and unrealized gain (loss)
on investments,
options written and foreign currency
transactions .30 (.54) .11
--------- --------- ---------
Total income (loss) from investment
operations .68 (.19) .21
--------- --------- ---------
Dividends and distributions to
shareholders:
Dividends from net investment income (.37) (.32) (.09)
Distributions from net realized gain on
investments -- -- --
Distributions in excess of net realized
gain on investments,
options written and foreign currency
transactions -- (.01) --
--------- --------- ---------
Total dividends and distributions to
shareholders (.37) (.33) (.09)
--------- --------- ---------
Net asset value, end of period $ 4.91 $ 4.60 5.12
========= ========= =========
TOTAL RETURN, AT NET ASSET VALUE/(2)/ 15.33% (3.78)% 4.25%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in thousands) $60,098 $20,320 $ 9,887
Average net assets (in thousands) $37,698 $15,389 $ 4,259
Ratios to average net assets:
Net investment income 9.32% 8.36% 5.67%/(3)/
Expenses .85% .87% .96%/(3)/
Portfolio turnover rate/(4)/ 87.0% 136.6% 10.9%
========= ========== =========
</TABLE>
1. For the period from May 3, 1993 (commencement of operations) to December
31, 1993.
2. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period, with all dividends and distributions
reinvested in additional shares on the reinvestment date, and redemption at
the net asset value calculated on the last business day of the fiscal
period. Total returns are not annualized for periods of less than one full
year. Total return information does not reflect expenses that apply at the
separate account level or to related insurance products. Inclusion of these
charges would reduce the total return figures for all periods shown.
3. Annualized.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at
the time of acquisition of one year or less are excluded from the
calculation.
See accompanying Notes to Financial Statements.
12
<PAGE>
Oppenheimer Variable Account Funds
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Oppenheimer Growth & Income Fund
--------------------------------
1995/(1)/
--------------------------------
<S> <C>
PER SHARE OPERATING DATA:
Net asset value, beginning of period $10.00
Income (loss) from investment
operations:
Net investment income .01
Net realized and unrealized gain
(loss) on investments, options
written and foreign currency
transactions 2.52
--------------------------------
Total income (loss) from investment
operations 2.53
--------------------------------
Dividends and distributions to
shareholders:
Dividends from net investment income (.02)
Distributions from net realized gain
on investments --
Distributions in excess of net
realized gain on investments,
options written and foreign
currency transactions --
--------------------------------
Total dividends and distributions to
shareholders (.02)
--------------------------------
Net asset value, end of period $12.51
================================
TOTAL RETURN, AT NET ASSET VALUE(2) 25.25%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (in
thousands) $4,288
Average net assets (in thousands) $1,809
Ratios to average net assets:
Net investment income 0.50%(3)
Expenses 2.07%(3)
Portfolio turnover rate(4) 23.7%
Average brokerage commission rate(5) $ 0.34
================================
</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.
5. Total brokerage commissions paid on 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.
13
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Money Fund
STATEMENT OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market
Principal Value
Amount (Note 1)
------ ---------
<S> <C> <C>
Certificates of Deposit - 4.6%
Yankee Certificates of Deposit - 4.6%
Sanwa Bank Ltd., 5.67%, 1/10/96 (Cost
$2,999,928).............................. $3,000,000 $2,999,928
----------
Direct Bank Obligations - 10.5%
Chase Manhattan Bank, 5.45%, 5/17/96...... 3,000,000 2,938,579
FCC National Bank, 5.25%, 1/19/96 /(1)/... 1,000,000 999,779
National Westminster Bank of Canada,
5.40%, 7/26/96........................... 3,000,000 2,906,850
----------
Total Direct Bank Obligations
(Cost $6,845,208)......................... 6,845,208
----------
Letters of Credit - 5.3%
Barclays Bank PLC, guaranteeing
commercial paper of: Banco Real, S.A.-
Grand Cayman Branch, 5.63%, 4/18/96
(Cost $3,440,885)........................ 3,500,000 3,440,885
----------
Short-Term Notes - 61.4%
Banks - 4.7%
CoreStates Capital Corp., 5.71%,
2/15/96.................................. 3,000,000 2,978,587
----------
Broker/Dealers - 14.6%
Lehman Brothers Holdings, Inc., 6.25%,
1/2/96................................... 3,000,000 2,999,479
Merrill Lynch & Co., Inc., 5.68%-5.70%,
2/29/96.................................. 3,000,000 2,971,975
Morgan Stanley Group, Inc., 5.53%,
9/30/96 /(1)/............................. 3,600,000 3,600,000
----------
9,571,454
----------
Commercial Finance - 15.2%
CIT Group Holdings, Inc., 6.027%,
1/10/96 /(1)/............................. 1,000,000 1,000,000
FINOVA Capital Corp., 5.85%-5.90%,
1/30/96.................................. 3,000,000 2,985,742
Fleet Mortgage Group, Inc., 5.58%,
4/4/96................................... 3,000,000 2,956,290
Heller Financial, Inc., 5.78%, 2/12/96.... 3,000,000 2,979,770
----------
9,921,802
----------
Conglomerates - 5.0%
Mitsubishi International Corp., 5.65%,
1/5/96................................... 3,300,000 3,297,928
----------
Consumer Finance - 6.1%
Beneficial Corp., 5.26%, 2/1/96 /(1)/...... 4,000,000 4,000,000
----------
<CAPTION>
Market
Principal Value
Amount (Note 1)
------ ---------
<S> <C> <C>
Short-Term Notes (Continued)
Diversified Financial - 3.0%
General Motors Acceptance Corp.,
6.025%, 3/1/96 /(1)/..................... $2,000,000 $1,999,902
----------
Environmental - 4.4%
WMX Technologies, Inc., 5.32%,
9/10/96.................................. 3,000,000 2,887,837
----------
Savings & Loans - 5.3%
Great Western Bank FSB, 5.72%-5.75%,
1/29/96.................................. 3,500,000 3,484,429
----------
Special Purpose Financial - 3.1%
Madison Funding Corp., 5.70%, 1/22/96..... 2,025,000 2,017,818
----------
Total Short-Term Notes
(Cost $40,159,757)........................ 40,159,757
----------
U.S. Government Obligations - 4.6%
Student Loan Marketing Assn.,
guaranteeing commercial paper of:
Secondary Market Services, Inc.,
Education Loan Revenue Nts., Series-
1995A, 5.72%-5.75%, 1/12/96
(Cost $2,994,729)......................... 3,000,000 2,994,729
----------
Foreign Government Obligations - 4.4%
Westdeutsche Landesbank Girozentrale
supported by Federal Republic of
Germany, guaranteeing commercial
paper of: Unibanco-Uniao de Brancos
Brasileiros S.A.-Grand Cayman,
5.66%, 4/15/96 (Cost $2,909,440).......... 3,000,000 2,909,440
----------
Repurchase Agreement - 5.5%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $3,597,357 on 1/2/96,
collateralized by U.S. Treasury Nts.,
5.125%-8.75%, 12/31/96-11/5/04, with a
value of $1,951,392, U.S. Treasury Bonds,
6.25%-11.25%, 8/15/03-8/15/23, with a
value of $1,182,591, and U.S. Treasury
Bills maturing 11/14/96, with a value of
$536,288 (Cost $3,595,000)............... 3,595,000 3,595,000
----------
Total Investments, at Value................ 96.3% 62,944,947
------ ----------
Other Assets Net of Liabilities............ 3.7 2,441,513
------ ----------
Net Assets................................. 100.0% $65,386,460
====== ==========
</TABLE>
Short-term notes, direct bank obligations and letters of credit are generally
traded on a discount basis; the interest rate is the discount rate received by
the Trust at the time of purchase. Other securities normally bear interest at
the rates shown.
(1) Variable rate security. The interest rate, which is based on specific, or
an index of, market interest rates, is subject to change periodically and
is the effective rate on December 31, 1995.
See accompanying Notes to Financial Statements.
14
<PAGE>
<TABLE>
<CAPTION>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
Statement of Investments
December 31, 1995
Principal Market Value
Amount/(1)/ (Note 1)
----------- ------------
<S> <C> <C>
Certificates of Deposit -- 1.8%
Citibank CD:
19%, 1/19/96 /(2)/ IDR....................... $1,369,800,000 $ 599,101
27.40%, 3/22/96 /(2)/ HUF.................... 83,706,000 612,667
Indonesia (Republic of) Bank Negara
CD, Zero Coupon, 15.914%,
6/17/96 /(2)//(3)/ IDR...................... 2,000,000,000 805,012
Krungthai Thanakit CD, Zero Coupon,
11.533%, 2/29/96 /(2)//(3)/ THB............. 10,000,000 387,586
----------
1,192,598
----------
Total Certificates of Deposit
(Cost $2,427,679)............................ 2,404,366
----------
Mortgage-Backed Obligations -- 2.6%
Private -- 2.6%
Commercial -- 0.8%
CBA Mortgage Corp., Mtg. Pass-
Through Certificates, Series 1993-C1,
Cl. F, 7.154%, 12/25/03 /(4)//(5)/.......... 700,000 518,219
Merrill Lynch Mortgage Investors, Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2, Cl. D, 8.06%, 6/15/21 /(4)/........ 496,835 509,644
----------
1,027,863
----------
Multi-Family -- 1.8%
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1994-C1, Cl. E, 8%, 6/25/26........... 747,797 631,889
Series 1994-C2, Cl. G, 8%, 4/25/25........... 913,912 768,543
Series 1995-C1, Cl. F, 6.90%, 2/25/27........ 1,133,508 997,841
----------
2,398,273
----------
Total Mortgage-Backed Obligations
(Cost $3,274,663)............................ 3,426,136
U.S. Government Obligations -- 5.1%
Treasury -- 5.1%
U.S. Treasury Bonds, 6.875%, 8/15/25
(Cost $6,531,094)........................... 6,000,000 6,770,621
----------
Foreign Government Obligations -- 12.2%
Argentina (Republic of):
Bonds, Bonos del Tesoro, Series I,
5.89%, 5/31/96 /(4)/........................ 200,000 195,944
Medium-Term Nts., 8%, 8/9/97 NLG............. 800,000 495,325
Sr. Unsub. Unsec. Nts., 9.875%,
1/6/98 FRF.................................. 2,060,000 420,446
Brazil (Federal Republic of) Interest
Due and Unpaid Bonds, 6.688%,
1/1/01 /(4)/................................ 356,250 306,820
Bulgaria (Republic of) Interest Arrears Bonds,
6.75%, 7/28/11 /(4)//(6)/................... 200,000 92,750
Canada (Government of) Bonds:
7.75%, 9/1/99 CAD........................... 641,000 492,321
Series A-76, 9%, 6/1/25 CAD.................. 592,000 506,792
Central Bank of Costa Rica Principal
Bonds, Series A, 6.25%, 5/21/10............. 500,000 310,000
Colombia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 6.875%,
7/1/01 /(4)//(7)/........................... 1,114,360 1,036,355
Denmark (Kingdom of) Bonds:
7%, 11/10/24 DKK............................ 6,300,000 1,014,039
8%, 3/15/06 DKK............................. 1,410,000 268,296
Ecuador (Republic of) Disc. Bonds,
6.812%, 2/28/25 /(4)/....................... 520,000 264,550
European Investment Bank, 12.75%
Debs., 2/15/00 ITL.......................... 206,000,000 140,404
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
------------ ------------
<S>........................................... <C> <C>
Foreign Government Obligations (Continued)
France (Government of) Obligation
Assimilable du Tresor Debs., 9.50%,
6/25/98 FRF................................. $ 556,000 $ 124,403
Germany (Republic of) Bonds, Series
94, 6.25%, 1/4/24 DEM....................... 1,450,000 943,685
Hashemite Kingdom of Jordan Disc. Bonds,
6.437%, 12/23/23 /(4)/...................... 1,000,000 620,000
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD................................. 500,000 348,124
Italy (Republic of) Treasury Bonds,
Buoni del Tesoro Poliennali, 10.50%,
4/1/00 ITL.................................. 320,000,000 203,611
Morocco (Kingdom of) Loan
Participation Agreement, Tranche A,
6.594%, 1/1/09 /(4)/........................ 1,500,000 999,375
National Treasury Management Agency
(Irish Government) Bonds, 8%,
10/18/00 IEP................................ 140,000 235,831
New Zealand (Republic of) Bonds, 10%,
7/15/97 NZD................................. 1,230,000 826,403
Nordic Investment Bank, 11.30% Debs.,
3/4/02 ITL.................................. 215,000,000 140,440
Norwegian Government Bonds, 9.50%,
10/31/02 NOK................................ 4,400,000 824,375
Panama (Republic of) Debs., 6.75%,
5/10/02 /(4)/............................... 175,000 149,953
Poland (Republic of) Treasury Bills,
Zero Coupon, 29.984%, 4/17/96 /(3)/ PLZ..... 500,000 188,298
Portugal (Republic of) Gtd. Bonds,
Obrigicion do tes Medio Prazo, 11.875%,
2/23/00 PTE................................. 85,000,000 613,096
Spain (Kingdom of):
Debs., Bonos y Obligacion del Estado,
10.10%, 2/28/01 ESP......................... 39,000,000 325,174
Gtd. Bonds, Bonos y Obligacion del Estado,
12.25%, 3/25/00 ESP.......................... 49,000,000 441,551
Sweden (Kingdom of) Bonds, Series
1028, 11%, 1/21/99 SEK...................... 3,500,000 568,290
Treasury Corp. of Victoria Bonds, 12%,
10/22/98 AUD................................ 450,000 372,686
Trinidad & Tobago Loan Participation
Agreement, Tranche B, 1.563%,
9/30/00 /(4)/(7)/ JPY....................... 65,000,000 534,044
United Kingdom Treasury:
Debs., 8.50%, 12/7/05 GBP.................... 185,000 308,684
10%, 2/26/01 GBP............................. 180,000 315,974
United Mexican States, Nacional
Financiera SNC Nts., 13.60%,
4/2/98 ESP.................................. 100,000,000 800,594
Venezuela (Republic of) Disc. Bonds,
Series DL, 6.563%, 12/18/07 /(4)/........... 1,500,000 828,750
----------
Total Foreign Government Obligations
(Cost $16,009,093).......................... 16,257,383
Municipal Bonds and Notes -- 0.9%
San Joaquin Hills, California
Transportation Corridor Agency Toll
Road Capital Appreciation Revenue
Bonds, Jr. Lien, Zero Coupon, 9%,
1/1/28 (Cost $747,374) /(3)/................ 12,500,000 1,202,550
----------
</TABLE>
15
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes - 65.8%
Basic Industry - 5.6%
Chemicals - 1.0%
NL Industries, Inc.:
0%/13% Sr. Sec. Disc. Nts.,
10/15/05(8)................................. $ 800,000 $ 618,000
11.75% Sr. Sec. Nts., 10/15/03.............. 650,000 697,125
------------
1,315,125
------------
Metals/Mining - 0.8%
Carbide/Graphite Group, Inc. (The),
11.50% Sr. Nts., 9/1/03.................... 454,000 492,590
Kaiser Aluminum & Chemical Corp., 9.875%
Sr. Nts., 2/15/02........................... 300,000 309,750
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05......................... 230,000 262,775
------------
1,065,115
------------
Paper - 3.8%
Buckeye Cellulose Corp., 8.50% Sr. Sub.
Nts., 12/15/05............................. 250,000 257,812
Crown Paper Co., 11% Sr. Sub. Nts.,
9/1/05..................................... 750,000 660,000
Domtar, Inc.:
11.25% Debs., 9/15/17....................... 400,000 426,000
12% Nts., 4/15/01........................... 250,000 295,313
Gaylord Container Corp., 11.50% Sr.
Nts., 5/15/01.............................. 500,000 517,500
Repap New Brunswick, Inc., 9.25%
First Priority Sr. Sec. Nts.,
7/15/00(4)................................. 400,000 402,000
Repap Wisconsin, Inc., 9.25% First
Priority Sr. Sec. Nts., 2/1/02............. 500,000 477,500
Riverwood International Corp.:
10.75% Sr. Nts., 6/15/00.................... 400,000 427,500
11.25% Sr. Sub. Nts., 6/15/02............... 200,000 215,000
Stone Container Corp.:
10.75% First Mtg. Nts., 10/1/02............. 1,300,000 1,358,500
10.75% Sr. Sub. Nts., 6/15/97............... 100,000 102,500
------------
5,139,625
------------
Consumer Related - 12.3%
Consumer Products - 2.9%
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 10.901%,
5/27/98(3)................................. 400,000 320,000
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02.................. 1,650,000 1,823,250
International Semi-Tech
Microelectronics, Inc., 0%/11.50% Sr.
Sec. Disc. Nts., 8/15/03(8)................ 650,000 344,500
Revlon Worldwide Corp., Zero Coupon
Sr. Sec. Disc. Nts., 12.333%,
3/15/98(3)................................. 350,000 260,750
Tag-Heuer International SA, 12% Sr.
Sub. Nts., 12/15/05(5)..................... 500,000 501,875
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04............................... 600,000 600,000
------------
3,850,375
------------
Food/Beverages/Tobacco - 0.8%
Consolidated Cigar Corp., 10.50% Sr.
Sub. Nts., 3/1/03.......................... 400,000 418,000
Pulsar Internacional SA de CV, 11.80%
Nts., 9/19/96(7)........................... 700,000 705,250
------------
1,123,250
------------
Healthcare - 4.1%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05(9)................................ 650,000 718,250
Capstone Capital Corp., 10.50% Cv. Debs.,
4/1/02.................................... 1,600,000 1,918,000
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Consumer Related (Continued)
Healthcare (Continued)
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02(5)...................... $ 400,000 $ 434,000
Magellan Health Services, Inc., 11.25%
Sr. Sub. Nts., Series A, 4/15/04........... 500,000 548,750
Quorum Health Group, Inc., 8.75% Sr.
Sub. Nts., 11/1/05......................... 300,000 311,625
Tenet Healthcare Corp., 10.125% Sr.
Sub. Nts., 3/1/05.......................... 500,000 556,250
Total Renal Care, Inc., 0%/12% Sr. Sub.
Disc. Nts., 8/15/04(8)..................... 994,000 959,210
------------
5,446,085
------------
Hotel/Gaming - 2.3%
Bally's Casino Holdings, Inc., Zero
Coupon Sr. Disc. Nts., 10.252%,
6/15/98(3)................................. 600,000 483,000
Capital Gaming International, Inc.
Promissory Nts............................. 9,500 --
Grand Casinos, Inc., 10.125% Gtd. First
Mtg. Nts., 12/1/03......................... 500,000 523,750
Mohegan Tribal Gaming Authority,
13.50% Sr. Sec. Nts., 11/15/02(5).......... 400,000 434,000
Rio Hotel & Casino, Inc., 10.625% Sr.
Sub. Nts., 7/15/05......................... 450,000 463,500
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03............................... 750,000 738,750
Trump Plaza Funding, Inc., 10.875% Gtd.
Mtg. Nts., 6/15/01......................... 250,000 260,000
Trump Taj Mahal Funding, Inc., 11.35%
Debs., Series A, 11/15/99(9)............... 200,000 189,217
------------
3,092,217
------------
Leisure - 0.3%
Gillett Holdings, Inc., 12.25% Sr. Sub.
Nts., Series A, 6/30/02................... 387,805 409,619
------------
Restaurants - 1.3%
Carrols Corp., 11.50% Sr. Nts., 8/15/03.... 430,000 436,450
Foodmaker, Inc.:
9.25% Sr. Nts., 3/1/99..................... 200,000 192,500
9.75% Sr. Sub. Nts., 6/1/02................ 1,275,000 1,160,250
------------
1,789,200
------------
Textile/Apparel - 0.6%
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02....................... 750,000 738,750
------------
Energy - 4.3%
BP America, Inc., 10.875% Nts.,
8/1/01 CAD................................. 350,000 297,207
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02............................... 500,000 526,250
Kelley Oil & Gas Corp., 13.50% Sr.
Nts., 6/15/99.............................. 600,000 489,000
Maxus Energy Corp., 11.50% Debs.,
11/15/15................................... 800,000 830,000
OPI International, Inc., 12.875% Gtd. Sr.
Nts., 7/15/02.............................. 750,000 853,125
Petroleum Heat & Power Co., Inc.:
12.25% Sub. Debs., 2/1/05................... 250,000 280,000
9.375% Sub. Debs., 2/1/06................... 250,000 246,250
Plains Resources, Inc., 12% Sr. Sub.
Nts., 10/1/99.............................. 200,000 208,000
Triton Energy Corp.:
0%/9.75% Sr. Sub. Disc. Nts.,
12/15/00(8)................................ 200,000 187,500
</TABLE>
16
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Energy (Continued)
Triton Energy Corp.:
Zero Coupon Sr. Sub. Disc. Nts.,
10.318%, 11/1/97/(3)/...................... $1,200,000 $1,041,000
United Meridian Corp., 10.375% Gtd. Sr.
Sub. Nts., 10/15/05.......................... 250,000 265,625
Vintage Petroleum, Inc., 9% Sr. Sub.
Nts., 12/15/05............................. 500,000 506,250
------------
5,730,207
------------
Financial Services - 2.1%
Banks & Thrifts - 0.7%
Banco Bamerindus do Brasil SA:
10.50% Debs., 6/23/97....................... 280,000 257,600
11% Sr. Unsub. Unsec. Bonds, 10/6/97........ 280,000 257,600
Banco Ganadero SA, Zero Coupon Sr.
Unsub. Unsec. Nts., 9.941%,
6/15/96(3)(5).............................. 250,000 239,520
Banco Mexicano SA, 8% Sr. Unsub.
Unsec. Exchangeable Medium-Term Nts.,
11/4/98.................................... 250,000 210,625
------------
965,345
------------
Diversified Financial - 0.9%
Banco del Atlantico SA, 7.875%
Eurobonds, 11/5/98......................... 250,000 212,500
ECM Fund, L.P.I., 14% Sub. Nts.,
6/10/02/(7)/............................... 244,994 269,494
GPA Delaware, Inc., 8.75% Gtd. Nts.,
12/15/98................................... 300,000 282,750
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00..................................... 350,000 383,250
------------
1,147,994
------------
Insurance - 0.5%
Terra Nova Insurance (UK) Holdings
PLC, 10.75% Sr. Nts., 7/1/05.............. 600,000 657,000
------------
Housing Related - 2.1%
Building Materials 3/4 0.7%
Southdown, Inc., 14% Sr. Sub. Nts.,
Series B, 10/15/01.......................... 640,000 707,200
Walter Industries, Inc., 17% Sub. Nts.,
1/1/96/(10)/................................ 400,000 254,000
------------
961,200
------------
Homebuilders/Real Estate - 1.4%
Olympia & York First Canadian Place
Ltd., 11% Debs., Series 3,
11/4/49/(11)/ CAD.......................... 1,000,000 472,929
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Sec. Nts., Series B,
4/1/02..................................... 1,000,000 1,025,000
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11/(5)/................ 500,000 372,500
------------
1,870,429
------------
Manufacturing - 3.1%
Aerospace/Electronics/Computers - 1.9%
Berg Electronics Holdings Corp.,
11.375% Sr. Sub. Debs., 5/1/03............. 500,000 562,500
Communications & Power Industries,
Inc., 12% Sr. Sub. Nts., 8/1/05............ 500,000 516,250
Dell Computer Corp., 11% Sr. Nts.,
8/15/00.................................... 500,000 555,000
Rohr, Inc., 11.625% Sr. Nts., 5/15/03....... 800,000 876,000
------------
2,509,750
------------
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Manufacturing (Continued)
Automotive - 1.2%
Aftermarket Technology Corp., 12% Sr.
Sub. Nts., Series B, 8/1/04................ $ 500,000 $ 532,500
Foamex LP/Foamex Capital Corp.:
11.25% Sr. Nts., 10/1/02.................... 500,000 482,500
9.50% Sr. Sec. Nts., 6/1/00................. 240,000 234,000
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04..................................... 425,000 357,000
------------
1,606,000
------------
Capital Goods - 0.0%
Farley, Inc., Zero Coupon Sub. Debs.,
14.151%, 12/30/12/(3)//(7)/................ 198,000 19,569
Media - 15.6%
Broadcasting - 4.1%
Act III Broadcasting, Inc., 9.625% Sr.
Sub. Nts., 12/15/03........................ 430,000 433,225
Argyle Television, Inc., 9.75% Sr. Sub.
Nts., 11/1/05.............................. 150,000 149,250
Outlet Broadcasting, Inc., 10.875% Sr.
Sub. Nts., 7/15/03......................... 1,000,000 1,115,000
Paxson Communications Corp., 11.625%
Sr. Sub. Nts., 10/1/02/(5)/................ 1,250,000 1,262,500
Sinclair Broadcast Group, Inc.:
10% Sr. Sub. Nts., 12/15/03................. 345,000 353,625
10% Sr. Sub. Nts., 9/30/05.................. 400,000 411,000
Summit Communications Group, Inc.,
10.50% Sr. Sub. Debs., 4/15/05............. 850,000 947,750
Univision Television Group, Inc., 11.75%
Sr. Sub. Nts., 1/15/01..................... 700,000 754,250
------------
5,426,600
------------
Cable Television - 7.2%
American Telecasting, Inc., 0%/14.50%
Sr. Disc. Nts., 6/15/04/(8)/............... 1,506,106 1,042,978
Australis Media Ltd., Units (each unit
consists of $1,000 principal amount of
0%/14% sr. sub. disc. nts., 5/15/03 and
one warrant to purchase 57.721
ordinary shares)/(8)//(12)/................ 1,500,000 1,095,000
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04/(8)/................... 1,500,000 1,070,625
Cablevision Industries Corp., 9.25% Sr.
Debs., Series B, 4/1/08.................... 600,000 651,000
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04......................... 500,000 531,250
Comcast UK Cable Partner Ltd.,
0%/11.20% Sr. Disc.Debs., 11/15/07/(8)/.... 350,000 206,500
Continental Cablevision, Inc., 9.50% Sr.
Debs., 8/1/13.............................. 300,000 319,500
Diamond Cable Communications PLC:
0%/11.75% Sr. Disc. Nts., 12/15/05/(8)/..... 500,000 297,500
0%/13.25% Sr. Disc. Nts., 9/30/04/(8)/...... 100,000 70,750
Fundy Cable Ltd., 11% Sr. Sec. Second
Priority Nts., 11/15/05.................... 400,000 420,000
Helicon Group LP/Helicon Capital
Corp., 9% Sr. Sec. Nts., Series B,
11/1/03/(4)/............................... 675,000 651,375
International CableTel, Inc.:
0%/10.875% Sr. Deferred Coupon Nts.,
10/15/03/(8)/.............................. 100,000 71,750
0%/12.75% Sr. Deferred Coupon Nts.,
4/15/05/(8)/............................... 350,000 223,125
People's Choice TV Corp., 0%/13.125%
Sr. Disc. Nts., 6/1/04(8).................. 350,000 202,125
</TABLE>
17
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Media (Continued)
Cable Television (Continued)
Rogers Cablesystems Ltd., 10% Sr. Sec.
Second Priority Debs., 12/1/07..............$ 900,000 $ 960,750
TeleWest PLC, 0%/11% Sr. Disc. Debs.,
10/1/07/(8)/................................ 1,000,000 606,250
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07.................................... 300,000 353,034
United International Holdings, Inc., Zero
Coupon Sr. Sec. Disc. Nts., 12.752%,
11/15/99/(3)/............................... 1,240,000 775,000
-----------
9,548,512
-----------
Diversified Media -- 3.2%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03........... 750,000 802,500
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(8)/..... 1,000,000 675,000
GSPI Corp., 10.15% First Mtg. Bonds,
6/24/10/(5)/............................... 479,871 578,845
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03.............................. 500,000 520,000
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03.................................... 300,000 292,500
Panamsat LP/Panamsat Capital Corp.:
0%/11.375% Sr. Sub. Disc. Nts.,
8/1/03/(8)/................................ 1,250,000 1,031,250
9.75% Sr. Sec. Nts., 8/1/00................. 350,000 371,875
-----------
4,271,970
-----------
Entertainment/Film -- 1.2%
Imax Corp., 7% Sr. Nts., 3/1/01/(13)/...... 1,600,000 1,576,000
-----------
Other -- 0.9%
Conglomerates -- 0.6%
MacAndrews & Forbes Group, Inc.,
12.25% Sub. Nts., 7/1/96................... 750,000 757,500
-----------
Services -- 0.3%
Protection One, Inc., 0%/13.625% Sr.
Disc. Nts., 6/30/05/(8)/................... 500,000 405,000
-----------
Retail -- 2.6%
Specialty Retailing -- 0.9%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03.......................... 630,000 589,050
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03............................... 300,000 294,000
United Stationers Supply Co., 12.75%
Sr. Sub. Nts., 5/1/05...................... 300,000 325,500
-----------
1,208,550
-----------
Supermarkets -- 1.7%
Grand Union Co., 12% Sr. Nts., 9/1/04....... 1,500,000 1,305,000
Kash 'N Karry Food Stores, Inc.,
11.50% Sr. Nts., 2/1/03/(9)/............... 533,800 519,491
Penn Traffic Co., 10.25% Sr. Nts.,
2/15/02.................................... 400,000 383,000
-----------
2,207,491
-----------
Transportation -- 2.6%
Air Transportation -- 0.9%
American International Group, Inc.,
11.70% Unsec. Unsub. Bonds,
12/4/01 ITL................................ 690,000,000 458,326
Atlas Air, Inc., 12.25% Pass-Through
Certificates, 12/1/02...................... 750,000 768,750
-----------
1,227,076
-----------
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Transportation (Continued)
Railroads -- 1.1%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03/(8)/..................... $ 2,200,000 $ 1,463,000
-----------
Shipping -- 0.6%
Trans Ocean Container Corp., 12.25%
Sr. Sub. Nts., 7/1/04....................... 750,000 783,750
-----------
Utilities -- 14.6%
Electric Utilities -- 2.5%
California Energy Co., 0%/10.25% Sr.
Disc. Nts., 1/15/04/(8)/................... 1,000,000 947,500
El Paso Electric Co.:
10.75% Lease Obligation Bonds,
4/1/13/(10)/............................... 250,000 169,683
9.375% Lease Obligation Bonds,
10/1/96/(10)/.............................. 100,000 67,761
First PV Funding Corp., 10.15% Lease
Obligation Bonds, Series 1986B, 1/15/16.... 500,000 515,685
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1986A, 1/15/14.... 1,000,000 1,021,561
Subic Power Corp., 9.50% Sr. Sec.
Nts., 12/28/08............................. 672,413 642,155
-----------
3,364,345
-----------
Telecommunications -- 12.1%
A+ Network, Inc., 11.875% Sr. Sub. Nts.,
11/1/05.................................... 750,000 759,375
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04/(5)(8)/............................ 1,500,000 1,065,000
Cellular Communications International, Inc.:
Units (each unit consists of $1,000
principal amount of zero coupon sr.
disc. nts., 8/15/00 and one warrant to
purchase 1.126 shares of common
stock)/(12)/............................... 200,000 126,000
Zero Coupon Sr. Disc. Nts., 12.844%,
8/15/00/(3)/............................... 2,250,000 1,355,625
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03/(8)/.......................... 2,000,000 1,602,500
Cencall Communications Corp.,
0%/10.125% Sr. Disc. Nts., 1/15/04/(8)/.... 1,000,000 565,000
Comcast Cellular Corp., Zero Coupon
Nts., Series B, 7.889%, 3/5/00/(3)/........ 850,000 656,625
Comunicacion Celular SA, Units (each
unit consists of $1,000 principal
0%/13.125% sr. deferred coupon bond,
11/15/03 and one warrant to purchase
12,860 shares of common stock at
$1.32 per 1,000 shares)/(5)(8)(12)/........ 750,000 427,500
Geotek Communications, Inc., 0%/15%
Sr. Sec. Disc. Nts., 7/15/05/(8)/.......... 1,750,000 796,250
GST Telecommunications, Inc., Units
(each unit consists of eight
0%/13.875% sr. disc. nts., 12/15/05 and
one 0%/13.875% cv. sr. sub. disc. nt.,
12/15/05)/(5)(8)(12)/...................... 1,305,000 681,500
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00/(8)/................... 1,800,000 1,539,000
In-Flight Phone Corp., 0%/14% Sr. Disc.
Nts., 5/15/02/(8)/......................... 950,000 318,250
IntelCom Group (USA), Inc.,
0%/13.50% Sr. Disc. Nts.,
9/15/05/(5)(8)/............................ 1,800,000 1,039,500
</TABLE>
18
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
--------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Utilities (Continued)
Telecommunications (Continued)
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04/(8)/............... $1,250,000 $ 1,006,250
Nextel Communications, Inc., 0%/11.50%
Sr. Disc. Nts., 9/1/03/(8)/................ 1,400,000 866,250
Omnipoint Corp., Units (each unit
represents $1,000 principal amount of
10% cv. sub. nts., 11/29/00 and one
warrant to purchase a share of
common stock)(5)/(9)/(12)/.................. 750,000 743,925
PriCellular Wireless Corp.:
0%/12.25% Sr. Sub. Disc. Nts.,
10/1/03/(8)/................................ 500,000 388,750
0%/14% Sr. Sub. Disc. Nts., 11/15/01/(8)/.... 2,000,000 1,760,000
WinStar Communications, Inc., Units
(each unit consists of two $1,000
principal amount of 0%/14% sr. disc.
nts.,10/15/05 and one cv. sr. sub. disc.
nts., 10/15/05)/(5)/(8)/(12)/............... 300,000 475,500
------------
16,172,800
------------
Total Corporate Bonds and Notes
(Cost $84,569,662).......................... 87,849,449
------------
Shares
------
<S> <C> <C>
Common Stocks -- 1.4%
American Telecasting, Inc.(14)............. 6,800 $ 98,600
Berg Electronics Corp./(5)/................. 46,220 277,320
Celcaribe SA/(5)/(14)/...................... 203,250 241,868
ECM Fund, L.P.I./(7)/....................... 150 150,000
EchoStar Communications
Corp., Cl. A................................ 6,000 109,125
Equitable Bag, Inc./(14)/................... 3,723 9,307
Gillett Holdings, Inc.,
Cl. 2/(7)/(14)/............................. 10,355 207,100
Grand Union Co./(14)/....................... 26,511 198,832
Gulfstream Holding, Inc..................... 56 --
Gulfstream Housing Corp..................... 27,850 --
Kash 'N Karry Food Stores, Inc./(14)/....... 11,292 296,415
Triangle Wire & Cable, Inc./(7)/............ 21,111 21,111
United International
Holdings, Inc., Cl. A/(14)/................. 9,000 132,750
Walter Industries, Inc./(14)/............... 4,837 63,486
------------
Total Common Stocks
(Cost $1,554,075).......................... 1,805,914
------------
Preferred Stocks -- 5.2%
BankAmerica Corp., 8.375%, Series K......... 13,000 336,375
Berg Electronics Corp., $3.3438,
Series E/(9)/.............................. 14,035 392,980
Cablevision Systems Corp., 8.50% Cum.
Cv., Series I.............................. 20,000 545,000
California Federal Bank, 10.625% Non-
Cum., Series B............................. 7,000 759,500
Fidelity Federal Bank, 12% Non-Cum.
Exchangeable Perpetual Preferred
Stock, Series A............................ 20,000 507,500
First Nationwide Bank, 11.50% Non-
Cum........................................ 8,500 955,188
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E..................... 16,500 746,625
J. Ray McDermott, SA........................ 10,965 195,999
K-III Communications Corp., $11.625
Exchangeable, Series B/(9)/................ 7,511 747,365
Kaiser Aluminum Corp., 8.255%
Provisionally Redeemable Income Debt
Exchangeable for Stock...................... 6,000 77,250
<CAPTION>
Market Value
Shares (Note 1)
------ --------------
<S> <C> <C>
Preferred Stocks (Continued)
Navistar International Corp., $6.00 Cv.,
Series G................................... 2,500 $ 135,625
Pantry Pride, Inc., $14.875
Exchangeable, Series B..................... 2,000 207,000
Prime Retail, Inc., $19.00 Cv., Series B.... 17,000 301,750
SDW Holdings Corp., Units (each unit
consists of ten shares of sr.
exchangeable preferred stock and one cl.
B warrant to purchase one share of
common stock)/(5)/(12)/.................... 3,750 1,087,500
------------
Total Preferred Stocks
(Cost $6,311,457)........................... 6,995,657
------------
Units
-----
<S> <C>
Rights, Warrants and Certificates -- 0.6%
American Telecasting, Inc. Wts.,
Exp. 6/99.................................. 6,000 $ 36,000
Ames Department Stores, Inc.:
Excess Cash Flow Payment
Certificates, Series AG-7A/(7)/............ 12,400 124
Litigation Trust/(7)/....................... 39,658 397
Capital Gaming International, Inc. Wts.,
Exp. 2/99.................................. 21,112 211
Casino America, Inc. Wts., Exp. 11/96....... 1,631 163
Cellular Communications International,
Inc. Wts., Exp. 8/03....................... 2,250 50,625
Digicon, Inc. Wts., Exp. 7/96............... 1,566 98
Eye Care Centers of America, Inc.
Wts., Exp. 10/03/(5)/...................... 630 3,150
Foamex LP/JPS Automotive Corp.
Wts., Exp. 7/99............................ 500 2,500
Gaylord Container Corp. Wts., Exp.
7/96....................................... 26,410 198,075
Geotek Communications, Inc. Wts., Exp.
7/05/(5)/.................................. 52,500 105,000
Icon Health & Fitness, Inc. Wts.,
Exp. 11/99/(5)/............................ 400 10,000
In-Flight Phone Corp. Wts., Exp. 8/02 /(5)/. 950 --
IntelCom Group, Inc. Wts., Exp. 9/05 /(5)/.. 5,940 23,760
Jewel Recovery LP, Participation Units
of Limited Partners' Interest.............. 2,360 --
People's Choice TV Corp. Wts., Exp. 6/00... 350 3,500
Protection One, Inc. Wts.:
Exp. 11/03................................. 28,000 276,500
Exp. 6/05.................................. 1,600 7,200
Southland Corp. Wts., Exp. 3/96............. 400 500
Terex Corp. Rts., Exp. 7/96 /(5)/.......... 744 37
Trizec Corp. Wts., Exp. 7/99 CAD............ 3,970 4,134
UGI Corp. Wts., Exp. 3/98................... 6,000 300
United International Securities Ltd.
Wts., Exp. 11/99........................... 1,440 41,130
------------
Total Rights, Warrants and Certificates
(Cost $308,096)............................ 763,404
------------
<CAPTION>
Date Strike Contracts
---- ------ ---------
<S> <C> <C> <C>
Put Options Purchased -- 0.0%
Morocco (Kingdom of) Loan
Participation Agreement, Tranche A,
6.594%, 1/1/09, Put Opt. (Cost
$19,000).......................... Jan. $60.25 1,000 1
</TABLE>
19
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer High Income Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- ------------
<S> <C> <C>
Structured Instruments - 0.9%
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, 5.742%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust)(7)............................. $ 782,608 $ 765,000
Salomon Brothers, Inc., Zero Coupon
Brazilian Credit Linked Nts., 11.318%,
2/15/96 (indexed to the Nota Do
Tesouro Nacional, Zero Coupon,
2/15/96)(3).......................................... 200,000 197,000
United Mexican States, Linked Nts.
(indexed to the greater of Cetes Option
Amount or USD LIBOR Option
Amount, 11/27/96)(5)................................. 300,000 305,475
---------
Total Structured Instruments
(Cost $1,279,946).................................... 1,267,475
---------
<CAPTION>
Principal Market Value
Amount(1) (Note 1)
--------- ------------
<S> <C> <C>
Repurchase Agreement - 2.1%
Repurchase agreement with PaineWebber, Inc.,
5.90%, dated 12/29/95, to be repurchased at
$2,781,822 on 1/2/96, collateralized by U.S.
Treasury Nts., 6.875%, 8/31/99, with a value
of $993,387,and U.S. Treasury Bonds,
7.125%-7.625%, 11/15/22-2/15/23, with a
value of $1,871,730 (Cost $2,780,000)................ $2,780,000 $ 2,780,000
---------
Total Investments, at Value
(Cost $125,812,139).................................. 98.6% 131,522,956
---------- -------------
Other Assets Net of Liabilities....................... 1.4 1,927,824
---------- -------------
Net Assets............................................ 100.0% $ 133,450,780
========== =============
</TABLE>
(1) Face amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
AUD - Australian Dollar ITL - Italian Lira
CAD - Canadian Dollar JPY - Japanese Yen
DEM - German Deutsche Mark NLG - Netherlands Guilder
DKK - Danish Krone NOK - Norwegian Krone
ESP - Spanish Peseta NZD - New Zealand Dollar
FRF - French Franc PLZ - Polish Zloty
GBP - British Pound Sterling PTE - Portuguese Escudo
HUF - Hungarian Forint SEK - Swedish Krona
IDR - Indonesian Rupiah THB - Thai Baht
IEP - Irish Punt
(2) Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign currency.
(3) For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
(4) Represents the current interest rate for a variable rate security.
(5) Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the Board
of Trustees. These securities amount to $10,828,494 or 8.11% of the Fund's
net assets, at December 31, 1995.
(6) A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
Face
Subject Expiration Exercise Premium Market Value
To Call Date Price Received See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Bulgaria (Republic of) Interest Arrears
Bonds, 6.75%, 7/28/11................................ 100,000 1/96 $45 $1,430 $1,390
</TABLE>
(7) Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
(8) Denotes a step bond: a zero coupon bond that converts to a fixed rate of
interest at a designated future date.
(9) Interest or dividend is paid in kind.
(10) Non-income producing--issuer is in default of interest payment.
(11) Partial interest payment received.
(12) 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, face amount disclosed represents total
underlying principal.
(13) Represents the current interest rate for an increasing rate security.
(14) Non-income producing security.
See accompanying Notes to Financial Statements.
20
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Certificates of Deposit - 1.9%
Citibank CD:
19%, 1/19/96 /(2)/ IDR.......................... $2,853,750,000 $ 1,248,126
27.40%, 3/22/96 /(2)/ HUF....................... 139,510,000 1,021,112
Indonesia (Republic of) Bank Negara
CD, Zero Coupon, 15.914%,
6/17/96 /(2)/(3)/ IDR.......................... 2,000,000,000 805,011
Krungthai Thanakit CD, Zero Coupon,
11.533%, 2/29/96 /(2)/(3)/ THB................. 25,000,000 968,966
------------
Total Certificates of Deposit (Cost
$4,063,089).................................... 4,043,215
------------
Mortgage-Backed Obligations - 18.3%
Government Agency - 11.5%
FHLMC/FNMA/Sponsored - 7.7%
Federal National Mortgage Assn.:
7%, 11/1/25..................................... 1,888,319 1,903,653
7%, 11/1/25..................................... 7,990,664 8,055,548
Collateralized Mtg. Obligations, Gtd.
Real Estate Mtg. Investment Conduit
Pass-Through Certificates, 8.75%,
11/25/05....................................... 3,000,000 3,262,500
Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates,
10.40%, 4/25/19................................ 2,000,000 2,193,120
Interest-Only Stripped Mtg.-Backed
Security, Trust 257, Cl. 2, 11.79%,
2/1/24 /(4)/................................... 2,638,404 739,990
------------
16,154,811
------------
GNMA/Guaranteed - 3.8%
Government National Mortgage Assn.:
6%, 10/20/25.................................... 4,986,569 5,036,435
6%, 10/20/24.................................... 2,939,612 3,009,429
------------
8,045,864
------------
Private - 6.8%
Commercial 3.1%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1:
Cl. 2-D, 8.70%, 9/25/25 /(5)/................... 1,500,000 1,617,187
Cl. 2-E, 8.70%, 9/25/25 /(5)/................... 1,500,000 1,604,531
Merrill Lynch Mortgage Investors, Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2, Cl. C, 7.70%, 6/15/21 /(6)/........... 993,670 1,025,033
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1992-CHF, Cl. C, 8.25%,
12/25/20....................................... 1,053,588 1,079,599
Series 1992-CHF, Cl. E, 8.25%,
12/25/20....................................... 931,256 913,795
Series 1994-C1, Cl. A, 7.25%, 6/25/26........... 302,117 301,740
------------
6,541,885
------------
Multi-Family - 3.7%
Countrywide Funding Corp., Series
1993-12, Cl. B1, 6.625%, 2/25/24............... 1,000,000 942,500
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1991-M5, Cl. A, 9%, 3/25/17.............. 2,295,071 2,429,907
Series 1994-C1, Cl. C, 8%, 6/25/26.............. 1,500,000 1,603,594
Series 1995-C1, Cl. D, 6.90%, 2/25/27........... 3,000,000 2,865,000
------------
7,841,001
------------
Total Mortgage-Backed Obligations
(Cost $37,340,024).............................. 38,583,561
------------
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
U.S. Government Obligations - 40.3%
Treasury - 40.3%
U.S. Treasury Bonds:
6.875%, 8/15/25................................. $ 8,000,000 $ 9,027,495
7.125%, 2/15/23................................. 3,000,000 3,427,500
8%, 11/15/21.................................... 5,000,000 6,259,375
U.S. Treasury Nts.:
6%, 12/31/97.................................... 3,000,000 3,047,811
6.25%, 5/31/00.................................. 10,000,000 10,343,750
6.375%, 6/30/97................................. 1,000,000 1,017,187
6.50%, 5/15/05-8/15/05.......................... 18,000,000 19,182,809
6.875%, 3/31/00................................. 5,000,000 5,289,065
7.25%, 5/15/04-8/15/04.......................... 7,000,000 7,787,812
7.375%, 11/15/97................................ 2,000,000 2,076,250
7.50%, 2/15/05.................................. 5,000,000 5,676,559
7.75%, 12/31/99-1/31/00......................... 6,000,000 6,519,374
7.875%, 6/30/96-11/15/04........................ 3,000,000 3,329,999
9.25%, 8/15/98.................................. 2,000,000 2,193,124
------------
Total U.S. Government Obligations
(Cost $79,215,729)............................. 85,178,110
------------
Foreign Government Obligations - 13.9%
Australia (Commonwealth of) Bonds,
12.50%, 1/15/98 AUD............................ 960,000 782,889
Canada (Government of) Bonds:
7.75%, 9/1/99 CAD.............................. 347,000 266,514
Series A-76, 9%, 6/1/25 CAD.................... 321,000 274,798
Colombia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 6.875%,
7/1/01 /(6)(7)/................................ 1,714,400 1,594,392
Corporacion Andina de Fomento Sr.
Unsec. Debs.:
6.625%, 10/14/98 /(5)/......................... 1,000,000 999,375
7.25%, 4/30/98 /(5)/........................... 1,000,000 998,125
Denmark (Kingdom of) Bonds:
7%, 11/10/24 DKK............................... 6,300,000 1,014,039
8%, 3/15/06 DKK................................ 1,880,000 357,728
Financiera Energetica Nacional:
Nts., 6.625%, 12/13/96......................... 2,350,000 2,347,062
SA Medium-Term Nts., 9%, 11/8/99............... 400,000 419,500
France (Government of) Obligation
Assimilable du Tresor Debs., 9.50%,
6/25/98 FRF.................................... 1,196,000 267,600
Germany (Republic of) Bonds:
7.75%, 10/1/04 DEM.............................. 5,350,000 4,106,853
Series 94, 6.25%, 1/4/24 DEM.................... 2,900,000 1,887,370
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD.................................... 1,000,000 696,248
Italy (Republic of) Treasury Bonds,
Buoni del Tesoro Poliennali, 10.50%,
4/1/00 ITL..................................... 4,515,000,000 2,872,821
National Treasury Management Agency
(Irish Government) Bonds, 8%,
10/18/00 IEP................................... 405,000 682,226
New Zealand (Republic of) Bonds, 10%,
7/15/97 NZD.................................... 1,720,000 1,155,621
Norwegian Government Bonds, 9.50%,
10/31/02 NOK................................... 11,340,000 2,124,639
Poland (Republic of) Debs., 7.75%,
7/13/00........................................ 1,500,000 1,530,000
Portugal (Republic of) Gtd. Bonds,
Obrigicion do tes Medio Prazo, 11.875%,
2/23/00 PTE.................................... 65,000,000 468,838
</TABLE>
21
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Foreign Government Obligations (Continued)
South Africa (Republic of) Debs.,
9.625%, 12/15/99............................... $ 1,000,000 $ 1,082,500
Spain (Kingdom of) Gtd. Bonds, Bonos
y Obligacion del Estado, 12.25%,
3/25/00 ESP.................................... 156,000,000 1,405,755
Sweden (Kingdom of) Bonds, Series
1028, 11%, 1/21/99 SEK......................... 4,400,000 714,422
United Kingdom Treasury:
Debs., 8.50%, 12/7/05 GBP....................... 337,000 562,305
Nts., 10%, 2/26/01 GBP.......................... 310,000 544,176
Western Australia Treasury Corp. Gtd.
Bonds, Series 98, 12.50%, 4/1/98 AUD........... 200,000 164,222
------------
Total Foreign Government Obligations
(Cost $28,915,289)............................. 29,320,018
------------
Municipal Bonds and Notes - 0.9%
Pinole, California Redevelopment Agency
Tax Allocation Taxable Bonds, Pinole
Vista Redevelopment, Series B, 8.35%,
8/1/17......................................... 670,000 733,429
Dade County, Florida Educational
Facilities Authority:
Exchangeable Revenue Bonds, University
of Miami, Prerefunded, MBIA Insured,
7.65%, 4/1/10.................................. 175,000 201,294
Revenue Bonds, University of Miami,
MBIA Insured, 7.65%, 4/1/10.................... 205,000 230,154
Taxable Exchange Revenue Bonds,
University of Miami, MBIA Insured,
9.70%, 4/1/10.................................. 120,000 134,724
Port of Portland, Oregon Special
Obligation Taxable Revenue Bonds,
PAMCO Project, 9.20%, 5/15/22.................. 500,000 546,886
------------
Total Municipal Bonds and Notes
(Cost $1,663,728).............................. 1,846,487
------------
Corporate Bonds and Notes - 16.9%
Basic Industry - 2.7%
Chemicals - 1.2%
Quantum Chemical Corp., 10.375% First
Mtg. Nts., 6/1/03.............................. 2,100,000 2,389,670
------------
Paper - 1.5%
Boise Cascade Corp., 9.90% Nts.,
3/15/00........................................ 750,000 850,994
Noranda Forest, Inc., 11% Debs.,
7/15/98 CAD.................................... 1,000,000 805,629
Scotia Pacific Holding Co., 7.95%
Timber Collateralized Nts., 7/20/15............ 1,546,483 1,571,753
------------
3,228,376
------------
Consumer Related - 2.6%
Food/Beverages/Tobacco - 0.8%
Dr. Pepper/Seven-Up Cos., Inc.,
0%/11.50% Sr. Sub. Disc. Nts.,
11/1/02 /(8)/.................................. 1,315,000 1,239,388
Philip Morris Cos., Inc., 8.875% Nts.,
7/1/96......................................... 500,000 507,702
------------
1,747,090
------------
Healthcare - 0.6%
R.P. Scherer Corp., 6.75% Sr. Nts.,
2/1/04......................................... 1,250,000 1,189,530
------------
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Consumer Related (Continued)
Hotel/Gaming - 0.2%
Circus Circus Enterprises, Inc., 6.75%
Nts., 7/15/03.................................. $ 375,000 $ 379,439
------------
Textile/Apparel - 0.5%
Fruit of the Loom, Inc., 7% Debs.,
3/15/11........................................ 1,097,000 1,108,417
------------
Toys - 0.5%
Mattel, Inc., 6.875% Sr. Nts., 8/1/97........... 1,000,000 1,017,927
------------
Energy - 3.3%
BP America, Inc., 10.875% Nts.,
8/1/01 CAD..................................... 650,000 551,957
Coastal Corp.:
11.75% Sr. Debs., 6/15/06....................... 2,000,000 2,126,614
9.75% Sr. Debs., 8/1/03......................... 200,000 238,950
Enron Corp., 9.875% Debs., 6/15/03.............. 375,000 457,052
McDermott, Inc., 9.375% Nts., 3/15/02........... 400,000 454,472
Mitchell Energy & Development Corp.,
9.25% Sr. Nts., 1/15/02....................... 1,000,000 1,146,689
Sonat, Inc., 9.50% Nts., 8/15/99................ 250,000 278,659
Southwest Gas Corp., 9.75% Debs.,
Series F, 6/15/02.............................. 500,000 585,022
Tenneco, Inc.:
10% Debs., 3/15/08.............................. 400,000 497,656
7.875% Nts., 10/1/02............................ 650,000 709,766
------------
7,046,837
------------
Financial Services - 1.7%
Banks & Thrifts - 1.0%
Banco Ganadero SA, Zero Coupon Sr.
Unsub. Unsec. Nts., 9.931%,
6/15/96 /(3)(5)/............................... 500,000 479,040
BankAmerica Corp., 7.50% Sr. Nts.,
3/15/97........................................ 100,000 102,362
Chemical New York Corp., 9.75% Sub.
Capital Nts., 6/15/99.......................... 200,000 224,742
First Chicago Corp.:
11.25% Sub. Nts., 2/20/01....................... 750,000 923,495
9% Sub. Nts., 6/15/99........................... 150,000 165,177
First Chicago NBD Bancorp, 7.25%
Sub. Debs., 8/15/04............................ 165,000 176,247
First Fidelity Bancorporation, 8.50%
Sub. Capital Nts., 4/1/98...................... 100,000 105,456
------------
2,176,519
------------
Diversified Financial - 0.7%
American Car Line Co., 8.25%
Equipment Trust Certificates, Series
1993-A, 4/15/08................................ 627,000 659,134
Lehman Brothers Holdings, Inc., 8.375%
Nts., 2/15/99.................................. 700,000 744,198
------------
1,403,332
------------
Manufacturing - 0.9%
Automotive - 0.9%
Chrysler Corp., 10.95% Debs., 8/1/17............ 800,000 898,110
General Motors Acceptance Corp.:
5.50% Nts., 12/15/01............................ 300,000 289,647
7.75% Nts., 4/15/97............................. 700,000 713,318
------------
1,901,075
------------
</TABLE>
22
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Media - 3.9%
Cable Television - 2.2%
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23........ $ 1,850,000 $ 2,009,405
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07....................................... 2,200,000 2,588,914
------------
4,598,319
------------
Diversified Media - 1.3%
GSPI Corp., 10.15% First Mtg. Bonds,
6/24/10 /(5)/.................................. 1,151,691 1,389,228
News America Holdings, Inc.:
10.125% Gtd. Sr. Debs., 10/15/12................ 500,000 608,130
12% Sr. Nts., 12/15/01.......................... 500,000 558,673
Time Warner, Inc., 9.15% Debs., 2/1/23.......... 300,000 342,093
------------
2,898,124
------------
Entertainment/Film - 0.4%
Columbia Pictures Entertainment, Inc.,
9.875% Sr. Sub. Nts., 2/1/98................... 500,000 541,242
Eastman Kodak Co., 10% Nts., 6/15/01............ 250,000 254,730
------------
795,972
------------
Retail - 0.3%
Drug Stores - 0.3%
Hook-SupeRx, Inc., 10.125% Sr. Nts.,
6/1/02......................................... 600,000 657,191
------------
Transportation - 0.2%
Railroads - 0.2%
Union Pacific Corp., 9.65% Medium-
Term Nts., 4/17/00............................. 400,000 455,554
------------
Utilities - 1.3%
Electric Utilities - 1.0%
Commonwealth Edison Co., 6.50% Nts.,
7/15/97........................................ 775,000 779,528
Long Island Lighting Co., 7% Nts.,
3/1/04......................................... 150,000 144,552
New Zealand Electric Corp., 10% Debs.,
6/15/96 NZD.................................... 650,000 426,765
Public Service Co. of Colorado, 8.75%
First Mtg. Bonds, 3/1/22....................... 750,000 852,330
------------
2,203,175
------------
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Corporate Bonds and Notes (Continued)
Utilities
Telecommunications - 0.3%
GTE Corp., 9.375% Debs., 12/1/00................ $ 500,000 $ 567,703
------------
Total Corporate Bonds and Notes
(Cost $34,673,470)............................. 35,764,250
------------
<CAPTION>
Shares
--------------
<S> <C> <C>
Preferred Stocks - 0.5%
Atlantic Richfield Co., 9% Exchangeable
Notes for Common Stock of Lyondell
Petrochemical Co., 9/15/97..................... 15,000 352,500
BankAmerica Corp., 8.375%, Series K............. 25,000 646,875
------------
Total Preferred Stocks (Cost
$1,076,533).................................... 999,375
------------
<CAPTION>
Principal
Amount /(1)/
--------------
<S> <C> <C>
Structured Instruments - 0.5%
Merrill Lynch & Co., Inc. Units, 9.75%,
6/15/99 (representing debt of Chemical
Banking Corp., sub. capital nts., and
equity of Citicorp, 7.75% preferred,
series 22) (Cost $1,100,540) /(7)(9)/.......... $ 1,000,000 1,151,000
------------
Repurchase Agreement - 4.0%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $8,505,572 on 1/2/96,
collateralized by U.S. Treasury Nts., 5.125%-
8.75%, 12/31/96-11/5/04, with a value of
$4,613,862, U.S. Treasury Bonds, 6.25%-
11.25%, 8/15/03-8/15/23, with a value of
$2,796,111, and U.S. Treasury Bills maturing
11/14/96, with a value of $1,267,996
(Cost $8,500,000).............................. 8,500,000 8,500,000
------------
Total Investments, at Value (Cost
$196,548,402)................................... 97.2% 205,386,016
------ ------------
Other Assets Net of Liabilities.................. 2.8 5,845,754
------ ------------
Net Assets....................................... 100.0% $211,231,770
====== ============
</TABLE>
23
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
(1) Face amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
AUD - Australian Dollar IDR - Indonesian Rupiah
CAD - Canadian Dollar IEP - Irish Punt
DEM - German Deutsche Mark ITL - Italian Lira
DKK - Danish Krone NOK - Norwegian Krone
ESP - Spanish Peseta NZD - New Zealand Dollar
FRF - French Franc PTE - Portuguese Escudo
GBP - British Pound Sterling SEK - Swedish Krona
HUF - Hungarian Forint THB - Thai Baht
(2) Indexed instrument for which the principal amount and/or interest due at
maturity is affected by the relative value of a foreign currency.
(3) For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
(4) Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities
typically decline in price as interest rates decline. Most other fixed-
income securities increase in price when interest rates decline. The
principal amount of the underlying pool represents the notional amount on
which current interest is calculated. The price of these securities is
typically more sensitive to changes in prepayment rates than traditional
mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis
and estimated timing and amount of future cash flows.
(5) Represents a security sold under Rule 144A, which is exempt from
registration under the Securities Act of 1933, as amended. This security
has been determined to be liquid under guidelines established by the Board
of Trustees. These securities amount to $7,087,486 or 3.36% of the Fund's
net assets, at December 31, 1995.
(6) Represents the current interest rate for a variable rate security.
(7) Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
(8) Denotes a step bond: a zero coupon bond that converts to a fixed rate of
interest at a designated future date.
(9) Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. For units
which represent debt securities, face amount disclosed represents total
underlying principal.
See accompanying Notes to Financial Statements.
24
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund
Statement of Investments
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
-------------- ------------
<S> <C> <C>
Convertible Corporate Bonds and Notes -- 1.1%
Danka Business Systems PLC, 6.75%
Cv. Sub. Nts., 4/1/02.......................... $ 800,000 $ 1,122,000
PerSeptive Biosystems, Inc., 8.25% Cv.
Sub. Debs., 8/15/01/(1)/....................... 850,000 709,750
Telxon Corp., 5.75% Cv. Debs.,
1/1/03/(1)/.................................... 1,500,000 1,627,500
------------
Total Convertible Corporate Bonds and
Notes (Cost $3,150,000)........................ 3,459,250
------------
Shares
--------------
Common Stocks -- 91.2%
Basic Materials -- 0.2%
Paper -- 0.2%
Visioneer, Inc./(2)/............................ 27,300 607,425
------------
Consumer Cyclicals -- 24.4%
Autos & Housing -- 1.2%
ITI Technologies, Inc./(2)/..................... 80,000 2,380,000
NHP, Inc./(2)/.................................. 100,000 1,850,000
------------
4,230,000
------------
Leisure & Entertainment -- 7.1%
Apple South, Inc................................ 121,100 2,603,650
Applebee's International, Inc................... 75,000 1,706,250
CKE Restaurants, Inc............................ 190,000 3,040,000
Consolidated Products, Inc...................... 44,000 649,000
Department 56, Inc./(2)/........................ 60,300 2,314,012
La Quinta Inns, Inc............................. 85,000 2,326,875
Landry's Seafood Restaurants, Inc./(2)/......... 100,000 1,706,250
Lone Star Steakhouse & Saloon/(2)/.............. 50,000 1,918,750
Morrow Snowboards, Inc./(2)/.................... 59,500 966,875
Play By Play Toys & Novelties,
Inc./(2)/...................................... 63,800 933,075
Quality Dining, Inc./(2)/....................... 94,500 2,291,625
Sonic Corp...................................... 95,000 1,805,000
Studio Plus Hotels, Inc./(2)/................... 37,500 965,625
------------
23,226,987
------------
Media -- 0.8%
SFX Broadcasting, Inc., Cl. A/(2)/.............. 55,100 1,666,775
Sinclair Broadcast Group, Inc.,
Cl. A/(2)/..................................... 50,000 862,500
------------
2,529,275
------------
Retail: General -- 4.9%
Donnkenny, Inc.................................. 140,000 2,537,500
Fila Holding SpA, ADR........................... 58,000 2,639,000
Marisa Christina, Inc./(2)/..................... 46,700 793,900
Nautica Enterprises, Inc........................ 52,500 2,296,875
Tommy Hilfiger Corp............................. 71,700 3,038,287
Warnaco Group, Inc. (The), Cl. A................ 67,500 1,687,500
Wolverine World Wide, Inc....................... 89,000 2,803,500
------------
15,796,562
------------
Retail: Specialty -- 10.4%
adidas AG, ADS /(1)//(2)/....................... 24,000 637,500
Boise Cascade Office Products
Corp./(2)/..................................... 50,000 2,137,500
Copart, Inc./(2)/............................... 103,100 2,706,375
Corporate Express, Inc.......................... 82,500 2,485,312
CUC International, Inc.......................... 59,000 2,013,375
Discount Auto Parts, Inc./(2)/.................. 60,000 1,867,500
General Nutrition Cos., Inc./(2)/............... 218,800 5,032,400
Hollywood Entertainment Corp.................... 87,500 732,812
<CAPTION>
Market Value
Shares (Note 1)
-------------- ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Cyclicals (Continued)
Retail: Specialty (Continued)
Men's Wearhouse, Inc./(2)/...................... 130,100 $ 3,350,075
Moovies, Inc./(2)/.............................. 137,200 1,852,200
MSC Industrial Direct Co., Inc., Cl.
A/(2)/......................................... 35,000 962,500
Nike, Inc., Cl. B............................... 22,000 1,531,750
OfficeMax, Inc./(2)/............................ 45,750 1,023,656
Petco Animal Supplies, Inc./(2)/................ 80,000 2,340,000
Rocky Mountain Chocolate Factory,
Inc./(2)/...................................... 35,000 420,000
Staples, Inc.................................... 67,500 1,645,312
Viking Office Products, Inc./(2)/............... 65,000 3,022,500
------------
33,760,767
------------
Consumer Non-Cyclicals -- 21.3%
Beverages -- 0.3%
Boston Beer Co., Inc., Cl. A/(2)/............... 9,800 232,750
Canandaigua Wine Co., Inc., Cl. A/(2)/.......... 20,000 652,500
------------
885,250
------------
Education -- 0.2%
National Education Corp./(2)/................... 80,000 650,000
------------
Food -- 1.1%
Opta Food Ingredients, Inc./(2)/................ 35,200 453,200
Safeway, Inc./(2)/.............................. 60,000 3,090,000
------------
3,543,200
------------
Healthcare/Drugs -- 5.0%
Agouron Pharmaceuticals, Inc./(2)/.............. 40,000 1,310,000
Bio-Vascular, Inc./(2)/......................... 47,900 562,825
Dura Pharmaceuticals, Inc./(2)/................. 75,000 2,606,250
Elan Corp. PLC, ADR/(2)/........................ 45,000 2,188,125
Ethical Holdings PLC, Sponsored
ADR/(2)/....................................... 50,000 450,000
Gilead Sciences, Inc./(2)/...................... 49,300 1,577,600
Martek Biosciences Corp./(2)/................... 40,000 1,010,000
Matrix Pharmaceutical, Inc./(2)/................ 30,400 570,000
Northfield Laboratories, Inc./(2)/.............. 50,000 943,750
Protein Design Labs, Inc........................ 7,500 173,437
Watson Pharmaceuticals, Inc./(2)/............... 100,000 4,900,000
------------
16,291,987
------------
Healthcare/Supplies & Services -- 14.3%
AHI Healthcare Systems, Inc./(2)/............... 138,500 796,375
AmeriSource Health Corp., Cl. A/(2)/............ 115,500 3,811,500
ARV Assisted Living, Inc./(2)/.................. 150,000 1,762,500
Compdent Corp./(2)/............................. 50,000 2,075,000
Emeritus Corp./(2)/............................. 100,000 1,162,500
Guidant Corp.................................... 85,000 3,591,250
Gulf South Medical Supply, Inc.................. 73,400 2,220,350
HealthCare COMPARE Corp./(2)/................... 50,000 2,175,000
HemaSure, Inc./(2)/............................. 36,000 459,000
Horizon/CMS Healthcare Corp./(2)/............... 63,700 1,608,425
Lincare Holdings, Inc./(2)/..................... 59,200 1,480,000
National Surgery Centers, Inc./(2)/............. 14,500 333,500
Omnicare, Inc................................... 76,800 3,436,800
OrNda Healthcorp/(2)/........................... 105,000 2,441,250
Owen Healthcare, Inc............................ 63,000 1,740,375
Pediatrix Medical Group, Inc./(2)/.............. 120,000 3,300,000
PhyCor, Inc..................................... 65,000 3,286,562
Physician Reliance Network, Inc./(2)/........... 40,000 1,590,000
Physicians Resource Group, Inc./(2)/............ 75,000 1,490,625
Quorum Health Group, Inc./(2)/.................. 56,000 1,232,000
Renal Treatment Centers, Inc./(2)/.............. 50,000 2,200,000
</TABLE>
25
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund
Statement of Investments (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
-------------- ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Non-Cyclicals (Continued)
Healthcare/Supplies & Services (Continued)
Total Renal Care Holdings, Inc.(2).............. 52,600 $ 1,551,700
U.S. Healthcare, Inc............................ 30,000 1,395,000
United Dental Care, Inc.(2)..................... 30,000 1,237,500
------------
46,377,212
------------
Household Goods - 0.4%
Ultralife Batteries, Inc.(2).................... 60,000 1,440,000
------------
Energy - 3.4%
Energy Services & Producers - 2.9%
Core Laboratories NV(2)......................... 50,300 603,600
Cross Timbers Oil Co............................ 30,800 542,850
Diamond Offshore Drilling, Inc.(2).............. 56,900 1,920,375
Energy Ventures, Inc.(2)........................ 75,200 1,898,800
Nabors Industries, Inc.(2)...................... 150,000 1,668,750
Newfield Exploration Co.(2)..................... 20,000 540,000
NUMAR Corp.(2).................................. 36,000 400,500
Stone Energy Corp.(2)........................... 35,000 538,125
Weatherford Enterra, Inc.(2).................... 50,000 1,443,750
------------
9,556,750
------------
Oil-Integrated - 0.5%
Valero Energy Corp.............................. 60,000 1,470,000
------------
Financial - 2.0%
Diversified Financial - 0.5%
Advanta Corp., Cl. B............................ 40,000 1,455,000
------------
Insurance - 1.5%
Berkley (W.R.) Corp............................. 40,000 2,150,000
CapMAC Holdings, Inc.(2)........................ 70,600 1,773,825
First Commonwealth, Inc.(2)..................... 18,000 468,000
Prudential Reinsurance Holdings, Inc............ 24,900 582,037
------------
4,973,862
------------
Industrial - 10.6%
Industrial Materials - 0.5%
Kennametal, Inc................................. 52,000 1,651,000
------------
Industrial Services - 8.3%
CIBER, Inc.(2).................................. 73,500 1,718,062
CKS Group, Inc.(2).............................. 11,600 452,400
Computer Horizons Corp.......................... 60,000 2,280,000
CORT Business Services Corp.(2)................. 93,800 1,547,700
Danka Business System PLC,
Sponsored ADR.................................. 70,000 2,590,000
DST Systems, Inc.(2)............................ 83,500 2,379,750
Kent Electronics Corp........................... 33,300 1,943,888
META Group, Inc.(2)............................. 40,000 1,225,000
PMT Services, Inc.(2)........................... 58,000 1,754,500
Sitel Corp.(2).................................. 59,300 1,816,063
Stewart Enterprises, Inc........................ 50,000 1,850,000
Transaction Network Services, Inc.(2)........... 60,000 1,500,000
Transaction Systems Architects, Inc.,
Cl. A(2)....................................... 60,000 2,025,000
United Waste Systems, Inc.(2)................... 30,000 1,117,500
USA Waste Services, Inc.(2)..................... 151,300 2,855,788
------------
27,055,651
------------
Manufacturing - 1.0%
American Standard Cos., Inc.(2)................. 50,000 1,400,000
Cincinnati Milacron, Inc........................ 30,000 787,500
Harnischfeger Industries, Inc................... 30,000 997,500
------------
3,185,000
------------
<CAPTION>
Market Value
Shares (Note 1)
-------------- ------------
<S> <C> <C>
Common Stocks (Continued)
Industrial (Continued)
Transportation - 0.8%
Airborne Freight Corp........................... 100,000 $ 2,662,500
------------
Technology - 29.3%
Computer Hardware - 4.5%
Adaptec, Inc.(2)................................ 50,300 2,062,300
Cisco Systems, Inc.(2).......................... 55,000 4,104,375
Citrix Systems, Inc.(2)......................... 15,500 503,750
Data Translation, Inc........................... 117,000 1,901,250
In Focus Systems, Inc.(2)....................... 70,000 2,528,750
Lexmark International Group, Inc., Cl.
A(2)........................................... 73,400 1,339,550
Network Appliance, Inc.(2)...................... 13,200 529,650
Sun Microsystems, Inc.(2)....................... 40,000 1,825,000
------------
14,794,625
------------
Computer Software - 12.4%
7th Level, Inc.(2).............................. 40,000 560,000
Adept Technology, Inc.(2)....................... 112,700 1,183,350
AMISYS Managed Care Systems, Inc................ 18,700 355,300
Arbor Software Corp.(2)......................... 13,500 637,875
Cheyenne Software, Inc.(2)...................... 110,000 2,873,750
Computervision Corp.(2)......................... 190,500 2,928,938
Computron Software, Inc.(2)..................... 50,000 900,000
Enterprise Systems, Inc.(2)..................... 34,100 1,040,050
First Data Corp................................. 58,788 3,931,448
GT Interactive Software Corp.(2)................ 25,000 350,000
HBO & Co........................................ 40,000 3,065,000
IDX Systems Corp.(2)............................ 11,200 389,200
IMNET Systems, Inc.(2).......................... 48,000 1,152,000
Inference Corp., Cl. A(2)....................... 25,000 475,000
Informix Corp.(2)............................... 85,000 2,550,000
Legato Systems, Inc.(2)......................... 40,000 1,240,000
Mecon, Inc.(2).................................. 110,000 1,746,250
MetaTools, Inc.(2).............................. 15,000 390,000
NetManage, Inc.................................. 60,000 1,395,000
Network General Corp.(2)........................ 35,000 1,168,125
Novadigm, Inc.(2)............................... 39,100 1,109,463
Open Environment Corp.(2)....................... 72,500 996,875
Oracle Corp.(2)................................. 80,000 3,390,000
Pinnacle Systems, Inc.(2)....................... 39,800 985,050
Project Software & Development, Inc............. 64,500 2,249,438
Spacetec IMC Corp.(2)........................... 30,000 352,500
SQA, Inc.(2).................................... 12,500 240,625
Summit Medical Systems, Inc.(2)................. 55,000 1,182,500
Sync Research, Inc.(2).......................... 30,800 1,393,700
------------
40,231,437
------------
Electronics - 0.9%
Photon Dynamics, Inc.(2)........................ 78,500 628,000
SDL, Inc.(2).................................... 95,000 2,280,000
------------
2,908,000
------------
Telecommunications-Technology - 11.5%
ADC Telecommunications, Inc..................... 60,000 2,190,000
Allen Group, Inc................................ 60,000 1,342,500
Arch Communications Group, Inc.(2).............. 140,000 3,360,000
Comverse Technology, Inc.(2).................... 60,000 1,200,000
Davox Corp.(2).................................. 80,000 950,000
DSC Communications Corp.(2)..................... 75,000 2,765,625
Glenayre Technologies, Inc...................... 31,750 1,976,438
Inter-Tel, Inc.(2).............................. 56,300 865,613
L.M. Ericsson Telephone Co., Cl. B,
ADR............................................ 90,000 1,755,000
LCI International, Inc.(2)...................... 132,600 2,718,300
</TABLE>
26
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
-------------- ------------
<S> <C> <C>
Common Stocks (Continued)
Technology (Continued)
Telecommunications-Technology (Continued)
Metrocall, Inc.(2).............................. 34,200 $ 654,075
MobileMedia Corp., Cl. A(2)..................... 125,000 2,781,250
Pairgain Technologies, Inc.(2).................. 40,000 2,190,000
Periphonics Corp.(2)............................ 85,400 2,369,850
ProNet, Inc.(2)................................. 100,000 2,950,000
Tellabs, Inc.................................... 55,000 2,035,000
Teltrend, Inc.(2)............................... 65,000 3,038,750
VTEL Corp.(2)................................... 105,500 1,951,750
Westell Technologies, Inc., Cl. A(2)............ 14,000 351,750
------------
37,445,901
------------
Total Common Stocks
(Cost $234,017,201)............................. 296,728,391
------------
<CAPTION>
Units
--------------
<S> <C> <C>
Rights, Warrants and Certificates - 0.0%
Jan Bell Marketing, Inc. Wts., Exp.
12/98.......................................... 532 266
Tapistron International, Inc. Wts., Exp.
6/97........................................... 120,000 7,500
Windmere Corp. Wts., Exp. 1/98.................. 381 --
------------
Total Rights, Warrants and
Certificates (Cost $52,860).................... 7,766
------------
<CAPTION>
Principal
Amount
--------------
<S> <C> <C>
Repurchase Agreement - 10.9%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $35,623,338 on 1/2/96,
collateralized by U.S. Treasury Nts.,
5.125%-8.75%, 12/31/96-11/5/04, with a
value of $19,323,938, U.S. Treasury Bonds,
6.25%-11.25%, 8/15/03-8/15/23, with a
value of $11,710,771, and U.S. Treasury
Bills maturing 11/14/96, with a value of
$5,310,666 (Cost $35,600,000).................. $ 35,600,000 35,600,000
------------
Total Investments, at Value
(Cost $272,820,061).............................. 103.2% 335,795,407
------ ------------
Liabilities in Excess of Other Assets............ (3.2) (10,391,316)
------ ------------
Net Assets....................................... 100.0% $325,404,091
====== ============
</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 $2,974,750 or 0.91% of the Fund's
net assets, at December 31, 1995.
(2) Non-income producing security.
See accompanying Notes to Financial Statements.
27
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
STATEMENT OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks - 80.1%
Basic Materials - 6.3%
Chemicals - 4.5%
FMC Corp./(1)/................................ 4,000 $ 270,500
Georgia Gulf Corp............................. 19,000 584,250
IMC Global, Inc............................... 16,000 654,000
Morton International, Inc..................... 29,000 1,040,375
PPG Industries, Inc........................... 18,000 823,500
Sterling Chemicals, Inc./(1)/................. 80,600 654,875
Terra Industries, Inc......................... 46,000 649,750
Union Carbide Corp............................ 17,000 637,500
------------
5,314,750
------------
Metals - 0.3%
Reynolds Metals Co............................ 7,000 396,375
------------
Paper - 1.5%
Boise Cascade Corp............................ 17,000 588,625
Bowater, Inc.................................. 5,000 177,500
Federal Paper Board Co........................ 7,000 363,125
Willamette Industries, Inc.................... 11,000 618,750
------------
1,748,000
------------
Consumer Cyclicals - 10.7%
Autos & Housing - 1.4%
Pulte Corp.................................... 17,000 571,625
Toll Brothers, Inc./(1)/...................... 46,000 1,058,000
------------
1,629,625
------------
Leisure & Entertainment - 3.3%
Applebee's International, Inc................. 18,000 409,500
Callaway Golf Co.............................. 25,000 565,625
ITT Corp. (New)............................... 5,000 265,000
McDonald's Corp............................... 11,000 496,375
Walt Disney Co................................ 25,000 1,475,000
Wendy's International, Inc.................... 33,800 718,250
------------
3,929,750
------------
Media - 0.2%
Viacom, Inc., Cl. B/(1)/...................... 3,667 173,724
------------
Retail: General - 3.2%
Jones Apparel Group, Inc./(1)/................ 17,100 673,312
May Department Stores Co...................... 6,000 253,500
Nautica Enterprises, Inc...................... 10,200 446,250
Tommy Hilfiger Corp........................... 22,500 953,437
Wal-Mart Stores, Inc.......................... 26,000 581,750
Warnaco Group, Inc. (The), Cl. A.............. 33,000 825,000
------------
3,733,249
------------
Retail: Specialty - 2.6%
Bed Bath & Beyond, Inc./(1)/.................. 9,000 349,312
Gap, Inc. (The)............................... 10,000 420,000
General Nutrition Cos., Inc./(1)/............. 40,000 920,000
Home Depot, Inc............................... 24,000 1,149,000
OfficeMax, Inc./(1)/.......................... 8,000 179,000
------------
3,017,312
------------
Consumer Non-Cyclicals - 17.6%
Beverages - 1.4%
Boston Beer Co., Inc., Cl. A/(1)/............. 6,600 156,750
Coca-Cola Co. (The)........................... 10,000 742,500
PepsiCo, Inc.................................. 10,000 558,750
Whitman Corp.................................. 8,000 186,000
------------
1,644,000
------------
Food - 3.1%
ConAgra, Inc.................................. 4,000 165,000
H.J. Heinz Co................................. 15,000 496,875
IBP, Inc...................................... 20,000 1,010,000
</TABLE>
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Non-Cyclicals (Continued)
Food (Continued)
Kroger Co./(1)/............................... 14,000 $ 525,000
Safeway, Inc./(1)/............................ 16,000 824,000
Smithfield Foods, Inc./(1)/................... 21,000 666,750
------------
3,687,625
------------
Healthcare/Drugs - 5.6%
Abbott Laboratories........................... 27,000 1,127,250
Amgen, Inc.................................... 8,000 475,000
Bristol-Myers Squibb Co....................... 6,500 558,187
Johnson & Johnson............................. 12,000 1,027,500
Pfizer, Inc................................... 26,500 1,669,500
Schering-Plough Corp.......................... 16,000 876,000
Warner-Lambert Co............................. 6,000 582,750
Watson Pharmaceuticals, Inc./(1)/............. 6,000 294,000
------------
6,610,187
------------
Healthcare/Supplies & Services - 4.2%
Columbia/HCA Healthcare Corp.................. 12,000 609,000
Cordis Corp./(1)/............................. 2,000 201,000
HealthCare COMPARE Corp./(1)/................. 20,000 870,000
Lincare Holdings, Inc./(1)/................... 35,000 875,000
Medtronic, Inc................................ 34,000 1,899,750
Nellcor Puritan Bennett, Inc./(1)/............ 8,800 510,400
------------
4,965,150
------------
Household Goods - 0.9%
Procter & Gamble Co........................... 13,000 1,079,000
------------
Tobacco - 2.4%
Philip Morris Cos., Inc....................... 16,000 1,448,000
UST, Inc...................................... 41,000 1,368,375
------------
2,816,375
------------
Energy - 1.5%
Oil-Integrated - 1.5%
Mobil Corp.................................... 6,000 672,000
Royal Dutch Petroleum Co...................... 3,500 493,938
USX-Marathon Group............................ 25,000 487,500
YPF Sociedad Anonima, Sponsored
ADR.......................................... 5,000 108,125
------------
1,761,563
------------
Financial - 13.7%
Banks - 4.3%
Bank of Boston Corp........................... 23,000 1,063,750
Chase Manhattan Corp.......................... 6,000 363,750
Chemical Banking Corp......................... 9,000 528,750
First Interstate Bancorp...................... 6,500 887,250
Midlantic Corp................................ 12,000 787,500
NationsBank Corp.............................. 10,000 696,250
State Street Boston Corp...................... 16,600 747,000
------------
5,074,250
------------
Diversified Financial - 7.4%
Advanta Corp., Cl. A.......................... 15,000 573,750
Donaldson, Lufkin & Jenrette, Inc./(1)/....... 6,200 193,750
Federal Home Loan Mortgage Corp............... 8,000 668,000
Federal National Mortgage Assn................ 8,000 993,000
First USA, Inc................................ 25,000 1,109,375
Green Tree Financial Corp..................... 56,000 1,477,000
Money Store, Inc. (The)....................... 23,000 359,375
Morgan Stanley Group, Inc..................... 3,000 241,875
Price (T. Rowe) Associates.................... 20,400 1,004,700
Schwab (Charles) Corp. (The).................. 29,000 583,625
Travelers Group, Inc.......................... 24,000 1,509,000
------------
8,713,450
------------
</TABLE>
28
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Financial (Continued)
Insurance - 2.0%
AFLAC, Inc.................................... 5,250 $ 227,719
ITT Hartford Group, Inc....................... 5,000 241,875
MGIC Investment Corp.......................... 14,100 764,925
SunAmerica, Inc............................... 24,000 1,140,000
------------
2,374,519
------------
Industrial - 7.1%
Electrical Equipment - 2.2%
Emerson Electric Co........................... 17,500 1,430,625
General Electric Co........................... 13,000 936,000
Honeywell, Inc................................ 2,000 97,250
Kemet Corp.................................... 6,000 143,250
------------
2,607,125
------------
Industrial Materials - 1.6%
Ball Corp..................................... 10,000 275,000
Centex Corp................................... 14,000 486,500
Fluor Corp.................................... 8,000 528,000
Rayonier, Inc................................. 19,400 647,475
------------
1,936,975
------------
Industrial Services - 1.0%
Danka Business System PLC,
Sponsored ADR................................ 21,000 777,000
Manpower, Inc................................. 12,500 351,563
------------
1,128,563
------------
Manufacturing - 0.8%
ITT Industries, Inc........................... 5,000 120,000
Kulicke & Soffa Industries, Inc............... 20,000 465,000
Varity Corp./(1)/............................. 9,000 334,125
------------
919,125
------------
Transportation - 1.5%
Burlington Northern Santa Fe Corp............. 7,000 546,000
Canadian Pacific Ltd.......................... 47,000 851,875
Illinois Central Corp......................... 10,000 383,750
------------
1,781,625
------------
Technology - 22.1%
Aerospace/Defense - 0.7%
Goodrich (B.F.) Co............................ 12,000 817,500
------------
Computer Hardware - 5.3%
3Com Corp./(1)/............................... 10,000 466,250
Adaptec, Inc./(1)/............................ 20,000 820,000
Cabletron Systems, Inc./(1)/.................. 22,000 1,782,000
Cisco Systems, Inc./(1)/...................... 7,000 522,375
Compaq Computer Corp./(1)/.................... 22,000 1,056,000
EMC Corp./(1)/................................ 36,000 553,500
Gateway 2000, Inc./(1)/....................... 22,000 539,000
Sun Microsystems, Inc./(1)/................... 12,000 547,500
------------
6,286,625
------------
Computer Software - 9.6%
Automatic Data Processing, Inc................ 19,000 1,410,750
BMC Software, Inc./(1)/....................... 30,000 1,282,500
Cheyenne Software, Inc./(1)/.................. 41,000 1,071,125
Computer Associates International, Inc........ 6,000 341,250
First Data Corp............................... 20,000 1,337,500
Informix Corp./(1)/........................... 35,000 1,050,000
Microsoft Corp./(1)/.......................... 30,000 2,632,500
Oracle Corp./(1)/............................. 33,600 1,423,800
Sterling Software, Inc./(1)/.................. 12,000 748,500
------------
11,297,925
------------
</TABLE>
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
Common Stocks (Continued)
Technology - (Continued)
Electronics - 3.8%
Arrow Electronics, Inc./(1)/.................. 11,000 $ 474,375
Cypress Semiconductor Corp./(1)/.............. 50,000 637,500
General Instrument Corp./(1)/................. 15,000 350,625
Intel Corp.................................... 26,000 1,475,500
Motorola, Inc................................. 15,000 855,000
Phillips Electronics NV, ADR.................. 19,000 681,625
-----------
4,474,625
------------
Telecommunications-Technology - 2.7%
AT&T Corp..................................... 18,000 1,165,500
Hong Kong Telecommunications Ltd.,
Sponsored ADR................................ 5,000 88,750
L.M. Ericsson Telephone Co., Cl. B,
ADR.......................................... 33,000 643,500
Telecom Corp. of New Zealand Ltd.,
Sponsored ADR................................ 7,000 485,625
Tellabs, Inc.................................. 21,800 806,600
-----------
3,189,975
-----------
Utilities - 1.1%
Telephone Utilities - 1.1%
BellSouth Corp................................ 5,000 217,500
Cincinnati Bell, Inc.......................... 17,000 590,750
Telefonos de Mexico SA, Sponsored
ADR.......................................... 13,500 430,313
-----------
1,238,563
-----------
Total Common Stocks (Cost
$70,729,607)................................. 94,347,530
------------
<CAPTION>
Principal
Amount
-----------
<S> <C> <C>
Repurchase Agreements - 19.9%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $18,011,800 on 1/2/96,
collateralized by U.S. Treasury Nts., 5.125%-
8.75%, 12/31/96-11/5/04, with a value of
$9,770,530, U.S. Treasury Bonds, 6.25%-
11.25%, 8/15/03-8/15/23, with a value of
$5,921,176, and U.S. Treasury Bills maturing
11/14/96, with a value of $2,685,168......... $18,000,000 18,000,000
------------
Repurchase agreement with PaineWebber, Inc.,
5.90%, dated 12/29/95, to be repurchased
at $5,473,586 on 1/2/96, collateralized by
U.S. Treasury Nts., 6.875%, 8/31/99, with
a value of $1,954,613, and U.S. Treasury
Bonds, 7.125%-7.625%, 11/15/22-2/15/23,
with a value of $3,682,864................... 5,470,000 5,470,000
------------
Total Repurchase Agreements
(Cost $23,470,000)........................... 23,470,000
------------
Total Investments, at Value (Cost
$94,199,607).................................. 100.0% 117,817,530
------ ------------
Liabilities in Excess of Other Assets.......... 0.0 (107,640)
------ ------------
Net Assets..................................... 100.0% $117,709,890
====== ============
</TABLE>
/(1)/ Non-income producing security.
See accompanying Notes to Financial Statements.
29
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Mortgage-Backed Obligations - 1.6%
Government Agency - 1.4%
GNMA/Guaranteed - 1.4%
Government National Mortgage Assn.:
8%, 4/15/23................................... $ 3,633,256 $ 3,785,417
8%, 7/15/22................................... 1,636,667 1,705,211
------------
5,490,628
------------
Private - 0.2%
Multi-Family - 0.2%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. E, 8%, 4/25/25.................. 757,146 714,557
------------
Total Mortgage-Backed Obligations
(Cost $6,131,064)............................ 6,205,185
------------
U.S. Government Obligations - 10.0%
Treasury - 10.0%
U.S. Treasury Nts.:
6.375%, 8/15/02............................... 5,000,000 5,254,684
6.75%, 5/31/97................................ 10,300,000 10,515,650
7.625%, 5/31/96............................... 12,500,000 12,625,000
9.25%, 8/15/98................................ 9,000,000 9,869,057
------------
Total U.S. Government Obligations
(Cost $36,992,459)........................... 38,264,391
------------
Foreign Government Obligations - 9.6%
Argentina (Republic of):
Bonds, Bonos de Consolidacion de
Deudas, Series I, 5.836%, 4/1/01/(2)//(3)/... 2,345,788 1,841,852
Par Bonds, 5%, 3/31/23/(4)/................... 3,500,000 1,997,187
Past Due Interest Bonds, Series L,
6.812%, 3/31/05/(2)/......................... 3,000,000 2,145,000
Bonos de la Tesoreria de la Federacion,
Zero Coupon:
48.252%, 10/3/96/(5)/ MXP..................... 5,615,100 537,857
51.195%, 9/12/96/(5)/ MXP..................... 5,977,280 583,858
Canada (Government of) Bonds:
8.50%, 4/1/02 CAD............................. 1,500,000 1,198,677
9.75%, 12/1/01 CAD............................ 3,000,000 2,528,212
9.75%, 6/1/01 CAD............................. 2,000,000 1,673,861
Denmark (Kingdom of) Bonds, 8%,
3/15/06 DKK.................................. 32,100,000 6,108,023
Eskom Loan Participation Agreements,
Series 168, 11%, 6/1/08 ZAR.................. 8,570,000 1,915,724
Italy (Republic of) Treasury Bonds,
Buoni del Tesoro Poliennali, 8.50%,
8/1/99 ITL................................... 2,700,000,000 1,615,338
Poland (Republic of) Treasury Bills,
Zero Coupon:
24.132%, 11/13/96/(5)/ PLZ.................... 2,300,000 766,729
24.426%, 7/3/96/(5)/ PLZ...................... 2,860,000 1,030,803
Queensland Treasury Corp. Gtd. Exch.
Nts., 10.50%, 5/15/03 AUD.................... 3,600,000 3,018,246
Treasury Corp. of Victoria Gtd. Bonds,
8.25%, 10/15/03 AUD.......................... 6,000,000 4,457,624
United Kingdom Treasury Nts., 13%,
7/14/00 GBP.................................. 1,590,000 3,054,934
Venezuela (Republic of) Front-Loaded
Interest Reduction Bonds, Series B,
7%, 3/31/07/(2)/.............................. 4,000,000 2,230,000
------------
Total Foreign Government Obligations
(Cost $34,609,292)........................... 36,703,925
------------
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
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 $ 546,886
------------
Non-Convertible Corporate Bonds and Notes - 15.9%
Basic Materials - 2.2%
Chemicals - 0.5%
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03............................... 1,350,000 1,447,875
Quantum Chemical Corp., 10.375% First
Mtg. Nts., 6/1/03............................ 500,000 568,969
------------
2,016,844
------------
Metals - 0.9%
AK Steel Corp., 10.75% Gtd. Sr. Nts.,
4/1/04....................................... 1,000,000 1,112,500
Armco, Inc., 8.50% Sinking Fund Debs.,
9/1/01....................................... 200,000 194,000
Horsehead Industries, Inc., 14% Sub.
Nts., 6/1/99................................. 400,000 418,668
Kaiser Aluminum & Chemical Corp.,
12.75% Sr. Sub. Nts., 2/1/03................. 1,000,000 1,102,500
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03............................... 500,000 478,750
------------
3,306,418
------------
Paper - 0.8%
Gaylord Container Corp., 11.50% Sr.
Nts., 5/15/01................................ 500,000 517,500
Repap Wisconsin, Inc., 9.875% Second
Priority Sr. Nts., 5/1/06.................... 1,000,000 955,000
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00............................ 1,000,000 1,068,750
Stone Consolidated Corp., 10.25% Sr.
Sec. Nts., 12/15/00.......................... 350,000 376,250
------------
2,917,500
------------
Consumer Cyclicals - 6.4%
Autos & Housing - 0.6%
Chrysler Financial Corp., 13.25% Nts.,
10/15/99..................................... 500,000 619,944
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04....................................... 825,000 693,000
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Sec. Nts., Series B,
4/1/02....................................... 950,000 973,750
------------
2,286,694
------------
Leisure & Entertainment - 0.9%
Foodmaker, Inc.:
9.25% Sr. Nts., 3/1/99........................ 450,000 433,125
9.75% Sr. Sub. Nts., 6/1/02................... 350,000 318,500
Imax Corp., 7% Sr. Nts., 3/1/01/(4)/.......... 600,000 591,000
Pioneer Finance Corp., 13.50% Gtd.
First Mtg. Bonds, 12/1/98.................... 1,000,000 755,000
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03................................. 1,000,000 985,000
Trump Plaza Funding, Inc., 10.875% Gtd. Mtg.
Nts.,
06/15/01..................................... 500,000 520,000
------------
3,602,625
------------
</TABLE>
30
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Non-Convertible Corporate Bonds and Notes
(Continued)
Consumer Cyclicals (Continued)
Media - 4.2%
Adelphia Communications Corp., 12.50%
Sr. Nts., 5/15/02............................ $ 1,000,000 $ 980,000
American Telecasting, Inc., 0%/14.50%
Sr. Disc. Nts., 6/15/04/(6)/................. 1,290,948 893,981
Bell & Howell Holdings Co., 0%/11.50%
Sr. Disc. Debs., Series B, 3/1/05/(6)/....... 1,000,000 635,000
Cablevision Industries Corp., 9.25% Sr.
Debs., Series B, 4/1/08...................... 500,000 542,500
Continental Cablevision, Inc., 9.50% Sr.
Debs., 8/1/13................................ 1,100,000 1,171,500
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(6)/....... 1,100,000 742,500
Helicon Group LP/Helicon Capital
Corp., 9% Sr. Sec. Nts., Series B,
11/1/03/(2)/................................. 1,000,000 965,000
International CableTel, Inc., 0%/10.875%
Sr. Deferred Coupon Nts., 10/15/03/(6)/...... 500,000 358,750
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03................................ 750,000 780,000
Outlet Broadcasting, Inc., 10.875% Sr.
Sub. Nts., 7/15/03........................... 1,000,000 1,115,000
Panamsat LP/Panamsat Capital Corp.:
0%/11.375% Sr. Sub. Disc. Nts.,
8/1/03/(6)/.................................. 1,000,000 825,000
9.75% Sr. Sec. Nts., 8/1/00................... 500,000 531,250
People's Choice TV Corp., 0%/13.125%
Sr. Disc. Nts., 6/1/04/(6)/.................. 500,000 288,750
Rogers Cablesystems Ltd., 10% Sr. Sec.
Second Priority Debs., 12/1/07............... 1,000,000 1,067,500
SCI Television, Inc., 11% Sr. Nts.,
Series 1, 6/30/05............................ 500,000 527,500
Sinclair Broadcast Group, Inc., 10% Sr.
Sub. Nts., 9/30/05........................... 500,000 513,750
TeleWest PLC, 9.625% Sr. Debs.,
10/1/06...................................... 500,000 510,625
Time Warner Entertainment LP/Time
Warner, Inc.:
10.15% Sr. Nts., 5/1/12....................... 500,000 623,816
8.375% Sr. Debs., 3/15/23..................... 500,000 543,082
Time Warner, Inc., 9.125% Debs.,
1/15/13...................................... 1,000,000 1,127,699
TKR Cable I, Inc., 10.50% Sr. Debs.,
10/30/07..................................... 1,000,000 1,176,779
United States Banknote Corp., 11.625%
Sr. Nts., Series B, 8/1/02................... 380,000 229,900
------------
16,149,882
------------
Retail: General - 0.2%
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02.......................... 600,000 591,000
------------
Retail: Specialty - 0.5%
Cole National Group, Inc., 11.25% Sr.
Nts., 10/1/01................................ 1,000,000 1,007,500
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03................................. 750,000 735,000
------------
1,742,500
------------
Consumer Non-Cyclicals - 1.9%
Food - 0.6%
Di Giorgio Corp., 12% Sr. Nts., 2/15/03....... 250,000 191,250
Grand Union Co., 12% Sr. Nts., 9/1/04......... 1,103,000 959,610
Penn Traffic Co., 9.625% Sr. Sub. Nts.,
4/15/05...................................... 500,000 390,000
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Non-Convertible Corporate Bonds and Notes
(Continued)
Consumer Non-Cyclicals (Continued)
Food (Continued)
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99....................... $ 300,000 $ 332,250
RJR Nabisco, Inc., 8.625% Medium-
Term Nts., 12/1/02........................... 500,000 519,295
------------
2,392,405
------------
Healthcare/Supplies & Services - 0.6%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05/(3)/................................. 590,129 652,093
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02/(7)/...................... 1,000,000 1,085,000
Magellan Health Services, Inc., 11.25%
Sr. Sub. Nts., Series A, 4/15/04............. 500,000 548,750
------------
2,285,843
------------
Household Goods - 0.7%
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 11.404%,
5/27/98/(5)/................................. 1,500,000 1,200,000
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02.................... 1,000,000 1,105,000
Revlon Worldwide Corp., Zero Coupon
Sr. Sec. Disc. Nts., 13.169%,
3/15/98/(5)/................................. 500,000 372,500
------------
2,677,500
------------
Energy - 0.4%
Energy Services & Producers - 0.4%
Coastal Corp., 11.75% Sr. Debs.,
6/15/06...................................... 500,000 531,653
OPI International, Inc., 12.875% Gtd. Sr.
Nts., 7/15/02................................ 1,000,000 1,137,500
------------
1,669,153
------------
Financial - 0.5%
Banks - 0.2%
First Chicago Corp.:
11.25% Sub. Nts., 2/20/01..................... 250,000 307,832
9% Sub. Nts., 6/15/99......................... 250,000 275,295
------------
583,127
------------
Diversified Financial - 0.3%
GPA Delaware, Inc., 8.75% Gtd. Nts.,
12/15/98..................................... 250,000 235,625
GPA Holland BV, 9.75% Medium-Term
Nts., Series B, 6/10/96/(7)/................. 1,000,000 1,000,000
------------
1,235,625
------------
Industrial - 1.7%
Industrial Materials - 0.8%
American Standard, Inc., 10.875% Sr.
Nts., 5/15/99................................ 500,000 546,250
Owens-Illinois, Inc.:
10% Sr. Sub. Nts., 8/1/02..................... 500,000 525,625
11% Sr. Debs., 12/1/03........................ 500,000 566,875
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03....................................... 425,000 403,219
Triangle Pacific Corp., 10.50% Sr. Nts.,
8/1/03....................................... 850,000 896,750
------------
2,938,719
------------
Industrial Services - 0.3%
EnviroSource, Inc., 9.75% Sr. Nts.,
6/15/03...................................... 1,250,000 1,112,500
------------
</TABLE>
31
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Non-Convertible Corporate Bonds and Notes
(Continued)
Industrial (Continued)
Manufacturing - 0.5%
Talley Industries, Inc., 0%/12.25% Sr.
Disc. Debs., 10/15/05/(6)/................... $ 1,250,000 $ 931,250
Terex Corp., 13.75% Sr. Sec. Nts.,
5/15/02/(7)/................................. 1,000,000 882,500
------------
1,813,750
------------
Transportation - 0.1%
Trans Ocean Container Corp., 12.25%
Sr. Sub. Nts., 7/1/04........................ 500,000 522,500
------------
Technology - 1.9%
Aerospace/Defense - 0.3%
Unisys Corp., 13.50% Credit Sensitive
Nts., 7/1/97/(2)/............................ 1,250,000 1,193,750
------------
Telecommunications-Technology - 1.6%
Call-Net Enterprises, Inc., 0%/13.25% Sr.
Disc. Nts., 12/01/04/(6)/.................... 800,000 576,000
Centennial Cellular Corp., 8.875% Sr.
Nts., 11/1/01................................ 500,000 493,750
Comcast Cellular Corp., Zero Coupon
Nts., Series B, 7.825%, 3/5/00/(5)/.......... 1,000,000 772,500
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00/(6)/..................... 1,200,000 1,026,000
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04/(6)/................. 1,850,000 1,489,250
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01/(6)/............... 1,000,000 880,000
USA Mobile Communications, Inc. II,
9.50% Sr. Nts., 2/1/04....................... 1,000,000 995,000
------------
6,232,500
------------
Utilities - 0.8%
Electric Utilities - 0.4%
First PV Funding Corp., 10.15% Lease
Obligation Bonds, Series 1986B, 1/15/16...... 1,500,000 1,547,055
------------
Gas Utilities - 0.4%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17........ 989,000 846,386
California Energy Co., 0%/10.25% Sr.
Disc. Nts., 1/15/04/(6)/..................... 750,000 710,625
------------
1,557,011
------------
Total Non-Convertible Corporate Bonds and Notes
(Cost $58,825,378)........................... 60,374,901
------------
Convertible Corporate Bonds and Notes - 0.2%
MEDIQ, Inc., 7.50% Exchangeable Sub.
Debs., 7/15/03 (Cost $927,514)............... 1,000,000 793,750
------------
<CAPTION>
Shares
----------
<S> <C> <C>
Common Stocks - 47.1%
Basic Materials - 3.1%
Chemicals - 1.4%
Air Products & Chemicals, Inc................. 2,000 105,500
ARCO Chemical Co.............................. 17,900 870,387
Bayer AG, Sponsored ADR....................... 70,000 1,851,143
Dow Chemical Co. (The)........................ 8,500 598,187
Georgia Gulf Corp............................. 20,400 627,300
<CAPTION>
Market Value
Shares (Note 1)
--------- -------------
<S> <C> <C>
Common Stocks (Continued)
Basic Materials (Continued)
Chemicals (Continued)
Goldschmidt (T.H.) AG......................... 430 $ 151,718
IMC Global, Inc./(11)/........................ 15,200 621,300
Sybron Chemical Industries, Inc./(8)/......... 48,000 516,000
------------
5,341,535
------------
Gold - 0.2%
Santa Fe Pacific Gold Corp.................... 70,000 848,750
------------
Metals - 0.4%
Brush Wellman, Inc............................ 69,300 1,195,425
Inco Ltd...................................... 15,200 505,400
------------
1,700,825
------------
Paper - 1.1%
Aracruz Celulose SA, Sponsored ADR,
Cl. B........................................ 121,000 937,750
Gaylord Container Corp., Cl. A/(8)/........... 7,180 57,889
Georgia-Pacific Corp.......................... 7,700 528,412
Louisiana-Pacific Corp./(11)/................. 31,900 773,575
MacMillan Bloedel Ltd......................... 76,830 950,629
MacMillan Bloedel Ltd......................... 4,200 50,925
Stone Container Corp.......................... 54,000 776,250
------------
4,075,430
------------
Consumer Cyclicals - 8.8%
Autos & Housing - 1.3%
Chromcraft Revington, Inc./(8)/............... 23,500 625,687
Eaton Corp.................................... 14,000 750,750
Excel Industries, Inc......................... 52,000 728,000
Fiat SpA...................................... 310,000 1,008,321
General Motors Corp./(11)/.................... 22,500 1,189,687
Hayes Wheels International, Inc............... 26,000 666,250
Hi-Lo Automotive, Inc./(8)/................... 21,900 112,237
------------
5,080,932
------------
Leisure & Entertainment - 3.0%
AMR Corp./(8)//(11)/.......................... 16,700 1,239,975
Carnival Corp., Cl. A......................... 34,100 831,187
Cheesecake Factory (The)/(8)//(11)/........... 30,000 645,000
Circus Circus Enterprises, Inc./(8)/.......... 34,000 947,750
Cracker Barrel Old Country Store, Inc......... 64,000 1,104,000
Eastman Kodak Co.............................. 18,000 1,206,000
International Game Technology................. 60,000 652,500
King World Productions, Inc./(8)/............. 31,000 1,205,125
Mattel, Inc................................... 31,337 963,613
Primadonna Resorts, Inc....................... 5,000 73,750
Shaw Brothers (Hong Kong) Ltd................. 127,000 139,616
Shimano, Inc.................................. 50,000 882,196
US West Media Group/(8)/...................... 33,000 627,000
Walt Disney Co................................ 13,000 767,000
------------
11,284,712
------------
Media - 1.7%
Bowne & Co., Inc.............................. 46,000 920,000
Capital Cities/ABC, Inc....................... 10,000 1,233,750
Comcast Corp., Cl. A Special.................. 75,000 1,364,062
Dow Jones & Co., Inc.......................... 18,500 737,687
Grupo Televisa SA, Sponsored ADR/(7)/......... 15,500 348,750
South China Morning Post Holdings
Ltd.......................................... 1,200,000 733,322
Tele-Communications, Inc. (New), TCI
Group, Series A/(8)/......................... 34,400 683,700
Time Warner, Inc.............................. 14,600 552,975
------------
6,574,246
------------
</TABLE>
32
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
--------- ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Cyclicals (Continued)
Retail: General - 1.3%
Authentic Fitness Corp........................ 59,800 $ 1,240,850
Cone Mills Corp./(8)/......................... 113,100 1,272,375
Price/Costco, Inc./(8)/....................... 65,900 1,004,975
Tuesday Morning Corp./(8)/.................... 130,000 715,000
Wal-Mart Stores, Inc.......................... 33,700 754,037
------------
4,987,237
------------
Retail: Specialty - 1.5%
Ann Taylor Stores, Inc./(8)/.................. 46,000 471,500
Best Buy Co., Inc./(8)/....................... 30,200 490,750
Books-A-Million, Inc.......................... 54,000 695,250
Burlington Coat Factory Warehouse
Corp......................................... 62,000 635,500
Castorama Dubois Investissements LP........... 4,131 677,466
Justin Industries, Inc........................ 85,000 935,000
Toys 'R' Us, Inc./(8)/........................ 61,400 1,335,450
Venture Stores, Inc........................... 98,600 332,775
------------
5,573,691
------------
Consumer Non-Cyclicals - 8.9%
Beverages - 0.5%
Guinness PLC.................................. 100,000 735,932
Whitman Corp.................................. 50,400 1,171,800
------------
1,907,732
------------
Food - 1.1%
Chiquita Brands International, Inc............ 27,880 383,350
Grand Union Co./(8)/.......................... 6,185 46,387
Groupe Danone................................. 4,900 809,590
McCormick & Co., Inc., Non-Vtg................ 31,000 747,875
Nestle SA, Sponsored ADR...................... 12,000 665,363
Sara Lee Corp./(11)/.......................... 50,800 1,619,250
------------
4,271,815
------------
Healthcare/Drugs - 3.6%
Abbott Laboratories........................... 18,000 751,500
Agouron Pharmaceuticals, Inc./(8)/............ 20,000 655,000
American Home Products Corp................... 10,000 970,000
Astra AB Free, Series A....................... 15,500 619,794
Bristol-Myers Squibb Co....................... 25,000 2,146,875
Ciba-Geigy AG................................. 2,700 2,381,695
COR Therapeutics, Inc./(8)/................... 50,000 418,750
Foundation Health Corp./(8)/.................. 24,000 1,032,000
Genzyme Corp./(8)//(11)/...................... 25,200 1,571,850
Johnson & Johnson............................. 13,500 1,155,937
NBTY, Inc./(8)/............................... 217,800 1,034,550
Smithkline Beecham PLC, ADR Equity
Units (one ADR represents five equity
units; each unit consists of one cl. B
ordinary share and one share of
cumulative participating preferred
stock)/(9)/.................................. 17,000 943,500
------------
13,681,451
------------
Healthcare/Supplies & Services - 2.9%
Biomet, Inc./(8)/............................. 52,100 931,287
Community Psychiatric Centers................. 50,000 612,500
Manor Care, Inc./(11)/........................ 33,185 1,161,475
Medtronic, Inc./(11)/......................... 18,700 1,044,862
Nellcor Puritan Bennett, Inc./(8)//(11)/...... 6,600 382,800
NovaCare, Inc./(8)/........................... 14,900 76,362
Pyxis Corp./(8)/.............................. 51,900 759,037
Sofamor Danek Group, Inc./(8)//(11)/.......... 45,000 1,276,875
</TABLE>
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------- -------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Non-Cyclicals (Continued)
Healthcare/Supplies & Services (Continued)
U.S. Healthcare, Inc./(11)/................... 49,000 $ 2,278,500
Value Health, Inc./(8)/....................... 36,500 1,003,750
Wellpoint Health Networks, Inc., Cl.
A/(8)/....................................... 45,700 1,468,112
------------
10,995,560
------------
Household Goods - 0.3%
Procter & Gamble Co........................... 12,000 996,000
Scott's Liquid Gold, Inc...................... 57,200 164,450
------------
1,160,450
------------
Tobacco - 0.5%
Philip Morris Cos., Inc./(11)/................ 20,000 1,810,000
------------
Energy - 2.9%
Energy Services & Producers - 1.0%
Coflexip SA, Sponsored ADR.................... 42,300 798,413
Kerr-McGee Corp............................... 12,000 762,000
Landmark Graphics Corp./(8)/.................. 53,900 1,253,175
Western Atlas, Inc./(8)/...................... 22,000 1,111,000
------------
3,924,588
------------
Oil-Integrated - 1.9%
Ashland Coal, Inc............................. 19,600 418,950
Ashland, Inc.................................. 25,000 878,125
Atlantic Richfield Co......................... 11,900 1,317,925
Louisiana Land & Exploration Co............... 23,100 990,413
Royal Dutch Petroleum Co...................... 10,000 1,411,250
Saga Petroleum AS, Cl. A...................... 12,000 160,498
Saga Petroleum AS, Cl. B...................... 19,000 237,581
Total SA, Sponsored ADR....................... 22,701 771,834
Unocal Corp................................... 22,000 640,750
Yukong Ltd., GDR/(7)//(8)/.................... 27,500 268,125
Yukong Ltd., GDR/(8)/......................... 958 9,131
Yukong Ltd., GDR/(8)/......................... 2,336 22,265
------------
7,126,847
------------
Financial - 5.0%
Banks - 2.1%
Banco Frances del Rio de la Plata SA.......... 115,000 1,017,946
Chemical Banking Corp......................... 52,700 3,096,125
Deutsche Bank, Sponsored ADR.................. 13,250 629,229
NationsBank Corp.............................. 47,200 3,286,300
------------
8,029,600
------------
Diversified Financial - 1.3%
American Express Co........................... 35,000 1,448,125
H & R Block, Inc.............................. 32,400 1,312,200
IRSA Inversiones y Representaciones, SA....... 214,506 540,659
Merrill Lynch & Co., Inc./(11)/............... 9,800 499,800
Salomon, Inc.................................. 18,400 653,200
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)//(10)/............................ 40,000 475,000
------------
4,928,984
------------
Insurance - 1.6%
Aetna Life & Casualty Co./(11)/............... 9,000 623,250
American International Group, Inc./(11)/...... 16,200 1,498,500
American Re Corp./(11)/....................... 48,000 1,962,000
Berkley (W.R.) Corp........................... 21,000 1,128,750
UNUM Corp..................................... 13,600 748,000
------------
5,960,500
------------
</TABLE>
33
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------- ------------
<S> <C> <C>
Common Stocks (Continued)
Industrial - 5.1%
Electrical Equipment - 0.5%
Core Industries, Inc.......................... 50,000 $ 643,750
General Electric Co........................... 18,000 1,296,000
------------
1,939,750
------------
Industrial Materials - 1.2%
Corning, Inc.................................. 37,200 1,190,400
Insituform Technologies, Cl. A/(8)/........... 34,500 401,063
Interpool, Inc................................ 37,500 670,313
Owens-Corning Fiberglass Corp./(8)//(11)/..... 30,000 1,346,250
U.S. Can Corp./(8)/........................... 65,000 877,500
Walter Industries, Inc./(8)/.................. 2,645 34,716
------------
4,520,242
------------
Industrial Services - 0.3%
Ecolab, Inc................................... 23,400 702,000
Huarte SA..................................... 50,150 226,534
------------
928,534
------------
Manufacturing - 1.9%
Citic Pacific Ltd............................. 216,000 738,910
Griffon Corp./(8)/............................ 80,000 720,000
Harnischfeger Industries, Inc./(11)/.......... 21,000 698,250
Hutchison Whampoa Ltd......................... 128,000 779,727
Jardine Matheson Holdings Ltd................. 50,468 345,706
Johnstown America Industries, Inc./(8)/....... 20,000 100,000
Mannesmann AG................................. 3,287 1,048,375
Pacific Dunlop Ltd............................ 400,000 937,273
Tenneco, Inc.................................. 26,000 1,290,250
Westinghouse Air Brake Co..................... 55,000 584,375
------------
7,242,866
------------
Transportation - 1.3%
Airborne Freight Corp......................... 41,000 1,091,625
Burlington Northern Santa Fe Corp............. 13,600 1,060,800
Consolidated Freightways, Inc./(11)/.......... 51,800 1,372,700
Stolt-Nielsen SA.............................. 44,100 1,273,388
------------
4,798,513
------------
Technology - 11.9%
Aerospace/Defense - 0.3%
McDonnell Douglas Corp........................ 3,600 331,200
Rockwell International Corp................... 17,900 946,463
------------
1,277,663
------------
Computer Hardware - 2.7%
Amdahl Corp./(8)/............................. 70,000 595,000
Bay Networks, Inc./(8)//(11)/................. 18,007 740,538
Cabletron Systems, Inc./(8)//(11)/............ 17,000 1,377,000
EMC Corp./(8)/................................ 39,600 608,850
International Business Machines Corp.......... 14,400 1,321,200
Moore Corp. Ltd............................... 31,600 588,550
Norand Corp./(8)/............................. 28,400 333,700
Proxima Corp./(8)/............................ 50,000 1,106,250
Seagate Technology, Inc./(8)//(11)/........... 11,700 555,750
Storage Technology Corp. (New)/(8)/........... 33,000 787,875
Sun Microsystems, Inc./(8)//(11)/............. 24,400 1,113,250
Xerox Corp./(11)/............................. 8,500 1,164,500
------------
10,292,463
------------
Computer Software - 3.9%
BMC Software, Inc./(8)//(11)/................. 13,000 555,750
Computer Associates International, Inc........ 28,650 1,629,469
Davidson & Associates, Inc.................... 32,000 704,000
Electronic Arts, Inc./(8)//(11)/.............. 35,900 937,888
Informix Corp./(8)//(11)/..................... 32,000 960,000
Marcam Corp./(8)/............................. 72,000 1,098,000
Microsoft Corp./(8)//(11)/.................... 5,400 473,850
Nintendo Co. Ltd.............................. 32,000 2,435,249
</TABLE>
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------- ------------
<S> <C> <C>
Common Stocks (Continued)
Technology (Continued)
Computer Software (Continued)
Novell, Inc./(8)/............................. 106,400 $ 1,516,200
PsiNet, Inc./(8)/............................. 23,000 526,125
Structural Dynamics Research
Corp./(8)//(11)/............................. 48,000 1,410,000
Symantec Corp./(8)//(11)/..................... 107,364 2,496,213
------------
14,742,744
------------
Electronics - 3.5%
Advanced Micro Devices, Inc./(11)/............ 38,000 627,000
CAE, Inc...................................... 115,433 878,121
General Motors Corp., Cl. H................... 23,100 1,134,788
Hewlett-Packard Co./(11)/..................... 15,000 1,256,250
Integrated Silicon Solution, Inc./(8)/........ 30,600 512,072
Intel Corp./(11)/............................. 55,400 3,143,950
Kyocera Corp.................................. 10,000 743,565
Philips Electronics NV........................ 29,000 1,049,290
Samsung Electronics, GDS (New)/(7)//(8)/...... 442 40,443
Samsung Electronics, GDR/(7)//(8)/............ 128 11,712
Samsung Electronics, GDS/(7)//(8)/............ 34,978 2,037,469
Samsung Electronics Ltd., Sponsored
GDR/(7)/..................................... 649 59,384
Texas Instruments, Inc........................ 10,000 517,500
VLSI Technology, Inc./(8)//(11)/.............. 35,600 645,250
Xilinx, Inc./(11)/............................ 18,200 555,100
------------
13,211,894
------------
Telecommunications-Technology - 1.5%
Airtouch Communications, Inc./(8)/............ 50,000 1,412,500
AT&T Corp..................................... 7,200 466,200
EchoStar Communications Corp., Cl. A.......... 6,600 120,038
ECI Telecommunications Ltd./(11)/............. 51,000 1,163,438
Kinnevik Investments AB Free, Series B........ 24,500 767,103
MCI Communications Corp./(11)/................ 47,000 1,227,875
Tellabs, Inc.................................. 16,000 592,000
------------
5,749,154
------------
Utilities - 1.3%
Electric Utilities - 0.4%
Public Service Enterprise Group, Inc.......... 35,000 1,071,875
Verbund Oest Electriz......................... 9,400 565,665
------------
1,637,540
------------
Gas Utilities - 0.3%
Hong Kong & China Gas......................... 293,760 473,014
Southwestern Energy Co........................ 60,000 765,000
------------
1,238,014
------------
Telephone Utilities - 0.6%
BCE, Inc...................................... 33,000 1,138,500
US West Communications Group.................. 28,000 1,001,000
------------
2,139,500
------------
Total Common Stocks
(Cost $142,464,823).......................... 178,983,762
------------
Preferred Stocks - 1.2%
Alumax, Inc., $4.00 Cv., Series A............. 8,000 1,032,000
Cyprus Amax Minerals Co., $4.00 Cv.,
Series A..................................... 24,000 1,422,000
Delta Air Lines, Inc., $3.50 Cv.
Depositary Shares, Series C.................. 13,200 783,750
K-III Communications Corp., Sr.
Exchangeable, Series A....................... 20,000 545,000
Pantry Pride, Inc., $14.875
Exchangeable, Series B........................ 8,000 828,000
------------
Total Preferred Stocks
(Cost $4,053,627)............................ 4,610,750
------------
</TABLE>
34
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Units (Note 1)
----- ------------
<S> <C> <C>
Rights, Warrants and Certificates - 0.0%
American Telecasting, Inc. Wts., Exp.
6/99........................................ 6,000 $ 36,000
Gaylord Container Corp. Wts., Exp.
7/96........................................ 9,232 69,240
Icon Health & Fitness, Inc. Wts., Exp.
11/99/(7)/.................................. 1,000 25,000
People's Choice TV Corp. Wts., Exp.
6/00........................................ 500 5,000
Terex Corp. Rts., Exp. 5/02/(7)/.............. 4,000 8,000
------------
Total Rights, Warrants and Certificates
(Cost $20,771)................................ 143,240
------------
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
-------------- ------------
<S> <C> <C>
Repurchase Agreement - 13.7%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $52,234,220 on 1/2/96,
collateralized by U.S. Treasury Nts.,
5.125%-8.75%, 12/31/96-11/5/04, with a
value of $28,334,538, U.S. Treasury Bonds,
6.25%-11.25%, 8/15/03-8/15/23, with a value
of $17,171,411, and U.S. Treasury Bills
maturing 11/14/96, with a value of
$7,786,989 (Cost $52,200,000)............... $52,200,000 $ 52,200,000
------------
Total Investments, at Value
(Cost $336,724,928)......................... 99.4% 378,826,790
------ ------------
Other Assets Net of Liabilities.............. 0.6 2,436,374
------ ------------
Net Assets 100.0% $381,263,164
====== ============
</TABLE>
/(1)/ Face 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 PLZ - Polish Zloty
GBP - British Pound Sterling ZAR - Zaire Makuta
/(2)/ Represents the current interest rate for a variable rate security.
/(3)/ Interest or dividend is paid in kind.
/(4)/ Represents the current interest rate for an increasing rate security.
/(5)/ For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
/(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 $5,766,383 or 1.51% of the
Fund's net assets, at December 31, 1995.
/(8)/ Non-income producing security.
/(9)/ Units may be comprised of several components, such as debt and equity
and/or warrants to purchase equity at some point in the future. For units
which represent debt securities, face amount disclosed represents total
underlying principal.
/(10)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(11)/ 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 4)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AMR Corp............................... 2,800 1/96 $ 80.00 $ 13,300 $ 1,225
Advanced Micro Devices, Inc............ 6,400 1/96 45.00 13,408 400
Aetna Life & Casualty Co............... 4,400 4/96 75.00 11,143 5,500
American International Group, Inc...... 2,400 2/96 80.00 18,527 46,350
American Re Corp....................... 9,600 7/96 45.00 17,711 16,800
BMC Software, Inc...................... 13,000 2/96 50.00 45,108 17,875
Bay Networks, Inc...................... 6,000 6/96 50.00 41,069 28,500
Cabletron Systems, Inc................. 3,000 1/96 60.00 13,035 61,500
Cheesecake Factory (The)............... 13,000 1/96 35.00 18,297 2,438
Consolidated Freightways, Inc.......... 12,200 6/96 30.00 21,813 33,550
ECI Telecommunications Ltd............. 10,200 2/96 22.50 21,368 22,950
Electronic Arts, Inc................... 10,800 3/96 35.00 79,326 8,100
General Motors Corp.................... 4,400 6/96 55.00 11,418 11,550
Genzyme Corp........................... 3,700 1/96 65.00 19,313 6,013
Harnischfeger Industries, Inc.......... 5,200 2/96 40.00 7,451 975
Harnischfeger Industries, Inc.......... 5,200 5/96 35.00 10,894 8,775
Hewlett-Packard Co..................... 3,000 5/96 105.00 18,659 6,375
IMC Global, Inc........................ 7,600 1/96 32.50 8,057 62,700
IMC Global, Inc........................ 7,600 4/96 37.50 16,510 38,000
Informix Corp.......................... 4,000 2/96 35.00 14,880 4,000
Informix Corp.......................... 4,000 2/96 40.00 9,130 1,750
</TABLE>
35
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Shares
Subject Expiration Exercise Premium Market Value
to Call Date Price Received (Note 4)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Informix Corp.......................... 8,000 2/96 27.50 25,379 34,000
Informix Corp.......................... 3,000 5/96 35.00 6,660 9,000
Intel Corp............................. 11,000 4/96 75.00 18,919 8,938
Louisiana-Pacific Corp................. 8,000 2/96 25.00 19,259 9,500
Louisiana-Pacific Corp................. 8,000 2/96 30.00 5,840 3,500
MCI Communications Corp................ 10,000 4/96 30.00 12,200 5,000
Manor Care, Inc........................ 8,200 1/96 35.00 9,061 7,688
Medtronic, Inc......................... 5,000 2/96 60.00 19,849 4,375
Medtronic, Inc......................... 4,000 5/96 65.00 10,528 6,500
Merrill Lynch & Co., Inc............... 5,500 1/96 55.00 20,459 2,063
Microsoft Corp......................... 1,800 1/96 105.00 17,945 113
Microsoft Corp......................... 1,800 1/96 115.00 9,396 113
Nellcor Puritan Bennett, Inc........... 6,600 4/96 60.00 13,002 22,275
Owens-Corning Fiberglass Corp.......... 6,000 3/96 45.00 10,320 13,875
Philip Morris Cos., Inc................ 4,000 3/96 95.00 10,130 8,000
Sara Lee Corp.......................... 10,000 7/96 35.00 13,449 8,750
Seagate Technology, Inc................ 6,000 6/96 55.00 33,569 20,250
Sofamor Danek Group, Inc............... 18,000 6/96 30.00 53,458 67,500
Structural Dynamics Research Corp...... 2,400 2/96 25.00 7,128 10,800
Structural Dynamics Research Corp...... 7,200 5/96 30.00 15,083 24,300
Sun Microsystems, Inc.................. 7,600 1/96 25.00 19,140 162,450
Sun Microsystems, Inc.................. 6,000 4/96 35.00 18,659 78,000
Sun Microsystems, Inc.................. 7,000 7/96 47.50 56,331 61,250
Symantec Corp.......................... 10,200 1/96 30.00 30,293 638
Symantec Corp.......................... 10,200 1/96 35.00 18,818 1,913
U.S. Healthcare, Inc................... 9,800 4/96 47.50 31,555 28,175
VLSI Technology, Inc................... 6,400 4/96 25.00 15,807 7,600
VLSI Technology, Inc................... 21,600 4/96 40.00 99,249 4,050
Xilinx, Inc............................ 3,400 6/96 35.00 19,872 15,725
Xilinx, Inc............................ 3,400 6/96 30.00 14,348 22,525
Xerox Corp............................. 1,700 7/96 150.00 13,972 9,133
---------- -----------
$1,100,095 $1,043,325
========== ==========
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------------ ------------
<S> <C> <C>
COMMON STOCKS -- 95.7%
BASIC MATERIALS -- 1.4%
Chemicals -- 0.4%
Minerals Technologies, Inc.................. 40,000 $ 1,460,000
-----------
Gold -- 0.4%
Newmont Mining Corp......................... 33,000 1,493,250
-----------
Metals -- 0.3%
Freeport-McMoRan Copper & Gold,
Inc., Cl. B................................. 37,000 1,040,625
-----------
Paper -- 0.3%
Aracruz Celulose SA, Sponsored ADR,
Cl. B....................................... 125,000 968,750
-----------
CONSUMER CYCLICALS -- 8.7%
AUTOS & HOUSING -- 2.7%
Ciadea SA................................... 199,998 1,040,195
General Motors Corp......................... 19,000 1,004,625
Mahindra & Mahindra Ltd., GDR/(1)//(2)/..... 200,000 1,183,020
Mitsubishi Motors Corp...................... 400,000 3,261,217
Volkswagen AG............................... 10,000 3,360,635
-----------
9,849,692
-----------
Leisure & Entertainment -- 0.6%
Filmes Lusomundo SA......................... 205,200 2,197,808
Media -- 1.4%
Grupo Televisa SA, Sponsored ADR/(2)/....... 10,900 245,250
News Corp. Ltd., ADR........................ 150,000 3,206,250
United International Holdings, Inc., Cl.
A/(1)/..................................... 97,000 1,430,750
-----------
4,882,250
-----------
Retail: General -- 1.7%
Ito-Yokado Co., Ltd......................... 55,000 3,391,123
Wal-Mart Stores, Inc........................ 120,000 2,685,000
-----------
6,076,123
-----------
Retail: Specialty -- 2.3%
FamilyMart Co............................... 45,000 2,032,929
Giordano International Ltd.................. 1,700,000 1,451,125
Jurong Shipyard Ltd......................... 140,000 1,078,852
Jusco Co.................................... 85,000 2,216,639
Moebel Walther AG, Preference............... 7,312 240,110
Prodega AG.................................. 960 1,209,750
-----------
8,229,405
-----------
CONSUMER NON-CYCLICALS -- 20.9%
Beverages -- 2.7%
Allied Domecq PLC........................... 274,400 2,236,675
Cadbury Schweppes PLC....................... 400,000 3,300,827
Hellenic Bottling Co., SA................... 28,300 927,095
LVMH Moet Hennessy Louis Vuitton............ 15,000 3,128,593
-----------
9,593,190
-----------
Food -- 3.7%
Groupe Danone............................... 20,000 3,304,449
Molinos Rio de la Plata SA, Cl. B........... 301,343 2,471,490
Nestle SA................................... 4,000 4,435,750
PT Indofood Sukses Makmur/(1)/.............. 417,750 2,009,795
Universal Robina Corp....................... 2,500,000 1,239,079
-----------
13,460,563
-----------
Healthcare/Drugs -- 9.0%
Amgen, Inc.................................. 40,000 2,375,000
Astra AB Free, Series A..................... 100,000 3,998,669
Ciba-Geigy AG............................... 10,000 8,821,093
Genzyme Corp./(1)/.......................... 60,000 3,742,500
Johnson & Johnson........................... 11,500 984,687
<CAPTION>
Market Value
Shares (Note 1)
------------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
CONSUMER NON-CYCLICALS (Continued)
Healthcare/Drugs (Continued)
Pharmavit GDS/(5)/.......................... 114,000 $1,368,000
Plant Genetics Systems/(1)//(3)/............ 89,104 1,061,140
Sankyo Co. Ltd.............................. 140,000 3,148,761
Sanofi SA................................... 77,998 5,006,479
Taisho Pharmaceutical Co.................... 100,000 1,977,670
-----------
32,483,999
-----------
Healthcare/Supplies & Services -- 3.6%
Olympus Optical Co., Ltd.................... 200,000 1,938,892
Pharmacia & Upjohn, Inc./(1)/............... 25,500 988,125
Rhoen Klinikum AG, Non-vtg.
Preference................................. 7,920 691,690
Stryker Corp................................ 19,000 997,500
U.S. Healthcare, Inc........................ 60,000 2,790,000
United Healthcare Corp...................... 65,000 4,257,500
United States Surgical Corp................. 60,000 1,282,500
-----------
12,946,207
-----------
Household Goods -- 0.9%
Kao Corp.................................... 250,000 3,102,228
-----------
Tobacco -- 1.0%
B.A.T. Industries PLC....................... 400,000 3,524,401
-----------
ENERGY -- 3.3%
Energy Services & Producers -- 3.0%
Baker Hughes, Inc........................... 80,000 1,950,000
Coflexip SA, Sponsored ADR.................. 105,000 1,981,875
Compagnie Generale de Geophysique
SA/(1)/.................................... 24,060 792,098
Global Marine, Inc./(1)/.................... 117,500 1,028,125
Transocean AS/(1)/.......................... 292,360 5,067,135
-----------
10,819,233
-----------
Oil-Integrated -- 0.3%
Unocal Corp................................. 34,000 990,250
-----------
FINANCIAL -- 17.4%
Banks -- 4.9%
Banco Bradesco SA, Preference............... 150,000,000 1,311,839
Banco de Galicia Y Buenos Aires, ADR........ 71,000 1,464,375
Banco Frances del Rio de la Plata SA,
ADR........................................ 55,000 1,478,125
Banco Wiese, Sponsored ADR.................. 60 375
Chase Manhattan Corp........................ 50,000 3,031,250
Citicorp.................................... 45,000 3,026,250
HSBC Holdings PLC........................... 126,101 1,908,166
Northern Trust Corp......................... 18,700 1,047,200
Skandinaviska Enskilda Banken Group......... 250,000 2,074,781
Turkiye Garanti Bankasi AS (New)/(2)/....... 288,000 2,411,885
-----------
17,754,246
-----------
Diversified Financial -- 5.1%
ABN Amro Holding NV......................... 70,000 3,192,162
American Express Co......................... 24,500 1,013,687
First NIS Regional Fund/(2)//(4)/........... 180,000 1,080,000
Internationale Nederlanden Groep NV......... 35,000 2,340,627
IRSA Inversiones y Representaciones,
SA......................................... 1,028,807 2,593,094
MBNA Corp................................... 50,000 1,843,750
Nomura Securities Co. Ltd................... 300,000 6,543,762
-----------
18,607,082
-----------
</TABLE>
37
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
------------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
FINANCIAL (Continued)
Insurance -- 7.4%
American International Group, Inc........... 35,000 $3,237,500
Mapfre Vida Seguros......................... 25,000 1,483,727
Marschollek, Lautenschlaeger und
Partner AG................................. 5,587 3,864,472
National Mutual Asia Ltd.................... 2,634,000 2,384,656
Reinsurance Australia Corp. Ltd............. 4,500,200 9,975,702
Skandia Forsakrings AB...................... 100,000 2,708,532
Swiss Reinsurance........................... 2,500 2,915,741
-----------
26,570,330
-----------
INDUSTRIAL -- 17.8%
Electrical Equipment -- 2.9%
Murata Mfg. Co. Ltd......................... 140,000 5,157,454
Ushio, Inc.................................. 100,000 1,192,419
Yokogawa Electric Corp...................... 425,000 4,021,263
-----------
10,371,136
-----------
Industrial Services -- 6.5%
BIS SA/(1)/................................. 81,025 6,014,276
IHC Caland NV............................... 80,000 2,694,965
JGC Corp.................................... 300,000 3,170,089
Plettac AG.................................. 10,000 2,480,303
VBH-Vereinigter Baubeschlag Handel
AG......................................... 24,700 6,902,927
WMX Technologies, Inc....................... 80,000 2,390,000
-----------
23,652,560
-----------
Manufacturing -- 7.5%
Bobst Bearers AG............................ 2,000 3,128,664
Gildemeister AG/(1)/........................ 13,862 1,259,057
Measurex Corp............................... 63,800 1,802,350
Mitsubishi Heavy Industries Ltd............. 250,000 1,994,635
Mori Seiki Co. Ltd.......................... 160,000 3,614,095
Powerscreen International PLC............... 1,330,100 8,002,313
Traub AG/(1)/............................... 33,750 3,065,444
Valmet Corp., Cl. A......................... 170,000 4,267,612
-----------
27,134,170
-----------
Transportation -- 0.9%
Brambles Industries Ltd..................... 180,000 2,008,441
Lisnave-Estaleiros Navais de Lisbona
SA/(1)/.................................... 450,950 1,267,856
-----------
3,276,297
-----------
TECHNOLOGY -- 20.3%
Computer Hardware -- 4.4%
Cabletron Systems, Inc/(1)/................. 45,000 3,645,000
Digital Equipment Corp/(1)/................. 60,000 3,847,500
International Business Machines Corp........ 35,000 3,211,250
Olivetti & C. SpA/(1)/...................... 5,000,000 4,012,231
QUALCOMM, Inc/(1)/.......................... 25,000 1,075,000
-----------
15,790,981
-----------
Computer Software -- 5.5%
Baan Co. NV/(1)/............................ 30,000 1,357,500
CSK Corp.................................... 50,000 1,565,656
First Data Corp............................. 87,118 5,826,016
Ines Corp/(1)/.............................. 60,000 1,099,352
Nintendo Co. Ltd............................ 110,000 8,371,167
Novell, Inc/(1)/............................ 119,800 1,707,150
-----------
19,926,841
-----------
<CAPTION>
Market Value
Shares (Note 1)
------------ ------------
<S> <C> <C>
COMMON STOCKS (Continued)
TECHNOLOGY (Continued)
Electronics -- 6.5%
General Motors Corp., Cl. H................. 40,000 $ 1,965,000
Intel Corp.................................. 20,000 1,135,000
Keyence Corp................................ 25,000 2,884,102
Matsushita Electric Industrial Co.
Ltd/(1)/................................... 180,000 2,931,605
National Semiconductor Corp/(1)/............ 150,000 3,337,500
Philips Electronics NV...................... 100,000 3,618,241
Rohm Co..................................... 45,000 2,543,342
SGS-Thomson Microelectronics NV/(1)/........ 129,400 5,208,350
-----------
23,623,140
-----------
Telecommunications-Technology -- 3.9%
Airtouch Communications, Inc/(1)/........... 70,000 1,977,500
Hong Kong Telecommunications Ltd............ 1,176,400 2,099,645
Korea Mobile Telecommunications Corp........ 3,000 3,380,740
Millicom International Cellular SA/(1)/..... 121,678 3,711,179
Millicom, Inc/(1)/.......................... 25,000 -
Petersburg Long Distance, Inc/(1)/.......... 187,000 888,250
Technology Resources Industries
Berhad/(1)/................................ 650,000 1,920,121
-----------
13,977,435
-----------
UTILITIES -- 5.9%
Electric Utilities -- 0.5%
Korea Electric Power Co..................... 50,000 1,985,240
-----------
Gas Utilities -- 1.3%
Hong Kong & China Gas....................... 2,000,000 3,220,410
Transportadora de Gas del Sur SA............ 99,300 1,278,488
-----------
4,498,898
-----------
Telephone Utilities -- 4.1%
Compania de Telefonos de Chile SA........... 27,500 2,279,063
Tele Danmark AS, B Shares................... 30,000 1,640,261
Telecom Italia Mobile SpA/(1)/.............. 669,600 1,179,736
Telecom Italia SpA.......................... 1,446,000 2,251,401
Telecomunicacoes Brasileiras SA,
Preference................................. 5,800,000 279,283
Telefonica del Peru SA, Cl. B............... 3,400,031 7,291,810
-----------
14,921,554
-----------
Total Common Stocks (Cost
$321,681,583)............................... 345,207,884
-----------
UNITS
-----
RIGHTS, WARRANTS AND CERTIFICATES - 0.0%
American Satellite Network, Inc. Wts.,
Exp. 6/99.................................. 6,250 -
Banco Bradesco SA Rts., Exp. 1/96........... 3,507,301 -
Plant Genetics, Inc. Wts., Exp.
12/99/(3)/.................................. 60,000 119,402
-----------
Total Rights, Warrants and
Certificates (Cost $0)...................... 119,402
-----------
</TABLE>
38
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
REPURCHASE AGREEMENT - 4.8%
Repurchase agreement with First Chicago
Capital Markets, 5.90%, dated 12/29/95, to
be repurchased at $17,311,341 on 1/2/96,
collateralized by U.S. Treasury Nts., 5.125%-
8.75%, 12/31/96-11/5/04, with a value of
$9,390,565, U.S. Treasury Bonds, 6.25%-
11.25%, 8/15/03-8/15/23, with a value of
$5,690,908, and U.S. Treasury Bills
maturing 11/14/96, with a value of
$2,580,745 (Cost $17,300,000).............. $17,300,000 $ 17,300,000
------------
TOTAL INVESTMENTS, AT VALUE (COST
$338,981,583)................................ 100.5% 362,627,286
------ ------------
LIABILITIES IN EXCESS OF OTHER ASSETS........ (0.5) (1,648,453)
------ ------------
NET ASSETS................................... 100.0% $360,978,833
====== ============
</TABLE>
/(1)/ Non-income producing security.
/(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 $4,920,155 or 1.36% of the
Fund's net assets, at December 31, 1995.
/(3)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(4)/ First NIS Regional Fund, a closed end fund listed on the Luxembourg
Stock Exchange, is offered in installments. The Fund has entered the
first and second installments (70% of the total commitment). The third
installment is provisional and may be postponed indefinitely at the
discretion of the Board of NIS Fund.
/(5)/ 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 December
31, 1995. The aggregate fair value of all securities of affiliated
companies as of December 31, 1995 amounted to $1,368,000. Transactions
during the period in which the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
Balance
December 31, 1994 Gross Additions Gross Reductions
----------------- --------------- ----------------
Shares Cost Shares Cost Shares Cost
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Forsheda Group AB,
Series B.................... 100,000 $1,200,236 - $ - 100,000 $1,200,230
Pharmavit GDS............... 100,000 1,300,000 24,000 216,000 10,000 115,000
---------- -------- ----------
$2,500,236 $216,000 $1,315,230
========== ======== ==========
<CAPTION>
Balance
December 31, 1995
----------------- Dividend
Shares Cost Income
- ------------------------------------------------------------------
<S> <C> <C> <C>
Forsheda Group AB,
Series B.................... -- $ -- $46,900
Pharmavit GDS............... 114,000 1,401,000 15,263
---------- --------
$1,401,000 $ 62,163
========== ========
</TABLE>
See accopanying Notes to Financial Statements.
39
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 3.8%
Canadian Imperial Bank CD, Zero
Coupon, 28.674%, 2/8/96/(2)//(3)/ HUF... $ 33,025,000 $ 235,034
Citibank CD:
13%, 5/6/96/(2)/ CLP..................... 74,934,666 184,279
27.40%, 3/22/96/(2)/) HUF................ 34,877,500 255,278
CS First Boston, Inc. CD, 15.75%,
6/11/96/(2)//(4)/ IDR................... 667,200,000 291,809
Indonesia (Republic of) Bank Negara
CD, Zero Coupon, 15.914%,
6/17/96/(2)//(3)/ IDR................... 500,000,000 201,253
Krungthai Thanakit CD, Zero Coupon:
11.533%, 2/29/96/(2)//(3)/ THB........... 6,500,000 251,931
11.668%, 2/29/96/(2)//(3)/ THB........... 3,500,000 135,655
11.292%, 3/13/96(2)(3) THB............... 19,000,000 736,565
----------
Total Certificates of Deposit
(Cost $2,323,164) 2,291,804
----------
MORTGAGE-BACKED OBLIGATIONS -- 5.8%
GOVERNMENT AGENCY -- 3.9%
FHLMC/FNMA/Sponsored -- 2.6%
Federal Home Loan Mortgage Corp.,
Series 176, Cl. F, 8.95%, 3/15/20....... 40,342 40,720
Federal National Mortgage Assn.:
7.50%, 8/1/25............................ 1,175,762 1,204,780
Collateralized Mtg. Obligations, Series
1992-103, Cl. JB, 10.50%, 11/25/20...... 130,000 154,821
Series 1994-83, Cl. Z, 7.50%, 6/25/24.... 178,988 175,296
----------
1,575,617
----------
GNMA/Guaranteed -- 1.3%
Government National Mortgage Assn.,
6%, 11/20/25............................ 747,956 755,436
----------
PRIVATE -- 1.9%
Commercial -- 1.5%
FDIC Trust, Gtd. Real Estate Mtg.
Investment Conduit Pass-Through
Certificates, Series 1994-C1, Cl. 2-G,
8.70%, 9/25/25/(4)/..................... 153,594 160,170
Merrill Lynch Mortgage Investors, Inc.,
Mtg. Pass-Through Certificates, Series
1995-C2, Cl. D, 8.06%, 6/15/21/(5)/..... 496,835 509,644
Resolution Trust Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1991-M6, Cl. B4, 7.477%,
6/25/21/(5)/............................ 37,880 37,869
Series 1992-CHF, Cl. D, 8.25%,
12/25/20................................ 126,259 130,383
Series 1993-C1, Cl. D, 9.45%, 5/25/24.... 91,000 96,773
----------
934,839
----------
MULTI-FAMILY -- 0.4%
Resolution Trust Corp., Commercial
Mtg. Pass-Through Certificates, Series
1994-C2, Cl. E, 8%, 4/25/25............. 236,608 223,299
Total Mortgage-Backed Obligations
(Cost $3,324,532)....................... 3,489,191
U.S. GOVERNMENT OBLIGATIONS -- 29.0%
TREASURY -- 29.0%
U.S. Treasury Bonds:
11.625%, 11/15/02........................ 4,300,000 5,799,625
13.125%, 5/15/01......................... 2,800,000 3,796,623
6.875%, 8/15/25.......................... 1,200,000 1,354,124
8.125%, 8/15/19.......................... 163,000 205,024
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (Continued)
TREASURY (Continued)
U.S. Treasury Nts.:
8.75%, 8/15/00........................... $ 2,125,000 $ 2,415,194
9.25%, 1/15/96........................... 3,500,000 3,509,842
9.375%, 4/15/96.......................... 318,000 321,875
-----------
Total U.S. Government Obligations
(Cost $16,639,999)...................... 17,402,307
-----------
FOREIGN GOVERNMENT OBLIGATIONS -- 30.1%
Argentina -- 0.5%
Argentina (Republic of):
Medium-Term Nts., 8%, 8/9/97 NLG......... 400,000 247,662
Bonds, Bonos del Tesoro, Series II,
5.898%, 9/1/97/(5)/..................... 30,000 28,984
-----------
276,646
-----------
Australia -- 2.3%
New South Wales Treasury Corp. Gtd.
Exch. Bonds, 12%, 12/1/01 AUD........... 140,000 123,469
Queensland Treasury Corp. Gtd. Nts.,
8%, 8/14/01 AUD......................... 1,068,000 795,672
Treasury Corp. of Victoria Gtd. Bonds,
10.25%, 11/15/06 AUD.................... 90,000 75,095
Western Australia Treasury Corp. Gtd.
Bonds, 10%, 7/15/05 AUD................. 450,000 368,968
-----------
1,363,204
-----------
Brazil -- 1.4%
Brazil (Federal Republic of):
Eligible Interest Bonds, 6.812%,
4/15/06/(5)/............................ 500,000 343,750
Interest Due and Unpaid Bonds,
6.688%, 1/1/01/(5)/..................... 522,500 450,003
Petroquimica do Nordeste Sr. Unsec.
Unsub. Nts., 9.50%, 10/19/01............ 50,000 46,437
-----------
840,190
-----------
Bulgaria -- 0.8%
Bulgaria (Republic of) Interest Arrears
Bonds, 6.75%, 7/28/11/(5)//(6)/......... 1,000,000 463,750
-----------
Canada -- 3.2%
Canada (Government of) Bonds:
10.25%, 12/1/98 CAD...................... 320,000 260,206
10.25%, 3/1/96 CAD....................... 180,000 133,274
9%, 12/1/04 CAD.......................... 460,000 380,792
Series A33, 11.50%, 9/1/00 CAD........... 1,170,000 1,027,961
9.75%, 10/1/97 CAD....................... 180,000 140,585
-----------
1,942,818
-----------
Colombia -- 0.4%
Colombia (Republic of) 1989-1990
Integrated Loan Facility Bonds, 6.875%,
7/1/01/(5)//(7)/........................ 257,160 239,159
-----------
Costa Rica -- 0.5%
Central Bank of Costa Rica Principal
Bonds, Series A, 6.25%, 5/21/10......... 500,000 310,000
-----------
Denmark -- 2.0%
Denmark (Kingdom of) Bonds:
7%, 11/10/24 DKK......................... 1,600,000 257,534
8%, 3/15/06 DKK.......................... 1,000,000 190,281
8%, 5/15/03 DKK.......................... 4,000,000 767,332
-----------
1,215,147
-----------
</TABLE>
40
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS (Continued)
Ecuador - 0.7%
Ecuador (Republic of) Disc. Bonds,
6.812%, 2/28/25/(5)/................... $ 800,000 $ 407,000
------------
France - 0.2%
France (Government of) Obligation
Assimilable du Tresor Debs.:
8.50%, 10/25/08 FRF..................... 200,000 46,782
8.50%, 4/25/03 FRF...................... 200,000 45,722
------------
92,504
------------
Germany - 1.2%
Germany (Republic of) Bonds:
7.75%, 10/1/04 DEM...................... 480,000 368,465
Series 86, 6%, 6/20/16 DEM.............. 100,000 64,327
Series 94, 7.50%. 11/11/04 DEM.......... 400,000 307,809
------------
740,601
------------
Great Britain - 1.5%
United Kingdom:
Treasury Nts., 9.50%, 4/18/05 GBP....... 70,000 123,286
GILT, 10%, 9/8/03 GBP................... 425,000 765,432
------------
888,718
------------
Italy - 2.7%
Italy (Republic of) Treasury Bonds,
Buoni del Tesoro Poliennali:
10.50%, 7/15/00 ITL..................... 315,000,000 200,151
11.50%, 3/1/03 ITL...................... 965,000,000 634,757
10.50%, 7/15/98 ITL..................... 1,260,000,000 800,129
------------
1,635,037
------------
Jamaica - 0.1%
Jamaica (Government of) 1990
Refinancing Agreement Nts., Tranche A,
6.75%, 10/16/00/(5)(7)/................ 87,500 78,750
------------
Jordan - 0.9%
Hashemite Kingdom of Jordan:
Disc. Bonds, 6.437%, 12/23/23/(5)/...... 500,000 310,000
Par Bonds, 4%, 12/23/23/(8)/............ 500,000 241,875
------------
551,875
------------
Mexico - 1.6%
Banco Nacional de Comercio Exterior SNC:
International Finance BV Gtd. Bonds,
10.875%, 6/23/97/(4)(5)/............... 250,000 254,687
Zero Coupon, 10.58%, 6/5/96/(3)(4)/..... 200,000 190,700
United Mexican States:
Banco Nacional de Comercio Exterior
SNC International Finance BV Gtd.
MatadorBonds, 7.50%, 7/1/00............ 235,000 202,100
Combined Facility 3, Loan Participation
Agreement, Tranche A, 6.50%,
9/20/97/(5)(7)/........................ 123,840 93,809
Petroleos Mexicanos Gtd. Medium-Term
Nts., 7.60%, 6/15/00................... 100,000 89,750
Petroleos Mexicanos Gtd. Unsec. Unsub.
Nts., 7.875%, 3/2/99 CAD............... 200,000 138,213
------------
969,259
------------
Morocco - 1.3%
Morocco (Kingdom of) Loan Participation
Agreement:
Tranche A, 6.594%, 1/1/09/(5)/.......... 1,100,000 732,875
Tranche B, 6.521%, 1/1/04/(5)/.......... 50,000 37,625
------------
770,500
------------
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
FOREIGN GOVERNMENT OBLIGATIONS (Continued)
New Zealand - 1.9%
New Zealand (Republic of) Bonds:
10%, 3/15/02 NZD........................ $ 1,385,000 $ 1,024,323
10%, 7/15/97 NZD........................ 155,000 104,140
------------
1,128,463
------------
Norway - 0.7%
Norwegian Government Bonds:
5.75%, 11/30/04 NOK..................... 1,160,000 175,473
9.50%, 10/31/02 NOK..................... 1,435,000 268,859
------------
444,332
------------
Panama - 0.4%
Panama (Republic of) Debs., 6.75%,
5/10/02/(5)/........................... 250,000 214,219
------------
Poland - 0.3%
Poland (Republic of) Treasury Bills,
Zero Coupon, 24.959%, 4/17/96/(3)/ PLZ. 500,000 188,298
------------
Spain - 3.0%
Spain (Kingdom of):
Bills, Letras del Tesoro, Zero Coupon,
9.426%, 9/6/96/(3)/ESP................. 10,000,000 76,720
Bonds, Bonos y Obligacion del Estado,
10.90%, 8/30/03 ESP.................... 173,600,000 1,509,962
Gtd. Bonds, Bonos y Obligacion del
Estado, 10.55%, 11/30/96 ESP........... 25,600,000 213,340
------------
1,800,022
------------
Supranational - 0.4%
International Bank for Reconstruction
and Development Bonds, 12.50%,
7/25/97 NZD............................ 325,000 226,281
------------
Sweden - 1.1%
Sweden (Kingdom of) Bonds:
Series 1030, 13%, 6/15/01 SEK........... 300,000 54,485
Series 1033, 10.25%, 5/5/03 SEK......... 3,700,000 615,899
------------
670,384
------------
Trinidad & Tobago - 0.5%
Trinidad & Tobago Loan Participation
Agreement, Tranche A, 1.563%,
9/30/00/(5)(7)/JPY..................... 39,999,998 328,642
------------
Venezuela - 0.5%
Venezuela (Republic of) Disc. Bonds,
Series DL, 6.563%, 12/18/07/(5)/....... 500,000 276,250
------------
Total Foreign Government Obligations
(Cost $17,588,999)...................... 18,062,049
------------
CORPORATE BONDS AND NOTES - 25.8%
BASIC INDUSTRY - 1.9%
Chemicals - 0.2%
NL Industries, Inc., 11.75% Sr. Sec.
Nts., 10/15/03......................... 100,000 107,250
------------
Metals/Mining - 0.0%
UCAR Global Enterprises, Inc., 12% Sr.
Sub. Nts., 1/15/05..................... 10,000 11,425
------------
</TABLE>
41
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
BASIC INDUSTRY (Continued)
Paper -- 1.4%
Domtar, Inc., 11.25% Debs., 9/15/17..... $ 100,000 $ 106,500
Gaylord Container Corp., 0%/12.75% Sr.
Sub. Disc. Debs., 5/15/05/(9)/......... 200,000 197,000
Repap New Brunswick, Inc., 9.25%
First Priority Sr. Sec. Nts.,
7/15/00/(5)/........................... 200,000 201,000
Riverwood International Corp., 10.75%
Sr. Nts., 6/15/00...................... 100,000 106,875
Stone Container Corp., 10.75% First
Mtg. Nts., 10/1/02..................... 190,000 198,550
------------
809,925
------------
Steel -- 0.3%
Jorgensen (Earle M.) Co., 10.75% Sr.
Nts., 3/1/00........................... 50,000 46,250
Wheel-Pittsburgh Corp., 9.375% Sr.
Nts., 11/15/03......................... 150,000 143,625
------------
189,875
------------
CONSUMER RELATED -- 6.3%
Consumer Products -- 1.2%
Coleman Holdings, Inc., Zero Coupon
Sr. Sec. Disc. Nts., Series B, 12.575%,
5/27/98/(3)/........................... 50,000 40,000
Harman International Industries, Inc.,
12% Sr. Sub. Nts., 8/1/02.............. 150,000 165,750
International Semi-Tech
Microelectronics, Inc., 0%/11.50% Sr.
Sec. Disc. Nts., 8/15/03/(9)/.......... 400,000 212,000
Tag-Heuer International SA, 12% Sr.
Sub. Nts., 12/15/05/(4)/............... 200,000 200,750
Williams (J. B.) Holdings, Inc., 12% Sr.
Nts., 3/1/04........................... 100,000 100,000
------------
718,500
------------
Food/Beverages/Tobacco -- 0.7%
Dr. Pepper Bottling Holdings, Inc.,
0%/11.625% Sr. Disc. Nts., 2/15/03/(9)/ 200,000 160,000
Pulsar Internacional SA de CV, 11.80%
Nts., 9/19/96/(7)/..................... 250,000 251,875
------------
411,875
------------
Healthcare -- 2.0%
AmeriSource Corp., 11.25% Sr. Debs.,
7/15/05/(10)/.......................... 87,579 96,775
Capstone Capital Corp., 10.50% Cv. Sub.
Debs., 4/1/02.......................... 200,000 239,750
Icon Health & Fitness, Inc., 13% Sr.
Sub. Nts., 7/15/02/(4)/................ 200,000 217,000
IVAC Corp., 9.25% Sr. Nts., 12/1/02..... 150,000 154,500
Quorum Health Group, Inc., 8.75% Sr.
Sub. Nts., 11/1/05..................... 150,000 155,813
Tenet Healthcare Corp., 10.125% Sr.
Sub. Nts., 3/1/05...................... 100,000 111,250
Total Renal Care, Inc., 0%/12% Sr. Sub.
Disc. Nts., 8/15/04/(9)/............... 205,000 197,825
------------
1,172,913
------------
Hotel/Gaming -- 1.6%
Bally's Casino Holdings, Inc., Zero
Coupon Sr. Disc. Nts., 9.897%,
6/15/98/(3)/........................... $ 200,000 $ 161,000
Grand Casinos, Inc., 10.125% Gtd. First
Mtg. Nts., 12/1/03..................... 250,000 261,875
HMC Acquisition Properties, Inc., 9%
Sr. Nts., 12/15/07/(4)/................ 150,000 150,750
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
CONSUMER RELATED (Continued)
Hotel/Gaming (Continued)
Mohegan Tribal Gaming Authority,
13.50% Sr. Sec. Nts., 11/15/02/(4)/.... $ 100,000 $108,500
Station Casinos, Inc., 9.625% Sr. Sub.
Nts., 6/1/03........................... 100,000 98,500
Trump Plaza Funding, Inc., 10.875% Gtd.
Mtg. Nts., 06/15/01..................... 150,000 156,000
------------
936,625
------------
Restaurants -- 0.3%
Carrols Corp., 11.50% Sr. Nts., 8/15/03. 100,000 101,500
Foodmaker, Inc., 9.25% Sr. Nts., 3/1/99. 100,000 96,250
------------
197,750
------------
Textile/Apparel -- 0.5%
PT Polysindo Eka Perkasa, Zero
Coupon Promissory Nts., 17.90%,
10/23/96/(3)/ IDR...................... 300,000,000 110,084
Synthetic Industries, Inc., 12.75% Sr.
Sub. Debs., 12/1/02.................... 200,000 197,000
------------
307,084
------------
Energy -- 1.3%
Chesapeake Energy Corp., 10.50% Sr.
Nts., 6/1/02........................... 150,000 157,875
Petroleum Heat & Power Co., Inc.,
12.25% Sub. Debs., 2/1/05.............. 100,000 112,000
Plains Resources, Inc., 12% Sr. Sub.
Nts., 10/1/99.......................... 100,000 104,000
Triton Energy Corp., Zero Coupon Sr.
Sub. Disc. Nts., 10.493%, 11/1/97/(3)/. 100,000 86,750
United Meridian Corp., 10.375% Gtd. Sr.
Sub. Nts., 10/15/05..................... 200,000 212,500
Vintage Petroleum, Inc., 9% Sr. Sub.
Nts., 12/15/05......................... 100,000 101,250
------------
774,375
------------
FINANCIAL SERVICES -- 1.5%
Banks & Thrifts -- 0.9%
Banco Bamerindus do Brasil SA:
10.50% Debs., 6/23/97................... 100,000 92,000
11% Sr. Unsub. Unsec. Bonds, 10/6/97.... 100,000 92,000
Banco Ganadero SA, Zero Coupon:
Nts., 9.931%, 7/1/96/(3)//(4)/.......... 100,000 95,404
Sr. Unsub. Unsec. Nts., 9.931%,
6/15/96/(3)//(4)/...................... 50,000 47,904
Banco Mexicano SA, 8% Sr. Unsub.
Unsec. Exchangeable Medium-Term Nts.,
11/4/98................................ 200,000 168,500
Morgan Stanley Group, 14.25% Indian
Rupee Indexed Nts., 6/26/96 INR........ 1,570,500 44,662
------------
540,470
------------
Diversified Financial -- 0.4%
Banco del Atlantico SA, 7.875%
Eurobonds, 11/5/98..................... 200,000 170,000
Olympic Financial Ltd., 13% Sr. Nts.,
5/1/00................................. 100,000 109,500
------------
279,500
------------
Insurance -- 0.2%
Terra Nova Insurance (UK) Holdings
PLC, 10.75% Sr. Nts., 7/1/05........... 100,000 109,500
------------
HOUSING RELATED -- 0.6%
Building Materials -- 0.1%
Pacific Lumber Co., 10.50% Sr. Nts.,
3/1/03................................. 100,000 94,875
</TABLE>
42
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
HOUSING RELATED (Continued)
Homebuilders/Real Estate -- 0.5%
Saul (B.F.) Real Estate Investment
Trust, 11.625% Sr. Sec. Nts., Series B,
4/1/02.................................. $ 100,000 $ 102,500
Tribasa Toll Road Trust, 10.50% Nts.,
Series 1993-A, 12/1/11/(4)/............. 250,000 186,250
------------
288,750
------------
MANUFACTURING -- 1.0%
Aerospace/Electronics/Computers - 0.5%
Berg Electronics Holdings Corp.,
11.375% Sr. Sub. Debs., 5/1/03.......... 50,000 56,250
Communications & Power Industries,
Inc., 12% Sr. Sub. Nts., 8/1/05......... 100,000 103,250
Rohr, Inc., 11.625% Sr. Nts., 5/15/03.... 100,000 109,500
Unisys Corp., 13.50% Credit Sensitive
Nts., 7/1/97/(5)/....................... 50,000 47,750
------------
316,750
------------
Automotive -- 0.5%
Foamex LP/Foamex Capital Corp.,
11.25% Sr. Nts., 10/1/02................ 200,000 193,000
Penda Corp., 10.75% Sr. Nts., Series B,
3/1/04.................................. 150,000 126,000
------------
319,000
------------
MEDIA -- 6.0%
Broadcasting -- 0.8%
Act III Broadcasting, Inc., 9.625% Sr.
Sub. Nts., 12/15/03..................... 50,000 50,375
New City Communications, Inc.,
11.375% Sr. Sub. Nts., 11/1/03.......... 50,000 46,500
Paxson Communications Corp., 11.625%
Sr. Sub. Nts., 10/1/02/(4)/............. 250,000 252,500
Sinclair Broadcast Group, Inc., 10% Sr.
Sub. Nts., 12/15/03..................... 100,000 102,500
------------
451,875
------------
Cable Television -- 3.7%
American Telecasting, Inc., 0%/14.50%
Sr. Disc. Nts., 6/15/04/(9)/............ 322,737 223,495
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)/(9)//(11)/............. 300,000 219,000
Bell Cablemedia PLC, 0%/11.95% Sr.
Disc. Nts., 7/15/04/(9)/................ 100,000 71,375
Cablevision Systems Corp., 10.75% Sr.
Sub. Debs., 4/1/04...................... 100,000 106,250
Continental Cablevision, Inc., 11% Sr.
Sub. Debs., 6/1/07...................... 300,000 336,000
Fundy Cable Ltd., 11% Sr. Sec. Second
Priority Nts., 11/15/05................. 100,000 105,000
Marcus Cable Co. LP/Marcus Cable
Capital Corp., 0%/14.25% Sr. Disc. Nts.,
12/15/05/(9)/........................... 200,000 137,000
Marcus Cable Operating Co.
LP/Marcus Cable Capital Corp.,
0%/13.50% Gtd. Sr. Sub. Disc. Nts.,
Series II, 8/1/04/(9)/................... 200,000 149,250
Rogers Cablesystems Ltd., 10% Sr. Sec.
Second Priority Debs., 12/1/07........... 300,000 320,250
TeleWest PLC, 0%/11% Sr. Disc. Debs.,
10/1/07/(9)/............................. 300,000 181,875
Time Warner Entertainment LP/Time
Warner, Inc., 8.375% Sr. Debs., 3/15/23.. 200,000 217,233
<CAPTION>
Principal Market Value
Amount/(1)/ (Note 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
MEDIA (Continued)
Cable Television (Continued)
Time Warner, Inc., 9.125% Debs.,
1/15/13................................. $ 50,000 $ 56,385
United International Holdings, Inc., Zero
Coupon Sr. Sec. Disc. Nts., 12.544%,
11/15/99/(3)/........................... 200,000 125,000
------------
2,248,113
------------
Diversified Media -- 1.2%
Ackerley Communications, Inc., 10.75%
Sr. Sec. Nts., Series A, 10/1/03........ 200,000 214,000
Echostar Communications Corp.,
0%/12.875% Sr. Disc. Nts., 6/1/04/(9)/.. 100,000 67,500
Lamar Advertising Co., 11% Sr. Sec.
Nts., 5/15/03........................... 150,000 156,000
Outdoor Systems, Inc., 10.75% Sr. Nts.,
8/15/03................................. 100,000 97,500
Panamsat LP/Panamsat Capital Corp.,
9.75% Sr. Sec. Nts., 8/1/00............. 150,000 159,375
------------
694,375
------------
Entertainment/Film -- 0.3%
Imax Corp., 7% Sr. Nts., 3/1/01/(8)/..... 200,000 197,000
------------
OTHER -- 0.6%
Conglomerates -- 0.4%
MacAndrews & Forbes Holdings, Inc.,
13% Sub. Debs., 3/1/99.................. 175,000 177,625
Talley Industries, Inc., 0%/12.25% Sr.
Disc. Debs., 10/15/05/(9)/.............. 100,000 74,500
------------
252,125
------------
Services -- 0.2%
Borg-Warner Security Corp., 9.125% Sr.
Sub. Nts., 5/1/03....................... 100,000 91,500
------------
RETAIL -- 0.7%
Specialty Retailing -- 0.2%
Eye Care Centers of America, Inc., 12%
Sr. Nts., 10/1/03....................... 70,000 65,450
Finlay Fine Jewelry Corp., 10.625% Sr.
Nts., 5/1/03............................ 100,000 98,000
------------
163,450
------------
Supermarkets -- 0.5%
Grand Union Co., 12% Sr. Nts., 9/1/04.... 200,000 174,000
Purity Supreme, Inc., 11.75% Sr. Sec.
Nts., Series B, 8/1/99.................. 100,000 110,750
------------
284,750
------------
TRANSPORTATION -- 0.9%
Air Transportation -- 0.7%
American International Group, Inc.,
11.70% Unsec. Unsub. Bonds,
12/4/01 ITL............................. 270,000,000 179,345
Atlas Air, Inc., 12.25% Pass-Through
Certificates, 12/1/02................... 250,000 256,250
------------
435,595
------------
Railroads -- 0.2%
Transtar Holdings LP/Transtar Capital
Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03/(9)/................. 200,000 133,000
------------
UTILITIES -- 5.0%
Electric Utilities - 0.7%
Beaver Valley II Funding Corp., 9%
Second Lease Obligation Bonds, 6/1/17... 199,000 170,304
</TABLE>
43
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount (1) (Note 1)
---------- ------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (Continued)
UTILITIES (Continued)
Electric Utilities (Continued)
El Paso Electric Co., 10.75% Lease
Obligation Bonds, 4/1/13/(12)/.......... $ 100,000 $ 67,873
First PV Funding Corp., 10.30% Lease
Obligation Bonds, Series 1986A, 1/15/14. 200,000 204,312
------------
442,489
------------
Telecommunications - 4.3%
A+ Network, Inc., 11.875% Sr. Sub. Nts.,
11/1/05................................. 200,000 202,500
Call-Net Enterprises, Inc., 0%/13.25% Sr.
Disc. Nts., 12/01/04/(9)/................ 200,000 144,000
Celcaribe SA, 0%/13.50% Sr. Sec. Nts.,
3/15/04/(4)//(9)/....................... 150,000 106,500
Cellular Communications International,
Inc., Zero Coupon Sr. Disc. Nts.,
11.44%, 8/15/00/(3)/.................... 300,000 180,750
Cellular, Inc., 0%/11.75% Sr. Sub. Disc.
Nts., 9/1/03/(9)/....................... 50,000 40,063
Cencall Communications Corp.,
0%/10.125% Sr. Disc. Nts., 1/15/04/(9)/. 300,000 169,500
Comunicacion Celular SA, Units (each
unit consists of $1,000 principal
0%/13.125% sr. deferred coupon bond,
11/15/03 and one warrant to purchase
12,860 shares of common stock at
$1.32 per 1,000 shares)/(4)(9)(11)/..... 200,000 114,000
Geotek Communications, Inc., 0%/15%
Sr. Sec. Disc. Nts., 7/15/05/(9)/........ 250,000 113,750
GST Telecommunications, Inc., Units
(each unit consists of eight
0%/13.875% sr. disc. nts., 12/15/05 and
one 0%/13.875% cv. sr. sub. disc. nt.,
12/15/05)/(4)(9)(11)/................... 225,000 117,500
Horizon Cellular Telephone LP/Horizon
Finance Corp., 0%/11.375% Sr. Sub.
Disc. Nts., 10/1/00/(9)/................ 250,000 213,750
In-Flight Phone Corp., 0%/14% Sr. Disc.
Nts., 5/15/02/(9)/...................... 200,000 67,000
IntelCom Group (USA), Inc.,
0%/13.50% Sr. Disc. Nts.,
9/15/05/(4)(9)/......................... 250,000 144,375
MFS Communications, Inc., 0%/9.375%
Sr. Disc. Nts., 1/15/04/(9)/............ 200,000 161,000
Nextel Communications, Inc., 0%/11.50%
Sr. Disc. Nts., 9/1/03/(9)/............. 300,000 185,625
PriCellular Wireless Corp., 0%/14% Sr.
Sub. Disc. Nts., 11/15/01/(9)/.......... 300,000 264,000
USA Mobile Communications, Inc. II,
14% Sr. Nts., 11/1/04................... 150,000 176,250
WinStar Communications, Inc., Units
(each unit consists of two $1,000
principal amount of 0%/14% sr. disc.
nts.,10/15/05 and one cv. sr. sub. disc.
nts., 10/15/05)/(4)(9)(11)/............. 100,000 158,500
------------
2,559,063
------------
Total Corporate Bonds and Notes
(Cost $15,112,269)...................... 15,539,777
------------
<CAPTION>
Market Value
Shares (Note 1)
------ ------------
<S> <C> <C>
COMMON STOCKS - 0.1%
Celcaribe SA/(4)(13)/....................... 24,390 $ 29,024
EchoStar Communications Corp., Cl. A........ 600 10,913
United International Holdings, Inc., Cl.
A/(13)/.................................... 1,000 14,750
------------
Total Common Stocks
(Cost $45,399)............................. 54,687
------------
PREFERRED STOCKS - 1.5%
BankAmerica Corp., 8.375%, Series K......... 7,000 181,125
California Federal Bank, 10.625% Non-
Cum., Series B............................. 2,000 217,000
First Nationwide Bank, 11.50% Non-
Cum........................................ 2,000 224,750
Glendale Federal Bank, F.S.B., 8.75%
Non-Cum. Cv., Series E..................... 1,000 45,250
Prime Retail, Inc., $19.00 Cv., Series B.... 6,000 106,500
SDW Holdings Corp., Units (each unit
consists of ten shares of sr.
exchangeable preferred stock and one cl.
B warrant to purchase one share of
common stock)/(4)(11)/..................... 375 108,750
------------
Total Preferred Stocks
(Cost $865,020)............................ 883,375
------------
UNITS
-----
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 6,750
Eye Care Centers of America, Inc.
Wts., Exp. 10/03/(4)/....................... 70 350
Geotek Communications, Inc. Wts., Exp.
7/05/(4)/................................... 7,500 15,000
Icon Health & Fitness, Inc. Wts., Exp.
11/99/(4)/.................................. 200 5,000
In-Flight Phone Corp. Wts., Exp.
8/02/(4)/................................... 200 -
IntelCom Group, Inc. Wts., Exp.
9/05/(4)/................................... 825 3,300
Terex Corp. Rts., Exp. 7/96/(4)/............. 36 2
United International Securities Ltd.
Wts., Exp. 11/99............................ 200 5,712
------------
Total Rights, Warrants and Certificates
(Cost $11,014).............................. 45,114
------------
DATE STRIKE CONTRACTS
---- ------ ---------
PUT OPTIONS PURCHASED - 0.0%
Brazil (Federal Republic of) Eligible
Interest Bonds, 6.812%, 4/15/06,
Put Opt. (Cost $9,750)............... Jan. $64.75 500 -
</TABLE>
44
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
---------- ------------
<S> <C> <C>
STRUCTURED INSTRUMENTS -- 1.6%
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, 5.742%, 4/1/00 and an
interest rate swap between Goldman
Sachs and the Trust]/(7)/................ $ 234,782 $ 229,500
Salomon Brothers, Inc., Zero Coupon
Brazilian Credit Linked Nts.:
11.318%, 2/15/96 (indexed to the Nota
Do Tesouro Nacional, Zero Coupon,
2/15/96)/(3)/............................ 250,000 246,250
11.136%, 3/5/96 (indexed to the Nota
Do Tesouro Nacional, Zero Coupon,
3/4/96)/(3)/............................. 200,000 195,680
United Mexican States, Linked Nts.
(indexed to the greater of Cetes Option
Amount or USD LIBOR Option
Amount, 11/27/96)/(4)/................... 300,000 305,475
------------
Total Structured Instruments
(Cost $977,638).......................... 976,905
------------
<CAPTION>
Principal Market Value
Amount /(1)/ (Note 1)
---------- ------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.8%
Repurchase agreement with PaineWebber,
Inc., 5.90%, dated 12/29/95, to be
repurchased at $500,328 on 1/2/96,
collateralized by U.S. Treasury Nts., 6.875%,
8/31/99, with a value of $178,667, and U.S.
Treasury Bonds, 7.125%-7.625%,
11/15/22-2/15/23, with a value of
$336,642 (Cost $500,000)................. $500,000 $ 500,000
-----------
Total Investments, at Value
(Cost $57,397,784)........................ 98.6% 59,245,209
-------- -----------
Other Assets Net of Liabilities............ 1.4 852,404
-------- -----------
Net Assets................................. 100.0% $60,097,613
======== ===========
</TABLE>
(1) Face amount is reported in U.S. Dollars, except for those denoted in
the following currencies:
AUD - Australian Dollar INR - Indian Rupee
CAD - Canadian Dollar ITL - Italian Lira
CLP - Chilean Peso JPY - Japanese Yen
DEM - German Deutsche Mark NLG - Netherlands Guilder
DKK - Danish Krone NOK - Norwegian Krone
ESP - Spanish Peseta NZD - New Zealand Dollar
FRF - French Franc PLZ - Polish Zloty
GBP - British Pound Sterling SEK - Swedish Krona
HUF - Hungarian Forint THB - Thai Baht
IDR - Indonesian Rupiah
/(2)/ Indexed instrument for which the principal amount and/or interest due
at maturity is affected by the relative value of a foreign currency.
/(3)/ For zero coupon bonds, the interest rate shown is the effective yield
on the date of purchase.
/(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 $3,264,200 or
5.43% of the Fund's net assets, at December 31, 1995.
/(5)/ Represents the current interest rate for a variable rate security.
/(6)/ A sufficient amount of liquid assets has been designated to cover
outstanding written call options, as follows:
<TABLE>
<CAPTION>
Face
Subject Expiration Exercise Premium Market Value
To Call Date Price Received SeeNote 1
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Bulgaria (Republic of) Interest Arrears
Bonds, 6.75%, 7/28/11.................... 1,000,000 1/96 $45 $14,300 $13,900
</TABLE>
/(7)/ Identifies issues considered to be illiquid - See Note 7 of Notes to
Financial Statements.
/(8)/ Represents the current interest rate for an increasing rate security.
/(9)/ Denotes a step bond: a zero coupon bond that converts to a fixed rate
of interest at a designated future date.
/(10)/ Interest or dividend is paid in kind.
/(11)/ 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, face amount disclosed
represents total underlying principal.
/(12)/ Non-income producing - issuer is in default of interest payment.
/(13)/ Non-income producing security.
See accompanying Notes to Financial Statements
45
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth & Income Fund
STATEMENT OF INVESTMENTS
December 31, 1995
<TABLE>
<CAPTION>
Principal Market Value
Amount (Note 1)
--------- ------------
<S> <C> <C>
Convertible Corporate Bonds and Notes -- 2.0%
ADT Operations, Inc., Zero Coupon Cv.
Sub. Nts., 6.148%, 7/6/10/(1)/............. $ 45,000 $ 21,375
Continental Homes Holding Corp.,
6.875% Cv. Sub. Nts., 11/1/02.............. 25,000 29,468
Federated Department Stores, Inc., 5%
Cv. Sub. Nts., 10/1/03..................... 15,000 15,169
Sandoz Capital BVI Ltd., 2% Cv. Gtd.
Sr. Unsec. Unsub. Nts., 10/6/02/(2)/....... 20,000 19,000
------------
Total Convertible Corporate Bonds and
Notes (Cost $75,554)....................... 85,012
------------
Shares
---------
Common Stocks -- 74.8%
Basic Materials -- 1.8%
Chemicals -- 1.5%
Du Pont (E.I.) De Nemours & Co.............. 650 45,419
W.R. Grace & Co............................. 300 17,737
------------
63,156
------------
Paper -- 0.3%
Visioneer, Inc./(3)/........................ 700 15,575
------------
Consumer Cyclicals -- 16.0%
Autos & Housing -- 1.2%
Ford Motor Co............................... 800 23,200
General Motors Corp......................... 500 26,437
------------
49,637
------------
Leisure & Entertainment -- 8.2%
Circus Circus Enterprises, Inc./(3)/........ 1,250 34,844
Eastman Kodak Co............................ 350 23,450
Pixar, Inc./(3)/............................ 5,000 144,375
Southwest Airlines Co....................... 1,000 23,250
Western Pacific Airlines, Inc./(3)/......... 7,500 125,625
------------
351,544
------------
Media -- 2.5%
Capital Cities/ABC, Inc..................... 250 30,844
Comcast Corp., Cl. A Special................ 1,500 27,281
Viacom, Inc., Cl. B/(3)/.................... 1,000 47,375
------------
105,500
------------
Retail: General -- 1.7%
Dillard Department Stores, Inc., Cl. A...... 1,250 35,625
Warnaco Group, Inc. (The), Cl. A............ 1,500 37,500
------------
73,125
------------
Retail: Specialty -- 2.4%
Alco Standard Corp.......................... 350 15,969
Nine West Group, Inc.(3).................... 1,250 46,875
Tandy Corp.................................. 1,000 41,500
------------
104,344
------------
Consumer Non-Cyclicals -- 10.1%
Beverages -- 0.8%
Boston Beer Co., Inc., Cl. A/(3)/........... 800 19,000
Pete's Brewing Co./(3)/..................... 1,000 14,000
------------
33,000
------------
Food -- 0.3%
IBP, Inc.................................... 300 15,150
------------
Healthcare/Drugs -- 3.1%
Amgen, Inc.................................. 350 20,781
Astra AB Free, Series A..................... 1,000 39,987
Bristol-Myers Squibb Co..................... 300 25,762
Genzyme Corp./(3)/.......................... 750 46,781
------------
133,311
------------
<CAPTION>
Market Value
Shares (Note 1)
--------- ------------
<S> <C> <C>
Common Stocks (Continued)
Consumer Non-Cyclicals (Continued)
Healthcare/Supplies & Services -- 2.9%
Columbia/HCA Healthcare Corp................ 750 $ 38,062
HEALTHSOUTH Corp............................ 500 14,562
Humana, Inc./(3)/........................... 500 13,687
National Surgery Centers, Inc./(3)/......... 1,000 23,000
Tenet Healthcare Corp./(3)/................. 1,000 20,750
U.S. Healthcare, Inc........................ 300 13,950
------------
124,011
------------
Household Goods -- 1.7%
Estee Lauder Cos., Inc., (The) Cl. A/(3)/... 1,500 52,312
Kimberly-Clark Corp......................... 273 22,591
------------
74,903
------------
Tobacco -- 1.3%
Philip Morris Cos., Inc..................... 600 54,300
------------
Energy -- 4.4%
Energy Services & Producers -- 1.8%
Schlumberger Ltd............................ 500 34,625
Weatherford Enterra, Inc./(3)/.............. 1,500 43,312
------------
77,937
------------
Oil-Integrated -- 2.6%
Atlantic Richfield Co....................... 250 27,687
Brown (Tom), Inc./(3)/...................... 1,000 14,625
Occidental Petroleum Corp................... 1,250 26,719
Union Pacific Resources Group, Inc.......... 300 7,613
Unocal Corp................................. 1,250 36,406
------------
113,050
------------
Financial -- 10.5%
Banks -- 7.3%
Ahmanson (H.F.) & Co........................ 300 7,950
Bankers Trust New York Corp................. 250 16,625
BayBanks, Inc............................... 400 39,300
Chase Manhattan Corp........................ 1,000 60,625
Commercial Federal Corp..................... 1,000 37,750
Fleet Financial Group, Inc.................. 1,000 40,750
Great Western Financial Corp................ 1,400 35,700
Meridian Bancorp, Inc....................... 900 41,850
Midlantic Corp.............................. 500 32,813
------------
313,363
------------
Diversified Financial -- 2.4%
Federal National Mortgage Assn.............. 350 43,444
H & R Block, Inc............................ 225 9,113
Investors Financial Services Corp./(3)/..... 1,500 31,125
Travelers Group, Inc........................ 300 18,863
------------
102,545
------------
Insurance -- 0.8%
Meadowbrook Insurance Group, Inc./(3)/...... 1,000 33,500
------------
Industrial -- 9.4%
Electrical Equipment -- 1.3%
General Electric Co......................... 200 14,400
Honeywell, Inc.............................. 800 38,900
------------
53,300
------------
Industrial Services -- 5.6%
CIBER, Inc./(3)/............................ 1,000 23,375
DST Systems, Inc./(3)/...................... 1,500 42,750
META Group, Inc./(3)/....................... 5,000 153,125
Vigoro Corp................................. 350 21,613
------------
240,863
------------
</TABLE>
46
<PAGE>
Oppenheimer Variable Account Funds - Oppenheimer Growth & Income Fund
STATEMENT OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
<CAPTION>
Market Value
Shares (Note 1)
--------- ------------
<S> <C> <C>
Common Stocks (Continued)
Industrial (Continued)
Manufacturing -- 2.2%
American Standard Cos., Inc./(3)/........... 1,750 $ 49,000
Hanson PLC, ADR............................. 2,000 30,500
Minnesota Mining & Manufacturing Co......... 200 13,250
------------
92,750
------------
Transportation -- 0.3%
Canadian National Railway Co./(3)/.......... 1,000 15,000
------------
Technology -- 22.2%
Aerospace/Defense -- 0.5%
Lockheed Martin Corp........................ 250 19,750
------------
Computer Hardware -- 5.9%
Cabletron Systems, Inc./(3)/................ 250 20,250
Citrix Systems, Inc./(3)/................... 500 16,250
International Business Machines Corp........ 850 77,988
Lexmark International Group, Inc., Cl.
A/(3)/..................................... 1,500 27,375
Network Appliance, Inc./(3)/................ 1,100 44,138
Objective Systems Integrators, Inc./(3)/.... 500 27,375
Quantum Corp./(3)/.......................... 1,250 20,156
Sun Microsystems, Inc./(3)/................. 400 18,250
------------
251,782
------------
Computer Software -- 10.1%
Adobe Systems, Inc.......................... 250 15,500
Advent Software, Inc./(3)/.................. 1,800 31,950
Arbor Software Corp./(3)/................... 1,000 47,250
Autodesk, Inc............................... 500 17,125
Black Box Corp./(3)/........................ 750 12,281
Fractal Design Corp./(3)/................... 2,000 28,000
IDX Systems Corp./(3)/...................... 700 24,325
Informix Corp./(3)/......................... 250 7,500
Logic Works, Inc./(3)/...................... 500 6,250
MetaTools, Inc./(3)/........................ 500 13,000
Oracle Corp./(3)/........................... 250 10,594
Platinum Technology, Inc./(3)/.............. 1,200 22,050
Secure Computing Corp./(3)/................. 2,000 112,000
Sync Research, Inc./(3)/.................... 1,300 58,825
Visio Corp./(3)/............................ 1,000 28,250
------------
434,900
------------
Electronics -- 2.0%
Intel Corp.................................. 600 34,050
Photon Dynamics, Inc./(3)/.................. 1,500 12,000
Texas Instruments, Inc...................... 750 38,813
------------
84,863
------------
Telecommunications-Technology -- 3.7%
AT&T Corp................................... 400 25,900
DSC Communications Corp./(3)/............... 750 27,656
LCI International, Inc./(3)/................ 200 4,100
VTEL Corp./(3)/............................. 1,500 27,750
Westell Technologies, Inc., Cl. A/(3)/...... 3,000 75,375
------------
160,781
------------
<CAPTION>
Market Value
Shares (Note 1)
--------- ------------
<S> <C> <C>
Common Stocks (Continued)
Utilities -- 0.4%
Electric Utilities -- 0.4%
SCEcorp..................................... 1,000 $ 17,750
------------
Total Common Stocks (Cost
$2,723,302)................................ 3,209,690
------------
Preferred Stocks -- 5.8%
Freeport-McMoRan Copper & Gold,
Inc., Cv. Depositary Shares................ 750 20,437
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................. 1,000 23,375
Bally Entertainment Corp., 8% Cv.
Preferred Redeemable Increased
Dividend Equity Securities................. 1,500 20,437
Continental Airlines Finance Trust,
8.50% Cv. Trust Originated Preferred
Securities/(2)/............................ 500 26,750
Delta Air Lines, Inc., $3.50 Cv.
Depositary Shares, Series C................ 500 29,688
Cablevision Systems Corp., 8.50% Cum.
Cv., Series I.............................. 1,000 27,250
Fidelity Federal Bank, 12% Non-Cum.
Exchangeable Perpetual Preferred
Stock, Series A............................ 1,000 25,375
Advanta Corp., Stock Appreciation Income
Linked Securities (each representing a
one-hundredth interest in a share of 6.75%
Cv. Cl. B Preferred Stock, Series 1995).... 500 19,375
SunAmerica, Inc., $3.10 Cum. Cv.
Depositary Shares.......................... 500 32,750
Elsag Bailey Financing Trust, 5.50%
Cv. Trust Originated Preferred
Securities/(2)/............................ 500 25,188
------------
Total Preferred Stocks (Cost
$241,615)................................... 250,625
------------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
Repurchase Agreement -- 11.7%
Repurchase agreement with PaineWebber, Inc.,
5.90%, dated 12/29/95, to be repurchased
at $500,328 on 1/2/96, collateralized by
U.S. Treasury Nts., 6.875%, 8/31/99, with a
value of $178,667, and U.S. Treasury Bonds,
7.125%-7.625%, 11/15/22-2/15/23, with a
value of $336,642 (Cost $500,000).......... $ 500,000 500,000
------------
Total Investments, at Value (Cost
$3,540,471)................................. 94.3% 4,045,327
---------- ------------
Other Assets Net of Liabilities.............. 5.7 243,124
---------- ------------
Net Assets................................... 100.0% $ 4,288,451
========== ============
</TABLE>
/(1)/ For zero coupon bonds, the interest rate shown is the effective yield on
the date of purchase.
/(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 $70,938 or 1.65% of the
Fund's net assets, at December 31, 1995.
/(3)/ Non-income producing security.
See accompanying Notes to Financial Statements.
47
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements
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)
48
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
adjusted for amortization to maturity of any premium or discount.
Options are valued based upon the last sale price on the principal
exchange on which the option is traded or, in the absence of any
transactions that day, the value is based upon the last sale on the
prior trading date if it is within the spread between the closing bid
and asked prices. If the last sale price is outside the spread, the
closing bid or asked price closest to the last reported sale price is
used. Forward foreign currency exchange contracts 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.
B. Securities Purchased on a When-Issued Basis.
Delivery and payment for securities that have been purchased by 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. OSBF maintains, in a
segregated account with its custodian, assets with a market value equal
to the amount of its purchase commitments. The purchase of securities
on a when-issued or forward commitment basis may increase the
volatility of OSBF's net asset value to the extent the Fund makes such
purchases while remaining substantially fully invested.
In connection with its ability to purchase securities on a when-issued
or forward commitment basis, OSBF may enter into mortgage "dollar-
rolls" in which the Fund sells securities for delivery in the current
month and simultaneously contracts with the same counterparty to
repurchase similar (same type, coupon and maturity) but not identical
securities on a specified future date. The Fund records each dollar-
roll as a sale and a new purchase transaction.
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.
At December 31, 1995, securities with an aggregate market value of
$491,444 for OHIF and $67,873 for OSBF, representing 0.37% and 0.11%
respectively, of the Funds' net assets, were in 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. At December 31, 1995, the following Funds had available for
federal income tax purposes unused capital loss carryovers expiring in
2002 and 2003:
49
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
OHIF-- $ 3,033,760
OGSF-- $17,569,501
OSBF-- $ 1,609,951
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.
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. Changes in classification made during
the fiscal year ended December 31, 1995 are shown below:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Adjustments for the Fiscal Year Ended December 31, 1995
-------------------------------------------------------------------------
Undistributed Net Investment Undistributed Net Realized Paid-in
Income (Loss) Gain (Loss) on Investments Capital
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Oppenheimer High Income
Fund 186,751 (186,751) --
--------------------------------------------------------------------------------------------------
Oppenheimer Bond Fund (1,093,371) 1,093,371 --
--------------------------------------------------------------------------------------------------
Oppenheimer Capital
Appreciation Fund -- -- --
--------------------------------------------------------------------------------------------------
Oppenheimer Growth Fund -- -- --
--------------------------------------------------------------------------------------------------
Oppenheimer Multiple
Strategies Fund (204,481) 204,481
--------------------------------------------------------------------------------------------------
Oppenheimer Global
Securities Fund (2,845,512) 6,264,762 (3,419,250)
--------------------------------------------------------------------------------------------------
Oppenheimer Strategic Bond
Fund 9,220 (9,220) --
--------------------------------------------------------------------------------------------------
Oppenheimer Growth &
Income Fund 37 (37) --
--------------------------------------------------------------------------------------------------
</TABLE>
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, OCAP, OGF,
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.
50
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
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
----------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------------------------- ---------------------------------
Shares Amount Shares Amount
----------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 202,748,102 $ 202,748,102 175,917,558 $ 175,917,558
Dividends and
distributions
reinvested 4,222,747 4,222,747 3,640,684 3,640,684
Redeemed (231,260,663) (231,260,663) (151,084,269) (151,084,269)
--------------------------------- ---------------------------------
Net increase
(decrease) (24,289,814) $ (24,289,814) 28,473,973 $ 28,473,973
--------------------------------- ---------------------------------
<CAPTION>
Oppenheimer High Income Fund
--------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
--------------------------------- ---------------------------------
Shares Amount Shares Amount
--------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 5,873,231 $ 60,932,670 9,936,582 $ 81,477,904
Dividends and
distributions
reinvested 1,162,957 12,040,152 841,101 8,686,931
Redeemed (4,263,757) (44,560,679) (9,441,490) (75,726,156)
--------------------------------- ---------------------------------
Net increase
(decrease) 2,772,431 $ 28,412,143 1,336,193 $ 14,438,67
--------------------------------- ---------------------------------
<CAPTION>
Oppenheimer Bond Fund
----------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------------------------- ---------------------------------
Shares Amount Shares Amount
----------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 7,311,733 $ 83,544,442 5,002,623 $ 56,466,171
Dividends and
distributions
reinvested 976,291 11,209,883 666,678 7,384,654
Redeemed (2,972,687) (33,822,108) (2,744,016) (30,950,944)
----------------------------------- ---------------------------------
Net increase 5,315,337 $ 60,932,217 2,925,285 $ 32,899,881
----------------------------------- ---------------------------------
<CAPTION>
Oppenheimer Capital Appreciation Fund
----------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------------------------- ---------------------------------
Shares Amount Shares Amount
----------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 8,882,212 $ 260,650,476 7,912,557 $ 173,453,586
Dividends and
distributions
reinvested 40,594 1,082,642 614,575 17,331,023
Redeemed (6,567,729) (191,565,283) (5,695,411) (114,272,197)
----------------------------------- ---------------------------------
Net increase 2,355,077 $ 70,167,835 2,831,721 $ 76,512,412
----------------------------------- ---------------------------------
<CAPTION>
Oppenheimer Growth Fund
----------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------------------------- ---------------------------------
Shares Amount Shares Amount
----------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 4,302,304 $ 89,007,340 2,577,268 $ 45,230,951
Dividends and
distributions
reinvested 95,991 1,795,026 36,305 644,411
Redeemed (2,980,080) (60,949,490) (2,236,767) (38,999,875)
----------------------------------- ---------------------------------
Net increase 1,418,215 $ 29,852,876 376,806 $ 6,875,487
----------------------------------- ---------------------------------
<CAPTION>
Oppenheimer Multiple Strategies Fund
----------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------------------------- ---------------------------------
Shares Amount Shares Amount
----------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 6,445,242 $ 88,771,497 9,807,084 $ 84,443,396
Dividends and
distributions
reinvested 1,818,313 24,783,721 1,140,244 14,981,165
Redeemed (4,671,097) (64,421,131) (6,353,523) (37,006,732)
----------------------------------- ---------------------------------
Net increase 3,592,458 $ 49,134,087 4,593,805 $ 62,417,829
----------------------------------- ---------------------------------
</TABLE>
51
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
<TABLE>
<CAPTION>
Oppenheimer Global Securities Fund
----------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------------------------- ---------------------------------
Shares Amount Shares Amount
----------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 11,235,722 $ 166,766,446 22,151,454 $ 336,310,887
Dividends and
distributions
reinvested 585,961 8,174,158 178,687 2,801,813
Redeemed (7,497,205) (112,360,172) (8,503,911) (112,426,012)
----------------------------------- ---------------------------------
Net increase 4,324,478 $ 62,580,432 13,826,230 $ 226,686,688
----------------------------------- ---------------------------------
<CAPTION>
Oppenheimer Strategic Bond Fund
----------------------------------------------------------------------
Year Ended Year Ended
December 31, 1995 December 31, 1994
----------------------------------- ---------------------------------
Shares Amount Shares Amount
----------------------------------- ---------------------------------
<S> <C> <C> <C> <C>
Sold 9,417,090 $ 44,897,472 3,749,500 $ 18,415,292
Dividends and
distributions
reinvested 661,301 3,151,540 247,485 1,178,372
Redeemed (2,245,623) (10,642,846) (1,508,782) (7,350,665)
----------------------------------- ---------------------------------
Net increase 7,832,768 $ 37,406,166 2,488,203 $ 12,242,999
----------------------------------- ---------------------------------
<CAPTION>
Oppenheimer Growth & Income Fund
-----------------------------------
Year Ended
December 31, 1995/1/
-----------------------------------
Shares Amount
-----------------------------------
<S> <C> <C>
Sold 358,253 $3,933,459
Dividends and
distributions
reinvested 404 4,928
Redeemed (15,863) (181,994)
-----------------------------------
Net increase 342,794 $3,756,393
-----------------------------------
</TABLE>
(1) For the period from July 5, 1995 (commencement of operations) to
December 31, 1995.
3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS AND OPTIONS WRITTEN
At December 31, 1995, 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 $ 7,814,322 $ 9,892,102 $ 70,829,161 $ 25,616,239
Gross depreciation (2,103,465) (1,054,488) (7,853,814) (1,998,316)
------------------------------------------------------------------
Net unrealized appreciation $ 5,710,857 $ 8,837,614 $62,975,347 $23,617,923
------------------------------------------------------------------
<CAPTION>
Oppenheimer Oppenheimer Oppenheimer Oppenheimer
Multiple Global Strategic Growth &
Strategies Securities Bond Income
Fund Fund Fund Fund
------------------------------------------------------------------
<S> <C> <C> <C> <C>
Gross appreciation $ 53,305,284 $ 37,997,341 $ 2,340,864 $ 599,103
Gross depreciation (11,146,651) (14,351,638) (493,040) (94,247)
------------------------------------------------------------------
Net unrealized appreciation $ 42,158,633 $ 23,645,703 $ 1,847,824 $ 504,856
------------------------------------------------------------------
</TABLE>
Purchases and sales of investment securities (excluding short-term securities)
for the year ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Purchases $145,095,379 $196,515,342 $318,974,082 $78,667,711 $123,862,840 $491,709,775 $67,228,738 $3,421,021
- --------------------------------------------------------------------------------------------------------------------------------
Sales $112,222,617 $120,210,417 $255,116,481 $41,669,055 $117,669,946 $416,155,747 $26,588,452 $ 400,564
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
52
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
4. Option Activity
The Funds (except OMF, OCAP and OGF) may buy and sell put and call options,
or write covered put and call options on portfolio securities in order to
produce incremental earnings or protect against changes in the value of
portfolio securities.
The Funds generally purchase put options or write covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Funds receive a premium and become obligated to sell
or purchase the underlying security at a fixed price, upon exercise of the
option.
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 Statement of Investments. Options written are
reported as a liability in the Statement of Assets and Liabilities. Gains
and losses are reported in the Statement of Operations.
The risk in writing a call option is that the Funds give up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Funds may incur a
loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the 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.
OHIF option activity for the year ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
CALL OPTIONS
Number of Options Amount of Premiums
-------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 -- $ --
Options written 28,600 5,389
Options canceled in closing transactions (28,500) (3,959)
-------------------------------------
Options outstanding at December 31, 1995 100 $ 1,430
</TABLE>
OBF option activity for the year ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
CALL OPTIONS
Number of Options Amount of Premiums
-------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 -- $ --
Options written 82,000 17,019
Options canceled in closing transactions (82,000) (17,019)
-------------------------------------
Options outstanding at December 31, 1995 -- $ --
-------------------------------------
</TABLE>
53
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
OMSF option activity for the year ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
CALL OPTIONS
-------------------------------------
Number of Options Amount of Premiums
-------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 2,255 $ 607,682
Options written 8,275 2,150,503
Options canceled in closing transactions (1,894) (448,093)
Options expired prior to exercise (2,353) (451,021)
Options exercised (2,680) (758,976)
-------------------------------------
Options outstanding at December 31, 1995 3,603 $1,100,095
=====================================
</TABLE>
OSBF option activity for the year ended December 31, 1995 was as follows:
<TABLE>
<CAPTION>
CALL OPTIONS
-------------------------------------
Number of Options Amount of Premiums
-------------------------------------
<S> <C> <C>
Options outstanding at December 31, 1994 307 $ 1,600
Options written 3,314 35,871
Options canceled in closing transactions (2,141) (20,467)
Options expired prior to exercise (190) (763)
Options exercised (290) (1,942)
-------------------------------------
Options outstanding at December 31, 1995 1,000 $ 14,299
=====================================
</TABLE>
5. Forward Foreign Currency Exchange Contracts
A forward foreign currency exchange contract (forward contract) is a
commitment to purchase or sell a foreign currency at a future date, at a
negotiated rate.
The Funds (except OMF) use forward contracts to seek to manage foreign
currency risks. They may also be used to tactically shift portfolio currency
risk. The Funds generally enter into forward contracts as a hedge upon the
purchase or sale of a security denominated in a foreign currency. In
addition, the Funds may enter into such contracts as a hedge against changes
in foreign currency exchange rates on portfolio positions.
Forward contracts are valued 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.
54
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
At December 31, 1995, outstanding forward contracts to purchase and sell foreign
currencies were as follows:
Oppenheimer High Income Fund
<TABLE>
<CAPTION>
Unrealized
Contract Amount Valuation as of Appreciation
Contracts to Purchase Exchange Date (in 000s) December 31, 1995 (Depreciation)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Japanese Yen (JPY) 1/4/96 55,250 JPY $ 535,752 $ (9,657)
New Zealand Dollar (NZD) 12/18/96 892 NZD 567,334 2,150
---------
(7,507)
---------
Contracts to Sell
- ------------------------
Deutsche Mark (DEM) 1/4/96-2/21/96 3,670 DEM $ 2,562,764 (3,622)
Japanese Yen (JPY) 12/18/96 54,625 JPY 553,249 11,934
---------
8,312
---------
Net Unrealized Appreciation $ 805
---------
<CAPTION>
Oppenheimer Bond Fund
Unrealized
Contract Amount Valuation as of Appreciation
Contracts to Sell Exchange Date (in 000s) December 31, 1995 (Depreciation)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Australian Dollar (AUD) 1/4/96 59 AUD $ 43,775 $ 190
Deutsche Mark (DEM) 1/4/96-2/21/96 11 DEM 7,661,169 (15,712)
---------
$(15,522)
---------
<CAPTION>
Oppenheimer Multiple Strategies Fund
Unrealized
Contract Amount Valuation as of Appreciation
Contracts to Sell Exchange Date (in 000s) December 31, 1995 (Depreciation)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hong Kong Dollar (HKD) 1/2/96 707 HKD $ 91,439 $ 2
--------
<CAPTION>
Oppenheimer Global Securities Fund
Unrealized
Contract Amount Valuation as of Appreciation
Contracts to Purchase Exchange Date (in 000s) December 31, 1995 (Depreciation)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hong Kong Dollar (HKD) 1/2/96-1/3/96 8,904 HKD $ 1,151,601 $ (218)
Italian Lira (ITL) 1/31/96 3,888,129 ITL 2,438,922 (9,912)
Japanese Yen (JPY) 1/4/96-1/5/96 75,155 JPY 728,792 (2,948)
Singapore Dollar (SGD) 1/2/96-1/5/96 830 SGD 586,556 (853)
Greek Drachma (GRD) 1/2/96-1/4/96 49,496 GRD 209,220 432
---------
(13,499)
---------
<CAPTION>
Contracts to Sell
- ------------------------
<S> <C> <C> <C> <C>
Austrian Schilling (ATS) 1/2/96 17,770 ATS $ 1,764,559 (12,653)
Swiss Franc (CHF) 1/4/96 279 CHF 242,200 (1,139)
Deutsche Mark (DEM) 1/4/96 1,598 DEM 1,116,140 (5,709)
Japanese Yen (JPY) 3/29/96 3,043,800 JPY 29,807,684 192,316
Norwegian Krone (NOK) 1/2/96-1/4/96 8,521 NOK 1,348,728 (9,042)
---------
163,773
---------
Net Unrealized Appreciation $ 150,274
---------
</TABLE>
55
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
Unrealized
Contract Amount Valuation as of Appreciation
Contracts to Purchase Exchange Date (in 000s) December 31, 1995 (Depreciation)
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Japanese Yen (JPY) 1/4/96 33,988 JPY $ 329,572 $(5,982)
New Zealand Dollar (NZD) 12/18/96 541 NZD 344,380 1,096
--------
(4,886)
--------
<CAPTION>
Contracts to Sell
- ------------------------
<S> <C> <C> <C> <C>
Australian Dollar (AUD) 1/4/96 22 AUD $ 16,134 (25)
Deutsche Mark (DEM) 2/13/96 1,605 DEM 1,119,976 (5,393)
Japanese Yen (JPY) 12/18/96 33,175 JPY 336,001 7,283
Swiss Franc (CHF) 2/13/96 860 CHF 748,739 (8,636)
----------
(6,771)
----------
Net Unrealized Depreciation $ (11,657)
==========
</TABLE>
6. Management Fees and Other Transactions with Affiliates
Management fees paid to the Manager were in accordance with the investment
advisory agreements with the Trust. For OBF, OCAP, OGF, OMSF, OHIF, OGSF,
OSBF and OGIF, the annual fees are .75% of the first $200 million of net
assets, .72% of the next $200 million, .69% of the next $200 million, .66%
of the next $200 million and .60% of net assets in excess of $800 million.
In addition, management fees for OHIF, OBF and OSBF are .50% of net assets
in excess of $1 billion. Management fees for OMF are .45% of the first $500
million, .425% of the next $500 million, .40% of the next $500 million and
.375% of net assets in excess of $1.5 billion. For OSBF, the Manager has
agreed to limit the management fee charged so that the ordinary operating
expenses of the Fund will not exceed 1.0% of its average net assets in any
fiscal year.
7. Illiquid and Restricted Securities
At December 31, 1995, investments in securities included issues that are
illiquid or restricted. The securities are often purchased in private
placement transactions, are not registered under the Securities Act of 1933,
may have contractual restrictions on resale, and are valued under methods
approved by the Board of Trustees as reflecting fair value. The Funds intend
to invest no more than 10% of net assets (determined at the time of
purchase) in illiquid and restricted securities. Information concerning
these securities is as follows:
<TABLE>
<CAPTION>
Oppenheimer High Income Fund
Valuation as of
Security Acquisition Date Cost Per Unit December 31, 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Ames Department Stores,
Inc., Excess Cash Flow
Payment Certificates,
Series AG-7A 12/30/92 $ 0.00 $ .01
Ames Department Stores,
Inc., Litigation Trust 12/30/92 0.00 .01
Colombia (Republic of)
1989-1990 Integrated Loan
Facility Bonds, 6.875%,
7/1/01 12/05/95 92.00 93.00
ECM Fund, L.P.I. 4/14/92 100.00 1,000.00
ECM Fund, L.P.I., 14% Sub.
Nts., 6/10/02 4/14/92 100.00 110.00
Farley, Inc., Zero Coupon
Sub. Debs., 14.151%,
12/30/12 1/1/93-3/6/95 7.44 9.88
Gillett Holdings, Inc.,
C1.2 12/1/92 10.50 20.00
Goldman, Sachs & Co.,
Argentina Local Market
Securities Trust, 11.30%,
4/1/00 8/24/94 100.00 97.75
Pulsar Internacional SA de
CV, 11.80% Nts., 9/19/96 9/14/95 100.00 100.75
Triangle Wire & Cable, Inc. 5/2/94 9.50 1.00
Trinidad & Tobago Loan
Participation Agreement,
Tranche B, 1.563%, 9/30/00 12/13/95 .84 .82
</TABLE>
56
<PAGE>
Oppenheimer Variable Account Funds
Notes to Financial Statements (Continued)
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at December 31, 1995 was $3,708,444 or 2.78% 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
Valuation as of
Security Acquisition Date Cost Per Unit December 31, 1995
--------------------------------------------------------------------------------
<S> <C> <C> <C>
Colombia (Republic of)
1989-1990 Integrated Loan
Facility Bonds, 6.875%,
7/1/01 12/5/95 $ 92.00 $ 93.00
Merrill Lynch & Co., Inc.
Units, 9.75% 6/15/99 5/15/95 110.05 115.10
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at December 31, 1995 was $2,745,392 or 1.30% 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
<S> <C> <C> <C>
Valuation as of
Security Acquisition Date Cost Per Unit December 31, 1995
----------------------------------------------------------------------------------------------------------
Santa Anita Realty Enterprises, Inc., Units 5/28/93-2/9/95 $ 16.99 $ 11.88
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at December 31, 1995 was $475,000 or 0.12% 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 Global Securities Fund
Valuation as of
Security Acquisition Date Cost Per Unit December 31, 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Plant Genetics Systems 5/27/92-3/7/95 $13.77 $11.91
Plant Genetics, Inc. Wts.,
Exp. 12/99 3/7/95 0.00 1.99
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at December 31, 1995, was $1,180,542, or 0.33% 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.
<TABLE>
<CAPTION>
Oppenheimer Strategic Bond Fund
Valuation as of
Security Acquisition Date Cost Per Unit December 31, 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Colombia (Republic of)
1989-1990 Integrated Loan
Facility Bonds, 6.875%,
7/1/01 12/5/95 $ 92.00 $ 93.00
Goldman, Sachs & Co.,
Argentina Local Market
Securities Trust, 11.30%,
4/1/00 8/24/94 100.00 97.75
Jamaica (Government of)
1990 Refinancing
Agreement Nts., Tranche
A, 6.75%, 10/16/00 8/15/95 89.75 90.00
Pulsar Internacional SA de
CV, 11.80% Nts., 9/19/96 9/15/95 100.00 100.75
Trinidad & Tobago Loan
Participation Agreement,
Tranche A, 1.563%, 9/30/00 12/13/95-12/18/95 .84 .82
United Mexican States,
Combined Facility 3, Loan
Participation Agreement,
Tranche A, 6.50%, 9/20/97 10/25/94 89.00 75.75
</TABLE>
The aggregate value of illiquid and restricted securities subject to the 10%
limitation at December 31, 1995, was $1,221,735, or 2.03% 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.
57
<PAGE>
Independent Auditors' Report
The Board of Trustees and Shareholders of Oppenheimer Variable Account Funds:
We have audited the accompanying statements of assets and liabilities, including
the statements of investments, of 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 (all of which are series of Oppenheimer Variable Account Funds) as
of December 31, 1995, the related statements of operations for the year then
ended, the statements of changes in net assets for the years ended December 31,
1995 and 1994, and the financial highlights for the applicable periods ended
December 31, 1995, 1994, 1993, 1992, 1991, 1990, 1989, 1988, 1987 and 1986.
These financial statements and financial highlights are the responsibility of
the Funds' management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at
December 31, 1995 by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of 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 at December 31, 1995, the results of their
operations, the changes in their net assets, and the financial highlights for
the respective stated periods, in conformity with generally accepted accounting
principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
January 22, 1996
58
<PAGE>
Federal Income Tax Information (Unaudited)
In early 1996, shareholders will receive information regarding all dividends and
distributions paid to them by the Funds during calendar year 1995. Regulations
of the U.S. Treasury Department require the Funds to report this information to
the Internal Revenue Service.
Certain distributions paid on March 24, 1995 were designated as "capital gain
distributions" for federal income tax purposes. These distributions are shown
in the table below. Whether received in stock or cash, a capital gain
distribution should be treated by shareholders as a gain from the sale of
capital assets held for more than one year (long-term capital gains).
Dividends paid by the Fund during the fiscal year ended December 31, 1995 which
are not designated as capital gain distributions should be multiplied by the
percentages listed below to arrive at the net amount eligible for the corporate
dividend-received deduction.
<TABLE>
<CAPTION>
Long-Term Capital Corporate Dividend-
Gain Distribution Received Deduction
- --------------------------------------------------------------------------------
<S> <C> <C>
Oppenheimer Money Fund -- --
- --------------------------------------------------------------------------------
Oppenheimer High Income Fund -- 4.90%
- --------------------------------------------------------------------------------
Oppenheimer Bond Fund -- 0.75%
- --------------------------------------------------------------------------------
Oppenheimer Capital Appreciation Fund $.047 4.14%
- --------------------------------------------------------------------------------
Oppenheimer Growth Fund $.263 18.31%
- --------------------------------------------------------------------------------
Oppenheimer Multiple Strategies Fund $.371 12.64%
- --------------------------------------------------------------------------------
Oppenheimer Global Securities Fund $.382 --
- --------------------------------------------------------------------------------
Oppenheimer Strategic Bond Fund -- 2.18%
- --------------------------------------------------------------------------------
Oppenheimer Growth & Income Fund -- 38.51%
- --------------------------------------------------------------------------------
</TABLE>
The foregoing information is presented to assist shareholders in reporting
distributions received from the Funds to the Internal Revenue Service. Because
of the complexity of the federal regulations which may affect your individual
tax return and the many variations in the state and local tax regulations, we
recommend that you consult your tax advisor for specific guidance.
59
