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As Of Filer Filing For·On·As Docs:Size Issuer Agent 12/07/17 Oppenheimer Global Strategic … Fd N-CSR 9/30/17 4:2.8M Donnelley … Solutions/FA → Oppenheimer Global Strategic Income Fund ⇒ A — B — C — I — R — Y |
Document/Exhibit Description Pages Size 1: N-CSR Oppenheimer Global Strategic Income Fund HTML 1.79M 4: EX-99.906CERT Section 906 Certifications HTML 7K 3: EX-99.CERT Section 302 Certifications HTML 16K 2: EX-99.CODE ETH Code of Ethics HTML 33K
| Oppenheimer Global Strategic Income Fund |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
Oppenheimer Global Strategic Income Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: September 30
Date of reporting period: 9/30/2017
Item 1. Reports to Stockholders.
| Annual Report
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9/30/2017
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Oppenheimer Global Strategic Income Fund
|
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 9/30/17
|
Class A Shares of the Fund |
||||||
|
Without Sales Charge
|
With Sales Charge
|
Bloomberg Barclays U.S. Aggregate Bond Index
| ||||
| 1-Year |
4.45% | -0.51% | 0.07% | |||
| 5-Year |
2.83 | 1.84 | 2.06 | |||
| 10-Year |
4.45 | 3.95 | 4.27 | |||
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
2 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
The Fund’s Class A shares (without sales charge) produced a return of 4.45% during the reporting period, outperforming the 0.07% return provided by the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).
MARKET OVERVIEW
Markets in general turned to “risk-on” mode after the surprise election of Donald Trump, with equities climbing and credit spreads narrowing to the tight levels from early 2015, and U.S. Treasury yields climbing to levels not experienced since 2014. The U.S. dollar rallied over the fourth quarter of 2016, particularly immediately following Mr. Trump’s victory. However, much of the move was reversed over the first quarter of 2017 when the greenback depreciated against most currencies, especially against Emerging Market (EM) currencies. This trend resumed through the end of the reporting period. In
addition, EM local assets reversed most of the losses they experienced in the months after the Presidential election, and rallied year to date in 2017.
Global economic data continued to improve during the reporting period. The cyclical uptick is encouraging with improvements in global investment, trade, and industrial production. Business and consumer confidence are at cyclical highs in many countries. Growth expectations remain upbeat in several countries and regions, including the Eurozone, Japan, Canada, Australia, Sweden, Eastern
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
3 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Europe and parts of Asia. Latin America is a different story, with growth more challenged overall, except for Brazil.
In the U.S., while devastating hurricanes swept through the country during the period, gross domestic product (GDP) remained on its 2% growth trend through the end of the reporting period. In the short term, severe storms typically reduce economic activity but then lead to rebuilding in later months. The medium-term course of the economy should not be affected, in our view. Private consumption, the driving force of the economy in recent years, is growing at a moderate rate. Additionally, business fixed investment has gained momentum in recent months, and headwinds from international trade turned into tailwinds as lagged effects of past dollar strength diminishes. In fact, dollar weakness typically leads to global growth momentum gains.
International economic and geopolitical concerns were somewhat elevated in the closing months of the period, with tensions in North Korea and the Catalan independence referendum. The German election led to mixed results for Chancellor Merkel, with a complicated coalition-building process that is not expected to be resolved until the end of the year. Nevertheless, Merkel still calls the shots and, in cooperation with French President Macron, a modest reform agenda on Eurozone governance is expected in the coming year or two. Markets are keeping an eye on developments in North Korea, which remains unpredictable.
With the U.S. expansion continuing, the Federal Reserve is near to reaching its dual mandates of full employment and price stability. While inflation has surprised to the downside for a few months now, the Fed sees it as temporary and has begun its balance sheet normalization program. The Fed continues to signal one more hike this year, likely in December, and three hikes next year. The market is increasingly pricing in a December hike, but not more than one hike for 2018. The reaction to balance sheet normalization and hikes has been orderly.
FUND REVIEW
For the one-year reporting period, the Fund’s strongest absolute results stemmed from its exposure to high yield, emerging market credit and senior loans as well as an underweight in duration.
In High Yield, the Fund benefited most from its exposure to the energy sector. Oil prices rose over the closing months of the reporting period. The rise in oil prices was generally a result of improved fundamentals due to better than expected demand growth globally, lower OECD (Organization for Economic Co-operation and Development) countries’ oil inventories, and continued strong compliance with the OPEC (Organization of the Petroleum Exporting Countries) production cuts announced last year. In addition, sentiment improved as the working oil rig count flattened in the U.S. during the third quarter of 2017, which indicated that growth in U.S. oil shale drilling activity was moderating.
4 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
The Fund also benefited from its exposure to Services and Gaming, Lodging and Leisure.
Emerging market credit has outperformed U.S. and European markets so far in 2017. The Fund maintained an overall neutral position, but with a greater tilt toward higher-yielding credits, in particular state-owned oil & gas companies that have been repairing their credit profiles but offered a significant yield advantage over their government bonds. The main contributors to performance included Brazil and Ukraine.
We increased our allocation to senior loans during the reporting period, which currently represent roughly 14% of the portfolio at period end. This exposure performed well during the reporting period, and we continue to believe the current market environment can be supportive of senior loans.
Detractors from performance included the Fund’s exposure to catastrophe bonds that were affected by the hurricanes in Texas and Florida.
MARKET OUTLOOK & PORTFOLIO POSITIONING
Our market outlook based on positive sentiment indicators and synchronized global growth close to 3.5% remains positive. Credit
fundamentals in High Yield have been improving modestly due to earnings growth and a lack of capital expenditures. Higher commodity prices, driven by rising demand, even in oil, have had a positive effect especially on High Yield and EM credits. Given our expectation that growth will stabilize around current levels, our outlook remains positive.
Two potential headwinds to future returns are valuations that are rich relative to historical levels and any negative market response to changes in central bank policy. Valuations appearing somewhat rich at this point in the cycle are not unusual, especially when growth is positive and fundamentals are improving. With respect to central bank policy, the biggest unknown is who will be appointed the next Chairperson of the Federal Reserve. The Fed’s framework for normalizing the balance sheet and increasing policy rates is already laid out and we don’t expect significant changes, but the announcement of the new Chair is likely to produce at least a short-term response from the markets.
Solid economic fundamentals and positive earnings growth lead us to continue to like High Yield corporate bonds, though we have reduced our exposure recently based on valuation. We like Senior Floating Rate Loans for similar reasons. In our view, loans should
5 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
outperform other credit sectors if the Fed hikes rates at a more aggressive pace than the market expects. In addition, we continue to look for opportunities to add to our
MBS & CMBS position on any back up in spreads. Outside of the U.S., we like EM Local and Credit bonds based on robust growth combined with stable to falling inflation.
|
Michael Mata Portfolio Manager |
|
Krishna Memani Portfolio Manager | |||||
|
Ruta Ziverte Portfolio Manager |
|
Chris Kelly Portfolio Manager | |||||
6 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
PORTFOLIO ALLOCATION
| Non-Convertible Corporate Bonds and Notes | 41.9% | |||
| Investment Companies | ||||
| Oppenheimer Institutional Government Money Market Fund |
1.8 | |||
| Oppenheimer Master Event-Linked Bond Fund, LLC |
1.9 | |||
| Oppenheimer Master Loan Fund, LLC |
13.3 | |||
| Oppenheimer Ultra-Short Duration Fund |
3.9 | |||
| Mortgage-Backed Obligations Government Agency | 10.8 | |||
| Non-Agency |
9.4 | |||
| Foreign Government Obligations | 10.7 | |||
| Asset-Backed Securities | 3.5 | |||
| Preferred Stocks | 0.8 | |||
| Short-Term Notes | 0.8 | |||
| Structured Securities | 0.4 | |||
| Common Stocks | 0.3 | |||
| Corporate Loans | 0.2 | |||
| Over-the-Counter Interest Rate Swaptions Purchased | 0.2 | |||
| Over-the-Counter Options Purchased | 0.1 | |||
| Rights, Warrants and Certificates | —* |
* Represents a value of less than 0.05%.
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2017, and are based on the total market value of investments.
REGIONAL ALLOCATION
| U.S./Canada | 78.8% | |||
| Latin & South America | 5.7 | |||
| Emerging Europe | 4.1 | |||
| Asia | 3.8 | |||
| Middle East/Africa | 3.9 | |||
| Europe | 3.7 |
Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2017, and are based on the total market value of investments.
7 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
TOP TEN GEOGRAPHICAL HOLDINGS
| United States | 77.4% | |||
| Russia | 2.0 | |||
| Brazil | 2.0 | |||
| Canada | 1.4 | |||
| Indonesia | 1.2 | |||
| Mexico | 1.2 | |||
| South Africa | 1.1 | |||
| Egypt | 1.0 | |||
| United Kingdom | 0.9 | |||
| Turkey | 0.8 |
Portfolio holdings and allocation are subject to change. Percentages are as of September 30, 2017, and are based on total market value of investments.
8 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 9/30/17
| Inception Date |
1-Year | 5-Year | 10-Year | |||||||||||||
| Class A (OPSIX) |
10/16/89 | 4.45% | 2.83% | 4.45% | ||||||||||||
| Class B (OPSGX) |
11/30/92 | 3.65 | 1.97 | 3.92 | ||||||||||||
| Class C (OSICX) |
5/26/95 | 3.67 | 2.01 | 3.67 | ||||||||||||
| Class I (OSIIX) |
1/27/12 | 4.89 | 3.21 | 4.09* | ||||||||||||
| Class R (OSINX) |
3/1/01 | 4.19 | 2.49 | 4.08 | ||||||||||||
| Class Y (OSIYX) |
1/26/98 | 4.70 | 3.08 | 4.72 | ||||||||||||
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 9/30/17
| Inception Date |
1-Year | 5-Year | 10-Year | |||||||||||||
| Class A (OPSIX) |
10/16/89 | -0.51% | 1.84% | 3.95% | ||||||||||||
| Class B (OPSGX) |
11/30/92 | -1.35 | 1.62 | 3.92 | ||||||||||||
| Class C (OSICX) |
5/26/95 | 2.67 | 2.01 | 3.67 | ||||||||||||
| Class I (OSIIX) |
1/27/12 | 4.89 | 3.21 | 4.09* | ||||||||||||
| Class R (OSINX) |
3/1/01 | 4.19 | 2.49 | 4.08 | ||||||||||||
| Class Y (OSIYX) |
1/26/98 | 4.70 | 3.08 | 4.72 | ||||||||||||
*Shows performance since inception.
| STANDARDIZED YIELDS
For the 30 Days Ended 9/30/17 |
UNSUBSIDIZED STANDARDIZED YIELDS
For the 30 Days Ended 9/30/17 | |||||||
| Class A |
4.21% | Class A |
4.13% | |||||
| Class B |
3.62 | Class B |
3.54 | |||||
| Class C |
3.66 | Class C |
3.58 | |||||
| Class I |
4.86 | Class I |
4.80 | |||||
| Class R |
4.18 | Class R |
4.09 | |||||
| Class Y |
4.67 | Class Y |
4.59 | |||||
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C shares, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class I, Class R and Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after
9 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
conversion. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
Standardized yield is based on an SEC-standardized formula designed to approximate the Fund’s annualized hypothetical current income from securities less expenses for the 30-day period ended September 30, 2017 and that date’s maximum offering price (for Class A shares) or net asset value (for all other share classes). Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields. The unsubsidized standardized yield is computed under an SEC-standardized formula based on net income earned for the 30-day period ended September 30, 2017. The calculation excludes any expense reimbursements and thus may result in a lower yield.
The Fund’s performance is compared to the performance of the Bloomberg Barclays U.S. Aggregate Bond Index, an index of U.S dollar-denominated, investment-grade U.S. corporate government and mortgage-backed securities. The Index is unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
10 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 2017.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended September 30, 2017” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
11 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Actual | Beginning Account Value |
Ending Account Value |
Expenses Paid During 6 Months Ended |
|||||||||
| Class A |
$ | 1,000.00 | $ | 1,031.90 | $ | 5.16 | ||||||
| Class B |
1,000.00 | 1,025.30 | 9.13 | |||||||||
| Class C |
1,000.00 | 1,025.40 | 9.03 | |||||||||
| Class I |
1,000.00 | 1,031.50 | 3.01 | |||||||||
| Class R |
1,000.00 | 1,028.00 | 6.48 | |||||||||
| Class Y |
1,000.00 | 1,033.10 | 3.93 | |||||||||
| Hypothetical | ||||||||||||
| (5% return before expenses) | ||||||||||||
| Class A |
1,000.00 | 1,020.00 | 5.13 | |||||||||
| Class B |
1,000.00 | 1,016.09 | 9.09 | |||||||||
| Class C |
1,000.00 | 1,016.19 | 8.99 | |||||||||
| Class I |
1,000.00 | 1,022.11 | 3.00 | |||||||||
| Class R |
1,000.00 | 1,018.70 | 6.45 | |||||||||
| Class Y |
1,000.00 | 1,021.21 | 3.91 | |||||||||
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended September 30, 2017 are as follows:
| Class | Expense Ratios | ||||
| Class A |
1.01 | % | |||
| Class B |
1.79 | ||||
| Class C |
1.77 | ||||
| Class I |
0.59 | ||||
| Class R |
1.27 | ||||
| Class Y |
0.77 | ||||
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Fund’s Manager and Transfer Agent. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Consolidated Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
12 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS September 30, 2017
| Principal Amount | Value | |||||||
|
|
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| Asset-Backed Securities—3.7% | ||||||||
|
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| American Credit Acceptance Receivables Trust: | ||||||||
| Series 2015-1, Cl. B, 2.85%, 2/12/211 | $ | 469,205 | $ | 469,725 | ||||
| Series 2015-3, Cl. B, 3.56%, 10/12/211 | 660,567 | 664,237 | ||||||
| Series 2015-3, Cl. C, 4.84%, 10/12/211 | 725,000 | 742,259 | ||||||
| Series 2015-3, Cl. D, 5.86%, 7/12/221 | 550,000 | 566,309 | ||||||
| Series 2016-4, Cl. B, 2.11%, 2/12/211 | 985,000 | 985,889 | ||||||
| Series 2017-3, Cl. B, 2.25%, 1/11/211 | 305,000 | 304,564 | ||||||
|
|
||||||||
| AmeriCredit Automobile Receivables Trust: | ||||||||
| Series 2013-2, Cl. E, 3.41%, 10/8/201 | 3,650,000 | 3,652,374 | ||||||
| Series 2013-3, Cl. D, 3.00%, 7/8/19 | 1,540,000 | 1,546,407 | ||||||
| Series 2013-4, Cl. D, 3.31%, 10/8/19 | 1,505,000 | 1,515,365 | ||||||
| Series 2017-2, Cl. D, 3.42%, 4/18/23 | 2,270,000 | 2,294,989 | ||||||
|
|
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| Cabela’s Credit Card Master Note Trust: | ||||||||
| Series 2013-2A, Cl. A2, 1.884% [LIBOR01M+65], 8/16/211,2 | 780,000 | 783,562 | ||||||
| Series 2016-1, Cl. A1, 1.78%, 6/15/22 | 2,545,000 | 2,541,351 | ||||||
| Series 2016-1, Cl. A2, 2.084% [LIBOR01M+85], 6/15/222 | 4,605,000 | 4,648,119 | ||||||
| Capital Auto Receivables Asset Trust, Series 2014-1, Cl. D, 3.39%, 7/22/19 | 580,000 | 583,572 | ||||||
| Capital One Multi-Asset Execution Trust: | ||||||||
| Series 2016-A1, Cl. A1, 1.684% [LIBOR01M+45], 2/15/222 | 3,060,000 | 3,076,972 | ||||||
| Series 2016-A3, Cl. A3, 1.34%, 4/15/22 | 2,655,000 | 2,636,171 | ||||||
| CarFinance Capital Auto Trust: | ||||||||
| Series 2014-1A, Cl. D, 4.90%, 4/15/201 | 1,005,000 | 1,025,875 | ||||||
| Series 2015-1A, Cl. A, 1.75%, 6/15/211 | 217,477 | 217,437 | ||||||
| CarMax Auto Owner Trust: | ||||||||
| Series 2014-2, Cl. D, 2.58%, 11/16/20 | 1,365,000 | 1,368,177 | ||||||
| Series 2015-2, Cl. D, 3.04%, 11/15/21 | 525,000 | 530,173 | ||||||
| Series 2015-3, Cl. D, 3.27%, 3/15/22 | 1,805,000 | 1,818,850 | ||||||
| Series 2016-1, Cl. D, 3.11%, 8/15/22 | 1,370,000 | 1,375,241 | ||||||
| Series 2016-3, Cl. D, 2.94%, 1/17/23 | 915,000 | 906,839 | ||||||
| Series 2016-4, Cl. D, 2.91%, 4/17/23 | 2,040,000 | 2,016,174 | ||||||
| Series 2017-1, Cl. D, 3.43%, 7/17/23 | 1,775,000 | 1,778,697 | ||||||
| CCG Receivables Trust, Series 2017-1, Cl. B, 2.75%, 11/14/231 | 1,725,000 | 1,718,998 | ||||||
| Chase Issuance Trust, Series 2014-A5, Cl. A5, 1.604% [LIBOR01M+37], 4/15/212 | 1,925,000 | 1,933,911 | ||||||
| Citibank Credit Card Issuance Trust, Series 2014-A6, Cl. A6, 2.15%, 7/15/21 | 4,335,000 | 4,364,293 | ||||||
| CPS Auto Receivables Trust: | ||||||||
| Series 2013-C, Cl. D, 6.59%, 8/15/191 | 620,000 | 634,452 | ||||||
| Series 2017-C, Cl. A, 1.78%, 9/15/201 | 631,810 | 631,584 | ||||||
| Series 2017-C, Cl. B, 2.30%, 7/15/211 | 740,000 | 739,045 | ||||||
| CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, 5/17/211 | 160,000 | 160,979 | ||||||
| CWABS Asset-Backed Certificates Trust, Series 2005-14, Cl. 1A1, 1.467% [US0001M+23], 4/25/362 | 1,467,043 | 1,469,796 | ||||||
| Discover Card Execution Note Trust: | ||||||||
| Series 2012-A6, Cl. A6, 1.67%, 1/18/22 | 2,315,000 | 2,311,742 | ||||||
| Series 2016-A1, Cl. A1, 1.64%, 7/15/21 | 4,225,000 | 4,224,360 | ||||||
| Series 2016-A4, Cl. A4, 1.39%, 3/15/22 | 4,715,000 | 4,679,325 | ||||||
13 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
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| Asset-Backed Securities (Continued) | ||||||||
|
|
||||||||
| Drive Auto Receivables Trust: | ||||||||
| Series 2015-BA, Cl. D, 3.84%, 7/15/211 | $ | 3,040,000 | $ | 3,105,918 | ||||
| Series 2015-CA, Cl. D, 4.20%, 9/15/211 | 5,370,000 | 5,515,037 | ||||||
| Series 2015-DA, Cl. C, 3.38%, 11/15/211 | 3,511,472 | 3,543,314 | ||||||
| Series 2016-BA, Cl. C, 3.19%, 7/15/221 | 1,285,000 | 1,298,293 | ||||||
| Series 2016-CA, Cl. C, 3.02%, 11/15/211 | 1,085,000 | 1,098,740 | ||||||
| Series 2016-CA, Cl. D, 4.18%, 3/15/241 | 1,240,000 | 1,281,199 | ||||||
| Series 2017-1, Cl. B, 2.36%, 3/15/21 | 1,155,000 | 1,157,271 | ||||||
| Series 2017-2, Cl. B, 2.25%, 6/15/21 | 735,000 | 735,679 | ||||||
| Series 2017-2, Cl. C, 2.75%, 9/15/23 | 810,000 | 809,173 | ||||||
| Series 2017-AA, Cl. C, 2.98%, 1/18/221 | 920,000 | 930,010 | ||||||
| Series 2017-AA, Cl. D, 4.16%, 5/15/241 | 1,600,000 | 1,628,173 | ||||||
| Series 2017-BA, Cl. D, 3.72%, 10/17/221 | 1,685,000 | 1,696,027 | ||||||
|
|
||||||||
| DT Auto Owner Trust: | ||||||||
| Series 2014-1A, Cl. D, 3.98%, 1/15/211 | 1,375,788 | 1,379,349 | ||||||
| Series 2014-2A, Cl. D, 3.68%, 4/15/211 | 5,235,668 | 5,272,364 | ||||||
| Series 2014-3A, Cl. D, 4.47%, 11/15/211 | 5,640,000 | 5,746,686 | ||||||
| Series 2015-1A, Cl. D, 4.26%, 2/15/221 | 8,075,000 | 8,181,927 | ||||||
| Series 2015-2A, Cl. D, 4.25%, 2/15/221 | 2,410,000 | 2,454,148 | ||||||
| Series 2015-3A, Cl. D, 4.53%, 10/17/221 | 7,470,000 | 7,609,088 | ||||||
| Series 2016-1A, Cl. B, 2.79%, 5/15/201 | 810,716 | 811,603 | ||||||
| Series 2016-4A, Cl. E, 6.49%, 9/15/231 | 555,000 | 573,264 | ||||||
| Series 2017-1A, Cl. C, 2.70%, 11/15/221 | 405,000 | 405,256 | ||||||
| Series 2017-1A, Cl. D, 3.55%, 11/15/221 | 1,120,000 | 1,121,073 | ||||||
| Series 2017-1A, Cl. E, 5.79%, 2/15/241 | 1,160,000 | 1,179,186 | ||||||
| Series 2017-2A, Cl. B, 2.44%, 2/15/211 | 605,000 | 606,295 | ||||||
| Series 2017-2A, Cl. D, 3.89%, 1/15/231 | 1,330,000 | 1,341,394 | ||||||
| Series 2017-3A, Cl. B, 2.40%, 5/17/211 | 1,055,000 | 1,054,440 | ||||||
| Series 2017-3A, Cl. E, 5.60%, 8/15/241 | 1,245,000 | 1,254,797 | ||||||
|
|
||||||||
| Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/441 | 745,755 | 739,459 | ||||||
|
|
||||||||
| Evergreen Credit Card Trust, Series 2016-3, Cl. A, 1.734% [LIBOR01M+50], 11/16/201,2 | 3,480,000 | 3,494,691 | ||||||
|
|
||||||||
| Exeter Automobile Receivables Trust: | ||||||||
| Series 2013-2A, Cl. D, 6.81%, 8/17/201 | 2,440,421 | 2,485,278 | ||||||
| Series 2014-2A, Cl. C, 3.26%, 12/16/191 | 481,291 | 484,198 | ||||||
| Series 2017-3A, Cl. A, 2.05%, 12/15/211 | 1,190,000 | 1,189,334 | ||||||
|
|
||||||||
| First Investors Auto Owner Trust, Series 2013-3A, Cl. D, 3.67%, 5/15/201 | 2,110,000 | 2,118,927 | ||||||
|
|
||||||||
| Flagship Credit Auto Trust: | ||||||||
| Series 2013-2, Cl. D, 6.26%, 2/16/211 | 395,000 | 400,583 | ||||||
| Series 2014-1, Cl. D, 4.83%, 6/15/201 | 130,000 | 132,493 | ||||||
| Series 2014-2, Cl. A, 1.43%, 12/16/191 | 15,499 | 15,500 | ||||||
| Series 2015-3, Cl. D, 7.12%, 11/15/221 | 1,945,000 | 2,038,126 | ||||||
| Series 2016-1, Cl. C, 6.22%, 6/15/221 | 2,725,000 | 2,893,307 | ||||||
|
|
||||||||
| GM Financial Automobile Leasing Trust, Series 2017-3, Cl. C, 2.73%, 9/20/21 | 850,000 | 846,679 | ||||||
|
|
||||||||
| Navistar Financial Dealer Note Master Owner Trust II: | ||||||||
| Series 2016-1, Cl. D, 4.537% [LIBOR01M+330], 9/27/211,2 | 595,000 | 596,040 | ||||||
14 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Asset-Backed Securities (Continued) | ||||||||
|
|
||||||||
| Navistar Financial Dealer Note Master Owner Trust II: (Continued) | ||||||||
| Series 2017-1, Cl. C, 2.787% [LIBOR01M+155], 6/27/221,2 | $ | 435,000 | $ | 435,180 | ||||
| Series 2017-1, Cl. D, 3.537% [LIBOR01M+230], 6/27/221,2 | 505,000 | 505,207 | ||||||
|
|
||||||||
| Nissan Auto Lease Trust, Series 2017-A, Cl. A3, 1.91%, 4/15/20 | 1,700,000 | 1,702,469 | ||||||
|
|
||||||||
| Santander Drive Auto Receivables Trust: | ||||||||
| Series 2013-4, Cl. E, 4.67%, 1/15/201 | 1,580,000 | 1,584,913 | ||||||
| Series 2013-A, Cl. E, 4.71%, 1/15/211 | 1,220,000 | 1,236,976 | ||||||
| Series 2015-5, Cl. D, 3.65%, 12/15/21 | 2,420,000 | 2,474,648 | ||||||
| Series 2016-2, Cl. D, 3.39%, 4/15/22 | 880,000 | 892,681 | ||||||
| Series 2017-1, Cl. D, 3.17%, 4/17/23 | 1,215,000 | 1,219,919 | ||||||
| Series 2017-1, Cl. E, 5.05%, 7/15/241 | 1,385,000 | 1,416,130 | ||||||
| Series 2017-3, Cl. D, 3.20%, 11/15/23 | 2,880,000 | 2,868,329 | ||||||
|
|
||||||||
| TCF Auto Receivables Owner Trust, Series 2015-1A, Cl. D, 3.53%, 3/15/221 | 850,000 | 850,256 | ||||||
|
|
||||||||
| Westlake Automobile Receivables Trust: | ||||||||
| Series 2016-1A, Cl. E, 6.52%, 6/15/221 | 1,400,000 | 1,449,966 | ||||||
| Series 2017-2A, Cl. E, 4.63%, 7/15/243 | 1,845,000 | 1,840,418 | ||||||
|
|
||||||||
| World Financial Network Credit Card Master Trust: | ||||||||
| Series 2012-D, Cl. A, 2.15%, 4/17/23 | 1,195,000 | 1,200,727 | ||||||
| Series 2016-B, Cl. A, 1.44%, 6/15/22 | 2,860,000 | 2,854,719 | ||||||
| Series 2017-A, Cl. A, 2.12%, 3/15/24 | 3,060,000 | 3,062,381 | ||||||
| Series 2017-B, Cl. A, 1.98%, 6/15/23 | 2,260,000 | 2,261,227 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities (Cost $167,021,187) | 167,998,278 | |||||||
|
|
||||||||
| Mortgage-Backed Obligations—21.9% | ||||||||
|
|
||||||||
| Government Agency—11.7% | ||||||||
|
|
||||||||
| FHLMC/FNMA/FHLB/Sponsored—10.1% | ||||||||
|
|
||||||||
| Federal Home Loan Mortgage Corp. Gold Pool: | ||||||||
| 5.00%, 12/1/34 | 498,862 | 547,357 | ||||||
| 5.50%, 9/1/39 | 1,293,486 | 1,429,193 | ||||||
| 6.00%, 1/1/19-7/1/24 | 585,323 | 641,600 | ||||||
| 6.50%, 4/1/18-6/1/35 | 515,375 | 574,499 | ||||||
| 7.00%, 8/1/21-3/1/35 | 777,020 | 875,441 | ||||||
| 7.50%, 1/1/32-2/1/32 | 1,363,338 | 1,630,577 | ||||||
| 8.50%, 8/1/31 | 42,826 | 47,926 | ||||||
| 10.00%, 5/1/20 | 1,533 | 1,549 | ||||||
|
|
||||||||
| Federal Home Loan Mortgage Corp. Non Gold Pool: | ||||||||
| 10.00%, 4/1/20 | 3,790 | 3,799 | ||||||
| 10.50%, 5/1/20 | 12,182 | 12,893 | ||||||
|
|
||||||||
| Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
| Series 183, Cl. IO, 53.99%, 4/1/274 | 120,146 | 23,736 | ||||||
| Series 192, Cl. IO, 94.208%, 2/1/284 | 54,896 | 10,495 | ||||||
| Series 205, Cl. IO, 41.81%, 9/1/294 | 317,428 | 69,061 | ||||||
| Series 206, Cl. IO, 0.00%, 12/15/294,5 | 141,234 | 37,794 | ||||||
| Series 207, Cl. IO, 0.00%, 4/1/304,5 | 118,132 | 26,883 | ||||||
| Series 214, Cl. IO, 0.00%, 6/1/314,5 | 91,638 | 20,742 | ||||||
| Series 243, Cl. 6, 9.701%, 12/15/324 | 278,307 | 48,968 | ||||||
15 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
|
|
||||||||
| Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
| Series 1360, Cl. PZ, 7.50%, 9/15/22 | $ | 1,011,693 | $ | 1,102,300 | ||||
| Series 151, Cl. F, 9.00%, 5/15/21 | 923 | 984 | ||||||
| Series 1590, Cl. IA, 2.284% [LIBOR01M+105], 10/15/232 | 733,735 | 750,029 | ||||||
| Series 1674, Cl. Z, 6.75%, 2/15/24 | 28,415 | 30,919 | ||||||
| Series 2034, Cl. Z, 6.50%, 2/15/28 | 7,963 | 8,836 | ||||||
| Series 2042, Cl. N, 6.50%, 3/15/28 | 7,772 | 8,576 | ||||||
| Series 2043, Cl. ZP, 6.50%, 4/15/28 | 835,255 | 923,040 | ||||||
| Series 2053, Cl. Z, 6.50%, 4/15/28 | 7,072 | 7,854 | ||||||
| Series 2116, Cl. ZA, 6.00%, 1/15/29 | 406,836 | 446,120 | ||||||
| Series 2122, Cl. F, 1.684% [LIBOR01M+45], 2/15/292 | 20,537 | 20,596 | ||||||
| Series 2279, Cl. PK, 6.50%, 1/15/31 | 12,783 | 14,373 | ||||||
| Series 2326, Cl. ZP, 6.50%, 6/15/31 | 122,506 | 135,875 | ||||||
| Series 2344, Cl. FP, 2.184% [LIBOR01M+95], 8/15/312 | 271,683 | 279,226 | ||||||
| Series 2368, Cl. PR, 6.50%, 10/15/31 | 14,112 | 16,025 | ||||||
| Series 2401, Cl. FA, 1.884% [LIBOR01M+65], 7/15/292 | 33,213 | 33,767 | ||||||
| Series 2412, Cl. GF, 2.184% [LIBOR01M+95], 2/15/322 | 373,472 | 383,856 | ||||||
| Series 2427, Cl. ZM, 6.50%, 3/15/32 | 543,391 | 601,062 | ||||||
| Series 2451, Cl. FD, 2.234% [LIBOR01M+100], 3/15/322 | 162,391 | 167,207 | ||||||
| Series 2461, Cl. PZ, 6.50%, 6/15/32 | 63,425 | 74,138 | ||||||
| Series 2464, Cl. FI, 2.234% [LIBOR01M+100], 2/15/322 | 148,660 | 152,243 | ||||||
| Series 2470, Cl. AF, 2.234% [LIBOR01M+100], 3/15/322 | 262,002 | 269,773 | ||||||
| Series 2470, Cl. LF, 2.234% [LIBOR01M+100], 2/15/322 | 152,038 | 155,702 | ||||||
| Series 2475, Cl. FB, 2.234% [LIBOR01M+100], 2/15/322 | 208,226 | 212,961 | ||||||
| Series 2517, Cl. GF, 2.234% [LIBOR01M+100], 2/15/322 | 125,708 | 128,738 | ||||||
| Series 2551, Cl. LF, 1.734% [LIBOR01M+50], 1/15/332 | 19,196 | 19,283 | ||||||
| Series 2564, Cl. MP, 5.00%, 2/15/18 | 3,689 | 3,705 | ||||||
| Series 2585, Cl. HJ, 4.50%, 3/15/18 | 1,828 | 1,834 | ||||||
| Series 2635, Cl. AG, 3.50%, 5/15/32 | 212,605 | 218,690 | ||||||
| Series 2668, Cl. AZ, 4.00%, 9/15/18 | 20,747 | 20,848 | ||||||
| Series 2676, Cl. KY, 5.00%, 9/15/23 | 374,674 | 394,314 | ||||||
| Series 2707, Cl. QE, 4.50%, 11/15/18 | 54,591 | 55,102 | ||||||
| Series 2770, Cl. TW, 4.50%, 3/15/19 | 14,962 | 15,125 | ||||||
| Series 3010, Cl. WB, 4.50%, 7/15/20 | 3,718 | 3,800 | ||||||
| Series 3025, Cl. SJ, 20.224% [(3.667) x LIBOR01M+2,475], 8/15/352 | 315,617 | 462,951 | ||||||
| Series 3741, Cl. PA, 2.15%, 2/15/35 | 256,769 | 257,105 | ||||||
| Series 3815, Cl. BD, 3.00%, 10/15/20 | 6,399 | 6,432 | ||||||
| Series 3840, Cl. CA, 2.00%, 9/15/18 | 4,528 | 4,525 | ||||||
| Series 3848, Cl. WL, 4.00%, 4/15/40 | 547,736 | 563,440 | ||||||
| Series 3857, Cl. GL, 3.00%, 5/15/40 | 12,993 | 13,253 | ||||||
| Series 3917, Cl. BA, 4.00%, 6/15/38 | 260,328 | 267,606 | ||||||
| Series 4221, Cl. HJ, 1.50%, 7/15/23 | 561,156 | 557,302 | ||||||
|
|
||||||||
| Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
| Series 2035, Cl. PE, 39.645%, 3/15/284 | 17,044 | 3,559 | ||||||
| Series 2049, Cl. PL, 82.103%, 4/15/284 | 92,434 | 19,545 | ||||||
| Series 2074, Cl. S, 99.999%, 7/17/284 | 81,093 | 11,640 | ||||||
| Series 2079, Cl. S, 99.999%, 7/17/284 | 140,485 | 20,482 | ||||||
16 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
|
|
||||||||
| Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||||||
| Series 2177, Cl. SB, 99.999%, 8/15/294 | $ | 91,836 | $ | 19,143 | ||||
| Series 2526, Cl. SE, 55.52%, 6/15/294 | 167,829 | 31,603 | ||||||
| Series 2682, Cl. TQ, 99.999%, 10/15/334 | 650,608 | 119,986 | ||||||
| Series 2795, Cl. SH, 94.431%, 3/15/244 | 1,126,692 | 108,500 | ||||||
| Series 2920, Cl. S, 99.999%, 1/15/354 | 1,172,966 | 194,092 | ||||||
| Series 2922, Cl. SE, 12.361%, 2/15/354 | 78,785 | 13,675 | ||||||
| Series 2981, Cl. AS, 8.733%, 5/15/354 | 601,810 | 88,187 | ||||||
| Series 2981, Cl. BS, 99.999%, 5/15/354 | 1,375,035 | 223,778 | ||||||
| Series 3004, Cl. SB, 99.999%, 7/15/354 | 1,753,936 | 196,873 | ||||||
| Series 3397, Cl. GS, 0.00%, 12/15/374,5 | 364,092 | 62,882 | ||||||
| Series 3424, Cl. EI, 0.00%, 4/15/384,5 | 143,139 | 14,122 | ||||||
| Series 3450, Cl. BI, 18.643%, 5/15/384 | 568,409 | 90,277 | ||||||
| Series 3606, Cl. SN, 17.569%, 12/15/394 | 299,881 | 48,991 | ||||||
| Series 3659, Cl. IE, 0.00%, 3/15/194,5 | 220,040 | 5,015 | ||||||
| Series 3685, Cl. EI, 0.00%, 3/15/194,5 | 57,939 | 655 | ||||||
|
|
||||||||
| Federal National Mortgage Assn.: | ||||||||
| 2.50%, 10/1/476 | 16,460,000 | 16,569,948 | ||||||
| 3.00%, 10/1/326 | 55,335,000 | 56,845,907 | ||||||
| 3.50%, 10/1/476 | 85,735,000 | 88,357,284 | ||||||
| 4.00%, 10/1/476 | 37,495,000 | 39,466,417 | ||||||
| 4.50%, 10/1/476 | 187,600,000 | 201,325,576 | ||||||
| 5.00%, 10/1/476 | 3,975,000 | 4,336,142 | ||||||
|
|
||||||||
| Federal National Mortgage Assn. Grantor Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
| Series 2001-T10, Cl. IO, 99.999%, 12/25/414 | 34,264,797 | 505,173 | ||||||
| Series 2001-T3, Cl. IO, 99.999%, 11/25/404 | 5,580,734 | 222,949 | ||||||
|
|
||||||||
| Federal National Mortgage Assn. Pool: | ||||||||
| 4.50%, 12/1/20 | 224,951 | 230,741 | ||||||
| 5.00%, 2/1/18-12/1/21 | 277,760 | 284,413 | ||||||
| 5.50%, 1/1/22-5/1/36 | 533,799 | 586,906 | ||||||
| 6.00%, 1/1/19 | 38 | 39 | ||||||
| 6.50%, 4/1/18-1/1/34 | 2,728,414 | 3,100,078 | ||||||
| 7.00%, 9/1/21-4/1/34 | 4,361,586 | 5,056,496 | ||||||
| 7.50%, 2/1/27-3/1/33 | 2,107,383 | 2,468,063 | ||||||
| 8.50%, 7/1/32 | 16,268 | 17,547 | ||||||
| 9.50%, 3/15/21 | 5,740 | 5,831 | ||||||
| 11.00%, 2/1/26 | 85,527 | 90,639 | ||||||
|
|
||||||||
| Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
| Series 221, Cl. 2, 99.999%, 5/25/234 | 118,841 | 17,854 | ||||||
| Series 247, Cl. 2, 99.999%, 10/25/234 | 57,440 | 8,129 | ||||||
| Series 252, Cl. 2, 99.999%, 11/25/234 | 14,623 | 2,237 | ||||||
| Series 254, Cl. 2, 99.999%, 1/25/244 | 43,080 | 6,782 | ||||||
| Series 301, Cl. 2, 11.045%, 4/25/294 | 152,175 | 34,806 | ||||||
| Series 303, Cl. IO, 74.634%, 11/25/294 | 154,913 | 38,485 | ||||||
| Series 313, Cl. 2, 99.999%, 6/25/314 | 1,222,748 | 266,941 | ||||||
| Series 319, Cl. 2, 3.831%, 2/25/324 | 408,286 | 92,858 | ||||||
| Series 321, Cl. 2, 11.323%, 4/25/324 | 721,074 | 172,240 | ||||||
| Series 324, Cl. 2, 0.00%, 7/25/324,5 | 311,716 | 71,471 | ||||||
17 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||||
|
|
||||||||||
| Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||||||||
| Series 328, Cl. 2, 0.00%, 12/25/324,5 | $ | 273,188 | $ | 62,880 | ||||||
| Series 331, Cl. 5, 99.999%, 2/25/334 | 631,020 | 119,039 | ||||||||
| Series 332, Cl. 2, 0.00%, 3/25/334,5 | 1,195,101 | 277,271 | ||||||||
| Series 334, Cl. 10, 0.00%, 2/25/334,5 | 512,243 | 92,213 | ||||||||
| Series 334, Cl. 12, 0.00%, 3/25/334,5 | 735,419 | 162,277 | ||||||||
| Series 339, Cl. 7, 0.00%, 11/25/334,5 | 1,503,522 | 330,091 | ||||||||
| Series 345, Cl. 9, 0.00%, 1/25/344,5 | 436,569 | 87,485 | ||||||||
| Series 351, Cl. 10, 0.00%, 4/25/344,5 | 188,043 | 42,657 | ||||||||
| Series 351, Cl. 8, 0.00%, 4/25/344,5 | 341,731 | 68,728 | ||||||||
| Series 356, Cl. 10, 0.00%, 6/25/354,5 | 244,275 | 51,058 | ||||||||
| Series 356, Cl. 12, 0.00%, 2/25/354,5 | 117,991 | 26,081 | ||||||||
| Series 362, Cl. 13, 0.00%, 8/25/354,5 | 17,410 | 4,019 | ||||||||
|
|
||||||||||
| Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||||
| Series 1996-35, Cl. Z, 7.00%, 7/25/26 | 38,557 | 42,865 | ||||||||
| Series 1997-45, Cl. CD, 8.00%, 7/18/27 | 396,544 | 460,284 | ||||||||
| Series 1998-58, Cl. PC, 6.50%, 10/25/28 | 232,106 | 259,477 | ||||||||
| Series 1999-14, Cl. MB, 6.50%, 4/25/29 | 12,776 | 14,180 | ||||||||
| Series 1999-54, Cl. LH, 6.50%, 11/25/29 | 437,199 | 488,729 | ||||||||
| Series 2001-19, Cl. Z, 6.00%, 5/25/31 | 169,600 | 190,957 | ||||||||
| Series 2001-65, Cl. F, 1.837% [LIBOR01M+60], 11/25/312 | 310,251 | 315,131 | ||||||||
| Series 2001-80, Cl. ZB, 6.00%, 1/25/32 | 354,304 | 396,557 | ||||||||
| Series 2002-21, Cl. PE, 6.50%, 4/25/32 | 422,436 | 479,674 | ||||||||
| Series 2002-29, Cl. F, 2.237% [LIBOR01M+100], 4/25/322 | 168,368 | 172,554 | ||||||||
| Series 2002-64, Cl. FJ, 2.237% [LIBOR01M+100], 4/25/322 | 51,749 | 53,036 | ||||||||
| Series 2002-68, Cl. FH, 1.734% [LIBOR01M+50], 10/18/322 | 109,265 | 109,785 | ||||||||
| Series 2002-81, Cl. FM, 1.737% [LIBOR01M+50], 12/25/322 | 207,710 | 209,386 | ||||||||
| Series 2002-84, Cl. FB, 2.237% [LIBOR01M+100], 12/25/322 | 34,501 | 35,317 | ||||||||
| Series 2003-100, Cl. PA, 5.00%, 10/25/18 | 102,911 | 103,753 | ||||||||
| Series 2003-11, Cl. FA, 2.237% [LIBOR01M+100], 9/25/322 | 47,080 | 48,194 | ||||||||
| Series 2003-112, Cl. AN, 4.00%, 11/25/18 | 40,207 | 40,443 | ||||||||
| Series 2003-116, Cl. FA, 1.637% [LIBOR01M+40], 11/25/332 | 114,094 | 114,230 | ||||||||
| Series 2003-84, Cl. GE, 4.50%, 9/25/18 | 7,503 | 7,565 | ||||||||
| Series 2004-25, Cl. PC, 5.50%, 1/25/34 | 38,519 | 39,235 | ||||||||
| Series 2005-31, Cl. PB, 5.50%, 4/25/35 | 2,865,000 | 3,218,449 | ||||||||
| Series 2005-71, Cl. DB, 4.50%, 8/25/25 | 818,880 | 850,270 | ||||||||
| Series 2006-11, Cl. PS, 20.03% [(3.667) x LIBOR01M+2,456.67], 3/25/362 | 344,684 | 528,686 | ||||||||
| Series 2006-46, Cl. SW, 19.663% [(3.667) x LIBOR01M+2,419.92], 6/25/362 | 458,649 | 669,030 | ||||||||
| Series 2008-75, Cl. DB, 4.50%, 9/25/23 | 95,183 | 96,071 | ||||||||
| Series 2009-113, Cl. DB, 3.00%, 12/25/20 | 184,051 | 185,153 | ||||||||
| Series 2009-36, Cl. FA, 2.177% [LIBOR01M+94], 6/25/372 | 233,984 | 239,123 | ||||||||
| Series 2009-70, Cl. TL, 4.00%, 8/25/19 | 129,257 | 129,847 | ||||||||
| Series 2010-43, Cl. KG, 3.00%, 1/25/21 | 63,949 | 64,461 | ||||||||
| Series 2011-122, Cl. EC, 1.50%, 1/25/20 | 155,281 | 154,770 | ||||||||
| Series 2011-15, Cl. DA, 4.00%, 3/25/41 | 264,718 | 272,657 | ||||||||
| Series 2011-3, Cl. EL, 3.00%, 5/25/20 | 311,535 | 313,019 | ||||||||
| Series 2011-3, Cl. KA, 5.00%, 4/25/40 | 798,907 | 852,341 | ||||||||
18 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
|
|
||||||||
| Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) | ||||||||
| Series 2011-38, Cl. AH, 2.75%, 5/25/20 | $ | 4,545 | $ | 4,555 | ||||
| Series 2011-6, Cl. BA, 2.75%, 6/25/20 | 135,712 | 136,670 | ||||||
| Series 2011-82, Cl. AD, 4.00%, 8/25/26 | 149,926 | 151,835 | ||||||
| Series 2011-88, Cl. AB, 2.50%, 9/25/26 | 73,328 | 73,545 | ||||||
| Series 2012-20, Cl. FD, 1.637% [LIBOR01M+40], 3/25/422 | 1,106,043 | 1,107,266 | ||||||
|
|
||||||||
| Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security: | ||||||||
| Series 2001-61, Cl. SH, 35.275%, 11/18/314 | 352,153 | 68,907 | ||||||
| Series 2001-63, Cl. SD, 36.45%, 12/18/314 | 10,171 | 1,941 | ||||||
| Series 2001-68, Cl. SC, 23.077%, 11/25/314 | 7,160 | 1,359 | ||||||
| Series 2001-81, Cl. S, 42.512%, 1/25/324 | 93,470 | 18,303 | ||||||
| Series 2002-28, Cl. SA, 43.672%, 4/25/324 | 80,758 | 15,398 | ||||||
| Series 2002-38, Cl. SO, 53.863%, 4/25/324 | 100,331 | 18,952 | ||||||
| Series 2002-39, Cl. SD, 47.314%, 3/18/324 | 156,100 | 31,940 | ||||||
| Series 2002-48, Cl. S, 43.99%, 7/25/324 | 124,743 | 25,067 | ||||||
| Series 2002-52, Cl. SL, 41.316%, 9/25/324 | 76,989 | 15,183 | ||||||
| Series 2002-53, Cl. SK, 47.516%, 4/25/324 | 97,305 | 20,352 | ||||||
| Series 2002-56, Cl. SN, 45.638%, 7/25/324 | 171,080 | 34,378 | ||||||
| Series 2002-65, Cl. SC, 70.772%, 6/25/264 | 319,782 | 51,582 | ||||||
| Series 2002-77, Cl. IS, 48.49%, 12/18/324 | 170,934 | 38,519 | ||||||
| Series 2002-77, Cl. SH, 43.425%, 12/18/324 | 133,045 | 27,527 | ||||||
| Series 2002-89, Cl. S, 44.605%, 1/25/334 | 960,295 | 209,006 | ||||||
| Series 2002-9, Cl. MS, 39.079%, 3/25/324 | 134,700 | 26,312 | ||||||
| Series 2003-13, Cl. IO, 41.338%, 3/25/334 | 729,443 | 177,189 | ||||||
| Series 2003-26, Cl. DI, 36.759%, 4/25/334 | 456,499 | 106,710 | ||||||
| Series 2003-26, Cl. IK, 43.219%, 4/25/334 | 80,000 | 18,747 | ||||||
| Series 2003-33, Cl. SP, 99.999%, 5/25/334 | 406,494 | 94,845 | ||||||
| Series 2003-4, Cl. S, 39.916%, 2/25/334 | 196,939 | 44,691 | ||||||
| Series 2003-46, Cl. IH, 0.00%, 6/25/234,5 | 59,871 | 6,218 | ||||||
| Series 2004-56, Cl. SE, 21.617%, 10/25/334 | 437,327 | 85,236 | ||||||
| Series 2005-12, Cl. SC, 25.802%, 3/25/354 | 36,976 | 5,720 | ||||||
| Series 2005-14, Cl. SE, 43.808%, 3/25/354 | 278,291 | 41,928 | ||||||
| Series 2005-40, Cl. SA, 99.999%, 5/25/354 | 1,676,292 | 250,327 | ||||||
| Series 2005-40, Cl. SB, 99.999%, 5/25/354 | 735,073 | 99,045 | ||||||
| Series 2005-52, Cl. JH, 20.951%, 5/25/354 | 899,058 | 140,519 | ||||||
| Series 2006-90, Cl. SX, 99.999%, 9/25/364 | 1,735,944 | 290,740 | ||||||
| Series 2007-88, Cl. XI, 26.88%, 6/25/374 | 2,749,040 | 471,550 | ||||||
| Series 2008-55, Cl. SA, 0.00%, 7/25/384,5 | 137,446 | 14,666 | ||||||
| Series 2009-8, Cl. BS, 0.00%, 2/25/244,5 | 15,692 | 725 | ||||||
| Series 2010-95, Cl. DI, 39.516%, 11/25/204 | 392,129 | 10,680 | ||||||
| Series 2011-96, Cl. SA, 10.872%, 10/25/414 | 458,503 | 79,859 | ||||||
| Series 2012-134, Cl. SA, 8.084%, 12/25/424 | 1,304,570 | 269,730 | ||||||
| Series 2012-40, Cl. PI, 5.516%, 4/25/414 | 3,390,462 | 510,062 | ||||||
|
|
||||||||
| Federal National Mortgage Assn., Stripped Mtg.-Backed Security, Series 302, Cl. 2, 6%, 5/1/29 | 2,586 | 483 | ||||||
|
|
||||||||
| Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
| Series 1992-2, Cl. IO, 0.00%, 9/15/224,5 | 2,562,676 | 7,458 | ||||||
19 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
|
|
||||||||
| Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||||||
| Series 1995-2B, Cl. 2IO, 0.00%, 6/15/254,5 | $ | 264,574 | $ | 5,118 | ||||
| Series 1995-3, Cl. 1IO, 0.00%, 9/15/254,5 | 8,539,125 | 19,909 | ||||||
|
|
|
|||||||
| 453,556,765 | ||||||||
|
|
||||||||
| GNMA/Guaranteed—1.6% | ||||||||
|
|
||||||||
| Government National Mortgage Assn. I Pool: | ||||||||
| 7.00%, 1/15/28-8/15/28 | 376,122 | 399,103 | ||||||
| 8.00%, 1/15/28-9/15/28 | 267,686 | 285,399 | ||||||
|
|
||||||||
| Government National Mortgage Assn. II Pool: | ||||||||
| 2.125% [H15T1Y+150], 7/20/272 | 2,586 | 2,679 | ||||||
| 3.50%, 10/1/476 | 29,470,000 | 30,630,382 | ||||||
| 4.00%, 10/1/476 | 39,835,000 | 41,946,567 | ||||||
| 7.00%, 1/20/30 | 59,662 | 69,902 | ||||||
| 11.00%, 10/20/19 | 520 | 522 | ||||||
|
|
||||||||
| Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
| Series 2007-17, Cl. AI, 47.728%, 4/16/374 | 1,120,431 | 202,330 | ||||||
| Series 2011-52, Cl. HS, 25.563%, 4/16/414 | 1,993,176 | 300,168 | ||||||
|
|
|
|||||||
| 73,837,052 | ||||||||
|
|
||||||||
| Non-Agency—10.2% | ||||||||
|
|
||||||||
| Commercial—4.0% | ||||||||
|
|
||||||||
| BCAP LLC Trust: | ||||||||
| Series 2011-R11, Cl. 18A5, 2.69% [H15T1Y+210], 9/26/351,2 | 148,963 | 149,977 | ||||||
| Series 2012-RR6, Cl. RR6, 2.054%, 11/26/361 | 211,012 | 190,857 | ||||||
|
|
||||||||
| Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/243,4,5,7 | 88,531 | 2,269 | ||||||
|
|
||||||||
| CD Commercial Mortgage Trust: | ||||||||
| Series 2016-CD2, Cl. AM, 3.668%, 11/10/498 | 1,000,000 | 1,031,133 | ||||||
| Series 2017-CD3, Cl. AS, 3.833%, 2/10/50 | 1,270,000 | 1,328,230 | ||||||
|
|
||||||||
| COMM Mortgage Trust: | ||||||||
| Series 2013-CR6, Cl. AM, 3.147%, 3/10/461 | 2,825,000 | 2,847,482 | ||||||
| Series 2013-CR7, Cl. D, 4.427%, 3/10/461,8 | 8,505,000 | 6,766,556 | ||||||
| Series 2014-CR21, Cl. AM, 3.987%, 12/10/47 | 70,000 | 73,415 | ||||||
| Series 2014-LC15, Cl. AM, 4.198%, 4/10/47 | 690,000 | 731,082 | ||||||
| Series 2014-UBS6, Cl. AM, 4.048%, 12/10/47 | 4,690,000 | 4,914,694 | ||||||
| Series 2015-CR23, Cl. AM, 3.801%, 5/10/48 | 3,210,000 | 3,316,902 | ||||||
|
|
||||||||
| COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 26.185%, 12/10/454 | 8,510,368 | 491,952 | ||||||
|
|
||||||||
| Deutsche Bank Commercial Mortgage Trust, Series 2016-C1, Cl. AM, 3.539%, 5/10/49 | 1,775,000 | 1,800,948 | ||||||
|
|
||||||||
| Deutsche Mortgage Securities, Inc., Series 2013-RS1, Cl. 1A2, 1.456% [US0001M+22], 7/22/361,2 | 920,000 | 870,499 | ||||||
|
|
||||||||
| FREMF Mortgage Trust: | ||||||||
| Series 2011-K702, Cl. B, 4.93%, 4/25/441,8 | 395,000 | 398,896 | ||||||
| Series 2012-K20, Cl. C, 4.005%, 5/25/451,8 | 12,875,000 | 13,028,926 | ||||||
| Series 2013-K25, Cl. C, 3.744%, 11/25/451,8 | 1,975,000 | 1,966,700 | ||||||
| Series 2013-K26, Cl. C, 3.722%, 12/25/451,8 | 335,000 | 333,907 | ||||||
| Series 2013-K27, Cl. C, 3.615%, 1/25/461,8 | 4,187,000 | 4,150,492 | ||||||
20 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Commercial (Continued) | ||||||||
|
|
||||||||
| FREMF Mortgage Trust: (Continued) | ||||||||
| Series 2013-K28, Cl. C, 3.61%, 6/25/461,8 | $ | 7,865,000 | $ | 7,790,429 | ||||
| Series 2013-K29, Cl. C, 3.601%, 5/25/461,8 | 4,700,000 | 4,641,181 | ||||||
| Series 2013-K712, Cl. C, 3.481%, 5/25/451,8 | 660,000 | 666,120 | ||||||
| Series 2013-K713, Cl. C, 3.274%, 4/25/461,8 | 420,000 | 421,786 | ||||||
| Series 2014-K41, Cl. B, 3.962%, 11/25/471,8 | 7,635,000 | 7,820,900 | ||||||
| Series 2014-K714, Cl. C, 3.98%, 1/25/471,8 | 200,000 | 202,371 | ||||||
| Series 2014-K715, Cl. C, 4.266%, 2/25/461,8 | 25,000 | 25,479 | ||||||
| Series 2015-K44, Cl. B, 3.81%, 1/25/481,8 | 7,345,000 | 7,412,564 | ||||||
| Series 2015-K45, Cl. B, 3.714%, 4/25/481,8 | 13,050,000 | 13,092,198 | ||||||
| Series 2015-K721, Cl. B, 3.681%, 11/25/471,8 | 3,970,000 | 3,997,690 | ||||||
| Series 2017-K62, Cl. B, 4.004%, 1/25/501,8 | 6,522,000 | 6,673,764 | ||||||
| Series 2017-K724, Cl. B, 3.601%, 11/25/231,8 | 4,465,000 | 4,445,241 | ||||||
|
|
||||||||
| GS Mortgage Securities Trust, Series 2013-GC16, Cl. AS, 4.649%, 11/10/46 | 390,000 | 423,771 | ||||||
|
|
||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
| Series 2013-C10, Cl. AS, 3.372%, 12/15/47 | 2,345,000 | 2,385,019 | ||||||
| Series 2013-C16, Cl. AS, 4.517%, 12/15/46 | 2,395,000 | 2,576,692 | ||||||
| Series 2013-LC11, Cl. AS, 3.216%, 4/15/46 | 310,000 | 312,996 | ||||||
| Series 2014-C20, Cl. AS, 4.043%, 7/15/47 | 1,685,000 | 1,764,413 | ||||||
|
|
||||||||
| JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.52%, 7/25/358 | 244,109 | 250,923 | ||||||
|
|
||||||||
| JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 3.386%, 7/26/361,8 | 11,963,688 | 11,451,218 | ||||||
|
|
||||||||
| JPMBB Commercial Mortgage Securities Trust: | ||||||||
| Series 2014-C24, Cl. B, 4.116%, 11/15/478 | 1,655,000 | 1,697,458 | ||||||
| Series 2014-C25, Cl. AS, 4.065%, 11/15/47 | 6,680,000 | 6,993,563 | ||||||
| Series 2014-C26, Cl. AS, 3.80%, 1/15/48 | 3,770,000 | 3,885,023 | ||||||
|
|
||||||||
| JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Cl. AS, 3.385%, 12/15/49 | 1,755,000 | 1,755,157 | ||||||
|
|
||||||||
| Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 2.514%, 7/26/241,7,8 | 60,714 | 47,662 | ||||||
|
|
||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
| Series 2013-C9, Cl. AS, 3.456%, 5/15/46 | 1,565,000 | 1,599,130 | ||||||
| Series 2014-C14, Cl. B, 4.796%, 2/15/478 | 680,000 | 728,276 | ||||||
| Series 2016-C30, Cl. AS, 3.175%, 9/15/49 | 2,865,000 | 2,815,943 | ||||||
|
|
||||||||
| Morgan Stanley Re-Remic Trust: | ||||||||
| Series 2012-R3, Cl. 1A, 2.754%, 11/26/361,8 | 933,077 | 927,913 | ||||||
| Series 2012-R3, Cl. 1B, 2.754%, 11/26/361,8 | 12,374,546 | 11,347,374 | ||||||
|
|
||||||||
| Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.078%, 6/26/461,8 | 157,960 | 158,502 | ||||||
|
|
||||||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 3.372%, 8/25/348 | 9,099,072 | 9,157,441 | ||||||
|
|
||||||||
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 5.055%, 5/10/631,8 | 7,532,194 | 6,332,556 | ||||||
|
|
||||||||
| Wells Fargo Commercial Mortgage Trust: | ||||||||
| Series 2015-C29, Cl. AS, 4.013%, 6/15/488 | 2,090,000 | 2,191,523 | ||||||
| Series 2016-C37, Cl. AS, 4.018%, 12/15/49 | 2,465,000 | 2,596,030 | ||||||
|
|
||||||||
| WF-RBS Commercial Mortgage Trust: | ||||||||
| Series 2012-C7, Cl. E, 4.981%, 6/15/451,8 | 660,000 | 554,896 | ||||||
| Series 2013-C14, Cl. AS, 3.488%, 6/15/46 | 1,800,000 | 1,851,613 | ||||||
21 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Commercial (Continued) | ||||||||
|
|
||||||||
| WF-RBS Commercial Mortgage Trust: (Continued) | ||||||||
| Series 2014-C20, Cl. AS, 4.176%, 5/15/47 | $ | 1,455,000 | $ | 1,532,610 | ||||
| Series 2014-LC14, Cl. AS, 4.351%, 3/15/478 | 1,135,000 | 1,210,894 | ||||||
|
|
||||||||
| WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 32.62%, 3/15/441,4 | 15,937,660 | 532,755 | ||||||
|
|
|
|||||||
| 178,665,991 | ||||||||
|
|
||||||||
| Residential—6.2% | ||||||||
|
|
||||||||
| Bear Stearns ARM Trust: | ||||||||
| Series 2005-2, Cl. A1, 3.26% [H15T1Y+245], 3/25/352 | 391,102 | 395,847 | ||||||
| Series 2006-1, Cl. A1, 2.91% [H15T1Y+225], 2/25/362 | 76,693 | 76,994 | ||||||
|
|
||||||||
| Chase Funding Trust, Series 2003-2, Cl. 2A2, 1.797% [US0001M+56], 2/25/332 | 15,989 | 15,101 | ||||||
|
|
||||||||
| CHL Mortgage Pass-Through Trust: | ||||||||
| Series 2005-17, Cl. 1A8, 5.50%, 9/25/35 | 1,669,634 | 1,667,408 | ||||||
| Series 2005-J4, Cl. A7, 5.50%, 11/25/35 | 1,581,803 | 1,589,197 | ||||||
|
|
||||||||
| Citigroup Mortgage Loan Trust, Inc.: | ||||||||
| Series 2005-2, Cl. 1A3, 3.27%, 5/25/358 | 2,156,784 | 2,168,256 | ||||||
| Series 2006-AR1, Cl. 1A1, 3.21% [H15T1Y+240], 10/25/352 | 607,373 | 610,778 | ||||||
| Series 2009-8, Cl. 7A2, 3.177%, 3/25/361,8 | 29,534,922 | 28,354,665 | ||||||
| Series 2012-8, Cl. 1A1, 3.386%, 10/25/351,8 | 517,089 | 520,383 | ||||||
| Series 2014-8, Cl. 1A2, 1.526% [US0001M+29], 7/20/361,2 | 1,635,000 | 1,570,311 | ||||||
|
|
||||||||
| Connecticut Avenue Securities: | ||||||||
| Series 2014-C02, Cl. 1M1, 2.187% [US0001M+95], 5/25/242 | 1,011,618 | 1,015,570 | ||||||
| Series 2014-C02, Cl. 2M1, 2.187% [US0001M+95], 5/25/242 | 167,159 | 167,298 | ||||||
| Series 2014-C03, Cl. 1M1, 2.437% [US0001M+120], 7/25/242 | 469,584 | 470,124 | ||||||
| Series 2014-C03, Cl. 1M2, 4.237% [US0001M+300], 7/25/242 | 2,330,000 | 2,454,945 | ||||||
| Series 2014-C03, Cl. 2M1, 2.437% [US0001M+120], 7/25/242 | 37,559 | 37,578 | ||||||
| Series 2015-C03, Cl. 1M2, 6.237% [US0001M+500], 7/25/252 | 4,129,001 | 4,569,549 | ||||||
| Series 2015-C04, Cl. 1M1, 2.837% [US0001M+160], 4/25/282 | 59,343 | 59,361 | ||||||
| Series 2016-C03, Cl. 1M1, 3.237% [US0001M+200], 10/25/282 | 244,869 | 249,059 | ||||||
| Series 2016-C06, Cl. 1M2, 5.487% [US0001M+425], 4/25/292 | 10,705,000 | 11,806,355 | ||||||
| Series 2016-C07, Cl. 2M1, 2.537% [US0001M+130], 5/25/292 | 1,497,564 | 1,505,073 | ||||||
| Series 2016-C07, Cl. 2M2, 5.587% [US0001M+435], 5/25/292 | 13,370,000 | 14,552,753 | ||||||
| Series 2017-C01, Cl. 1M2, 4.787% [US0001M+355], 7/25/292 | 11,610,000 | 12,258,247 | ||||||
| Series 2017-C02, Cl. 2M1, 2.387% [US0001M+115], 9/25/292 | 2,599,713 | 2,618,648 | ||||||
| Series 2017-C02, Cl. 2M2, 4.887% [US0001M+365], 9/25/292 | 4,030,000 | 4,268,495 | ||||||
22 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Residential (Continued) | ||||||||
|
|
||||||||
| Connecticut Avenue Securities: (Continued) | ||||||||
| Series 2017-C03, Cl. 1M1, 2.187% [US0001M+95], 10/25/292 | $ | 1,741,680 | $ | 1,750,469 | ||||
| Series 2017-C04, Cl. 2M2, 4.087% [US0001M+285], 11/25/292 | 9,095,000 | 9,229,950 | ||||||
|
|
||||||||
| CWHEQ Revolving Home Equity Loan Trust: | ||||||||
| Series 2005-G, Cl. 2A, 1.464% [US0001M+23], 12/15/352 | 91,867 | 82,497 | ||||||
| Series 2006-H, Cl. 2A1A, 1.384% [US0001M+15], 11/15/362 | 64,217 | 47,938 | ||||||
|
|
||||||||
| GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.536%, 7/25/358 | 390,176 | 393,092 | ||||||
|
|
||||||||
| Home Equity Mortgage Trust, Series 2005-1, Cl. M6, 5.863%, 6/25/358 | 421,187 | 428,668 | ||||||
|
|
||||||||
| HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 1.547% [US0001M+31], 7/25/352 | 74,232 | 74,295 | ||||||
|
|
||||||||
| MASTR Asset Backed Securities Trust, Series 2006-WMC3, Cl. A3, 1.337% [US0001M+10], 8/25/362 | 3,933,094 | 2,047,399 | ||||||
|
|
||||||||
| Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 3.192%, 12/25/348 | 84,281 | 86,178 | ||||||
|
|
||||||||
| RALI Trust: | ||||||||
| Series 2005-QA4, Cl. A32, 3.847%, 4/25/358 | 7,495 | 141 | ||||||
| Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36 | 64,557 | 57,785 | ||||||
|
|
||||||||
| Residential Asset Securitization Trust, Series 2005-A6CB, Cl. A7, 6%, 6/25/35 | 5,341,719 | 5,104,288 | ||||||
|
|
||||||||
| Structured Agency Credit Risk Debt Nts.: | ||||||||
| Series 2013-DN2, Cl. M2, 5.487% [US0001M+425], 11/25/232 | 2,535,000 | 2,790,490 | ||||||
| Series 2014-DN1, Cl. M3, 5.737% [US0001M+450], 2/25/242 | 2,085,000 | 2,397,427 | ||||||
| Series 2014-DN2, Cl. M3, 4.837% [US0001M+360], 4/25/242 | 555,000 | 607,099 | ||||||
| Series 2014-DN4, Cl. M3, 5.787% [US0001M+455], 10/25/242 | 14,292,685 | 15,499,745 | ||||||
| Series 2014-HQ2, Cl. M3, 4.987% [US0001M+375], 9/25/242 | 18,815,000 | 21,111,740 | ||||||
| Series 2015-HQA2, Cl. M2, 4.037% [US0001M+280], 5/25/282 | 1,251,106 | 1,292,561 | ||||||
| Series 2016-DNA1, Cl. M2, 4.137% [US0001M+290], 7/25/282 | 1,275,000 | 1,317,805 | ||||||
| Series 2016-DNA2, Cl. M1, 2.487% [US0001M+125], 10/25/282 | 1,244,387 | 1,245,555 | ||||||
| Series 2016-DNA2, Cl. M3, 5.887% [US0001M+465], 10/25/282 | 10,693,000 | 12,001,064 | ||||||
| Series 2016-DNA3, Cl. M1, 2.337% [US0001M+110], 12/25/282 | 1,229,608 | 1,232,645 | ||||||
| Series 2016-DNA3, Cl. M3, 6.237% [US0001M+500], 12/25/282 | 7,155,000 | 8,162,858 | ||||||
| Series 2016-DNA4, Cl. M1, 2.037% [US0001M+80], 3/25/292 | 957,941 | 958,690 | ||||||
| Series 2016-DNA4, Cl. M3, 5.037% [US0001M+380], 3/25/292 | 13,920,000 | 15,061,737 | ||||||
| Series 2016-HQA2, Cl. M1, 2.437% [US0001M+120], 11/25/282 | 693,603 | 694,422 | ||||||
23 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Residential (Continued) | ||||||||||||
|
|
||||||||||||
| Structured Agency Credit Risk Debt Nts.: (Continued) | ||||||||||||
| Series 2016-HQA3, Cl. M1, 2.037% [US0001M+80], 3/25/292 | $ | 3,561,477 | $ | 3,568,865 | ||||||||
| Series 2016-HQA3, Cl. M3, 5.087% [US0001M+385], 3/25/292 | 15,820,000 | 17,184,216 | ||||||||||
| Series 2016-HQA4, Cl. M1, 2.037% [US0001M+80], 4/25/292 | 2,480,674 | 2,482,079 | ||||||||||
| Series 2016-HQA4, Cl. M3, 5.137% [US0001M+390], 4/25/292 | 9,480,000 | 10,297,393 | ||||||||||
| Series 2017-DNA1, Cl. M2, 4.487% [US0001M+325], 7/25/292 | 11,970,000 | 12,525,521 | ||||||||||
| Series 2017-HQA1, Cl. M1, 2.437% [US0001M+120], 8/25/292 | 2,350,994 | 2,370,764 | ||||||||||
| Series 2017-HQA1, Cl. M2, 4.787% [US0001M+355], 8/25/292 | 13,575,000 | 14,271,281 | ||||||||||
|
|
||||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 3.015%, 10/25/338 | 132,894 | 136,543 | ||||||||||
|
|
||||||||||||
| Wells Fargo Mortgage-Backed Securities Trust: | ||||||||||||
| Series 2005-AR1, Cl. 1A1, 3.119%, 2/25/358 | 2,992,788 | 3,056,128 | ||||||||||
| Series 2005-AR15, Cl. 1A2, 3.561%, 9/25/358 | 634,359 | 616,127 | ||||||||||
| Series 2005-AR15, Cl. 1A6, 3.561%, 9/25/358 | 6,274,207 | 6,049,714 | ||||||||||
| Series 2005-AR4, Cl. 2A2, 3.335%, 4/25/358 | 180,357 | 181,404 | ||||||||||
| Series 2006-AR10, Cl. 1A1, 3.304%, 7/25/368 | 528,532 | 515,695 | ||||||||||
| Series 2006-AR10, Cl. 5A5, 3.386%, 7/25/368 | 1,034,404 | 1,043,308 | ||||||||||
| Series 2006-AR2, Cl. 2A3, 3.177%, 3/25/368 | 3,830,092 | 3,864,593 | ||||||||||
| Series 2006-AR7, Cl. 2A4, 3.332%, 5/25/368 | 2,560,878 | 2,473,754 | ||||||||||
| Series 2006-AR8, Cl. 2A1, 3.41%, 4/25/368 | 2,055,628 | 2,080,884 | ||||||||||
|
|
|
|||||||||||
| 279,396,802 | ||||||||||||
|
|
|
|||||||||||
| Total Mortgage-Backed Obligations (Cost $961,852,739) | 985,456,610 | |||||||||||
|
|
||||||||||||
| Foreign Government Obligations—11.6% | ||||||||||||
|
|
||||||||||||
| Angola—0.1% | ||||||||||||
| Republic of Angola, 9.50% Sr. Unsec. Nts., 11/12/251 | 3,490,000 | 3,757,980 | ||||||||||
|
|
||||||||||||
| Argentina—0.4% | ||||||||||||
| Argentine Republic: | ||||||||||||
| 5.375% Sr. Unsec. Nts., 1/20/231 | EUR | 1,215,000 | 1,479,402 | |||||||||
| 6.50% Sr. Unsec. Nts., 2/15/231 | 1,555,000 | 1,643,106 | ||||||||||
| 6.875% Sr. Unsec. Nts., 1/26/27 | 2,100,000 | 2,271,150 | ||||||||||
| 7.125% Sr. Unsec. Nts., 6/28/171 | 570,000 | 570,285 | ||||||||||
| 7.50% Sr. Unsec. Nts., 4/22/26 | 1,685,000 | 1,895,625 | ||||||||||
| 7.625% Sr. Unsec. Nts., 4/22/46 | 2,130,737 | 2,370,445 | ||||||||||
| 7.875% Sr. Unsec. Nts., 6/15/271 | 2,315,000 | 2,514,785 | ||||||||||
| 9.125% Sr. Unsec. Nts., 3/16/241 | 1,540,000 | 1,774,850 | ||||||||||
| 16.00% Bonds, 10/17/23 | ARS | 25,715,000 | 1,550,326 | |||||||||
| 18.20% Unsec. Nts., 10/3/21 | ARS | 25,715,000 | 1,536,729 | |||||||||
|
|
|
|||||||||||
| 17,606,703 | ||||||||||||
24 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Belarus—0.0% |
||||||||||||
| Republic of Belarus, 6.875% Sr. Unsec. Nts., 2/28/231 | $ | 1,455,000 | $ | 1,568,090 | ||||||||
| Brazil—0.8% |
||||||||||||
| Federative Republic of Brazil: | ||||||||||||
| 6.00% Sr. Unsec. Nts., 4/7/26 | 3,535,000 | 3,932,687 | ||||||||||
| 10.00% Unsec. Nts., 1/1/19 | BRL | 72,700,000 | 23,686,863 | |||||||||
| 17.517% Unsec. Nts., 5/15/4513 | BRL | 5,100,000 | 5,459,330 | |||||||||
| 17.546% Unsec. Nts., 5/15/5513 | BRL | 4,665,000 | 5,117,201 | |||||||||
|
|
|
|||||||||||
| 38,196,081 | ||||||||||||
|
|
||||||||||||
| Chile—0.2% |
||||||||||||
| Republic of Chile, 4.50% Bonds, 3/1/21 | CLP | 6,931,500,000 | 11,127,614 | |||||||||
|
|
||||||||||||
| Colombia—0.3% |
||||||||||||
| Republic of Colombia: | ||||||||||||
| 4.00% Sr. Unsec. Nts., 2/26/24 | 1,060,000 | 1,105,845 | ||||||||||
| 6.125% Sr. Unsec. Nts., 1/18/41 | 5,585,000 | 6,581,923 | ||||||||||
| Series B, 10.00% Bonds, 7/24/24 | COP | 14,854,000,000 | 6,085,789 | |||||||||
|
|
|
|||||||||||
| 13,773,557 | ||||||||||||
|
|
||||||||||||
| Croatia—0.2% |
||||||||||||
| Republic of Croatia: | ||||||||||||
| 3.875% Sr. Unsec. Nts., 5/30/22 | EUR | 4,065,000 | 5,419,437 | |||||||||
| 6.75% Sr. Unsec. Nts., 11/5/191 | 3,475,000 | 3,769,232 | ||||||||||
|
|
|
|||||||||||
| 9,188,669 | ||||||||||||
|
|
||||||||||||
| Dominican Republic—0.2% |
||||||||||||
| Dominican Republic: | ||||||||||||
| 5.95% Sr. Unsec. Nts., 1/25/271 | 5,660,000 | 6,098,650 | ||||||||||
| 6.85% Sr. Unsec. Nts., 1/27/451 | 2,825,000 | 3,167,531 | ||||||||||
|
|
|
|||||||||||
| 9,266,181 | ||||||||||||
|
|
||||||||||||
| Ecuador—0.2% |
||||||||||||
| Republic of Ecuador: | ||||||||||||
| 9.625% Sr. Unsec. Nts., 6/2/271 | 1,025,000 | 1,078,813 | ||||||||||
| 9.65% Sr. Unsec. Nts., 12/13/261 | 2,850,000 | 3,021,000 | ||||||||||
| 10.75% Sr. Unsec. Nts., 3/28/221 | 4,265,000 | 4,776,800 | ||||||||||
|
|
|
|||||||||||
| 8,876,613 | ||||||||||||
|
|
||||||||||||
| Egypt—0.2% |
||||||||||||
| Arab Republic of Egypt: | ||||||||||||
| 6.125% Sr. Unsec. Nts., 1/31/221 | 2,855,000 | 2,960,010 | ||||||||||
| 8.50% Sr. Unsec. Nts., 1/31/471 | 4,270,000 | 4,773,211 | ||||||||||
|
|
|
|||||||||||
| 7,733,221 | ||||||||||||
|
|
||||||||||||
| Gabon—0.1% |
||||||||||||
| Gabonese Republic, 6.375% Bonds, 12/12/241 | 4,735,000 | 4,639,244 | ||||||||||
25 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Honduras—0.1% |
||||||||||||
| Republic of Honduras, 8.75% Sr. Unsec. Nts., 12/16/201 | $ | 3,350,000 | $ | 3,830,189 | ||||||||
|
|
||||||||||||
| Hungary—0.3% |
||||||||||||
| Hungary: | ||||||||||||
| 5.75% Sr. Unsec. Nts., 11/22/23 | 6,491,000 | 7,533,253 | ||||||||||
| Series 25/B, 5.50% Bonds, 6/24/25 | HUF | 1,211,000,000 | 5,653,261 | |||||||||
|
|
|
|||||||||||
| 13,186,514 | ||||||||||||
|
|
||||||||||||
| India—0.3% |
||||||||||||
| Republic of India, 8.20% Sr. Unsec. Nts., 9/24/25 | INR | 734,400,000 | 12,095,035 | |||||||||
|
|
||||||||||||
| Indonesia—1.0% |
||||||||||||
| Perusahaan Penerbit SBSN Indonesia III: | ||||||||||||
| 4.35% Sr. Unsec. Nts., 9/10/241 | 1,655,000 | 1,760,506 | ||||||||||
| 4.55% Sr. Unsec. Nts., 3/29/261 | 2,755,000 | 2,937,519 | ||||||||||
|
|
||||||||||||
| Republic of Indonesia: | ||||||||||||
| 3.375% Sr. Unsec. Nts., 7/30/251 | EUR | 845,000 | 1,103,978 | |||||||||
| 3.70% Sr. Unsec. Nts., 1/8/221 | 2,065,000 | 2,144,895 | ||||||||||
| 3.75% Sr. Unsec. Nts., 6/14/281 | EUR | 1,380,000 | 1,827,534 | |||||||||
| 3.85% Sr. Unsec. Nts., 7/18/271 | 2,895,000 | 2,980,443 | ||||||||||
| 4.125% Sr. Unsec. Nts., 1/15/251 | 1,010,000 | 1,062,492 | ||||||||||
| 4.75% Sr. Unsec. Nts., 7/18/471 | 2,895,000 | 3,055,924 | ||||||||||
| Series FR53, 8.25% Sr. Unsec. Nts., 7/15/21 | IDR | 114,495,000,000 | 9,133,010 | |||||||||
| Series FR56, 8.375% Sr. Unsec. Nts., 9/15/26 | IDR | 210,905,000,000 | 17,804,178 | |||||||||
|
|
|
|||||||||||
| 43,810,479 | ||||||||||||
|
|
||||||||||||
| Iraq—0.1% |
||||||||||||
| Republic of Iraq: | ||||||||||||
| 5.80% Unsec. Nts., 1/15/281 | 1,570,000 | 1,472,895 | ||||||||||
| 6.752% Sr. Unsec. Nts., 3/9/231 | 2,890,000 | 2,879,891 | ||||||||||
|
|
|
|||||||||||
| 4,352,786 | ||||||||||||
|
|
||||||||||||
| Ivory Coast—0.2% |
||||||||||||
| Republic of Cote d’Ivoire: | ||||||||||||
| 5.125% Sr. Unsec. Nts., 6/15/251 | EUR | 2,985,000 | 3,660,814 | |||||||||
| 5.75% Sr. Unsec. Nts., 12/31/32 | 2,033,255 | 1,992,574 | ||||||||||
| 6.125% Sr. Unsec. Nts., 6/15/331 | 3,495,000 | 3,455,618 | ||||||||||
|
|
|
|||||||||||
| 9,109,006 | ||||||||||||
|
|
||||||||||||
| Jamaica—0.1% |
||||||||||||
| Commonwealth of Jamaica: | ||||||||||||
| 7.875% Sr. Unsec. Nts., 7/28/45 | 2,875,000 | 3,550,625 | ||||||||||
| 8.00% Sr. Unsec. Nts., 3/15/39 | 1,140,000 | 1,415,025 | ||||||||||
|
|
|
|||||||||||
| 4,965,650 | ||||||||||||
|
|
||||||||||||
| Kazakhstan—0.1% |
||||||||||||
| Republic of Kazakhstan, 4.875% Sr. Unsec. Nts., 10/14/441 | 2,790,000 | 2,862,972 | ||||||||||
26 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Lebanon—0.0% |
||||||||||||
| Lebanese Republic, 6.10% Sr. Unsec. Nts., 10/4/22 | $ | 1,430,000 | $ | 1,433,017 | ||||||||
|
|
||||||||||||
| Malaysia—0.2% |
||||||||||||
| Malaysia, 5.734% Sr. Unsec. Nts., 7/30/19 | MYR | 35,697,000 | 8,820,697 | |||||||||
|
|
||||||||||||
| Mexico—0.4% |
||||||||||||
| United Mexican States: | ||||||||||||
| Series M, 5.75% Bonds, 3/5/26 | MXN | 172,455,000 | 8,839,905 | |||||||||
| Series M20, 10.00% Bonds, 12/5/24 | MXN | 171,380,000 | 11,152,876 | |||||||||
|
|
|
|||||||||||
| 19,992,781 | ||||||||||||
|
|
||||||||||||
| Peru—0.2% |
||||||||||||
| Republic of Peru: | ||||||||||||
| 5.70% Unsec. Nts., 8/12/241 | PEN | 14,655,000 | 4,769,932 | |||||||||
| 8.20% Sr. Unsec. Nts., 8/12/261 | PEN | 9,165,000 | 3,474,252 | |||||||||
|
|
|
|||||||||||
| 8,244,184 | ||||||||||||
|
|
||||||||||||
| Poland—0.3% |
||||||||||||
| Republic of Poland: | ||||||||||||
| 2.25% Bonds, 4/25/22 | PLN | 37,200,000 | 10,034,438 | |||||||||
| 2.50% Bonds, 7/25/27 | PLN | 18,350,000 | 4,669,881 | |||||||||
|
|
|
|||||||||||
| 14,704,319 | ||||||||||||
|
|
||||||||||||
| Romania—0.4% |
||||||||||||
| Romania: | ||||||||||||
| 2.375% Sr. Unsec. Nts., 4/19/271 | EUR | 2,945,000 | 3,555,523 | |||||||||
| 3.875% Sr. Unsec. Nts., 10/29/351 | EUR | 985,000 | 1,238,070 | |||||||||
| 4.875% Sr. Unsec. Nts., 1/22/241 | 3,575,000 | 3,948,945 | ||||||||||
| 5.95% Bonds, 6/11/21 | RON | 25,540,000 | 7,325,137 | |||||||||
|
|
|
|||||||||||
| 16,067,675 | ||||||||||||
|
|
||||||||||||
| Russia—1.7% |
||||||||||||
| Russian Federation: | ||||||||||||
| Series 6208, 7.50% Bonds, 2/27/19 | RUB | 2,560,730,000 | 44,527,563 | |||||||||
| Series 6209, 7.60% Bonds, 7/20/22 | RUB | 480,415,000 | 8,402,747 | |||||||||
| Series 6211, 7.00% Bonds, 1/25/23 | RUB | 805,490,000 | 13,692,770 | |||||||||
| Series 6217, 7.50% Bonds, 8/18/21 | RUB | 674,770,000 | 11,740,482 | |||||||||
|
|
|
|||||||||||
| 78,363,562 | ||||||||||||
|
|
||||||||||||
| Senegal—0.1% |
||||||||||||
| Republic of Senegal: | ||||||||||||
| 6.25% Sr. Unsec. Nts., 7/30/241 | 1,570,000 | 1,681,282 | ||||||||||
| 6.25% Unsec. Nts., 5/23/331 | 1,470,000 | 1,515,996 | ||||||||||
|
|
|
|||||||||||
| 3,197,278 | ||||||||||||
|
|
||||||||||||
| Serbia—0.2% |
||||||||||||
| Republic of Serbia: | ||||||||||||
| 5.25% Sr. Unsec. Nts., 11/21/171 | 2,970,000 | 2,984,090 | ||||||||||
27 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Serbia (Continued) |
||||||||||||
| Republic of Serbia: (Continued) 5.875% Unsec. Nts., 12/3/181 | $ | 6,100,000 | $ | 6,332,202 | ||||||||
|
|
|
|||||||||||
| 9,316,292 | ||||||||||||
|
|
||||||||||||
| South Africa—1.1% |
||||||||||||
| Republic of South Africa: | ||||||||||||
| Series 2023, 7.75% Bonds, 2/28/23 | ZAR | 62,500,000 | 4,585,874 | |||||||||
| Series 2037, 8.50% Bonds, 1/31/37 | ZAR | 94,715,000 | 6,306,678 | |||||||||
| Series 2048, 8.75% Bonds, 2/28/48 | ZAR | 25,700,000 | 1,717,704 | |||||||||
| Series R186, 10.50% Bonds, 12/21/26 | ZAR | 469,800,000 | 38,958,691 | |||||||||
|
|
|
|||||||||||
| 51,568,947 | ||||||||||||
|
|
||||||||||||
| Sri Lanka—0.3% |
||||||||||||
| Democratic Socialist Republic of Sri Lanka: | ||||||||||||
| 5.875% Sr. Unsec. Nts., 7/25/221 | 3,210,000 | 3,422,091 | ||||||||||
| 6.00% Sr. Unsec. Nts., 1/14/191 | 4,380,000 | 4,528,114 | ||||||||||
| 6.20% Sr. Unsec. Nts., 5/11/271 | 1,180,000 | 1,240,096 | ||||||||||
| 6.25% Sr. Unsec. Nts., 10/4/201 | 1,445,000 | 1,543,094 | ||||||||||
| 6.85% Sr. Unsec. Nts., 11/3/251 | 1,315,000 | 1,446,863 | ||||||||||
|
|
|
|||||||||||
| 12,180,258 | ||||||||||||
|
|
||||||||||||
| Thailand—0.1% |
||||||||||||
| Kingdom of Thailand, 1.875% Sr. Unsec. Nts., 6/17/22 | THB | 176,600,000 | 5,328,867 | |||||||||
|
|
||||||||||||
| Turkey—0.6% |
||||||||||||
| Republic of Turkey: | ||||||||||||
| 5.75% Sr. Unsec. Nts., 5/11/47 | 2,860,000 | 2,817,872 | ||||||||||
| 8.80% Bonds, 11/14/18 | TRY | 30,930,000 | 8,438,809 | |||||||||
| 9.00% Bonds, 7/24/24 | TRY | 5,500,000 | 1,422,873 | |||||||||
| 10.60% Bonds, 2/11/26 | TRY | 14,000,000 | 3,862,663 | |||||||||
| 11.00% Bonds, 3/2/22 | TRY | 18,230,000 | 5,157,479 | |||||||||
| 11.00% Bonds, 2/24/27 | TRY | 11,000,000 | 3,150,650 | |||||||||
|
|
|
|||||||||||
| 24,850,346 | ||||||||||||
|
|
||||||||||||
| Ukraine—0.8% |
||||||||||||
| Ukraine: | ||||||||||||
| 7.375% Sr. Unsec. Nts., 9/25/321 | 12,215,000 | 11,921,229 | ||||||||||
| 7.75% Sr. Unsec. Nts., 9/1/20 | 2,835,000 | 3,011,649 | ||||||||||
| 7.75% Sr. Unsec. Nts., 9/1/22 | 2,960,000 | 3,146,835 | ||||||||||
| 7.75% Sr. Unsec. Nts., 9/1/23 | 6,565,000 | 6,903,097 | ||||||||||
| 7.75% Sr. Unsec. Nts., 9/1/24 | 4,350,000 | 4,551,188 | ||||||||||
| 7.75% Sr. Unsec. Nts., 9/1/25 | 5,780,000 | 5,996,617 | ||||||||||
|
|
|
|||||||||||
| 35,530,615 | ||||||||||||
|
|
||||||||||||
| Uruguay—0.2% |
||||||||||||
| Oriental Republic of Uruguay: | ||||||||||||
| 5.10% Sr. Unsec. Nts., 6/18/50 | 8,395,000 | 8,873,515 | ||||||||||
28 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Uruguay (Continued) |
||||||||||
| Oriental Republic of Uruguay: (Continued) | ||||||||||
| 9.875% Sr. Unsec. Nts., 6/20/221 | UYU | 36,445,000 | $ | 1,361,475 | ||||||
|
|
|
|||||||||
| 10,234,990 | ||||||||||
|
|
||||||||||
| Vietnam—0.1% |
||||||||||
| Socialist Republic of Vietnam, 4.80% Sr. Unsec. Nts., 11/19/241 | 3,120,000 | 3,338,419 | ||||||||
|
|
|
|||||||||
| Total Foreign Government Obligations (Cost $506,992,965) | 523,118,831 | |||||||||
|
|
||||||||||
| Corporate Loans—0.2% | ||||||||||
|
|
||||||||||
| Caesars Entertainment Resort Properties LLC, Sr. Sec. | ||||||||||
| Credit Facilities 1st Lien Term Loan, Tranche B, 4.735% [LIBOR12+350], 10/11/202 | 2,973,182 | 2,978,945 | ||||||||
|
|
||||||||||
| Clear Channel Communications, Inc., Extended Sr. Sec. | ||||||||||
| Credit Facilities 1st Lien Term Loan, Tranche D, 8.083% [LIBOR4+675], 1/30/192,6 | 2,135,000 | 1,652,490 | ||||||||
|
|
||||||||||
| Neiman Marcus Group Ltd. LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.481% [LIBOR12+325], 10/25/202 | 3,581,443 | 2,680,488 | ||||||||
|
|
|
|||||||||
| Total Corporate Loans (Cost $7,635,812) | 7,311,923 | |||||||||
|
|
||||||||||
| Corporate Bonds and Notes—45.3% | ||||||||||
|
|
||||||||||
| Consumer Discretionary—8.6% | ||||||||||
|
|
||||||||||
| Auto Components—0.3% | ||||||||||
|
|
||||||||||
| American Axle & Manufacturing, Inc., 6.25% Sr. Unsec. Nts., 4/1/251 | 3,630,000 | 3,711,675 | ||||||||
|
|
||||||||||
| Cooper-Standard Automotive, Inc., 5.625% Sr. Unsec. Nts., 11/15/261 | 650,000 | 666,250 | ||||||||
|
|
||||||||||
| Dana Financing Luxembourg Sarl, 6.50% Sr. Unsec. Nts., 6/1/261 | 3,645,000 | 3,945,712 | ||||||||
|
|
||||||||||
| Goodyear Tire & Rubber Co. (The), 5% Sr. Unsec. Nts., 5/31/26 | 1,940,000 | 2,029,725 | ||||||||
|
|
||||||||||
| Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.375% Sr. Sec. Nts., 12/15/231 | 1,635,000 | 1,778,063 | ||||||||
|
|
||||||||||
| Lear Corp., 3.80% Sr. Unsec. Nts., 9/15/27 | 1,476,000 | 1,472,772 | ||||||||
|
|
||||||||||
| Tenneco, Inc., 5% Sr. Unsec. Nts., 7/15/26 | 1,460,000 | 1,500,150 | ||||||||
|
|
|
|||||||||
| 15,104,347 | ||||||||||
|
|
||||||||||
| Automobiles—0.5% | ||||||||||
|
|
||||||||||
| Aston Martin Capital Holdings Ltd., 6.50% Sr. Sec. Nts., 4/15/221 | 1,370,000 | 1,474,298 | ||||||||
|
|
||||||||||
| Daimler Finance North America LLC: | ||||||||||
| 2.20% Sr. Unsec. Nts., 5/5/201 | 2,150,000 | 2,152,983 | ||||||||
| 8.50% Sr. Unsec. Unsub. Nts., 1/18/31 | 1,421,000 | 2,128,712 | ||||||||
|
|
||||||||||
| Ford Motor Credit Co. LLC: | ||||||||||
| 2.425% Sr. Unsec. Nts., 6/12/20 | 1,649,000 | 1,649,942 | ||||||||
| 3.664% Sr. Unsec. Nts., 9/8/24 | 2,957,000 | 2,970,505 | ||||||||
|
|
||||||||||
| General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 | 1,110,000 | 1,272,247 | ||||||||
|
|
||||||||||
| General Motors Financial Co., Inc., 3.15% Sr. Unsec. Nts., 6/30/22 | 2,228,000 | 2,247,532 | ||||||||
|
|
||||||||||
| Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45 | 760,000 | 805,696 | ||||||||
29 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Automobiles (Continued) | ||||||||
|
|
||||||||
| Hyundai Capital America, 1.75% Sr. Unsec. Nts., 9/27/191 | $ | 2,678,000 | $ | 2,639,466 | ||||
|
|
||||||||
| Nissan Motor Acceptance Corp., 2.15% Sr. Unsec. Nts., 9/28/201 | 1,561,000 | 1,563,156 | ||||||
|
|
||||||||
| Volkswagen Group of America Finance LLC, 1.60% Sr. Unsec. Nts., 11/20/171 | 2,855,000 | 2,855,122 | ||||||
|
|
||||||||
| ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/251 | 1,866,000 | 1,975,628 | ||||||
|
|
|
|||||||
| 23,735,287 | ||||||||
|
|
||||||||
| Distributors—0.1% | ||||||||
|
|
||||||||
| LKQ Corp., 4.75% Sr. Unsec. Nts., 5/15/23 | 4,199,000 | 4,372,209 | ||||||
|
|
||||||||
| Diversified Consumer Services—0.1% | ||||||||
|
|
||||||||
| Monitronics International, Inc., 9.125% Sr. Unsec. Nts., 4/1/20 | 1,990,000 | 1,781,050 | ||||||
|
|
||||||||
| Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24 | 1,860,000 | 1,983,225 | ||||||
|
|
|
|||||||
|
|
3,764,275
|
| ||||||
|
|
||||||||
| Hotels, Restaurants & Leisure—2.1% | ||||||||
|
|
||||||||
| 1011778 B.C. ULC/New Red Finance, Inc.: | ||||||||
| 4.25% Sr. Sec. Nts., 5/15/241 | 2,150,000 | 2,163,438 | ||||||
| 5.00% Sec. Nts., 10/15/251,6 | 3,555,000 | 3,634,988 | ||||||
| 6.00% Sec. Nts., 4/1/221 | 1,596,000 | 1,647,272 | ||||||
|
|
||||||||
| Aramark Services, Inc.: | ||||||||
| 4.75% Sr. Unsec. Nts., 6/1/26 | 2,190,000 | 2,311,326 | ||||||
| 5.00% Sr. Unsec. Nts., 4/1/251 | 1,283,000 | 1,376,017 | ||||||
|
|
||||||||
| Boyd Gaming Corp.: | ||||||||
| 6.375% Sr. Unsec. Nts., 4/1/26 | 690,000 | 754,687 | ||||||
| 6.875% Sr. Unsec. Nts., 5/15/23 | 1,835,000 | 1,969,194 | ||||||
|
|
||||||||
| CEC Entertainment, Inc., 8% Sr. Unsec. Nts., 2/15/22 | 2,580,000 | 2,689,650 | ||||||
|
|
||||||||
| Churchill Downs, Inc., 5.375% Sr. Unsec. Nts., 12/15/21 | 1,245,000 | 1,290,131 | ||||||
|
|
||||||||
| CRC Escrow Issuer LLC/CRC Finco, Inc., 5.25% Sr. Unsec. Nts., 10/15/251,6 | 3,560,000 | 3,560,000 | ||||||
|
|
||||||||
| Eldorado Resorts, Inc., 6% Sr. Unsec. Nts., 4/1/25 | 1,800,000 | 1,899,360 | ||||||
|
|
||||||||
| Gateway Casinos & Entertainment Ltd., 8.25% Sec. Nts., 3/1/241 | 1,070,000 | 1,126,175 | ||||||
|
|
||||||||
| Golden Nugget, Inc., 8.75% Sr. Sub. Nts., 10/1/251 | 3,910,000 | 3,988,200 | ||||||
|
|
||||||||
| Hilton Domestic Operating Co., Inc., 4.25% Sr. Unsec. Nts., 9/1/24 | 1,455,000 | 1,487,737 | ||||||
|
|
||||||||
| Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., 6.125% Sr. Unsec. Nts., 12/1/241 | 3,630,000 | 3,993,907 | ||||||
|
|
||||||||
| International Game Technology plc, 6.25% Sr. Sec. Nts., 2/15/221 | 6,310,000 | 7,007,255 | ||||||
|
|
||||||||
| KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC: | ||||||||
| 4.75% Sr. Unsec. Nts., 6/1/271 | 3,570,000 | 3,686,025 | ||||||
| 5.25% Sr. Unsec. Nts., 6/1/261 | 2,915,000 | 3,097,187 | ||||||
|
|
||||||||
| Landry’s, Inc., 6.75% Sr. Unsec. Nts., 10/15/241 | 5,485,000 | 5,560,419 | ||||||
|
|
||||||||
| Marriott International, Inc., 3.25% Sr. Unsec. Nts., 9/15/22 | 1,171,000 | 1,194,221 | ||||||
|
|
||||||||
| Melco Resorts Finance Ltd., 4.875% Sr. Unsec. Nts., 6/6/251 | 3,750,000 | 3,776,311 | ||||||
30 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Hotels, Restaurants & Leisure (Continued) | ||||||||
|
|
||||||||
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc., 5.625% Sr. Unsec. Nts., 5/1/24 | $ | 3,510,000 | $ | 3,820,916 | ||||
|
|
||||||||
| MGM Resorts International: | ||||||||
| 6.00% Sr. Unsec. Nts., 3/15/23 | 3,630,000 | 4,011,150 | ||||||
| 6.625% Sr. Unsec. Nts., 12/15/21 | 3,430,000 | 3,867,325 | ||||||
|
|
||||||||
| Mohegan Gaming & Entertainment, 7.875% Sr. Unsec. Nts., 10/15/241 | 2,255,000 | 2,418,487 | ||||||
|
|
||||||||
| Penn National Gaming, Inc., 5.625% Sr. Unsec. Nts., 1/15/271 | 3,600,000 | 3,744,000 | ||||||
|
|
||||||||
| PF Chang’s China Bistro, Inc., 10.25% Sr. Unsec. Nts., 6/30/201 | 1,635,000 | 1,606,388 | ||||||
|
|
||||||||
| Premier Cruises Ltd., 11% Sr. Unsec. Nts., 3/15/081,7,9 | 14,750,000 | — | ||||||
|
|
||||||||
| Scientific Games International, Inc., 10% Sr. Unsec. Nts., 12/1/22 | 4,828,000 | 5,365,115 | ||||||
|
|
||||||||
| Silversea Cruise Finance Ltd., 7.25% Sr. Sec. Nts., 2/1/251 | 1,445,000 | 1,553,375 | ||||||
|
|
||||||||
| Six Flags Entertainment Corp., 4.875% Sr. Unsec. Nts., 7/31/241 | 1,455,000 | 1,484,100 | ||||||
|
|
||||||||
| Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 5.875% Sr. Sec. Nts., 5/15/251 | 3,585,000 | 3,531,225 | ||||||
|
|
||||||||
| Viking Cruises Ltd., 5.875% Sr. Unsec. Nts., 9/15/271 | 1,420,000 | 1,428,449 | ||||||
|
|
||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25% Sr. Unsec. Nts., 5/15/271 | 1,075,000 | 1,096,489 | ||||||
|
|
||||||||
| Wynn Macau Ltd.: | ||||||||
| 4.875% Sr. Unsec. Nts., 10/1/241 | 355,000 | 362,544 | ||||||
| 5.50% Sr. Unsec. Nts., 10/1/271 | 355,000 | 360,991 | ||||||
|
|
|
|||||||
| 92,864,054 | ||||||||
|
|
||||||||
| Household Durables—1.3% | ||||||||
|
|
||||||||
| American Greetings Corp., 7.875% Sr. Unsec. Nts., 2/15/253 | 2,890,000 | 3,142,875 | ||||||
|
|
||||||||
| AV Homes, Inc., 6.625% Sr. Unsec. Nts., 5/15/22 | 3,585,000 | 3,701,512 | ||||||
|
|
||||||||
| Beazer Homes USA, Inc.: | ||||||||
| 5.875% Sr. Unsec. Nts., 10/15/271,6 | 2,485,000 | 2,491,212 | ||||||
| 6.75% Sr. Unsec. Nts., 3/15/25 | 3,570,000 | 3,777,417 | ||||||
| 7.25% Sr. Unsec. Nts., 2/1/23 | 2,410,000 | 2,518,450 | ||||||
| 8.75% Sr. Unsec. Nts., 3/15/22 | 2,270,000 | 2,519,700 | ||||||
|
|
||||||||
| K Hovnanian Enterprises, Inc., 10% Sec. Nts., 7/15/221 | 1,425,000 | 1,482,000 | ||||||
|
|
||||||||
| KB Home, 7.625% Sr. Unsec. Nts., 5/15/23 | 3,085,000 | 3,543,739 | ||||||
|
|
||||||||
| Lennar Corp.: | ||||||||
| 4.50% Sr. Unsec. Nts., 4/30/24 | 240,000 | 247,747 | ||||||
| 4.75% Sr. Unsec. Nts., 5/30/25 | 6,839,000 | 7,172,401 | ||||||
|
|
||||||||
| M/I Homes, Inc., 5.625% Sr. Unsec. Nts., 8/1/251 | 2,135,000 | 2,191,044 | ||||||
|
|
||||||||
| Mattamy Group Corp., 6.50% Sr. Unsec. Nts., 10/1/251 | 710,000 | 731,300 | ||||||
|
|
||||||||
| Meritage Homes Corp., 7.15% Sr. Unsec. Nts., 4/15/20 | 1,210,000 | 1,337,050 | ||||||
|
|
||||||||
| Newell Brands, Inc.: | ||||||||
| 2.15% Sr. Unsec. Nts., 10/15/18 | 1,170,000 | 1,174,637 | ||||||
| 5.00% Sr. Unsec. Nts., 11/15/23 | 1,900,000 | 2,026,372 | ||||||
| 5.50% Sr. Unsec. Nts., 4/1/46 | 722,000 | 855,482 | ||||||
|
|
||||||||
| PulteGroup, Inc.: | ||||||||
| 5.00% Sr. Unsec. Nts., 1/15/27 | 3,662,000 | 3,822,213 | ||||||
| 5.50% Sr. Unsec. Nts., 3/1/26 | 2,195,000 | 2,401,659 | ||||||
31 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Household Durables (Continued) | ||||||||||
|
|
||||||||||
| PulteGroup, Inc.: (Continued) 6.00% Sr. Unsec. Nts., 2/15/35 |
$ | 245,000 | $ | 256,638 | ||||||
|
|
||||||||||
| Standard Industries, Inc., 5.50% Sr. Unsec. Nts., 2/15/231 | 735,000 | 780,019 | ||||||||
|
|
||||||||||
| Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.875% Sr. Unsec. Nts., 4/15/233 | 3,050,000 | 3,248,250 | ||||||||
|
|
||||||||||
| Toll Brothers Finance Corp.: | ||||||||||
| 4.375% Sr. Unsec. Nts., 4/15/23 | 4,197,000 | 4,401,604 | ||||||||
| 4.875% Sr. Unsec. Nts., 3/15/27 | 835,000 | 864,309 | ||||||||
|
|
||||||||||
| Whirlpool Corp., 1.65% Sr. Unsec. Nts., 11/1/17 | 840,000 | 840,046 | ||||||||
|
|
||||||||||
| William Lyon Homes, Inc., 5.875% Sr. Unsec. Nts., 1/31/25 | 2,891,000 | 2,970,503 | ||||||||
|
|
|
|||||||||
| 58,498,179 | ||||||||||
|
|
||||||||||
| Internet & Catalog Retail—0.1% | ||||||||||
|
|
||||||||||
| Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44 | 771,000 | 893,348 | ||||||||
|
|
||||||||||
| QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25 | 4,255,000 | 4,321,129 | ||||||||
|
|
|
|||||||||
| 5,214,477 | ||||||||||
|
|
||||||||||
| Leisure Equipment & Products—0.1% | ||||||||||
|
|
||||||||||
| Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18 | 1,942,000 | 1,939,328 | ||||||||
|
|
||||||||||
| Proven Honour Capital Ltd., 4.125% Sr. Unsec. Nts., 5/6/26 | 3,695,000 | 3,809,615 | ||||||||
|
|
|
|||||||||
| 5,748,943 | ||||||||||
|
|
||||||||||
| Media—2.8% | ||||||||||
|
|
||||||||||
| 21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/46 | 961,000 | 1,027,954 | ||||||||
|
|
||||||||||
| Altice Financing SA, 6.50% Sec. Nts., 1/15/221 | 3,800,000 | 3,961,500 | ||||||||
|
|
||||||||||
| Altice Finco SA, 8.125% Sec. Nts., 1/15/241 | 1,905,000 | 2,066,925 | ||||||||
|
|
||||||||||
| AMC Entertainment Holdings, Inc.: | ||||||||||
| 5.75% Sr. Sub. Nts., 6/15/25 | 2,185,000 | 2,157,687 | ||||||||
| 5.875% Sr. Sub. Nts., 11/15/26 | 2,175,000 | 2,142,375 | ||||||||
| 6.125% Sr. Sub. Nts., 5/15/27 | 1,440,000 | 1,429,200 | ||||||||
|
|
||||||||||
| AMC Networks, Inc., 4.75% Sr. Unsec. Nts., 8/1/25 | 1,425,000 | 1,442,812 | ||||||||
|
|
||||||||||
| Belo Corp., 7.75% Sr. Unsec. Nts., 6/1/27 | 3,538,000 | 4,024,475 | ||||||||
|
|
||||||||||
| Block Communications, Inc., 6.875% Sr. Unsec. Nts., 2/15/251 | 725,000 | 790,467 | ||||||||
|
|
||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||||||||
| 5.00% Sr. Unsec. Nts., 2/1/281 | 2,845,000 | 2,859,225 | ||||||||
| 5.125% Sr. Unsec. Nts., 5/1/271 | 2,881,000 | 2,927,816 | ||||||||
| 5.75% Sr. Unsec. Nts., 2/15/261 | 3,250,000 | 3,420,625 | ||||||||
|
|
||||||||||
| Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.375% Sr. Unsec. Nts., 9/15/201 | 1,351,000 | 1,383,086 | ||||||||
|
|
||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital, 5.375% Sr. Sec. Nts., 5/1/471 | 1,429,000 | 1,484,158 | ||||||||
|
|
||||||||||
| Cinemark USA, Inc., 4.875% Sr. Unsec. Nts., 6/1/23 | 1,460,000 | 1,481,900 | ||||||||
|
|
||||||||||
| Clear Channel International BV, 8.75% Sr. Unsec. Nts., 12/15/201 | 710,000 | 749,050 | ||||||||
|
|
||||||||||
| Clear Channel Worldwide Holdings, Inc.: | ||||||||||
| Series B, 6.50% Sr. Unsec. Nts., 11/15/22 | 4,115,000 | 4,259,025 | ||||||||
| Series B, 7.625% Sr. Sub. Nts., 3/15/20 | 5,490,000 | 5,441,962 | ||||||||
32 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Media (Continued) | ||||||||
|
|
||||||||
| Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | $ | 2,216,000 | $ | 2,946,863 | ||||
|
|
||||||||
| CSC Holdings LLC: | ||||||||
| 5.25% Sr. Unsec. Nts., 6/1/24 | 3,305,000 | 3,350,444 | ||||||
| 5.50% Sr. Unsec. Nts., 4/15/271 | 2,180,000 | 2,272,650 | ||||||
| 10.875% Sr. Unsec. Nts., 10/15/251 | 2,070,000 | 2,564,213 | ||||||
|
|
||||||||
| DISH DBS Corp.: | ||||||||
| 5.875% Sr. Unsec. Nts., 11/15/24 | 8,445,000 | 8,879,495 | ||||||
| 7.75% Sr. Unsec. Nts., 7/1/26 | 715,000 | 822,250 | ||||||
|
|
||||||||
| Gray Television, Inc.: | ||||||||
| 5.125% Sr. Unsec. Nts., 10/15/241 | 2,170,000 | 2,186,275 | ||||||
| 5.875% Sr. Unsec. Nts., 7/15/261 | 4,790,000 | 4,945,675 | ||||||
|
|
||||||||
| iHeartCommunications, Inc., 9% Sr. Sec. Nts., 12/15/19 | 4,005,000 | 3,073,837 | ||||||
|
|
||||||||
| Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24 | 842,000 | 885,482 | ||||||
|
|
||||||||
| Lions Gate Entertainment Corp., 5.875% Sr. Unsec. Nts., 11/1/241 | 3,685,000 | 3,887,675 | ||||||
|
|
||||||||
| MDC Partners, Inc., 6.50% Sr. Unsec. Nts., 5/1/241 | 705,000 | 713,813 | ||||||
|
|
||||||||
| Myriad International Holdings BV, 4.85% Sr. Unsec. Nts., 7/6/271 | 1,450,000 | 1,502,925 | ||||||
|
|
||||||||
| Nexstar Broadcasting, Inc., 5.625% Sr. Unsec. Nts., 8/1/241 | 2,815,000 | 2,920,563 | ||||||
|
|
||||||||
| Salem Media Group, Inc., 6.75% Sr. Sec. Nts., 6/1/241 | 2,120,000 | 2,215,400 | ||||||
|
|
||||||||
| SFR Group SA, 6% Sr. Sec. Nts., 5/15/221 | 2,425,000 | 2,537,156 | ||||||
|
|
||||||||
| Sinclair Television Group, Inc., 5.625% Sr. Unsec. Nts., 8/1/241 | 2,740,000 | 2,818,775 | ||||||
|
|
||||||||
| Sirius XM Radio, Inc.: | ||||||||
| 3.875% Sr. Unsec. Nts., 8/1/221 | 1,210,000 | 1,243,517 | ||||||
| 5.375% Sr. Unsec. Nts., 7/15/261 | 2,910,000 | 3,070,050 | ||||||
|
|
||||||||
| Sky plc: | ||||||||
| 3.75% Sr. Unsec. Nts., 9/16/241 | 1,253,000 | 1,287,138 | ||||||
| 6.10% Sr. Unsec. Nts., 2/15/181 | 936,000 | 951,337 | ||||||
|
|
||||||||
| TEGNA, Inc., 5.50% Sr. Unsec. Nts., 9/15/241 | 1,780,000 | 1,880,125 | ||||||
|
|
||||||||
| Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 | 1,379,000 | 1,311,023 | ||||||
|
|
||||||||
| Time Warner, Inc., 3.875% Sr. Unsec. Nts., 1/15/26 | 600,000 | 610,132 | ||||||
|
|
||||||||
| Townsquare Media, Inc., 6.50% Sr. Unsec. Nts., 4/1/231 | 710,000 | 723,313 | ||||||
|
|
||||||||
| Tribune Media Co., 5.875% Sr. Unsec. Nts., 7/15/22 | 1,990,000 | 2,079,550 | ||||||
|
|
||||||||
| Univision Communications, Inc.: | ||||||||
| 5.125% Sr. Sec. Nts., 5/15/231 | 735,000 | 751,538 | ||||||
| 5.125% Sr. Sec. Nts., 2/15/251 | 5,925,000 | 5,991,656 | ||||||
|
|
||||||||
| Viacom, Inc.: | ||||||||
| 2.25% Sr. Unsec. Nts., 2/4/22 | 550,000 | 526,848 | ||||||
| 3.45% Sr. Unsec. Nts., 10/4/26 | 665,000 | 639,989 | ||||||
| 4.375% Sr. Unsec. Nts., 3/15/43 | 1,647,000 | 1,423,225 | ||||||
|
|
||||||||
| Virgin Media Secured Finance plc: | ||||||||
| 5.25% Sr. Sec. Nts., 1/15/261 | 1,694,000 | 1,770,230 | ||||||
| 5.50% Sr. Sec. Nts., 8/15/261 | 2,095,000 | 2,212,844 | ||||||
|
|
||||||||
| Ziggo Secured Finance BV, 5.50% Sr. Sec. Nts., 1/15/271 | 5,290,000 | 5,433,835 | ||||||
|
|
|
|||||||
| 123,480,083 | ||||||||
33 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Multiline Retail—0.2% | ||||||||
|
|
||||||||
| Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/23 | $ | 5,981,000 | $ | 6,337,468 | ||||
|
|
||||||||
| Specialty Retail—0.7% | ||||||||
|
|
||||||||
| AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19 | 515,000 | 512,327 | ||||||
|
|
||||||||
| Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21 | 1,610,000 | 1,748,480 | ||||||
|
|
||||||||
| GameStop Corp.: | ||||||||
| 5.50% Sr. Unsec. Nts., 10/1/191 | 3,600,000 | 3,694,500 | ||||||
| 6.75% Sr. Unsec. Nts., 3/15/211 | 3,860,000 | 4,033,700 | ||||||
|
|
||||||||
| Guitar Center, Inc., 6.50% Sr. Sec. Nts., 4/15/191 | 1,005,000 | 917,062 | ||||||
|
|
||||||||
| L Brands, Inc.: | ||||||||
| 5.625% Sr. Unsec. Nts., 2/15/22 | 2,312,000 | 2,479,389 | ||||||
| 6.875% Sr. Unsec. Nts., 11/1/35 | 6,270,000 | 6,144,600 | ||||||
|
|
||||||||
| Lithia Motors, Inc., 5.25% Sr. Unsec. Nts., 8/1/251 | 1,425,000 | 1,483,781 | ||||||
|
|
||||||||
| Murphy Oil USA, Inc., 5.625% Sr. Unsec. Nts., 5/1/27 | 720,000 | 776,700 | ||||||
|
|
||||||||
| PetSmart, Inc.: | ||||||||
| 5.875% Sr. Sec. Nts., 6/1/251 | 1,430,000 | 1,254,825 | ||||||
| 7.125% Sr. Unsec. Nts., 3/15/231 | 3,790,000 | 2,966,812 | ||||||
| 8.875% Sr. Unsec. Nts., 6/1/251 | 715,000 | 569,319 | ||||||
|
|
||||||||
| Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 | 1,660,000 | 1,686,938 | ||||||
|
|
||||||||
| Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25 | 1,320,000 | 1,359,600 | ||||||
|
|
||||||||
| Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 | 1,741,000 | 1,725,767 | ||||||
|
|
||||||||
| Sonic Automotive, Inc., 6.125% Sr. Sub. Nts., 3/15/27 | 1,800,000 | 1,854,000 | ||||||
| 33,207,800 | ||||||||
|
|
||||||||
| Textiles, Apparel & Luxury Goods—0.3% | ||||||||
|
|
||||||||
| Hanesbrands, Inc.: | ||||||||
| 4.625% Sr. Unsec. Nts., 5/15/241 | 1,250,000 | 1,307,812 | ||||||
| 4.875% Sr. Unsec. Nts., 5/15/261 | 3,793,000 | 3,958,944 | ||||||
|
|
||||||||
| Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/25 | 1,762,000 | 1,865,518 | ||||||
|
|
||||||||
| PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 | 1,182,000 | 1,211,550 | ||||||
|
|
||||||||
| Springs Industries, Inc., 6.25% Sr. Sec. Nts., 6/1/21 | 3,995,000 | 4,129,831 | ||||||
|
|
||||||||
| Wrangler Buyer Corp., 6% Sr. Unsec. Nts., 10/1/251 | 710,000 | 725,975 | ||||||
| 13,199,630 | ||||||||
|
|
||||||||
| Consumer Staples—2.7% | ||||||||
|
|
||||||||
| Beverages—0.3% | ||||||||
|
|
||||||||
| Anheuser-Busch InBev Finance, Inc.: | ||||||||
| 1.90% Sr. Unsec. Nts., 2/1/19 | 2,878,000 | 2,886,141 | ||||||
| 3.65% Sr. Unsec. Nts., 2/1/26 | 1,366,000 | 1,415,082 | ||||||
| 4.90% Sr. Unsec. Nts., 2/1/46 | 787,000 | 899,253 | ||||||
|
|
||||||||
| Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | 1,198,000 | 1,903,982 | ||||||
|
|
||||||||
| Coca-Cola Icecek AS, 4.215% Sr. Unsec. Nts., 9/19/241 | 2,770,000 | 2,808,999 | ||||||
|
|
||||||||
| Molson Coors Brewing Co.: | ||||||||
| 1.45% Sr. Unsec. Nts., 7/15/19 | 1,018,000 | 1,007,258 | ||||||
| 2.10% Sr. Unsec. Nts., 7/15/21 | 2,432,000 | 2,399,573 | ||||||
| 4.20% Sr. Unsec. Nts., 7/15/46 | 347,000 | 346,909 | ||||||
34 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Beverages (Continued) | ||||||||
|
|
||||||||
| Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/221 | $ | 2,089,000 | $ | 2,246,109 | ||||
|
|
|
|||||||
| 15,913,306 | ||||||||
|
|
||||||||
| Food & Staples Retailing—0.7% | ||||||||
|
|
||||||||
| Albertsons Cos LLC/Safeway, Inc./New Albertson’s, Inc./ | ||||||||
| Albertson’s LLC, 6.625% Sr. Unsec. Nts., 6/15/24 | 2,190,000 | 2,050,387 | ||||||
|
|
||||||||
| Fresh Market, Inc. (The), 9.75% Sr. Sec. Nts., 5/1/231 | 1,840,000 | 1,140,800 | ||||||
|
|
||||||||
| Ingles Markets, Inc., 5.75% Sr. Unsec. Nts., 6/15/23 | 4,205,000 | 4,131,412 | ||||||
|
|
||||||||
| Kroger Co. (The): | ||||||||
| 2.00% Sr. Unsec. Nts., 1/15/19 | 114,000 | 114,226 | ||||||
| 6.80% Sr. Unsec. Nts., 12/15/18 | 812,000 | 858,376 | ||||||
| 6.90% Sr. Unsec. Nts., 4/15/38 | 614,000 | 768,807 | ||||||
|
|
||||||||
| New Albertson’s, Inc., 7.45% Sr. Unsec. Nts., 8/1/29 | 2,195,000 | 1,712,100 | ||||||
|
|
||||||||
| Omnicare, Inc., 4.75% Sr. Unsec. Nts., 12/1/22 | 5,295,000 | 5,688,404 | ||||||
|
|
||||||||
| Performance Food Group, Inc., 5.50% Sr. Unsec. Nts., 6/1/241 | 1,460,000 | 1,511,100 | ||||||
|
|
||||||||
| Rite Aid Corp., 6.125% Sr. Unsec. Nts., 4/1/231 | 5,490,000 | 5,359,613 | ||||||
|
|
||||||||
| Simmons Foods, Inc., 7.875% Sec. Nts., 10/1/211 | 2,575,000 | 2,736,903 | ||||||
|
|
||||||||
| SUPERVALU, Inc.: | ||||||||
| 6.75% Sr. Unsec. Nts., 6/1/21 | 2,195,000 | 2,090,738 | ||||||
| 7.75% Sr. Unsec. Nts., 11/15/22 | 1,620,000 | 1,526,850 | ||||||
|
|
||||||||
| US Foods, Inc., 5.875% Sr. Unsec. Nts., 6/15/241 | 365,000 | 384,163 | ||||||
|
|
|
|||||||
| |
30,073,879 |
| ||||||
|
|
||||||||
| Food Products—1.0% | ||||||||
|
|
||||||||
| Adecoagro SA, 6% Sr. Unsec. Nts., 9/21/271 | 1,534,000 | 1,534,767 | ||||||
|
|
||||||||
| B&G Foods, Inc., 5.25% Sr. Unsec. Nts., 4/1/25 | 720,000 | 736,200 | ||||||
|
|
||||||||
| Bunge Ltd. Finance Corp.: | ||||||||
| 3.25% Sr. Unsec. Nts., 8/15/26 | 1,712,000 | 1,652,137 | ||||||
| 8.50% Sr. Unsec. Nts., 6/15/19 | 2,191,000 | 2,420,706 | ||||||
|
|
||||||||
| Dean Foods Co., 6.50% Sr. Unsec. Nts., 3/15/231 | 4,830,000 | 4,914,525 | ||||||
|
|
||||||||
| Dole Food Co., Inc., 7.25% Sr. Sec. Nts., 6/15/251 | 2,160,000 | 2,346,300 | ||||||
|
|
||||||||
| JBS USA LUX SA/JBS USA Finance, Inc., 5.75% Sr. Unsec. Nts., 6/15/251 | 3,775,000 | 3,779,719 | ||||||
|
|
||||||||
| Kraft Heinz Foods Co.: 3.95% Sr. Unsec. Nts., 7/15/25 |
1,486,000 | 1,532,476 | ||||||
| 4.375% Sr. Unsec. Nts., 6/1/46 | 1,587,000 | 1,561,516 | ||||||
|
|
||||||||
| Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/261 | 1,432,000 | 1,507,180 | ||||||
|
|
||||||||
| Minerva Luxembourg SA, 6.50% Sr. Unsec. Nts., 9/20/261 | 1,605,000 | 1,627,470 | ||||||
|
|
||||||||
| Mondelez International Holdings Netherlands BV, 1.625% Sr. Unsec. Nts., 10/28/191 | 2,771,000 | 2,750,824 | ||||||
|
|
||||||||
| Pilgrim’s Pride Corp.: | ||||||||
| 5.75% Sr. Unsec. Nts., 3/15/251 | 2,735,000 | 2,830,725 | ||||||
| 5.875% Sr. Unsec. Nts., 9/30/271 | 710,000 | 729,525 | ||||||
|
|
||||||||
| Post Holdings, Inc., 5.75% Sr. Unsec. Nts., 3/1/271 | 2,135,000 | 2,209,725 | ||||||
|
|
||||||||
| Smithfield Foods, Inc., 2.70% Sr. Unsec. Nts., 1/31/201 | 2,628,000 | 2,638,644 | ||||||
|
|
||||||||
| TreeHouse Foods, Inc., 6% Sr. Unsec. Nts., 2/15/241 | 4,517,000 | 4,850,129 | ||||||
|
|
||||||||
| Tyson Foods, Inc., 3.55% Sr. Unsec. Nts., 6/2/27 | 1,248,000 | 1,264,314 | ||||||
35 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Food Products (Continued) | ||||||||
|
|
||||||||
| WhiteWave Foods Co. (The), 5.375% Sr. Unsec. Nts., 10/1/22 | $ | 2,030,000 | $ | 2,287,766 | ||||
|
|
|
|||||||
| 43,174,648 | ||||||||
| Household Products—0.1% | ||||||||
|
|
||||||||
| Kronos Acquisition Holdings, Inc., 9% Sr. Unsec. Nts., 8/15/231 | 1,800,000 | 1,759,500 | ||||||
| Reckitt Benckiser Treasury Services plc, 2.375% Sr. Unsec. Nts., 6/24/221 | 2,200,000 | 2,195,336 | ||||||
| Spectrum Brands, Inc., 6.125% Sr. Unsec. Nts., 12/15/24 | 1,115,000 | 1,200,019 | ||||||
|
|
|
|||||||
| 5,154,855 | ||||||||
| Personal Products—0.3% | ||||||||
|
|
||||||||
| Avon International Operations, Inc., 7.875% Sr. Sec. Nts., 8/15/221 | 8,670,000 | 9,038,475 | ||||||
| Edgewell Personal Care Co., 4.70% Sr. Unsec. Nts., 5/24/22 | 255,000 | 274,762 | ||||||
| Revlon Consumer Products Corp.: | ||||||||
| 5.75% Sr. Unsec. Nts., 2/15/21 | 6,320,000 | 5,545,800 | ||||||
| 6.25% Sr. Unsec. Nts., 8/1/24 | 1,455,000 | 1,131,263 | ||||||
|
|
|
|||||||
| 15,990,300 | ||||||||
| Tobacco—0.3% | ||||||||
|
|
||||||||
| Altria Group, Inc., 4% Sr. Unsec. Nts., 1/31/24 | 1,663,000 | 1,767,316 | ||||||
| BAT Capital Corp., 3.557% Sr. Unsec. Nts., 8/15/271 | 1,226,000 | 1,232,220 | ||||||
| Imperial Brands Finance plc, 2.05% Sr. Unsec. Nts., 7/20/181 | 2,769,000 | 2,770,613 | ||||||
| Reynolds American, Inc., 5.85% Sr. Unsec. Nts., 8/15/45 | 881,000 | 1,081,133 | ||||||
| Vector Group Ltd., 6.125% Sr. Sec. Nts., 2/1/251 | 4,910,000 | 5,094,125 | ||||||
|
|
|
|||||||
| 11,945,407 | ||||||||
| Energy—7.8% | ||||||||
|
|
||||||||
| Energy Equipment & Services—1.2% | ||||||||
|
|
||||||||
| Calfrac Holdings LP, 7.50% Sr. Unsec. Nts., 12/1/201 | 2,495,000 | 2,410,794 | ||||||
| Ensco plc, 5.20% Sr. Unsec. Nts., 3/15/25 | 1,960,000 | 1,656,200 | ||||||
| Exterran Energy Solutions LP/EES Finance Corp., 8.125% Sr. Unsec. Nts., 5/1/251 | 720,000 | 747,000 | ||||||
| Halliburton Co., 5% Sr. Unsec. Nts., 11/15/45 | 556,000 | 611,843 | ||||||
| Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25 | 1,403,000 | 1,485,408 | ||||||
| McDermott International, Inc., 8% Sec. Nts., 5/1/211 | 3,745,000 | 3,885,437 | ||||||
| Noble Holding International Ltd., 7.75% Sr. Unsec. Nts., 1/15/24 | 2,175,000 | 1,941,188 | ||||||
| Parker Drilling Co., 6.75% Sr. Unsec. Nts., 7/15/22 | 4,500,000 | 3,611,250 | ||||||
| Pertamina Persero PT: | ||||||||
| 5.625% Sr. Unsec. Nts., 5/20/431 | 2,960,000 | 3,192,304 | ||||||
| 6.45% Sr. Unsec. Nts., 5/30/441 | 7,530,000 | 8,948,712 | ||||||
| Pioneer Energy Services Corp., 6.125% Sr. Unsec. Nts., 3/15/22 | 4,200,000 | 3,570,000 | ||||||
| Rowan Cos., Inc., 7.375% Sr. Unsec. Nts., 6/15/25 | 5,080,000 | 4,991,100 | ||||||
| Schlumberger Holdings Corp.: | ||||||||
| 1.90% Sr. Unsec. Nts., 12/21/171 | 2,332,000 | 2,334,261 | ||||||
36 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Energy Equipment & Services (Continued) | ||||||||
|
|
||||||||
| Schlumberger Holdings Corp.: (Continued) | ||||||||
| 4.00% Sr. Unsec. Nts., 12/21/251 | $ | 1,434,000 | $ | 1,504,963 | ||||
| SESI LLC, 7.75% Sr. Unsec. Nts., 9/15/241 | 2,135,000 | 2,215,063 | ||||||
| Transocean, Inc., 9% Sr. Unsec. Nts., 7/15/231 | 3,000,000 | 3,247,500 | ||||||
| Trinidad Drilling Ltd., 6.625% Sr. Unsec. Nts., 2/15/251 | 1,085,000 | 1,019,900 | ||||||
| Unit Corp., 6.625% Sr. Sub. Nts., 5/15/21 | 2,675,000 | 2,695,063 | ||||||
| Weatherford International Ltd., 9.875% Sr. Unsec. Nts., 2/15/241 | 3,571,000 | 3,945,955 | ||||||
|
|
|
|||||||
| 54,013,941 | ||||||||
| Oil, Gas & Consumable Fuels—6.6% | ||||||||
|
|
||||||||
| Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.875% Sr. Unsec. Nts., 12/15/241 |
2,125,000 | 2,305,625 | ||||||
| Anadarko Petroleum Corp.: | ||||||||
| 4.50% Sr. Unsec. Nts., 7/15/44 | 496,000 | 473,592 | ||||||
| 6.20% Sr. Unsec. Nts., 3/15/40 | 504,000 | 587,199 | ||||||
| Andeavor, 5.125% Sr. Unsec. Nts., 12/15/261 | 2,247,000 | 2,469,231 | ||||||
| Andeavor Logistics LP/Tesoro Logistics Finance Corp., 5.25% Sr. Unsec. Nts., 1/15/25 |
1,884,000 | 2,025,300 | ||||||
| Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43 | 721,000 | 727,264 | ||||||
| Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 6% Sr. Unsec. Nts., 2/15/251 | 3,145,000 | 3,337,631 | ||||||
| Baytex Energy Corp., 5.625% Sr. Unsec. Nts., 6/1/241 | 3,400,000 | 3,116,100 | ||||||
| Bharat Petroleum Corp. Ltd., 4% Sr. Unsec. Nts., 5/8/25 | 2,830,000 | 2,913,315 | ||||||
| Bill Barrett Corp.: | ||||||||
| 7.00% Sr. Unsec. Nts., 10/15/22 | 3,755,000 | 3,623,575 | ||||||
| 8.75% Sr. Unsec. Nts., 6/15/25 | 1,435,000 | 1,384,775 | ||||||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125% Sr. Unsec. Nts., 11/15/221 | 1,680,000 | 1,751,400 | ||||||
| Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24 | 1,121,000 | 1,194,431 | ||||||
| BP Capital Markets plc, 1.676% Sr. Unsec. Nts., 5/3/19 | 2,832,000 | 2,831,696 | ||||||
| Buckeye Partners LP, 3.95% Sr. Unsec. Nts., 12/1/26 | 663,000 | 655,055 | ||||||
| California Resources Corp., 8% Sec. Nts., 12/15/221 | 1,803,000 | 1,178,711 | ||||||
| Calumet Specialty Products Partners LP/Calumet Finance Corp., 6.50% Sr. Unsec. Nts., 4/15/21 | 5,310,000 | 5,213,756 | ||||||
| Carrizo Oil & Gas, Inc., 6.25% Sr. Unsec. Nts., 4/15/23 | 1,205,000 | 1,229,100 | ||||||
| Cenovus Energy, Inc., 5.40% Sr. Unsec. Nts., 6/15/471 | 246,000 | 247,458 | ||||||
| Cheniere Corpus Christi Holdings LLC: | ||||||||
| 5.125% Sr. Sec. Nts., 6/30/271 | 1,430,000 | 1,480,050 | ||||||
| 7.00% Sr. Sec. Nts., 6/30/24 | 5,020,000 | 5,729,075 | ||||||
| Chesapeake Energy Corp.: | ||||||||
| 6.125% Sr. Unsec. Nts., 2/15/21 | 1,435,000 | 1,449,350 | ||||||
| 8.00% Sec. Nts., 12/15/221 | 1,805,000 | 1,953,912 | ||||||
| 8.00% Sr. Unsec. Nts., 1/15/251 | 715,000 | 723,938 | ||||||
| 8.00% Sr. Unsec. Nts., 6/15/271,6 | 710,000 | 704,675 | ||||||
| Chevron Corp., 1.561% Sr. Unsec. Nts., 5/16/19 | 2,853,000 | 2,849,146 | ||||||
| CITGO Petroleum Corp., 6.25% Sr. Sec. Nts., 8/15/221 | 195,000 | 201,825 | ||||||
| Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance | ||||||||
| Corp., 12% Sec. Nts., 11/1/21 | 4,135,000 | 4,362,425 | ||||||
37 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Oil, Gas & Consumable Fuels (Continued) | ||||||||
| Columbia Pipeline Group, Inc.: | ||||||||
| 3.30% Sr. Unsec. Nts., 6/1/20 | $ | 2,258,000 | $ | 2,312,215 | ||||
| 4.50% Sr. Unsec. Nts., 6/1/25 | 1,166,000 | 1,247,213 | ||||||
| ConocoPhillips Co.: | ||||||||
| 4.95% Sr. Unsec. Nts., 3/15/26 | 322,000 | 363,452 | ||||||
| 5.95% Sr. Unsec. Nts., 3/15/46 | 578,000 | 745,389 | ||||||
| CONSOL Energy, Inc.: | ||||||||
| 5.875% Sr. Unsec. Nts., 4/15/22 | 1,230,000 | 1,248,450 | ||||||
| 8.00% Sr. Unsec. Nts., 4/1/23 | 1,715,000 | 1,830,865 | ||||||
| Continental Resources, Inc., 5% Sr. Unsec. Nts., 9/15/22 | 1,535,000 | 1,565,700 | ||||||
| Cosan Ltd., 5.95% Sr. Unsec. Nts., 9/20/241 | 1,060,000 | 1,086,765 | ||||||
| CVR Refining LLC/Coffeyville Finance, Inc., 6.50% Sr. Unsec. Nts., 11/1/22 | 3,980,000 | 4,079,500 | ||||||
| Denbury Resources, Inc.: | ||||||||
| 4.625% Sr. Sub. Nts., 7/15/23 | 2,130,000 | 1,128,900 | ||||||
| 5.50% Sr. Sub. Nts., 5/1/22 | 1,822,000 | 1,052,205 | ||||||
| 6.375% Sr. Sub. Nts., 8/15/21 | 2,209,000 | 1,336,445 | ||||||
| 9.00% Sec. Nts., 5/15/211 | 2,975,000 | 2,919,219 | ||||||
| Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 | 713,000 | 724,051 | ||||||
| Energy Transfer Equity LP: | ||||||||
| 5.875% Sr. Sec. Nts., 1/15/24 | 10,000 | 10,787 | ||||||
| 7.50% Sr. Sec. Nts., 10/15/20 | 2,470,000 | 2,794,187 | ||||||
| Energy Transfer LP, 5.30% Sr. Unsec. Nts., 4/15/47 | 723,000 | 726,930 | ||||||
| EnLink Midstream Partners LP, 4.85% Sr. Unsec. Nts., 7/15/26 | 681,000 | 713,569 | ||||||
| Enterprise Products Operating LLC: | ||||||||
| 4.85% Sr. Unsec. Nts., 8/15/42 | 363,000 | 397,113 | ||||||
| 4.90% Sr. Unsec. Nts., 5/15/46 | 300,000 | 328,848 | ||||||
| Enviva Partners LP/Enviva Partners Finance Corp., 8.50% Sr. Unsec. Nts., 11/1/21 | 3,560,000 | 3,804,750 | ||||||
| EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||||||
| 7.75% Sr. Unsec. Nts., 9/1/22 | 1,785,000 | 1,137,937 | ||||||
| 8.00% Sr. Sec. Nts., 11/29/241 | 3,625,000 | 3,679,375 | ||||||
| 8.00% Sec. Nts., 2/15/251 | 2,890,000 | 2,265,037 | ||||||
| 9.375% Sr. Unsec. Nts., 5/1/20 | 1,810,000 | 1,515,875 | ||||||
| EQT Corp., 6.50% Sr. Unsec. Nts., 4/1/18 | 1,198,000 | 1,223,490 | ||||||
| Extraction Oil & Gas, Inc., 7.375% Sr. Unsec. Nts., 5/15/241 | 710,000 | 741,950 | ||||||
| Foresight Energy LLC/Foresight Energy Finance Corp., 11.50% Sec. Nts., 4/1/231 | 3,600,000 | 3,168,000 | ||||||
| Gazprom OAO Via Gaz Capital SA, 4.95% Sr. Unsec. Nts., 7/19/221 | 6,835,000 | 7,173,674 | ||||||
| Genesis Energy LP/Genesis Energy Finance Corp.: | ||||||||
| 5.75% Sr. Unsec. Nts., 2/15/21 | 1,525,000 | 1,538,344 | ||||||
| 6.00% Sr. Unsec. Nts., 5/15/23 | 2,345,000 | 2,339,137 | ||||||
| 6.50% Sr. Unsec. Nts., 10/1/25 | 2,135,000 | 2,121,656 | ||||||
| Geopark Ltd., 6.50% Sr. Sec. Nts., 9/21/241 | 1,230,000 | 1,239,225 | ||||||
| Gulfport Energy Corp., 6% Sr. Unsec. Nts., 10/15/24 | 2,840,000 | 2,875,500 | ||||||
| Halcon Resources Corp.: | ||||||||
| 6.75% Sr. Unsec. Nts., 2/15/251 | 1,425,000 | 1,482,000 | ||||||
| 12.00% Sec. Nts., 2/15/221 | 844,000 | 1,021,240 | ||||||
38 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Oil, Gas & Consumable Fuels (Continued) | ||||||||||||
| Holly Energy Partners LP/Holly Energy Finance Corp., 6% Sr. Unsec. Nts., 8/1/241 | $ | 710,000 | $ | 748,162 | ||||||||
| Indian Oil Corp. Ltd., 5.75% Sr. Unsec. Nts., 8/1/23 | 4,010,000 | 4,536,200 | ||||||||||
| Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.75% Sr. Unsec. Nts., 4/1/22 | 6,062,000 | 4,985,995 | ||||||||||
| KazMunayGas National Co. JSC: | ||||||||||||
| 4.40% Sr. Unsec. Nts., 4/30/231 | 1,295,000 | 1,320,259 | ||||||||||
| 5.75% Sr. Unsec. Nts., 4/19/471 | 5,580,000 | 5,515,395 | ||||||||||
| 6.375% Sr. Unsec. Nts., 4/9/211 | 4,505,000 | 4,935,971 | ||||||||||
| 7.00% Sr. Unsec. Nts., 5/5/201 | 4,125,000 | 4,506,191 | ||||||||||
| Kinder Morgan, Inc., 5.55% Sr. Unsec. Nts., 6/1/45 | 2,000,000 | 2,163,844 | ||||||||||
| LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/233 | 1,300,000 | 1,371,500 | ||||||||||
| Marathon Oil Corp., 4.40% Sr. Unsec. Nts., 7/15/27 | 1,265,000 | 1,293,827 | ||||||||||
| MEG Energy Corp.: | ||||||||||||
| 6.50% Sec. Nts., 1/15/251 | 1,435,000 | 1,402,713 | ||||||||||
| 7.00% Sr. Unsec. Nts., 3/31/241 | 3,925,000 | 3,385,313 | ||||||||||
| Murphy Oil Corp., 6.875% Sr. Unsec. Nts., 8/15/24 | 2,120,000 | 2,265,729 | ||||||||||
| Murray Energy Corp., 11.25% Sec. Nts., 4/15/211 | 8,680,000 | 5,208,000 | ||||||||||
| Newfield Exploration Co., 5.625% Sr. Unsec. Nts., 7/1/24 | 1,485,000 | 1,600,088 | ||||||||||
| NGL Energy Partners LP/NGL Energy Finance Corp.: | ||||||||||||
| 6.125% Sr. Unsec. Nts., 3/1/25 | 3,595,000 | 3,361,325 | ||||||||||
| 6.875% Sr. Unsec. Nts., 10/15/21 | 1,770,000 | 1,778,850 | ||||||||||
| 7.50% Sr. Unsec. Nts., 11/1/23 | 3,050,000 | 3,050,000 | ||||||||||
| Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44 | 711,000 | 736,145 | ||||||||||
| Novatek OAO via Novatek Finance DAC, 4.422% Sr. Unsec. Nts., 12/13/221 | 1,585,000 | 1,633,422 | ||||||||||
| NuStar Logistics LP, 5.625% Sr. Unsec. Nts., 4/28/27 | 2,155,000 | 2,278,913 | ||||||||||
| Oasis Petroleum, Inc., 6.875% Sr. Unsec. Nts., 1/15/23 | 5,755,000 | 5,870,100 | ||||||||||
| ONEOK Partners LP, 4.90% Sr. Unsec. Nts., 3/15/25 | 971,000 | 1,039,692 | ||||||||||
| ONEOK, Inc., 7.50% Sr. Unsec. Nts., 9/1/23 | 4,070,000 | 4,881,110 | ||||||||||
| PBF Holding Co. LLC/PBF Finance Corp.: | ||||||||||||
| 7.00% Sr. Sec. Nts., 11/15/23 | 4,880,000 | 5,050,800 | ||||||||||
| 7.25% Sr. Unsec. Nts., 6/15/251 | 2,130,000 | 2,183,250 | ||||||||||
| Peabody Energy Corp.: | ||||||||||||
| 6.00% Sr. Sec. Nts., 11/15/187,9,10 | 3,195,000 | 3 | ||||||||||
| 6.375% Sr. Sec. Nts., 3/31/251 | 1,440,000 | 1,485,000 | ||||||||||
| 10.00% Sr. Sec. Nts., 3/15/227,9,10 | 5,950,000 | 6 | ||||||||||
| Petrobras Global Finance BV: | ||||||||||||
| 4.375% Sr. Unsec. Nts., 5/20/23 | 4,960,000 | 4,915,360 | ||||||||||
| 5.299% Sr. Unsec. Nts., 1/27/251 | 2,270,000 | 2,269,433 | ||||||||||
| 5.999% Sr. Unsec. Nts., 1/27/281 | 12,462,000 | 12,477,578 | ||||||||||
| 6.125% Sr. Unsec. Nts., 1/17/22 | 4,020,000 | 4,331,550 | ||||||||||
| 6.85% Sr. Unsec. Nts., 6/5/15 | 5,680,000 | 5,425,820 | ||||||||||
| Petroleos Mexicanos: | ||||||||||||
| 3.75% Sr. Unsec. Nts., 2/21/2411 | EUR | 620,000 | 780,609 | |||||||||
| 3.75% Sr. Unsec. Nts., 4/16/26 | EUR | 3,090,000 | 3,755,004 | |||||||||
| 4.625% Sr. Unsec. Nts., 9/21/23 | 7,205,000 | 7,460,057 | ||||||||||
| 5.375% Sr. Unsec. Nts., 3/13/221 | 1,460,000 | 1,561,762 | ||||||||||
39 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Oil, Gas & Consumable Fuels (Continued) | ||||||||
|
|
||||||||
| Petroleos Mexicanos: (Continued) | ||||||||
| 6.375% Sr. Unsec. Nts., 2/4/21 | $ | 2,850,000 | $ | 3,129,329 | ||||
| 6.75% Sr. Unsec. Nts., 9/21/471 | 5,250,000 | 5,598,600 | ||||||
| 6.875% Sr. Unsec. Nts., 8/4/26 | 2,155,000 | 2,456,700 | ||||||
|
|
||||||||
| Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25 | 1,193,000 | 1,191,990 | ||||||
|
|
||||||||
| Proven Glory Capital Ltd., 4% Sr. Unsec. Nts., 2/21/2711 | 870,000 | 884,164 | ||||||
|
|
||||||||
| Resolute Energy Corp., 8.50% Sr. Unsec. Nts., 5/1/20 | 6,665,000 | 6,814,963 | ||||||
|
|
||||||||
| Sabine Pass Liquefaction LLC, 4.20% Sr. Sec. Nts., 3/15/28 | 1,293,000 | 1,305,491 | ||||||
|
|
||||||||
| Saka Energi Indonesia PT, 4.45% Sr. Unsec. Nts., 5/5/241 | 1,935,000 | 1,964,596 | ||||||
|
|
||||||||
| Sanchez Energy Corp.: | ||||||||
| 6.125% Sr. Unsec. Nts., 1/15/23 | 2,845,000 | 2,460,925 | ||||||
| 7.75% Sr. Unsec. Nts., 6/15/21 | 1,245,000 | 1,185,863 | ||||||
|
|
||||||||
| SemGroup Corp./Rose Rock Finance Corp., 5.625% Sr. Unsec. Nts., 11/15/23 | 1,610,000 | 1,573,775 | ||||||
|
|
||||||||
| Shell International Finance BV, 4% Sr. Unsec. Nts., 5/10/46 | 875,000 | 886,672 | ||||||
|
|
||||||||
| Southwestern Energy Co., 7.50% Sr. Unsec. Nts., 4/1/26 | 710,000 | 738,400 | ||||||
|
|
||||||||
| Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.75% Sr. Unsec. Nts., 4/15/25 | 1,440,000 | 1,468,800 | ||||||
|
|
||||||||
| Sunoco Logistics Partners Operations LP, 4% Sr. Unsec. Nts., 10/1/27 | 1,374,000 | 1,371,037 | ||||||
|
|
||||||||
| Sunoco LP/Sunoco Finance Corp., 6.375% Sr. Unsec. Nts., 4/1/23 | 2,145,000 | 2,289,788 | ||||||
|
|
||||||||
| SURA Asset Management SA, 4.375% Sr. Unsec. Nts., 4/11/271 | 2,015,000 | 2,055,300 | ||||||
|
|
||||||||
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50% Sr. Unsec. Nts., 9/15/241 | 1,850,000 | 1,910,125 | ||||||
|
|
||||||||
| Topaz Marine SA, 9.125% Sr. Unsec. Nts., 7/26/221 | 980,000 | 985,635 | ||||||
| Ultra Resources, Inc.: | ||||||||
| 6.875% Sr. Unsec. Nts., 4/15/221 | 1,080,000 | 1,102,950 | ||||||
| 7.125% Sr. Unsec. Nts., 4/15/251 | 1,415,000 | 1,430,919 | ||||||
|
|
||||||||
| Ultrapar International SA, 5.25% Sr. Unsec. Nts., 10/6/261 | 1,430,000 | 1,481,838 | ||||||
|
|
||||||||
| WildHorse Resource Development Corp., 6.875% Sr. Unsec. Nts., 2/1/251 | 1,425,000 | 1,426,781 | ||||||
|
|
||||||||
| Williams Partners LP, 3.75% Sr. Unsec. Nts., 6/15/27 | 1,041,000 | 1,041,142 | ||||||
|
|
||||||||
| WPX Energy, Inc., 8.25% Sr. Unsec. Nts., 8/1/23 | 3,260,000 | 3,671,575 | ||||||
|
|
||||||||
| YPF SA, 6.95% Sr. Unsec. Nts., 7/21/271 | 2,915,000 | 3,102,277 | ||||||
|
|
|
|||||||
|
|
295,753,214
|
| ||||||
|
|
||||||||
| Financials—8.0% | ||||||||
|
|
||||||||
| Capital Markets—2.0% | ||||||||
|
|
||||||||
| Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/241 | 1,439,000 | 1,471,283 | ||||||
|
|
||||||||
| Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., 10/2/271,6 | 1,020,000 | 1,007,407 | ||||||
|
|
||||||||
| Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25 | 2,590,000 | 2,665,536 | ||||||
|
|
||||||||
| Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24 | 1,364,000 | 1,417,256 | ||||||
|
|
||||||||
| Credit Suisse Group AG, 7.125% [USSW5+510.8] Jr. Sub. Perpetual Bonds2,12 | 1,655,000 | 1,787,400 | ||||||
40 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Capital Markets (Continued) | ||||||||
|
|
||||||||
| Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26 | $ | 1,075,000 | $ | 1,155,218 | ||||
|
|
||||||||
| Diamond Resorts International, Inc.: | ||||||||
| 7.75% Sr. Sec. Nts., 9/1/231 | 3,800,000 | 4,104,000 | ||||||
| 10.75% Sr. Unsec. Nts., 9/1/241 | 2,280,000 | 2,439,600 | ||||||
|
|
||||||||
| Drawbridge Special Opportunities Fund LP/Drawbridge Special Opportunities Finance Corp., 5% Sr. Unsec. Nts., 8/1/211 | 4,385,000 | 4,471,837 | ||||||
|
|
||||||||
| E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds2,12 | 4,873,000 | 5,201,928 | ||||||
|
|
||||||||
| Equate Petrochemical BV, 4.25% Sr. Unsec. Nts., 11/3/261 | 2,900,000 | 2,989,320 | ||||||
|
|
||||||||
| First Data Corp.: | ||||||||
| 5.00% Sr. Sec. Nts., 1/15/241 | 3,840,000 | 4,001,472 | ||||||
| 5.75% Sec. Nts., 1/15/241 | 2,745,000 | 2,882,250 | ||||||
| 7.00% Sr. Unsec. Nts., 12/1/231 | 5,690,000 | 6,090,007 | ||||||
|
|
||||||||
| Flex Acquisition Co., Inc., 6.875% Sr. Unsec. Nts., 1/15/251 | 4,335,000 | 4,508,400 | ||||||
|
|
||||||||
| Goldman Sachs Group, Inc. (The): | ||||||||
| 3.50% Sr. Unsec. Nts., 11/16/26 | 1,451,000 | 1,456,343 | ||||||
| 3.75% Sr. Unsec. Nts., 2/25/26 | 1,395,000 | 1,430,062 | ||||||
| 5.70% [US0003M+388.4] Jr. Sub. Perpetual Bonds, Series L2,12 | 1,351,000 | 1,398,285 | ||||||
|
|
||||||||
| Koks OAO Via Koks Finance DAC, 7.50% Sr. Unsec. Nts., 5/4/221 | 3,465,000 | 3,731,008 | ||||||
|
|
||||||||
| Macquarie Bank Ltd. (London), 6.125% [USSW5+370.3] Jr. Sub. Perpetual Bonds1,2,12 | 2,097,000 | 2,175,008 | ||||||
|
|
||||||||
| Marble II Pte Ltd., 5.30% Sr. Sec. Nts., 6/20/221 | 925,000 | 942,289 | ||||||
|
|
||||||||
| Morgan Stanley: | ||||||||
| 4.375% Sr. Unsec. Nts., 1/22/47 | 1,776,000 | 1,894,305 | ||||||
| 5.00% Sub. Nts., 11/24/25 | 2,236,000 | 2,453,845 | ||||||
|
|
||||||||
| MPH Acquisition Holdings LLC, 7.125% Sr. Unsec. Nts., 6/1/241 | 1,460,000 | 1,573,150 | ||||||
|
|
||||||||
| MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/261 | 2,349,000 | 2,478,195 | ||||||
|
|
||||||||
| Northern Trust Corp., 3.375% [US0003M+113.1] Sub. Nts., 5/8/322 | 1,097,000 | 1,098,264 | ||||||
|
|
||||||||
| Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25% Sec. Nts., 5/15/231 | 1,460,000 | 1,614,848 | ||||||
| Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26 | 1,584,000 | 1,588,783 | ||||||
| Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., 6.125% Sr. Sec. Nts., 8/15/211 | 1,090,000 | 1,103,625 | ||||||
| S&P Global, Inc., 2.50% Sr. Unsec. Nts., 8/15/18 | 2,748,000 | 2,767,270 | ||||||
| Springleaf Finance Corp.: | ||||||||
| 6.125% Sr. Unsec. Nts., 5/15/22 | 2,150,000 | 2,282,333 | ||||||
| 8.25% Sr. Unsec. Nts., 12/15/20 | 1,465,000 | 1,659,113 | ||||||
| Staples, Inc., 8.50% Sr. Unsec. Nts., 9/15/251 | 4,975,000 | 4,850,625 | ||||||
| TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27 | 1,539,000 | 1,555,881 | ||||||
| UBS Group AG, 7.125% [USSW5+588.3]Jr. Sub. Perpetual Bonds2,12 | 1,925,000 | 2,089,100 | ||||||
| UBS Group Funding Switzerland AG: 4.125% Sr. Unsec. Nts., 4/15/261 | 926,000 | 973,223 | ||||||
41 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Capital Markets (Continued) | ||||||||
|
|
||||||||
| UBS Group Funding Switzerland AG: (Continued) 4.253% Sr. Unsec. Nts., 3/23/281 | $ | 1,044,000 | $ | 1,096,841 | ||||
|
|
||||||||
| VFH Parent LLC/Orchestra Co.-Issuer, Inc., 6.75% Sec. Nts., 6/15/221 | 715,000 | 746,281 | ||||||
|
|
|
|||||||
|
|
89,151,591
|
| ||||||
|
|
||||||||
| Commercial Banks—3.0% | ||||||||
|
|
||||||||
| ABN AMRO Bank NV, 4.40% [USSW5+219.7] Sub. Nts., 3/27/282 | 2,975,000 | 3,073,300 | ||||||
|
|
||||||||
| Astana Finance JSC, 9.16% Sr. Unsec. Nts., 3/14/127,9 | 1,186,225 | — | ||||||
|
|
||||||||
| Australia & New Zealand Banking Group Ltd. (New York), 2.625% Unsec. Nts., 5/19/22 | 2,529,000 | 2,533,099 | ||||||
|
|
||||||||
| Australia & New Zealand Banking Group Ltd. (United Kingdom), 6.75% [USISDA05+516.8] Jr. Sub. Perpetual Bonds1,2,12 | 2,350,000 | 2,661,375 | ||||||
|
|
||||||||
| Banco Bilbao Vizcaya Argentaria SA, 9% [USSW5+826.2] Jr. Sub. Perpetual Bonds2,12 | 2,055,000 | 2,130,264 | ||||||
|
|
||||||||
| Banco Macro SA, 6.75% [USSW5+546.3] Sub. Nts., 11/4/261,2 | 765,000 | 809,286 | ||||||
|
|
||||||||
| Banco Mercantil del Norte SA (Grand Cayman): | ||||||||
| 6.875% [H15T5Y+503.5] Jr. Sub. Perpetual Bonds1,2,12 | 1,161,000 | 1,237,916 | ||||||
| 7.625% [H15T10Y+535.3] Jr. Sub. Perpetual Bonds1,2,12 | 1,069,000 | 1,168,951 | ||||||
|
|
||||||||
| Banco Santander SA, 6.375% [USSW5+478.8] Jr. Sub. Perpetual Bonds2,12 | 1,750,000 | 1,786,449 | ||||||
|
|
||||||||
| Bank of America Corp.: | ||||||||
| 3.248% Sr. Unsec. Nts., 10/21/27 | 1,928,000 | 1,890,916 | ||||||
| 3.824% [US0003M+157.5] Sr. Unsec. Nts., 1/20/282 | 1,327,000 | 1,363,785 | ||||||
| 6.30% [US0003M+455.3] Jr. Sub. Perpetual Bonds2,12 | 1,662,000 | 1,882,215 | ||||||
| 7.75% Jr. Sub. Nts., 5/14/38 | 1,661,000 | 2,446,591 | ||||||
| 8.00% [US0003M+363] Jr. Sub. Perpetual Bonds, Series K2,12 | 2,012,000 | 2,043,287 | ||||||
|
|
||||||||
| Bank of China Ltd., 5% Sub. Nts., 11/13/241 | 625,000 | 672,833 | ||||||
|
|
||||||||
| Barclays plc: | ||||||||
| 4.375% Sr. Unsec. Nts., 1/12/26 | 2,345,000 | 2,451,543 | ||||||
| 7.875% [USSW5+677.2] Jr. Sub. Perpetual Bonds2,12 | 2,050,000 | 2,236,841 | ||||||
|
|
||||||||
| BNP Paribas SA: | ||||||||
| 4.625% Sub. Nts., 3/13/271 | 1,701,000 | 1,803,453 | ||||||
| 7.625% [USSW5+631.4] Jr. Sub. Perpetual Bonds1,2,12 | 2,045,000 | 2,252,056 | ||||||
|
|
||||||||
| BPCE SA, 4.50% Sub. Nts., 3/15/251 | 1,690,000 | 1,756,344 | ||||||
|
|
||||||||
| CIT Group, Inc., 5.80% [US0003M+397.2] Jr. Sub. Perpetual Bonds2,12 | 1,867,000 | 1,944,014 | ||||||
|
|
||||||||
| Citigroup, Inc.: | ||||||||
| 4.281% [US0003M+183.9] Sr. Unsec. Nts., 4/24/482 | 2,472,000 | 2,589,434 | ||||||
| 4.75% Sub. Nts., 5/18/46 | 1,221,000 | 1,331,979 | ||||||
| 6.125% [US0003M+447.8] Jr. Sub. Perpetual Bonds2,12 | 1,315,000 | 1,408,694 | ||||||
|
|
||||||||
| Citizens Bank NA (Providence RI): | ||||||||
| 2.55% Sr. Unsec. Nts., 5/13/21 | 1,434,000 | 1,440,883 | ||||||
| 2.65% Sr. Unsec. Nts., 5/26/22 | 609,000 | 609,628 | ||||||
|
|
||||||||
| Commonwealth Bank of Australia, 3.15% Sr. Unsec. Nts., 9/19/271 | 2,000,000 | 1,983,386 | ||||||
42 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Commercial Banks (Continued) | ||||||||
|
|
||||||||
| Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22 | $ | 2,546,000 | $ | 2,535,945 | ||||
|
|
||||||||
| Credit Agricole SA, 4.375% Sub. Nts., 3/17/251 | 2,863,000 | 2,980,394 | ||||||
|
|
||||||||
| Fifth Third Bancorp, 5.10% [US0003M+303.33] Jr. Sub. Perpetual Bonds2,12 | 695,000 | 714,113 | ||||||
|
|
||||||||
| Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26 | 1,456,000 | 1,497,906 | ||||||
|
|
||||||||
| First Republic Bank, 4.375% Sub. Nts., 8/1/46 | 1,045,000 | 1,042,173 | ||||||
|
|
||||||||
| Glencore Funding LLC, 4% Sr. Unsec. Nts., 4/16/251 | 1,398,000 | 1,421,757 | ||||||
|
|
||||||||
| Global Bank Corp., 4.50% Sr. Unsec. Nts., 10/20/211 | 1,735,000 | 1,780,110 | ||||||
|
|
||||||||
| Globo Comunicacao e Participacoes SA, 5.125% Sr. Sec. Nts., 3/31/271 | 2,995,000 | 3,032,438 | ||||||
|
|
||||||||
| HSBC Holdings plc: | ||||||||
| 4.041% [US0003M+154.6] Sr. Unsec. Nts., 3/13/282 | 1,220,000 | 1,275,016 | ||||||
| 6.375% [USISDA05+370.5] Jr. Sub. Perpetual Bonds2,12 | 2,075,000 | 2,207,412 | ||||||
|
|
||||||||
| Huntington Bancshares, Inc., 3.15% Sr. Unsec. Nts., 3/14/21 | 1,568,000 | 1,608,586 | ||||||
|
|
||||||||
| Intesa Sanpaolo SpA, 3.875% Sr. Unsec. Nts., 7/14/271 | 2,018,000 | 2,029,367 | ||||||
|
|
||||||||
| JPMorgan Chase & Co.: | ||||||||
| 3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/282 | 1,963,000 | 1,982,428 | ||||||
| 3.782% [US0003M+133.7] Sr. Unsec. Nts., 2/1/282 | 3,893,000 | 3,999,493 | ||||||
| 6.125% [US0003M+333] Jr. Sub. Perpetual Bonds2,12 | 1,740,000 | 1,918,350 | ||||||
| 7.90% [US0003M+347] Jr. Sub. Perpetual Bonds, Series 12,12 | 1,980,000 | 2,041,875 | ||||||
|
|
||||||||
| Kenan Advantage Group, Inc. (The), 7.875% Sr. Unsec. Nts., 7/31/231 | 3,770,000 | 3,892,525 | ||||||
|
|
||||||||
| Krung Thai Bank PCL (Cayman Islands), 5.20% [H15T5Y+353.5] Sub. Nts., 12/26/242 | 1,305,000 | 1,357,171 | ||||||
|
|
||||||||
| Lloyds Banking Group plc, 6.413% [US0003M+149.5] Jr. Sub. Perpetual Bonds1,2,12 | 1,702,000 | 1,940,280 | ||||||
|
|
||||||||
| Manufacturers & Traders Trust Co., 2.50% Sr. Unsec. Nts., 5/18/22 | 2,185,000 | 2,193,380 | ||||||
|
|
||||||||
| PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. Nts., 5/19/27 | 2,273,000 | 2,280,148 | ||||||
|
|
||||||||
| Regions Bank (Birmingham AL), 2.25% Sr. Unsec. Nts., 9/14/18 | 1,472,000 | 1,478,503 | ||||||
|
|
||||||||
| Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22 | 1,656,000 | 1,654,516 | ||||||
|
|
||||||||
| Royal Bank of Scotland Group plc, 3.498% [US0003M+148] Sr. Unsec. Nts., 5/15/232 | 1,801,000 | 1,813,929 | ||||||
|
|
||||||||
| Sberbank of Russia Via SB Capital SA, 5.50% [H15T5Y+402.3] Sub. Nts., 2/26/241,2 | 4,190,000 | 4,284,841 | ||||||
|
|
||||||||
| Societe Generale SA, 7.375% [USSW5+623.8] Jr. Sub. Perpetual Bonds1,2,12 | 2,155,000 | 2,338,175 | ||||||
|
|
||||||||
| Standard Chartered plc: | ||||||||
| 2.821% [US0003M+151] Jr. Sub. Perpetual Bonds1,2,12 | 400,000 | 343,000 | ||||||
| 7.50% [USSW5+630.1] Jr. Sub. Perpetual Bonds1,2,12 | 2,195,000 | 2,348,650 | ||||||
|
|
||||||||
| SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26 | 1,100,000 | 1,088,759 | ||||||
|
|
||||||||
| SunTrust Banks, Inc., 5.05% [US0003M+310.2] Jr. Sub. Perpetual Bonds2,12 | 1,891,000 | 1,938,275 | ||||||
|
|
||||||||
| TC Ziraat Bankasi AS, 4.75% Sr. Unsec. Nts., 4/29/211 | 720,000 | 730,800 | ||||||
|
|
||||||||
| Turkiye Garanti Bankasi AS, 6.125% [USSW5+422] Sub. Nts., 5/24/271,2 | 1,650,000 | 1,656,306 | ||||||
|
|
||||||||
| Turkiye Is Bankasi, 6% Sub. Nts., 10/24/221 | 1,465,000 | 1,485,944 | ||||||
43 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Commercial Banks (Continued) | ||||||||
|
|
||||||||
| Turkiye Vakiflar Bankasi TAO: | ||||||||
| 5.625% Sr. Unsec. Nts., 5/30/221 | $ | 2,635,000 | $ | 2,681,903 | ||||
| 6.875% [USSW5+543.9] Sub. Nts., 2/3/251,2 | 1,365,000 | 1,397,801 | ||||||
|
|
||||||||
| UniCredit SpA, 8% [USSW5+518] Jr. Sub. Perpetual Bonds2,12 | 1,680,000 | 1,775,474 | ||||||
|
|
||||||||
| US Bancorp: | ||||||||
| 3.10% Sub. Nts., 4/27/26 | 1,465,000 | 1,459,201 | ||||||
| 3.15% Sr. Unsec. Nts., 4/27/27 | 615,000 | 619,098 | ||||||
|
|
||||||||
| Wachovia Capital Trust III, 5.57% [US0003M+93] Jr. Sub. | ||||||||
| Perpetual Bonds2,12 | 2,650,000 | 2,659,938 | ||||||
|
|
||||||||
| Wells Fargo & Co.: | ||||||||
| 3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/282 | 2,055,000 | 2,083,155 | ||||||
| 4.75% Sub. Nts., 12/7/46 | 1,434,000 | 1,577,259 | ||||||
|
|
||||||||
| Westpac Banking Corp. (New Zealand), 5% | ||||||||
| [USISDA05+288.8] Jr. Sub. Perpetual Bonds2,12 | 1,820,000 | 1,819,636 | ||||||
|
|
||||||||
| Yapi ve Kredi Bankasi AS, 5.85% Sr. Unsec. Nts., 6/21/241 | 4,160,000 | 4,194,062 | ||||||
|
|
||||||||
| Zenith Bank plc, 7.375% Sr. Unsec. Nts., 5/30/221 | 1,835,000 | 1,900,388 | ||||||
|
|
|
|||||||
|
|
134,569,002
|
| ||||||
|
|
||||||||
| Consumer Finance—0.8% | ||||||||
|
|
||||||||
| Ahern Rentals, Inc., 7.375% Sec. Nts., 5/15/231 | 3,885,000 | 3,574,200 | ||||||
|
|
||||||||
| Ally Financial, Inc.: | ||||||||
| 4.625% Sr. Unsec. Nts., 5/19/22 | 3,065,000 | 3,218,250 | ||||||
| 5.75% Sub. Nts., 11/20/25 | 3,370,000 | 3,666,391 | ||||||
| 8.00% Sr. Unsec. Nts., 11/1/31 | 1,140,000 | 1,476,186 | ||||||
|
|
||||||||
| American Express Co.: | ||||||||
| 2.50% Sr. Unsec. Nts., 8/1/22 | 998,000 | 997,680 | ||||||
| 4.90% [US0003M+328.5] Jr. Sub. Perpetual Bonds2,12 | 2,142,000 | 2,184,840 | ||||||
|
|
||||||||
| American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27 | 1,541,000 | 1,556,795 | ||||||
|
|
||||||||
| Capital One Financial Corp., 3.75% Sr. Unsec. Nts., 3/9/27 | 1,017,000 | 1,029,763 | ||||||
|
|
||||||||
| Discover Financial Services: | ||||||||
| 3.75% Sr. Unsec. Nts., 3/4/25 | 993,000 | 998,121 | ||||||
| 4.10% Sr. Unsec. Nts., 2/9/27 | 986,000 | 1,003,357 | ||||||
|
|
||||||||
| Electricite de France SA, 6.50% Sr. Unsec. Nts., 1/26/191 | 1,840,000 | 1,949,641 | ||||||
|
|
||||||||
| Financiera Independencia SAB de CV SOFOM ENR, 8% Sr. Unsec. Nts., 7/19/241 | 985,000 | 1,021,937 | ||||||
|
|
||||||||
| Minejesa Capital BV: | ||||||||
| 4.625% Sr. Sec. Nts., 8/10/301 | 1,155,000 | 1,179,246 | ||||||
| 5.625% Sr. Sec. Nts., 8/10/371 | 2,020,000 | 2,117,584 | ||||||
|
|
||||||||
| Navient Corp.: | ||||||||
| 6.50% Sr. Unsec. Nts., 6/15/22 | 1,425,000 | 1,513,165 | ||||||
| 6.625% Sr. Unsec. Nts., 7/26/21 | 1,475,000 | 1,581,937 | ||||||
| 6.75% Sr. Unsec. Nts., 6/25/25 | 1,865,000 | 1,944,263 | ||||||
| 7.25% Sr. Unsec. Nts., 1/25/22 | 6,570,000 | 7,210,575 | ||||||
|
|
|
|||||||
|
|
38,223,931
|
| ||||||
|
|
||||||||
| Diversified Financial Services—0.2% | ||||||||
| Berkshire Hathaway Energy Co., 2% Sr. Unsec. Nts., 11/15/18 | 790,000 | 792,167 | ||||||
|
|
||||||||
| JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/353,7 MXN | 20,232,960 | 111,109 | ||||||
|
|
||||||||
| Park Aerospace Holdings Ltd., 5.50% Sr. Unsec. Nts., 2/15/241 | 2,895,000 | 3,046,987 | ||||||
44 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||||||
|
|
||||||||||||
| Diversified Financial Services (Continued) | ||||||||||||
| Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/251 | $ | 961,000 | $ | 979,967 | ||||||||
|
|
||||||||||||
| Precision Castparts Corp., 2.50% Sr. Unsec. Nts., 1/15/23 | 1,476,000 | 1,480,174 | ||||||||||
|
|
||||||||||||
| Voya Financial, Inc., 5.65% [US0003M+358] Jr. Sub. Nts., 5/15/532 | 2,390,000 | 2,544,155 | ||||||||||
|
|
|
|||||||||||
| 8,954,559 | ||||||||||||
|
|
||||||||||||
| Insurance—0.4% | ||||||||||||
|
|
||||||||||||
| AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45 | 1,527,000 | 1,607,216 | ||||||||||
|
|
||||||||||||
| Brighthouse Financial, Inc., 3.70% Sr. Unsec. Nts., 6/22/271 | 646,000 | 635,298 | ||||||||||
|
|
||||||||||||
| CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27 | 2,116,000 | 2,102,791 | ||||||||||
|
|
||||||||||||
| Credivalores-Crediservicios SAS, 9.75% Sr. Unsec. Nts., 7/27/221 | 990,000 | 1,035,045 | ||||||||||
|
|
||||||||||||
| Genworth Holdings, Inc., 7.70% Sr. Unsec. Nts., 6/15/20 | 1,420,000 | 1,432,425 | ||||||||||
|
|
||||||||||||
| Manulife Financial Corp., 4.061% [USSW5+164.7] Sub. Nts., 2/24/322 | 1,570,000 | 1,591,815 | ||||||||||
|
|
||||||||||||
| Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47 | 1,012,000 | 1,084,752 | ||||||||||
|
|
||||||||||||
| MetLife, Inc., 5.25% [US0003M+357.5] Jr. Sub. Perpetual Bonds2,12 | 2,721,000 | 2,812,045 | ||||||||||
|
|
||||||||||||
| Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/241 | 1,851,000 | 1,951,136 | ||||||||||
|
|
||||||||||||
| Prudential Financial, Inc.: | ||||||||||||
| 5.20% [US0003M+304] Jr. Sub. Nts., 3/15/442 | 1,981,000 | 2,108,527 | ||||||||||
| 5.375% [US0003M+303.1] Jr. Sub. Nts., 5/15/452 | 455,000 | 492,537 | ||||||||||
|
|
|
|||||||||||
| 16,853,587 | ||||||||||||
|
|
||||||||||||
| Real Estate Investment Trusts (REITs)—1.2% | ||||||||||||
|
|
||||||||||||
| American Tower Corp.: | ||||||||||||
| 2.80% Sr. Unsec. Nts., 6/1/20 | 1,822,000 | 1,850,442 | ||||||||||
| 5.90% Sr. Unsec. Nts., 11/1/21 | 841,000 | 944,190 | ||||||||||
|
|
||||||||||||
| Banco Invex SA/Hipotecaria Credito y Casa SA de CV, 6.45% Sec. Nts., 3/13/347,9,13 | MXN | 17,961,653 | — | |||||||||
|
|
||||||||||||
| Boston Properties LP, 3.70% Sr. Unsec. Nts., 11/15/18 | 1,798,000 | 1,828,695 | ||||||||||
|
|
||||||||||||
| Crown Castle International Corp., 3.65% Sr. Unsec. Nts., 9/1/27 | 1,222,000 | 1,223,310 | ||||||||||
|
|
||||||||||||
| Equinix, Inc.: | ||||||||||||
| 5.375% Sr. Unsec. Nts., 5/15/27 | 2,165,000 | 2,359,850 | ||||||||||
| 5.875% Sr. Unsec. Nts., 1/15/26 | 2,315,000 | 2,549,394 | ||||||||||
|
|
||||||||||||
| FelCor Lodging LP, 6% Sr. Unsec. Nts., 6/1/25 | 3,065,000 | 3,302,537 | ||||||||||
|
|
||||||||||||
| GLP Capital LP/GLP Financing II, Inc., 5.375% Sr. Unsec. Nts., 11/1/23 | 2,390,000 | 2,626,012 | ||||||||||
|
|
||||||||||||
| HCP, Inc., 2.625% Sr. Unsec. Nts., 2/1/20 | 753,000 | 759,320 | ||||||||||
|
|
||||||||||||
| Iron Mountain US Holdings, Inc., 5.375% Sr. Unsec. Nts., 6/1/261 | 2,915,000 | 3,068,038 | ||||||||||
|
|
||||||||||||
| Iron Mountain, Inc., 4.875% Sr. Unsec. Nts., 9/15/271 | 2,135,000 | 2,185,706 | ||||||||||
|
|
||||||||||||
| iStar, Inc.: | ||||||||||||
| 4.625% Sr. Unsec. Nts., 9/15/20 | 2,135,000 | 2,188,375 | ||||||||||
| 5.00% Sr. Unsec. Nts., 7/1/19 | 1,160,000 | 1,175,950 | ||||||||||
| 5.25% Sr. Unsec. Nts., 9/15/22 | 2,135,000 | 2,172,363 | ||||||||||
| 6.00% Sr. Unsec. Nts., 4/1/22 | 4,325,000 | 4,487,188 | ||||||||||
45 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Real Estate Investment Trusts (REITs) (Continued) | ||||||||
|
|
||||||||
| Lamar Media Corp., 5.75% Sr. Unsec. Nts., 2/1/26 | $ | 1,825,000 | $ | 1,986,969 | ||||
|
|
||||||||
| MPT Operating Partnership LP/MPT Finance Corp.: | ||||||||
| 5.00% Sr. Unsec. Nts., 10/15/27 | 2,135,000 | 2,193,713 | ||||||
| 6.375% Sr. Unsec. Nts., 3/1/24 | 2,195,000 | 2,378,831 | ||||||
|
|
||||||||
| Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875% Sr. Unsec. Nts., 3/15/25 | 2,990,000 | 3,143,237 | ||||||
|
|
||||||||
| SBA Communications Corp., 4% Sr. Unsec. Nts., 10/1/221,6 | 2,140,000 | 2,149,797 | ||||||
|
|
||||||||
| Starwood Property Trust, Inc., 5% Sr. Unsec. Nts., 12/15/21 | 2,175,000 | 2,275,594 | ||||||
|
|
||||||||
| Trust F/1401, 5.25% Sr. Unsec. Nts., 1/30/261 | 3,260,000 | 3,471,900 | ||||||
|
|
||||||||
| Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.125% Sr. Unsec. Nts., 12/15/241 | 2,175,000 | 1,847,391 | ||||||
|
|
||||||||
| Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25% Sr. Unsec. Nts., 10/15/23 | 3,360,000 | 2,982,000 | ||||||
|
|
||||||||
| VEREIT Operating Partnership LP, 3% Sr. Unsec. Nts., 2/6/19 | 934,000 | 942,586 | ||||||
|
|
||||||||
| Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18 | 389,000 | 390,010 | ||||||
|
|
|
|||||||
|
|
56,483,398
|
| ||||||
|
|
||||||||
| Real Estate Management & Development—0.2% | ||||||||
|
|
||||||||
| Mattamy Group Corp., 6.875% Sr. Unsec. Nts., 12/15/231 | 1,455,000 | 1,526,841 | ||||||
|
|
||||||||
| Realogy Group LLC/Realogy Co.-Issuer Corp., 4.875% Sr. Unsec. Nts., 6/1/231 | 3,650,000 | 3,768,625 | ||||||
|
|
||||||||
| Shea Homes LP/Shea Homes Funding Corp., 6.125% Sr. Unsec. Nts., 4/1/251 | 3,045,000 | 3,159,187 | ||||||
|
|
|
|||||||
|
|
8,454,653
|
| ||||||
|
|
||||||||
| Thrifts & Mortgage Finance—0.2% | ||||||||
|
|
||||||||
| Provident Funding Associates LP/PFG Finance Corp., 6.375% Sr. Unsec. Nts., 6/15/251 | 1,070,000 | 1,126,175 | ||||||
|
|
||||||||
| Quicken Loans, Inc., 5.75% Sr. Unsec. Nts., 5/1/251 | 3,850,000 | 4,061,750 | ||||||
|
|
||||||||
| Radian Group, Inc., 4.50% Sr. Unsec. Nts., 10/1/24 | 1,780,000 | 1,820,050 | ||||||
|
|
|
|||||||
|
|
7,007,975
|
| ||||||
|
|
||||||||
| Health Care—3.7% | ||||||||
|
|
||||||||
| Biotechnology—0.3% | ||||||||
|
|
||||||||
| AbbVie, Inc.: | ||||||||
| 3.60% Sr. Unsec. Nts., 5/14/25 | 1,458,000 | 1,513,537 | ||||||
| 4.70% Sr. Unsec. Nts., 5/14/45 | 436,000 | 476,902 | ||||||
|
|
||||||||
| Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45 | 562,000 | 656,849 | ||||||
|
|
||||||||
| Celgene Corp.: | ||||||||
| 2.125% Sr. Unsec. Nts., 8/15/18 | 2,765,000 | 2,777,088 | ||||||
| 3.875% Sr. Unsec. Nts., 8/15/25 | 1,403,000 | 1,482,248 | ||||||
| 5.00% Sr. Unsec. Nts., 8/15/45 | 299,000 | 339,142 | ||||||
|
|
||||||||
| Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46 | 1,001,000 | 1,127,871 | ||||||
|
|
||||||||
| Shire Acquisitions Investments Ireland DAC: | ||||||||
| 1.90% Sr. Unsec. Nts., 9/23/19 | 2,780,000 | 2,775,505 | ||||||
| 3.20% Sr. Unsec. Nts., 9/23/26 | 1,993,000 | 1,967,719 | ||||||
|
|
|
|||||||
| 13,116,861 | ||||||||
46 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Health Care Equipment & Supplies—0.4% | ||||||||
|
|
||||||||
| Abbott Laboratories: | ||||||||
| 2.35% Sr. Unsec. Nts., 11/22/19 | $ | 2,663,000 | $ | 2,685,732 | ||||
| 3.75% Sr. Unsec. Nts., 11/30/26 | 2,068,000 | 2,125,123 | ||||||
|
|
||||||||
| Becton Dickinson & Co.: | ||||||||
| 2.404% Sr. Unsec. Nts., 6/5/20 | 1,589,000 | 1,595,322 | ||||||
| 3.70% Sr. Unsec. Nts., 6/6/27 | 1,881,000 | 1,899,502 | ||||||
|
|
||||||||
| Boston Scientific Corp., 3.85% Sr. Unsec. Nts., 5/15/25 | 1,975,000 | 2,053,209 | ||||||
|
|
||||||||
| DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.125% Sec. Nts., 6/15/211 | 1,720,000 | 1,655,500 | ||||||
|
|
||||||||
| Hill-Rom Holdings, Inc., 5.75% Sr. Unsec. Nts., 9/1/231 | 2,080,000 | 2,204,800 | ||||||
|
|
||||||||
| Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.375% Sr. Unsec. Nts., 8/1/231 | 1,505,000 | 1,578,369 | ||||||
|
|
||||||||
| Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45 | 1,132,000 | 1,290,813 | ||||||
|
|
|
|||||||
|
|
17,088,370
|
| ||||||
|
|
||||||||
| Health Care Providers & Services—1.8% | ||||||||
|
|
||||||||
| Acadia Healthcare Co., Inc.: | ||||||||
| 5.625% Sr. Unsec. Nts., 2/15/23 | 2,305,000 | 2,431,775 | ||||||
| 6.50% Sr. Unsec. Nts., 3/1/24 | 730,000 | 787,487 | ||||||
|
|
||||||||
| Aetna, Inc., 2.80% Sr. Unsec. Nts., 6/15/23 | 1,852,000 | 1,863,679 | ||||||
|
|
||||||||
| Cardinal Health, Inc., 3.41% Sr. Unsec. Nts., 6/15/27 | 1,250,000 | 1,256,252 | ||||||
|
|
||||||||
| Centene Corp.: | ||||||||
| 4.75% Sr. Unsec. Nts., 5/15/22 | 5,515,000 | 5,783,856 | ||||||
| 6.125% Sr. Unsec. Nts., 2/15/24 | 735,000 | 796,556 | ||||||
|
|
||||||||
| CHS/Community Health Systems, Inc.: | ||||||||
| 6.25% Sr. Sec. Nts., 3/31/23 | 4,970,000 | 4,926,512 | ||||||
| 6.875% Sr. Unsec. Nts., 2/1/22 | 4,300,000 | 3,391,625 | ||||||
| 7.125% Sr. Unsec. Nts., 7/15/20 | 995,000 | 901,719 | ||||||
| 8.00% Sr. Unsec. Nts., 11/15/19 | 2,620,000 | 2,561,050 | ||||||
|
|
||||||||
| DaVita, Inc., 5.125% Sr. Unsec. Nts., 7/15/24 | 3,875,000 | 3,865,312 | ||||||
|
|
||||||||
| Envision Healthcare Corp., 5.125% Sr. Unsec. Nts., 7/1/221 | 1,740,000 | 1,813,950 | ||||||
|
|
||||||||
| Fresenius Medical Care US Finance II, Inc.: | ||||||||
| 4.75% Sr. Unsec. Nts., 10/15/241 | 2,335,000 | 2,530,830 | ||||||
| 5.875% Sr. Unsec. Nts., 1/31/221 | 3,126,000 | 3,515,670 | ||||||
|
|
||||||||
| HCA, Inc.: | ||||||||
| 5.375% Sr. Unsec. Nts., 2/1/25 | 2,110,000 | 2,228,688 | ||||||
| 5.50% Sr. Sec. Nts., 6/15/47 | 3,570,000 | 3,708,338 | ||||||
| 7.50% Sr. Unsec. Nts., 2/15/22 | 6,600,000 | 7,587,954 | ||||||
|
|
||||||||
| HealthSouth Corp., 5.75% Sr. Unsec. Nts., 11/1/24 | 4,380,000 | 4,506,473 | ||||||
|
|
||||||||
| IASIS Healthcare LLC/IASIS Capital Corp., 8.375% Sr. Unsec. Nts., 5/15/19 | 5,150,000 | 5,172,531 | ||||||
|
|
||||||||
| Kindred Healthcare, Inc., 6.375% Sr. Unsec. Nts., 4/15/22 | 1,585,000 | 1,442,350 | ||||||
|
|
||||||||
| Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25 | 1,575,000 | 1,608,405 | ||||||
|
|
||||||||
| OCP SA, 4.50% Sr. Unsec. Nts., 10/22/251 | 3,295,000 | 3,325,637 | ||||||
|
|
||||||||
| Select Medical Corp., 6.375% Sr. Unsec. Nts., 6/1/21 | 2,675,000 | 2,768,625 | ||||||
|
|
||||||||
| Tenet Healthcare Corp.: | ||||||||
| 6.75% Sr. Unsec. Nts., 6/15/23 | 4,700,000 | 4,517,875 | ||||||
| 7.50% Sec. Nts., 1/1/221 | 1,450,000 | 1,538,813 | ||||||
47 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Health Care Providers & Services (Continued) | ||||||||
|
|
||||||||
| Tenet Healthcare Corp.: (Continued) 8.125% Sr. Unsec. Nts., 4/1/22 | $ | 2,880,000 | $ | 2,937,600 | ||||
|
|
||||||||
| UnitedHealth Group, Inc., 2.75% Sr. Unsec. Nts., 2/15/23 | 1,970,000 | 1,992,449 | ||||||
|
|
||||||||
| Universal Hospital Services, Inc., 7.625% Sec. Nts., 8/15/20 | 2,075,000 | 2,111,313 | ||||||
|
|
|
|||||||
|
|
81,873,324
|
| ||||||
|
|
||||||||
| Life Sciences Tools & Services—0.2% | ||||||||
|
|
||||||||
| Quintiles IMS, Inc.: | ||||||||
| 4.875% Sr. Unsec. Nts., 5/15/231 | 2,000,000 | 2,090,000 | ||||||
| 5.00% Sr. Unsec. Nts., 10/15/261 | 2,296,000 | 2,439,500 | ||||||
|
|
||||||||
| Thermo Fisher Scientific, Inc.: | ||||||||
| 3.20% Sr. Unsec. Nts., 8/15/27 | 1,215,000 | 1,198,061 | ||||||
| 4.15% Sr. Unsec. Nts., 2/1/24 | 877,000 | 937,045 | ||||||
|
|
||||||||
| West Street Merger Sub, Inc., 6.375% Sr. Unsec. Nts., 9/1/251 | 2,135,000 | 2,135,000 | ||||||
|
|
|
|||||||
| 8,799,606 | ||||||||
|
|
||||||||
| Pharmaceuticals—1.0% | ||||||||
|
|
||||||||
| Allergan Funding SCS: | ||||||||
| 2.35% Sr. Unsec. Nts., 3/12/18 | 2,318,000 | 2,324,944 | ||||||
| 3.80% Sr. Unsec. Nts., 3/15/25 | 1,680,000 | 1,746,850 | ||||||
|
|
||||||||
| Concordia International Corp., 7% Sr. Unsec. Nts., 4/15/231 | 1,745,000 | 292,287 | ||||||
|
|
||||||||
| Endo Dac/Endo Finance LLC/Endo Finco, Inc.: | ||||||||
| 6.00% Sr. Unsec. Nts., 7/15/231 | 3,430,000 | 2,846,900 | ||||||
| 6.00% Sr. Unsec. Nts., 2/1/251 | 660,000 | 537,900 | ||||||
|
|
||||||||
| Endo Finance LLC/Endo Finco, Inc., 5.375% Sr. Unsec. Nts., 1/15/231 | 4,610,000 | 3,780,200 | ||||||
|
|
||||||||
| Mallinckrodt International Finance SA/Mallinckrodt CB LLC: | ||||||||
| 4.875% Sr. Unsec. Nts., 4/15/201 | 870,000 | 870,000 | ||||||
| 5.50% Sr. Unsec. Nts., 4/15/251 | 3,345,000 | 3,027,225 | ||||||
| 5.75% Sr. Unsec. Nts., 8/1/221 | 2,810,000 | 2,760,825 | ||||||
|
|
||||||||
| Prestige Brands, Inc., 6.375% Sr. Unsec. Nts., 3/1/241 | 1,100,000 | 1,188,000 | ||||||
|
|
||||||||
| Valeant Pharmaceuticals International, Inc.: | ||||||||
| 5.375% Sr. Unsec. Nts., 3/15/201 | 2,105,000 | 2,110,262 | ||||||
| 5.50% Sr. Unsec. Nts., 3/1/231 | 2,805,000 | 2,468,400 | ||||||
| 5.875% Sr. Unsec. Nts., 5/15/231 | 3,990,000 | 3,536,137 | ||||||
| 6.125% Sr. Unsec. Nts., 4/15/251 | 5,910,000 | 5,208,188 | ||||||
| 6.375% Sr. Unsec. Nts., 10/15/201 | 1,440,000 | 1,444,954 | ||||||
| 6.75% Sr. Unsec. Nts., 8/15/211 | 3,090,000 | 3,039,788 | ||||||
| 7.00% Sr. Sec. Nts., 3/15/241 | 2,160,000 | 2,305,800 | ||||||
| 7.25% Sr. Unsec. Nts., 7/15/221 | 3,355,000 | 3,283,706 | ||||||
| 7.50% Sr. Unsec. Nts., 7/15/211 | 2,160,000 | 2,160,000 | ||||||
|
|
||||||||
| Zoetis, Inc., 3% Sr. Unsec. Nts., 9/12/27 | 597,000 | 588,900 | ||||||
|
|
|
|||||||
|
|
45,521,266
|
| ||||||
|
|
||||||||
| Industrials—3.8% | ||||||||
|
|
||||||||
| Aerospace & Defense—0.7% | ||||||||
|
|
||||||||
| BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/251 | 1,884,000 | 1,956,824 | ||||||
|
|
||||||||
| Bombardier, Inc., 8.75% Sr. Unsec. Nts., 12/1/211 | 4,640,000 | 4,997,280 | ||||||
48 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Aerospace & Defense (Continued) | ||||||||
|
|
||||||||
| DAE Funding LLC: | ||||||||
| 4.50% Sr. Unsec. Nts., 8/1/221 | $ | 710,000 | $ | 729,436 | ||||
| 5.00% Sr. Unsec. Nts., 8/1/241 | 710,000 | 729,525 | ||||||
|
|
||||||||
| Embraer Netherlands Finance BV, 5.40% Sr. Unsec. Nts., 2/1/27 | 2,835,000 | 3,073,849 | ||||||
|
|
||||||||
| FGI Operating Co. LLC/FGI Finance, Inc., 7.875% Sec. Nts., 5/1/20 | 3,054,000 | 2,015,640 | ||||||
|
|
||||||||
| Hexcel Corp., 3.95% Sr. Unsec. Nts., 2/15/27 | 972,000 | 993,098 | ||||||
|
|
||||||||
| Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 | 1,325,000 | 1,477,544 | ||||||
|
|
||||||||
| Textron, Inc.: | ||||||||
| 3.65% Sr. Unsec. Nts., 3/15/27 | 645,000 | 652,243 | ||||||
| 4.30% Sr. Unsec. Nts., 3/1/24 | 894,000 | 949,237 | ||||||
|
|
||||||||
| TransDigm, Inc., 6.375% Sr. Sub. Nts., 6/15/26 | 3,545,000 | 3,640,290 | ||||||
|
|
||||||||
| Triumph Group, Inc.: | ||||||||
| 5.25% Sr. Unsec. Nts., 6/1/22 | 5,055,000 | 4,928,625 | ||||||
| 7.75% Sr. Unsec. Nts., 8/15/251 | 3,555,000 | 3,750,525 | ||||||
|
|
||||||||
| United Technologies Corp., 1.778% Jr. Sub. Nts., 5/4/188 | 506,000 | 506,322 | ||||||
|
|
|
|||||||
|
|
30,400,438
|
| ||||||
|
|
||||||||
| Air Freight & Couriers—0.1% | ||||||||
|
|
||||||||
| CEVA Group plc, 7% Sr. Sec. Nts., 3/1/211 | 2,120,000 | 2,067,000 | ||||||
|
|
||||||||
| FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47 | 498,000 | 519,511 | ||||||
|
|
||||||||
| XPO Logistics, Inc., 6.125% Sr. Unsec. Nts., 9/1/231 | 1,110,000 | 1,162,725 | ||||||
|
|
|
|||||||
|
|
3,749,236
|
| ||||||
|
|
||||||||
| Airlines—0.1% | ||||||||
|
|
||||||||
| American Airlines Group, Inc., 4.625% Sr. Unsec. Nts., 3/1/201 | 2,450,000 | 2,529,625 | ||||||
|
|
||||||||
| Latam Finance Ltd., 6.875% Sr. Unsec. Nts., 4/11/241 | 1,010,000 | 1,074,640 | ||||||
|
|
|
|||||||
|
|
3,604,265
|
| ||||||
|
|
||||||||
| Building Products—0.2% | ||||||||
|
|
||||||||
| Allegion US Holding Co., Inc., 3.55% Sec. Nts., 10/1/276 | 1,769,000 | 1,760,756 | ||||||
|
|
||||||||
| Owens Corning, 3.40% Sr. Unsec. Nts., 8/15/26 | 1,683,000 | 1,662,051 | ||||||
|
|
||||||||
| Standard Industries, Inc., 5.375% Sr. Unsec. Nts., 11/15/241 | 4,035,000 | 4,308,573 | ||||||
|
|
||||||||
| USG Corp., 4.875% Sr. Unsec. Nts., 6/1/271 | 1,230,000 | 1,286,888 | ||||||
|
|
|
|||||||
|
|
9,018,268
|
| ||||||
|
|
||||||||
| Commercial Services & Supplies—0.7% | ||||||||
|
|
||||||||
| ACCO Brands Corp., 5.25% Sr. Unsec. Nts., 12/15/241 | 1,400,000 | 1,456,000 | ||||||
|
|
||||||||
| APX Group, Inc., 7.625% Sr. Unsec. Nts., 9/1/231 | 710,000 | 749,937 | ||||||
|
|
||||||||
| ARD Finance SA, 7.875% Sr. Sec. Nts., 9/15/2314 | 2,505,000 | 2,680,350 | ||||||
|
|
||||||||
| Cenveo Corp., 6% Sr. Sec. Nts., 8/1/191 | 1,660,000 | 1,323,850 | ||||||
|
|
||||||||
| Clean Harbors, Inc., 5.125% Sr. Unsec. Nts., 6/1/21 | 3,660,000 | 3,727,454 | ||||||
|
|
||||||||
| Covanta Holding Corp.: | ||||||||
| 5.875% Sr. Unsec. Nts., 3/1/24 | 4,495,000 | 4,472,525 | ||||||
| 5.875% Sr. Unsec. Nts., 7/1/25 | 1,430,000 | 1,410,337 | ||||||
|
|
||||||||
| GFL Environmental, Inc., 5.625% Sr. Unsec. Nts., 5/1/221 | 1,965,000 | 2,053,425 | ||||||
|
|
||||||||
| Multi-Color Corp., 4.875% Sr. Unsec. Nts., 11/1/251,6 | 710,000 | 720,650 | ||||||
|
|
||||||||
| Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24 | 2,126,000 | 2,057,963 | ||||||
49 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Commercial Services & Supplies (Continued) | ||||||||
|
|
||||||||
| Republic Services, Inc., 3.80% Sr. Unsec. Nts., 5/15/18 | $ | 2,331,000 | $ | 2,360,624 | ||||
|
|
||||||||
| RR Donnelley & Sons Co., 7.875% Sr. Unsec. Nts., 3/15/21 | 3,540,000 | 3,752,400 | ||||||
|
|
||||||||
| TMS International Corp., 7.25% Sr. Unsec. Nts., 8/15/251 | 710,000 | 727,750 | ||||||
|
|
||||||||
| Waste Management, Inc., 4.10% Sr. Unsec. Nts., 3/1/45 | 530,000 | 561,948 | ||||||
|
|
||||||||
| West Corp., 5.375% Sr. Unsec. Nts., 7/15/221 | 1,815,000 | 1,837,687 | ||||||
|
|
|
|||||||
|
|
29,892,900
|
| ||||||
|
|
||||||||
| Construction & Engineering—0.1% | ||||||||
|
|
||||||||
| Fideicomiso PA Pacifico Tres, 8.25% Sr. Sec. Nts., 1/15/353 | 1,105,000 | 1,279,037 | ||||||
|
|
||||||||
| Tutor Perini Corp., 6.875% Sr. Unsec. Nts., 5/1/251 | 2,155,000 | 2,343,563 | ||||||
|
|
|
|||||||
|
|
3,622,600
|
| ||||||
|
|
||||||||
| Electrical Equipment—0.1% | ||||||||
|
|
||||||||
| Sensata Technologies BV: | ||||||||
| 4.875% Sr. Unsec. Nts., 10/15/231 | 2,400,000 | 2,532,000 | ||||||
| 5.625% Sr. Unsec. Nts., 11/1/241 | 3,550,000 | 3,922,750 | ||||||
|
|
|
|||||||
|
|
6,454,750
|
| ||||||
|
|
||||||||
| Industrial Conglomerates—0.1% | ||||||||
|
|
||||||||
| Citgo Holding, Inc., 10.75% Sr. Sec. Nts., 2/15/201 | 1,485,000 | 1,607,513 | ||||||
|
|
||||||||
| Grupo KUO SAB de CV, 5.75% Sr. Unsec. Nts., 7/7/271 | 1,255,000 | 1,324,025 | ||||||
|
|
||||||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875% Sr. Unsec. Nts., 2/1/22 | 1,395,000 | 1,443,825 | ||||||
|
|
||||||||
| Roper Technologies, Inc.: | ||||||||
| 3.80% Sr. Unsec. Nts., 12/15/26 | 500,000 | 515,445 | ||||||
| 3.85% Sr. Unsec. Nts., 12/15/25 | 918,000 | 950,595 | ||||||
|
|
|
|||||||
|
|
5,841,403
|
| ||||||
|
|
||||||||
| Machinery—0.5% | ||||||||
|
|
||||||||
| Allison Transmission, Inc.: | ||||||||
| 4.75% Sr. Unsec. Nts., 10/1/271 | 715,000 | 721,256 | ||||||
| 5.00% Sr. Unsec. Nts., 10/1/241 | 1,455,000 | 1,513,709 | ||||||
|
|
||||||||
| Amsted Industries, Inc., 5% Sr. Unsec. Nts., 3/15/221 | 3,030,000 | 3,143,625 | ||||||
|
|
||||||||
| BlueLine Rental Finance Corp./BlueLine Rental LLC, 9.25% Sec. Nts., 3/15/241 | 3,650,000 | 3,937,437 | ||||||
|
|
||||||||
| CD&R Waterworks Merger Sub LLC, 6.125% Sr. Unsec. Nts., 8/15/251 | 710,000 | 735,063 | ||||||
|
|
||||||||
| Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19 | 2,880,000 | 2,878,247 | ||||||
|
|
||||||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.75% Sr. Unsec. Nts., 2/1/24 | 3,570,000 | 3,779,738 | ||||||
|
|
||||||||
| Meritor, Inc., 6.25% Sr. Unsec. Nts., 2/15/24 | 1,725,000 | 1,842,628 | ||||||
|
|
||||||||
| Navistar International Corp., 8.25% Sr. Unsec. Nts., 11/1/21 | 2,085,000 | 2,098,083 | ||||||
|
|
||||||||
| Park-Ohio Industries, Inc., 6.625% Sr. Unsec. Nts., 4/15/27 | 780,000 | 844,350 | ||||||
|
|
||||||||
| Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18 | 651,000 | 655,252 | ||||||
|
|
||||||||
| Terex Corp., 5.625% Sr. Unsec. Nts., 2/1/251 | 725,000 | 764,875 | ||||||
|
|
||||||||
| Wabash National Corp., 5.50% Sr. Unsec. Nts., 10/1/251 | 355,000 | 362,988 | ||||||
|
|
||||||||
| Wabtec Corp., 3.45% Sr. Unsec. Nts., 11/15/26 | 1,102,000 | 1,085,306 | ||||||
|
|
|
|||||||
| 24,362,557 | ||||||||
50 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Professional Services—0.2% | ||||||||
|
|
||||||||
| Atento Luxco 1 SA, 6.125% Sr. Sec. Nts., 8/10/221 | $ | 1,760,000 | $ | 1,844,049 | ||||
|
|
||||||||
| Brand Energy & Infrastructure Services, Inc., 8.50% Sr. Unsec. Nts., 7/15/251 | 715,000 | 775,775 | ||||||
|
|
||||||||
| FTI Consulting, Inc., 6% Sr. Unsec. Nts., 11/15/22 | 5,445,000 | 5,642,381 | ||||||
|
|
|
|||||||
|
|
8,262,205
|
| ||||||
|
|
||||||||
| Road & Rail—0.2% | ||||||||
|
|
||||||||
| Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.25% Sr. Unsec. Nts., 3/15/251 | 2,065,000 | 2,072,744 | ||||||
|
|
||||||||
| Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35 | 341,000 | 386,031 | ||||||
|
|
||||||||
| DAE Funding LLC, 4% Sr. Unsec. Nts., 8/1/201 | 710,000 | 725,975 | ||||||
|
|
||||||||
| GFL Environmental, Inc., 9.875% Sr. Unsec. Nts., 2/1/211 | 1,465,000 | 1,569,015 | ||||||
|
|
||||||||
| Hertz Corp. (The): | ||||||||
| 6.75% Sr. Unsec. Nts., 4/15/19 | 1,420,000 | 1,417,338 | ||||||
| 7.375% Sr. Unsec. Nts., 1/15/21 | 710,000 | 716,212 | ||||||
| 7.625% Sec. Nts., 6/1/221 | 715,000 | 739,131 | ||||||
|
|
||||||||
| Norfolk Southern Corp., 4.65% Sr. Unsec. Nts., 1/15/46 | 697,000 | 774,129 | ||||||
|
|
||||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. Unsec. Nts., 11/15/261 | 1,983,000 | 1,961,826 | ||||||
|
|
|
|||||||
|
|
10,362,401
|
| ||||||
|
|
||||||||
| Trading Companies & Distributors—0.6% | ||||||||
|
|
||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65% Sr. Unsec. Nts., 7/21/27 | 2,551,000 | 2,545,600 | ||||||
|
|
||||||||
| Air Lease Corp.: | ||||||||
| 3.00% Sr. Unsec. Nts., 9/15/23 | 1,170,000 | 1,168,317 | ||||||
| 3.625% Sr. Unsec. Nts., 4/1/27 | 1,121,000 | 1,123,519 | ||||||
|
|
||||||||
| Aircastle Ltd., 5% Sr. Unsec. Nts., 4/1/23 | 730,000 | 782,925 | ||||||
|
|
||||||||
| American Builders & Contractors Supply Co., Inc., 5.75% Sr. Unsec. Nts., 12/15/231 | 1,030,000 | 1,099,525 | ||||||
|
|
||||||||
| Fly Leasing Ltd., 5.25% Sr. Unsec. Nts., 10/15/246 | 1,425,000 | 1,435,688 | ||||||
|
|
||||||||
| H&E Equipment Services, Inc., 5.625% Sr. Unsec. Nts., 9/1/251 | 2,130,000 | 2,252,475 | ||||||
|
|
||||||||
| HD Supply, Inc., 5.75% Sr. Unsec. Nts., 4/15/241 | 1,465,000 | 1,571,212 | ||||||
|
|
||||||||
| Herc Rentals, Inc.: | ||||||||
| 7.50% Sec. Nts., 6/1/221 | 1,967,000 | 2,136,654 | ||||||
| 7.75% Sec. Nts., 6/1/241 | 1,313,000 | 1,431,170 | ||||||
|
|
||||||||
| Rumo Luxembourg Sarl, 7.375% Sr. Unsec. Nts., 2/9/241 | 1,135,000 | 1,231,475 | ||||||
|
|
||||||||
| Standard Industries, Inc., 6% Sr. Unsec. Nts., 10/15/251 | 3,720,000 | 4,076,971 | ||||||
|
|
||||||||
| United Rentals North America, Inc.: | ||||||||
| 4.625% Sr. Unsec. Nts., 10/15/25 | 710,000 | 720,650 | ||||||
| 4.875% Sr. Unsec. Nts., 1/15/28 | 3,553,000 | 3,575,206 | ||||||
| 5.875% Sr. Unsec. Nts., 9/15/26 | 3,650,000 | 3,978,500 | ||||||
|
|
|
|||||||
|
|
29,129,887
|
| ||||||
|
|
||||||||
| Transportation Infrastructure—0.2% | ||||||||
|
|
||||||||
| DP World Ltd., 6.85% Sr. Unsec. Nts., 7/2/371 | 2,400,000 | 2,972,100 | ||||||
|
|
||||||||
| Mexico City Airport Trust, 5.50% Sr. Sec. Nts., 7/31/471 | 1,890,000 | 1,922,886 | ||||||
51 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Transportation Infrastructure (Continued) | ||||||||
|
|
||||||||
| United Continental Holdings, Inc., 4.25% Sr. Unsec. Nts., 10/1/22 | $ | 2,135,000 | $ | 2,153,681 | ||||
|
|
|
|||||||
|
|
7,048,667
|
| ||||||
|
|
||||||||
| Information Technology—2.5% | ||||||||
|
|
||||||||
| Communications Equipment—0.2% | ||||||||
|
|
||||||||
| CommScope Technologies LLC, 6% Sr. Unsec. Nts., 6/15/251 | 1,545,000 | 1,658,944 | ||||||
|
|
||||||||
| HTA Group Ltd., 9.125% Sr. Unsec. Nts., 3/8/221 | 1,200,000 | 1,264,500 | ||||||
|
|
||||||||
| Infor US, Inc., 6.50% Sr. Unsec. Nts., 5/15/22 | 3,680,000 | 3,834,082 | ||||||
|
|
||||||||
| Plantronics, Inc., 5.50% Sr. Unsec. Nts., 5/31/231 | 2,055,000 | 2,137,200 | ||||||
|
|
||||||||
| Riverbed Technology, Inc., 8.875% Sr. Unsec. Nts., 3/1/231 | 1,605,000 | 1,534,781 | ||||||
|
|
||||||||
| ViaSat, Inc., 5.625% Sr. Unsec. Nts., 9/15/251 | 710,000 | 718,023 | ||||||
|
|
|
|||||||
|
|
11,147,530
|
| ||||||
|
|
||||||||
| Electronic Equipment, Instruments, & Components—0.2% | ||||||||
|
|
||||||||
| Arrow Electronics, Inc., 3.875% Sr. Unsec. Nts., 1/12/28 | 1,840,000 | 1,839,105 | ||||||
|
|
||||||||
| CDW LLC/CDW Finance Corp.: | ||||||||
| 5.00% Sr. Unsec. Nts., 9/1/23 | 1,320,000 | 1,384,772 | ||||||
| 5.50% Sr. Unsec. Nts., 12/1/24 | 417,000 | 466,523 | ||||||
|
|
||||||||
| Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27 | 1,888,000 | 1,950,174 | ||||||
|
|
||||||||
| TTM Technologies, Inc., 5.625% Sr. Unsec. Nts., 10/1/251 | 2,135,000 | 2,165,691 | ||||||
|
|
|
|||||||
|
|
7,806,265
|
| ||||||
|
|
||||||||
| Internet Software & Services—0.4% | ||||||||
|
|
||||||||
| Affinion Group, Inc., 14.00% Sr. Unsec. Nts., 11/10/223,14 | 6,401,815 | 5,569,579 | ||||||
|
|
||||||||
| j2 Cloud Services LLC/j2 Global Co.-Obligor, Inc., 6% Sr. Unsec. Nts., 7/15/251 | 2,140,000 | 2,249,675 | ||||||
|
|
||||||||
| Rackspace Hosting, Inc., 8.625% Sr. Unsec. Nts., 11/15/241 | 3,990,000 | 4,264,313 | ||||||
|
|
||||||||
| VeriSign, Inc.: | ||||||||
| 4.75% Sr. Unsec. Nts., 7/15/27 | 2,844,000 | 2,943,540 | ||||||
| 5.25% Sr. Unsec. Nts., 4/1/25 | 759,000 | 823,515 | ||||||
|
|
|
|||||||
|
|
15,850,622
|
| ||||||
|
|
||||||||
| IT Services—0.7% | ||||||||
|
|
||||||||
| Booz Allen Hamilton, Inc., 5.125% Sr. Unsec. Nts., 5/1/251 | 1,425,000 | 1,442,812 | ||||||
|
|
||||||||
| Broadridge Financial Solutions, Inc., 3.40% Sr. Unsec. Nts., 6/27/26 | 1,078,000 | 1,069,764 | ||||||
|
|
||||||||
| Conduent Finance, Inc./Conduent Business Services LLC, 10.50% Sr. Unsec. Nts., 12/15/241 | 4,950,000 | 5,853,375 | ||||||
|
|
||||||||
| DXC Technology Co.: | ||||||||
| 2.875% Sr. Unsec. Nts., 3/27/20 | 1,864,000 | 1,889,676 | ||||||
| 4.75% Sr. Unsec. Nts., 4/15/27 | 1,857,000 | 1,989,225 | ||||||
|
|
||||||||
| Exela Intermediate LLC/Exela Finance, Inc., 10% Sr. Sec. Nts., 7/15/231 | 2,135,000 | 2,108,312 | ||||||
|
|
||||||||
| Fidelity National Information Services, Inc., 2.85% Sr. Unsec. Nts., 10/15/18 | 1,895,000 | 1,917,563 | ||||||
|
|
||||||||
| Gartner, Inc., 5.125% Sr. Unsec. Nts., 4/1/251 | 2,160,000 | 2,284,200 | ||||||
|
|
||||||||
| Harland Clarke Holdings Corp., 6.875% Sr. Sec. Nts., 3/1/201 | 5,540,000 | 5,720,050 | ||||||
|
|
||||||||
| Sabre GLBL, Inc., 5.25% Sr. Sec. Nts., 11/15/231 | 4,690,000 | 4,842,425 | ||||||
52 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| IT Services (Continued) | ||||||||
|
|
||||||||
| Total System Services, Inc., 2.375% Sr. Unsec. Nts., 6/1/18 | $ | 1,548,000 | $ | 1,553,494 | ||||
|
|
|
|||||||
|
|
30,670,896
|
| ||||||
|
|
||||||||
| Semiconductors & Semiconductor Equipment—0.2% | ||||||||
|
|
||||||||
| Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45 | 612,000 | 732,640 | ||||||
|
|
||||||||
| Micron Technology, Inc., 5.25% Sr. Unsec. Nts., 8/1/231 | 1,675,000 | 1,755,400 | ||||||
|
|
||||||||
| NXP BV/NXP Funding LLC, 4.625% Sr. Unsec. Nts., 6/1/231 | 3,735,000 | 4,024,462 | ||||||
|
|
||||||||
| QUALCOMM, Inc., 3.25% Sr. Unsec. Nts., 5/20/27 | 1,252,000 | 1,263,674 | ||||||
|
|
||||||||
| Versum Materials, Inc., 5.50% Sr. Unsec. Nts., 9/30/241 | 725,000 | 770,312 | ||||||
|
|
|
|||||||
|
|
8,546,488
|
| ||||||
|
|
||||||||
| Software—0.6% | ||||||||
|
|
||||||||
| Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25 | 654,000 | 694,950 | ||||||
|
|
||||||||
| BMC Software Finance, Inc., 8.125% Sr. Unsec. Nts., 7/15/211 | 3,491,000 | 3,591,366 | ||||||
|
|
||||||||
| Dell International LLC/EMC Corp.: | ||||||||
| 3.48% Sr. Sec. Nts., 6/1/191 | 2,847,000 | 2,902,632 | ||||||
| 5.875% Sr. Unsec. Nts., 6/15/211 | 1,205,000 | 1,262,744 | ||||||
| 6.02% Sr. Sec. Nts., 6/15/261 | 1,666,000 | 1,852,612 | ||||||
| 7.125% Sr. Unsec. Nts., 6/15/241 | 2,190,000 | 2,420,332 | ||||||
|
|
||||||||
| Informatica LLC, 7.125% Sr. Unsec. Nts., 7/15/231 | 1,775,000 | 1,792,750 | ||||||
|
|
||||||||
| Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/231 | 1,211,000 | 1,274,577 | ||||||
|
|
||||||||
| Oracle Corp.: | ||||||||
| 2.40% Sr. Unsec. Nts., 9/15/23 | 1,663,000 | 1,654,336 | ||||||
| 2.95% Sr. Unsec. Nts., 5/15/25 | 1,469,000 | 1,482,267 | ||||||
|
|
||||||||
| Symantec Corp., 5% Sr. Unsec. Nts., 4/15/251 | 1,385,000 | 1,451,660 | ||||||
|
|
||||||||
| TIBCO Software, Inc., 11.375% Sr. Unsec. Nts., 12/1/211 | 2,330,000 | 2,554,262 | ||||||
|
|
||||||||
| Veritas US, Inc./Veritas Bermuda Ltd., 7.50% Sr. Sec. Nts., 2/1/231 | 3,270,000 | 3,490,725 | ||||||
|
|
||||||||
| VMware, Inc.: | ||||||||
| 2.30% Sr. Unsec. Nts., 8/21/20 | 751,000 | 753,579 | ||||||
| 3.90% Sr. Unsec. Nts., 8/21/27 | 1,235,000 | 1,250,406 | ||||||
|
|
|
|||||||
|
|
28,429,198
|
| ||||||
|
|
||||||||
| Technology Hardware, Storage & Peripherals—0.2% | ||||||||
|
|
||||||||
| Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45 | 1,362,000 | 1,488,382 | ||||||
|
|
||||||||
| Harland Clarke Holdings Corp., 8.375% Sr. Sec. Nts., 8/15/221 | 1,085,000 | 1,163,662 | ||||||
|
|
||||||||
| Hewlett Packard Enterprise Co.: | ||||||||
| 2.10% Sr. Unsec. Nts., 10/4/191 | 1,983,000 | 1,984,399 | ||||||
| 2.45% Sr. Unsec. Nts., 10/5/17 | 690,000 | 690,033 | ||||||
|
|
||||||||
| NCR Corp., 6.375% Sr. Unsec. Nts., 12/15/23 | 1,535,000 | 1,641,069 | ||||||
|
|
||||||||
| NetApp, Inc., 2% Sr. Unsec. Nts., 9/27/19 | 1,114,000 | 1,114,004 | ||||||
|
|
||||||||
| Western Digital Corp., 10.50% Sr. Unsec. Nts., 4/1/24 | 2,540,000 | 2,990,850 | ||||||
|
|
|
|||||||
|
|
11,072,399
|
| ||||||
|
|
||||||||
| Materials—3.8% | ||||||||
|
|
||||||||
| Chemicals—1.3% | ||||||||
|
|
||||||||
| Agrium, Inc.: | ||||||||
| 3.375% Sr. Unsec. Nts., 3/15/25 | 918,000 | 924,749 | ||||||
| 4.125% Sr. Unsec. Nts., 3/15/35 | 388,000 | 395,215 | ||||||
53 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||||
|
|
||||||||||
| Chemicals (Continued) | ||||||||||
|
|
||||||||||
| CF Industries, Inc., 4.50% Sr. Sec. Nts., 12/1/261 | $ | 1,249,000 | $ | 1,308,763 | ||||||
|
|
||||||||||
| Chemours Co. (The): | ||||||||||
| 5.375% Sr. Unsec. Nts., 5/15/27 | 1,075,000 | 1,120,687 | ||||||||
| 6.625% Sr. Unsec. Nts., 5/15/23 | 1,220,000 | 1,303,875 | ||||||||
|
|
||||||||||
| CYDSA SAB de CV, 6.25% Sr. Unsec. Nts., 10/4/271 | 1,430,000 | 1,404,017 | ||||||||
|
|
||||||||||
| Ecolab, Inc., 2% Sr. Unsec. Nts., 1/14/19 | 2,387,000 | 2,397,207 | ||||||||
|
|
||||||||||
| Hexion, Inc.: | ||||||||||
| 6.625% Sr. Sec. Nts., 4/15/20 | 5,065,000 | 4,558,500 | ||||||||
| 10.375% Sr. Sec. Nts., 2/1/221 | 2,760,000 | 2,663,400 | ||||||||
| Kallpa Generacion SA, 4.875% Sr. Unsec. Nts., 5/24/261 | 1,065,000 | 1,131,562 | ||||||||
|
|
||||||||||
| Koppers, Inc., 6% Sr. Unsec. Nts., 2/15/251 | 1,445,000 | 1,556,988 | ||||||||
|
|
||||||||||
| Kraton Polymers LLC/Kraton Polymers Capital Corp.: | ||||||||||
| 7.00% Sr. Unsec. Nts., 4/15/251 | 720,000 | 775,800 | ||||||||
| 10.50% Sr. Unsec. Nts., 4/15/231 | 2,960,000 | 3,396,600 | ||||||||
|
|
||||||||||
| NOVA Chemicals Corp.: | ||||||||||
| 4.875% Sr. Unsec. Nts., 6/1/241 | 715,000 | 725,725 | ||||||||
| 5.25% Sr. Unsec. Nts., 8/1/231 | 1,465,000 | 1,514,444 | ||||||||
|
|
||||||||||
| ONGC Videsh Ltd.: | ||||||||||
| 2.75% Sr. Unsec. Nts., 7/15/21 | EUR | 3,340,000 | 4,213,220 | |||||||
| 4.625% Sr. Unsec. Nts., 7/15/24 | 3,725,000 | 4,003,593 | ||||||||
|
|
||||||||||
| Platform Specialty Products Corp., 6.50% Sr. Unsec. Nts., 2/1/221 | 1,910,000 | 1,984,013 | ||||||||
|
|
||||||||||
| PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23 | 2,156,000 | 2,303,514 | ||||||||
|
|
||||||||||
| Rain CII Carbon LLC/CII Carbon Corp., 7.25% Sec. Nts., 4/1/251 | 5,040,000 | 5,329,800 | ||||||||
|
|
||||||||||
| RPM International, Inc.: | ||||||||||
| 3.45% Sr. Unsec. Unsub. Nts., 11/15/22 | 2,047,000 | 2,143,258 | ||||||||
| 3.75% Sr. Unsec. Nts., 3/15/27 | 649,000 | 658,815 | ||||||||
|
|
||||||||||
| Sherwin-Williams Co. (The), 3.95% Sr. Unsec. Nts., 1/15/26 | 1,287,000 | 1,338,764 | ||||||||
|
|
||||||||||
| Techniplas LLC, 10% Sr. Sec. Nts., 5/1/201 | 2,850,000 | 2,009,250 | ||||||||
|
|
||||||||||
| Tronox Finance LLC, 7.50% Sr. Unsec. Nts., 3/15/221 | 1,215,000 | 1,286,381 | ||||||||
|
|
||||||||||
| Tronox Finance plc, 5.75% Sr. Unsec. Nts., 10/1/251 | 1,420,000 | 1,459,050 | ||||||||
|
|
||||||||||
| Valvoline, Inc., 4.375% Sr. Unsec. Nts., 8/15/251 | 1,425,000 | 1,451,861 | ||||||||
|
|
||||||||||
| Venator Finance Sarl/Venator Materials LLC, 5.75% Sr. Unsec. Nts., 7/15/251 | 2,140,000 | 2,230,950 | ||||||||
|
|
||||||||||
| Yara International ASA, 3.80% Sr. Unsec. Nts., 6/6/261 | 1,720,000 | 1,697,688 | ||||||||
|
|
|
|||||||||
|
|
57,287,689
|
| ||||||||
|
|
||||||||||
| Construction Materials—0.2% | ||||||||||
|
|
||||||||||
| CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/451 | 932,000 | 1,069,778 | ||||||||
|
|
||||||||||
| James Hardie International Finance DAC, 5.875% Sr. Unsec. Nts., 2/15/231 | 1,237,000 | 1,305,035 | ||||||||
|
|
||||||||||
| LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/261 | 669,000 | 663,585 | ||||||||
|
|
||||||||||
| St. Marys Cement, Inc., 5.75% Sr. Unsec. Nts., 1/28/271 | 1,445,000 | 1,530,616 | ||||||||
|
|
||||||||||
| Summit Materials LLC/Summit Materials Finance Corp., 5.125% Sr. Unsec. Nts., 6/1/251 | 715,000 | 738,524 | ||||||||
|
|
||||||||||
| US Concrete, Inc., 6.375% Sr. Unsec. Nts., 6/1/24 | 2,200,000 | 2,381,500 | ||||||||
54 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Construction Materials (Continued) | ||||||||
|
|
||||||||
| Vulcan Materials Co., 3.90% Sr. Unsec. Nts., 4/1/27 | $ | 1,835,000 | $ | 1,880,875 | ||||
|
|
|
|||||||
| 9,569,913 | ||||||||
|
|
||||||||
| Containers & Packaging—0.7% | ||||||||
|
|
||||||||
| Coveris Holdings SA, 7.875% Sr. Unsec. Nts., 11/1/191 | 5,265,000 | 5,212,350 | ||||||
|
|
||||||||
| Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50% Sr. Unsec. Nts., 1/15/23 | 2,880,000 | 3,038,400 | ||||||
|
|
||||||||
| Graphic Packaging International, Inc., 4.125% Sr. Unsec. Nts., 8/15/24 | 2,165,000 | 2,248,352 | ||||||
|
|
||||||||
| International Paper Co.: | ||||||||
| 3.00% Sr. Unsec. Nts., 2/15/27 | 1,020,000 | 992,446 | ||||||
| 4.80% Sr. Unsec. Nts., 6/15/44 | 1,011,000 | 1,090,797 | ||||||
|
|
||||||||
| Klabin Finance SA, 4.875% Sr. Unsec. Nts., 9/19/271 | 1,655,000 | 1,646,559 | ||||||
|
|
||||||||
| Owens-Brockway Glass Container, Inc., 5% Sr. Unsec. Nts., 1/15/221 | 1,360,000 | 1,445,000 | ||||||
|
|
||||||||
| Packaging Corp. of America, 4.50% Sr. Unsec. Nts., 11/1/23 | 1,991,000 | 2,158,254 | ||||||
|
|
||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: | ||||||||
| 5.125% Sr. Sec. Nts., 7/15/231 | 2,185,000 | 2,282,997 | ||||||
| 7.00% Sr. Unsec. Nts., 7/15/241 | 4,065,000 | 4,336,847 | ||||||
|
|
||||||||
| Sealed Air Corp.: | ||||||||
| 4.875% Sr. Unsec. Nts., 12/1/221 | 1,615,000 | 1,724,013 | ||||||
| 5.125% Sr. Unsec. Nts., 12/1/241 | 1,915,000 | 2,070,594 | ||||||
|
|
||||||||
| Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/251 | 2,105,000 | 2,178,675 | ||||||
|
|
|
|||||||
| 30,425,284 | ||||||||
|
|
||||||||
| Metals & Mining—1.3% | ||||||||
|
|
||||||||
| ABJA Investment Co. Pte Ltd., 5.95% Sr. Unsec. Nts., 7/31/24 | 3,185,000 | 3,404,606 | ||||||
|
|
||||||||
| AK Steel Corp.: | ||||||||
| 6.375% Sr. Unsec. Nts., 10/15/25 | 3,560,000 | 3,524,400 | ||||||
| 7.00% Sr. Unsec. Nts., 3/15/27 | 1,715,000 | 1,755,731 | ||||||
|
|
||||||||
| Alcoa Nederland Holding BV: | ||||||||
| 6.75% Sr. Unsec. Nts., 9/30/241 | 710,000 | 789,875 | ||||||
| 7.00% Sr. Unsec. Nts., 9/30/261 | 690,000 | 784,875 | ||||||
|
|
||||||||
| Aleris International, Inc.: | ||||||||
| 7.875% Sr. Unsec. Nts., 11/1/20 | 4,010,000 | 4,030,050 | ||||||
| 9.50% Sr. Sec. Nts., 4/1/211 | 1,440,000 | 1,540,800 | ||||||
|
|
||||||||
| Allegheny Technologies, Inc., 5.875% Sr. Unsec. Nts., 8/15/23 | 1,425,000 | 1,546,125 | ||||||
|
|
||||||||
| Anglo American Capital plc: | ||||||||
| 3.625% Sr. Unsec. Nts., 9/11/241 | 598,000 | 596,987 | ||||||
| 4.00% Sr. Unsec. Nts., 9/11/271 | 980,000 | 969,714 | ||||||
|
|
||||||||
| Coeur Mining, Inc., 5.875% Sr. Unsec. Nts., 6/1/24 | 2,145,000 | 2,153,044 | ||||||
|
|
||||||||
| Constellium NV: | ||||||||
| 5.75% Sr. Unsec. Nts., 5/15/241 | 1,535,000 | 1,542,675 | ||||||
| 6.625% Sr. Unsec. Nts., 3/1/251 | 1,445,000 | 1,482,931 | ||||||
|
|
||||||||
| First Quantum Minerals Ltd.: | ||||||||
| 7.25% Sr. Unsec. Nts., 5/15/221 | 2,520,000 | 2,605,050 | ||||||
| 7.25% Sr. Unsec. Nts., 4/1/231 | 2,160,000 | 2,230,200 | ||||||
|
|
||||||||
| Freeport-McMoRan, Inc.: | ||||||||
| 4.55% Sr. Unsec. Nts., 11/14/24 | 1,420,000 | 1,428,520 | ||||||
55 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Metals & Mining (Continued) | ||||||||
|
|
||||||||
| Freeport-McMoRan, Inc.: (Continued) | ||||||||
| 5.40% Sr. Unsec. Nts., 11/14/34 | $ | 2,605,000 | $ | 2,500,800 | ||||
|
|
||||||||
| Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44 | 669,000 | 753,569 | ||||||
|
|
||||||||
| Hudbay Minerals, Inc., 7.625% Sr. Unsec. Nts., 1/15/251 | 1,455,000 | 1,582,342 | ||||||
|
|
||||||||
| JSW Steel Ltd., 4.75% Sr. Unsec. Nts., 11/12/19 | 2,995,000 | 3,064,634 | ||||||
|
|
||||||||
| Kinross Gold Corp., 4.50% Sr. Unsec. Nts., 7/15/271 | 2,140,000 | 2,164,075 | ||||||
|
|
||||||||
| Metalloinvest Finance DAC, 5.625% Unsec. Nts., 4/17/201 | 725,000 | 765,880 | ||||||
|
|
||||||||
| Metinvest BV, 9.373% Sr. Sec. Nts., 12/31/2114 | 1,474,390 | 1,495,326 | ||||||
|
|
||||||||
| Polyus Finance plc, 5.25% Sr. Unsec. Nts., 2/7/231 | 2,820,000 | 2,952,836 | ||||||
|
|
||||||||
| Southern Copper Corp., 7.50% Sr. Unsec. Nts., 7/27/35 | 2,620,000 | 3,415,794 | ||||||
|
|
||||||||
| SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50% Sr. Unsec. Nts., 6/15/251 | 715,000 | 741,812 | ||||||
|
|
||||||||
| Teck Resources Ltd.: | ||||||||
| 5.20% Sr. Unsec. Nts., 3/1/42 | 3,570,000 | 3,570,000 | ||||||
| 6.125% Sr. Unsec. Nts., 10/1/35 | 1,605,000 | 1,805,625 | ||||||
|
|
||||||||
| United States Steel Corp., 6.875% Sr. Unsec. Nts., 8/15/25 | 1,425,000 | 1,464,187 | ||||||
|
|
||||||||
| Zekelman Industries, Inc., 9.875% Sr. Sec. Nts., 6/15/233 | 2,135,000 | 2,412,550 | ||||||
|
|
|
|||||||
|
|
59,075,013
|
| ||||||
|
|
||||||||
| Paper & Forest Products—0.3% | ||||||||
|
|
||||||||
| Clearwater Paper Corp., 5.375% Sr. Unsec. Nts., 2/1/251 | 2,135,000 | 2,129,662 | ||||||
|
|
||||||||
| Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24 | 2,184,000 | 2,255,766 | ||||||
|
|
||||||||
| Mercer International, Inc.: | ||||||||
| 6.50% Sr. Unsec. Nts., 2/1/24 | 1,445,000 | 1,506,413 | ||||||
| 7.75% Sr. Unsec. Nts., 12/1/22 | 1,445,000 | 1,538,925 | ||||||
|
|
||||||||
| Suzano Austria GmbH, 5.75% Sr. Unsec. Nts., 7/14/261 | 3,270,000 | 3,521,136 | ||||||
|
|
||||||||
| Tembec Industries, Inc., 9% Sr. Sec. Nts., 12/15/191 | 4,190,000 | 4,311,510 | ||||||
|
|
|
|||||||
|
|
15,263,412
|
| ||||||
|
|
||||||||
| Telecommunication Services—2.3% | ||||||||
|
|
||||||||
| Diversified Telecommunication Services—1.6% | ||||||||
|
|
||||||||
| AT&T, Inc.: | ||||||||
| 3.40% Sr. Unsec. Nts., 8/14/24 | 1,018,000 | 1,020,690 | ||||||
| 3.80% Sr. Unsec. Nts., 3/15/22 | 2,249,000 | 2,344,460 | ||||||
| 4.35% Sr. Unsec. Nts., 6/15/45 | 1,120,000 | 1,031,358 | ||||||
| 4.90% Sr. Unsec. Nts., 8/14/37 | 1,391,000 | 1,411,788 | ||||||
| 5.15% Sr. Unsec. Nts., 2/14/50 | 1,391,000 | 1,407,141 | ||||||
|
|
||||||||
| British Telecommunications plc, 9.125% Sr. Unsec. Nts., 12/15/30 | 2,012,000 | 3,050,253 | ||||||
|
|
||||||||
| CB Escrow Corp., 8% Sr. Unsec. Nts., 10/15/251,6 | 710,000 | 717,100 | ||||||
|
|
||||||||
| CenturyLink, Inc.: | ||||||||
| 5.625% Sr. Unsec. Nts., 4/1/25 | 2,150,000 | 2,066,688 | ||||||
| Series S, 6.45% Sr. Unsec. Nts., 6/15/21 | 2,900,000 | 3,032,037 | ||||||
| Series Y, 7.50% Sr. Unsec. Nts., 4/1/24 | 3,515,000 | 3,647,551 | ||||||
|
|
||||||||
| Cincinnati Bell Telephone Co. LLC, 6.30% Sr. Unsec. Nts., 12/1/28 | 1,420,000 | 1,401,994 | ||||||
|
|
||||||||
| Deutsche Telekom International Finance BV, 3.60% Sr. Unsec. Nts., 1/19/271 | 1,275,000 | 1,291,903 | ||||||
56 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Diversified Telecommunication Services (Continued) | ||||||||
|
|
||||||||
| Frontier Communications Corp.: | ||||||||
| 8.75% Sr. Unsec. Nts., 4/15/22 | $ | 1,565,000 | $ | 1,283,300 | ||||
| 10.50% Sr. Unsec. Nts., 9/15/22 | 8,280,000 | 7,245,000 | ||||||
| 11.00% Sr. Unsec. Nts., 9/15/25 | 4,515,000 | 3,860,325 | ||||||
|
|
||||||||
| Genneia SA, 8.75% Sr. Unsec. Nts., 1/20/221 | 1,020,000 | 1,117,084 | ||||||
|
|
||||||||
| Level 3 Financing, Inc.: | ||||||||
| 5.25% Sr. Unsec. Nts., 3/15/26 | 3,490,000 | 3,584,893 | ||||||
| 5.625% Sr. Unsec. Nts., 2/1/23 | 1,325,000 | 1,368,964 | ||||||
|
|
||||||||
| Qwest Capital Funding, Inc., 7.75% Sr. Unsec. Nts., 2/15/31 | 720,000 | 672,300 | ||||||
|
|
||||||||
| Qwest Corp., 6.875% Sr. Unsec. Nts., 9/15/33 | 2,155,000 | 2,113,549 | ||||||
|
|
||||||||
| Telefonica Emisiones SAU: | ||||||||
| 3.192% Sr. Unsec. Nts., 4/27/18 | 1,787,000 | 1,801,715 | ||||||
| 4.103% Sr. Unsec. Nts., 3/8/27 | 701,000 | 726,375 | ||||||
| 5.213% Sr. Unsec. Nts., 3/8/47 | 876,000 | 967,296 | ||||||
| 7.045% Sr. Unsec. Unsub. Nts., 6/20/36 | 846,000 | 1,123,371 | ||||||
|
|
||||||||
| T-Mobile USA, Inc.: | ||||||||
| 4.00% Sr. Unsec. Nts., 4/15/22 | 2,165,000 | 2,247,313 | ||||||
| 5.125% Sr. Unsec. Nts., 4/15/25 | 2,165,000 | 2,267,838 | ||||||
| 5.375% Sr. Unsec. Nts., 4/15/27 | 1,080,000 | 1,166,724 | ||||||
| 6.00% Sr. Unsec. Nts., 4/15/24 | 2,925,000 | 3,111,469 | ||||||
|
|
||||||||
| Verizon Communications, Inc.: | ||||||||
| 1.75% Sr. Unsec. Nts., 8/15/21 | 911,000 | 892,332 | ||||||
| 4.125% Sr. Unsec. Nts., 8/15/46 | 1,129,000 | 1,029,880 | ||||||
| 4.522% Sr. Unsec. Nts., 9/15/48 | 1,417,000 | 1,376,015 | ||||||
|
|
||||||||
| Windstream Services LLC: | ||||||||
| 6.375% Sr. Unsec. Nts., 8/1/23 | 3,310,000 | 2,358,375 | ||||||
| 7.75% Sr. Unsec. Nts., 10/1/21 | 1,495,000 | 1,121,250 | ||||||
|
|
||||||||
| Zayo Group LLC/Zayo Capital, Inc.: | ||||||||
| 5.75% Sr. Unsec. Nts., 1/15/271 | 715,000 | 759,688 | ||||||
| 6.00% Sr. Unsec. Nts., 4/1/23 | 3,920,000 | 4,168,724 | ||||||
|
|
|
|||||||
|
|
68,786,743
|
| ||||||
|
|
||||||||
| Wireless Telecommunication Services—0.7% | ||||||||
|
|
||||||||
| Bharti Airtel International Netherlands BV, 5.125% Sr. Unsec. Nts., 3/11/231 | 1,500,000 | 1,584,484 | ||||||
|
|
||||||||
| C&W Senior Financing Designated Activity Co., 6.875% Sr. Unsec. Nts., 9/15/271 | 1,730,000 | 1,803,525 | ||||||
|
|
||||||||
| Sprint Communications, Inc.: | ||||||||
| 6.00% Sr. Unsec. Nts., 11/15/22 | 5,555,000 | 5,997,733 | ||||||
| 7.00% Sr. Unsec. Nts., 3/1/201 | 2,100,000 | 2,299,500 | ||||||
|
|
||||||||
| Sprint Corp.: | ||||||||
| 7.125% Sr. Unsec. Nts., 6/15/24 | 7,085,000 | 7,988,338 | ||||||
| 7.875% Sr. Unsec. Nts., 9/15/23 | 5,445,000 | 6,329,813 | ||||||
|
|
||||||||
| Trilogy International Partners LLC/Trilogy International Finance, Inc., 8.875% Sr. Sec. Nts., 5/1/223 | 3,585,000 | 3,746,325 | ||||||
|
|
||||||||
| VimpelCom Holdings BV, 4.95% Sr. Unsec. Nts., 6/16/241 | 2,920,000 | 2,995,278 | ||||||
|
|
|
|||||||
| 32,744,996 | ||||||||
57 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Principal Amount | Value | |||||||
|
|
||||||||
| Utilities—2.1% | ||||||||
|
|
||||||||
| Electric Utilities—0.7% | ||||||||
|
|
||||||||
| AEP Texas, Inc., 3.85% Sr. Unsec. Nts., 10/1/251 | $ | 995,000 | $ | 1,038,830 | ||||
|
|
||||||||
| Capex SA, 6.875% Sr. Unsec. Nts., 5/15/241 | 1,275,000 | 1,317,419 | ||||||
|
|
||||||||
| Cleco Corporate Holdings LLC, 3.743% Sr. Sec. Nts., 5/1/26 | 1,021,000 | 1,029,628 | ||||||
|
|
||||||||
| Duke Energy Corp.: | ||||||||
| 3.15% Sr. Unsec. Nts., 8/15/27 | 1,217,000 | 1,208,475 | ||||||
| 3.75% Sr. Unsec. Nts., 9/1/46 | 1,080,000 | 1,044,225 | ||||||
|
|
||||||||
| Edison International, 2.95% Sr. Unsec. Nts., 3/15/23 | 1,602,000 | 1,623,751 | ||||||
|
|
||||||||
| EDP Finance BV, 3.625% Sr. Unsec. Nts., 7/15/241 | 1,640,000 | 1,658,540 | ||||||
|
|
||||||||
| Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/19 | 1,244,000 | 1,244,887 | ||||||
|
|
||||||||
| Enel Finance International NV, 3.625% Sr. Unsec. Nts., 5/25/271 | 1,254,000 | 1,258,545 | ||||||
|
|
||||||||
| Entergy Texas, Inc., 7.125% Sec. Nts., 2/1/19 | 768,000 | 819,193 | ||||||
|
|
||||||||
| Exelon Corp., 4.45% Sr. Unsec. Nts., 4/15/46 | 623,000 | 654,684 | ||||||
|
|
||||||||
| Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46 | 602,000 | 671,209 | ||||||
|
|
||||||||
| Intelsat Jackson Holdings SA, 9.75% Sr. Unsec. Nts., 7/15/251 | 2,140,000 | 2,166,750 | ||||||
|
|
||||||||
| ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43 | 560,000 | 659,838 | ||||||
|
|
||||||||
| NextEra Energy Operating Partners LP: | ||||||||
| 4.25% Sr. Unsec. Nts., 9/15/241 | 916,000 | 937,755 | ||||||
| 4.50% Sr. Unsec. Nts., 9/15/271 | 710,000 | 725,087 | ||||||
|
|
||||||||
| Pacific Gas & Electric Co., 3.40% Sr. Unsec. Nts., 8/15/24 | 1,584,000 | 1,640,964 | ||||||
|
|
||||||||
| PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/211 | 2,206,000 | 2,389,188 | ||||||
|
|
||||||||
| Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18 | 1,570,000 | 1,628,615 | ||||||
|
|
||||||||
| Southern Co. Gas Capital Corp., 4.40% Sr. Unsec. Nts., 5/30/47 | 908,000 | 941,585 | ||||||
|
|
||||||||
| Southern Power Co., 1.95% Sr. Unsec. Nts., 12/15/19 | 2,388,000 | 2,384,043 | ||||||
|
|
||||||||
| TECO Finance, Inc., 6.572% Sr. Unsec. Nts., 11/1/17 | 1,940,000 | 1,947,241 | ||||||
|
|
||||||||
| Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/251 | 1,304,000 | 1,365,204 | ||||||
|
|
|
|||||||
|
|
30,355,656
|
| ||||||
|
|
||||||||
| Gas Utilities—0.1% | ||||||||
|
|
||||||||
| Ferrellgas LP/Ferrellgas Finance Corp.: | ||||||||
| 6.50% Sr. Unsec. Nts., 5/1/21 | 1,966,000 | 1,916,850 | ||||||
| 6.75% Sr. Unsec. Nts., 6/15/23 | 2,500,000 | 2,418,750 | ||||||
|
|
||||||||
| Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.875% Sr. Unsec. Nts., 3/1/27 | 1,800,000 | 1,791,000 | ||||||
|
|
|
|||||||
|
|
6,126,600
|
| ||||||
|
|
||||||||
| Independent Power and Renewable Electricity Producers—0.9% | ||||||||
|
|
||||||||
| AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad Itabo SA, 7.95% Sr. Unsec. Nts., 5/11/261 | 1,630,000 | 1,771,810 | ||||||
|
|
||||||||
| AES Argentina Generacion SA, 7.75% Sr. Unsec. Nts., 2/2/241 | 1,275,000 | 1,369,758 | ||||||
|
|
||||||||
| AES Corp., 6% Sr. Unsec. Nts., 5/15/26 | 2,750,000 | 2,970,000 | ||||||
|
|
||||||||
| Azure Power Energy Ltd., 5.50% Sr. Sec. Nts., 11/3/221 | 1,265,000 | 1,296,625 | ||||||
58 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Principal Amount | Value | |||||||
|
|
||||||||
| Independent Power and Renewable Electricity Producers (Continued) | ||||||||
|
|
||||||||
| Calpine Corp.: | ||||||||
| 5.25% Sr. Sec. Nts., 6/1/261 | $ | 2,135,000 | $ | 2,135,000 | ||||
| 5.75% Sr. Unsec. Nts., 1/15/25 | 3,265,000 | 3,097,669 | ||||||
|
|
||||||||
| Dynegy, Inc.: | ||||||||
| 7.375% Sr. Unsec. Nts., 11/1/22 | 4,420,000 | 4,629,950 | ||||||
| 8.00% Sr. Unsec. Nts., 1/15/251 | 3,990,000 | 4,149,600 | ||||||
| 8.125% Sr. Unsec. Nts., 1/30/261 | 3,560,000 | 3,671,250 | ||||||
|
|
||||||||
| GenOn Energy, Inc., 9.50% Sr. Unsec. Nts., 10/15/18 | 4,665,000 | 3,440,437 | ||||||
|
|
||||||||
| Miran Mid-Atlantic Trust, 10.06% Sec. Pass-Through Certificates, Series C, 12/30/28 | 1,334,783 | 1,274,718 | ||||||
|
|
||||||||
| NRG Energy, Inc.: | ||||||||
| 6.625% Sr. Unsec. Nts., 1/15/27 | 1,780,000 | 1,873,450 | ||||||
| 7.25% Sr. Unsec. Nts., 5/15/26 | 3,065,000 | 3,302,538 | ||||||
|
|
||||||||
| Talen Energy Supply LLC: | ||||||||
| 4.625% Sr. Unsec. Nts., 7/15/191 | 294,000 | 291,060 | ||||||
| 6.50% Sr. Unsec. Nts., 6/1/25 | 5,505,000 | 4,211,325 | ||||||
|
|
|
|||||||
|
|
39,485,190
|
| ||||||
|
|
||||||||
| Multi-Utilities—0.4% | ||||||||
|
|
||||||||
| AssuredPartners, Inc., 7% Sr. Unsec. Nts., 8/15/251 | 1,603,000 | 1,645,079 | ||||||
|
|
||||||||
| Dominion Energy, Inc.: | ||||||||
| 1.875% Sr. Unsec. Nts., 1/15/19 | 1,193,000 | 1,191,772 | ||||||
| 4.90% Sr. Unsec. Nts., 8/1/41 | 861,000 | 958,425 | ||||||
|
|
||||||||
| InterGen NV, 7% Sr. Sec. Nts., 6/30/231 | 3,100,000 | 3,038,000 | ||||||
|
|
||||||||
| KazTransGas JSC, 4.375% Sr. Unsec. Nts., 9/26/271 | 3,405,000 | 3,387,617 | ||||||
|
|
||||||||
| NGPL PipeCo LLC: | ||||||||
| 4.875% Sr. Unsec. Nts., 8/15/271 | 1,070,000 | 1,123,875 | ||||||
| 7.768% Sr. Unsec. Nts., 12/15/371 | 1,780,000 | 2,225,000 | ||||||
|
|
||||||||
| NiSource Finance Corp.: | ||||||||
| 3.49% Sr. Unsec. Nts., 5/15/27 | 1,833,000 | 1,858,255 | ||||||
| 6.80% Sr. Unsec. Nts., 1/15/19 | 378,000 | 400,871 | ||||||
|
|
||||||||
| Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19 | 2,250,000 | 2,226,322 | ||||||
|
|
||||||||
| Virginia Electric & Power Co., 2.95% Sr. Unsec. Nts., 1/15/22 | 1,684,000 | 1,718,899 | ||||||
|
|
|
|||||||
| 19,774,115 | ||||||||
|
|
|
|||||||
| Total Corporate Bonds and Notes (Cost $2,016,091,759) |
|
2,037,812,011
|
| |||||
| Shares | ||||||||
|
|
||||||||
| Preferred Stocks—0.9% | ||||||||
|
|
||||||||
| Allstate Corp. (The), 6.625% Non-Cum., Non-Vtg. | 34,225 | 917,230 | ||||||
|
|
||||||||
| American Homes 4 Rent, 6.50% Cum. Cv., Series D, Non-Vtg. | 35,000 | 966,000 | ||||||
|
|
||||||||
| Arch Capital Group Ltd., 5.25% Non-Cum., Non-Vtg. | 39,075 | 965,152 | ||||||
|
|
||||||||
| BB&T Corp., 5.625% Non-Cv. | 28,675 | 764,189 | ||||||
|
|
||||||||
| Carlyle Group LP (The), 5.875% Non-Cum., Series A, Non-Vtg.15 | 36,540 | 934,693 | ||||||
|
|
||||||||
| Citigroup Capital XIII, 7.681% [US0003M + 637], Cum., Non-Vtg.2 | 53,125 | 1,475,812 | ||||||
|
|
||||||||
| Digital Realty Trust, Inc., 6.625% Cum., Series C, Non-Vtg.15 | 10,657 | 300,847 | ||||||
|
|
||||||||
| Digital Realty Trust, Inc., 7.375% Cum., Non-Vtg. | 25,200 | 683,424 | ||||||
|
|
||||||||
| Dominion Energy, Inc., 5.25% Cum. | 37,800 | 974,862 | ||||||
59 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Shares | Value | |||||||
|
|
||||||||
| Preferred Stocks (Continued) | ||||||||
|
|
||||||||
| DTE Energy Co., 5.375% Jr. Sub., Non-Vtg. | 37,700 | $ | 974,545 | |||||
|
|
||||||||
| eBay, Inc., 6% Cv. | 34,600 | 935,238 | ||||||
|
|
||||||||
| Fifth Third Bancorp, 6.625% Non-Cum., Non-Vtg.8 | 44,200 | 1,325,558 | ||||||
|
|
||||||||
| First Republic Bank, 7% Non-Cum. | 25,975 | 691,195 | ||||||
|
|
||||||||
| GMAC Capital Trust I, 7.10% [US0003M + 578.5], Jr. Sub., Non-Vtg.2 | 54,825 | 1,447,380 | ||||||
|
|
||||||||
| Goldman Sachs Group, Inc. (The), 6.30% Non-Cum., Series N, Non-Vtg. | 90,275 | 2,482,562 | ||||||
|
|
||||||||
| Hartford Financial Services Group, Inc. (The), 7.875% Jr. Sub., Non-Vtg.8 | 59,125 | 1,795,035 | ||||||
|
|
||||||||
| Huntington Bancshares, Inc., 6.25% Non-Cum., Non-Vtg. | 27,300 | 748,566 | ||||||
|
|
||||||||
| KeyCorp, 6.125% Non-Cum., Non-Vtg.8 | 78,200 | 2,298,298 | ||||||
|
|
||||||||
| Morgan Stanley, 5.85% Non-Cum., Non-Vtg.8 | 57,175 | 1,563,164 | ||||||
|
|
||||||||
| Morgan Stanley, 6.375% Non-Cum., Non-Vtg.8 | 54,200 | 1,536,028 | ||||||
|
|
||||||||
| NextEra Energy Capital Holding, Inc., 5.25% Jr. Sub., Non-Vtg. | 37,375 | 954,557 | ||||||
|
|
||||||||
| Northern Trust Corp., 5.85% Non-Cum., Non-Vtg. | 27,175 | 707,365 | ||||||
|
|
||||||||
| Peabody Energy Corp., 8.50% Cv., Series A, Vtg.15 | 6,227 | 390,495 | ||||||
|
|
||||||||
| PNC Financial Services Group, Inc. (The), 6.125% Non-Cum., Non-Vtg.8 | 50,625 | 1,453,444 | ||||||
|
|
||||||||
| Prudential Financial, Inc., 5.75% Jr. Sub. | 28,600 | 731,874 | ||||||
|
|
||||||||
| Public Storage, 6% Cum., Non-Vtg. | 39,425 | 1,030,964 | ||||||
|
|
||||||||
| Qwest Corp., 7% Sr. Unsec. | 53,125 | 1,431,719 | ||||||
|
|
||||||||
| Regions Financial Corp., 6.375% Non-Cum., Series A | 26,600 | 676,970 | ||||||
|
|
||||||||
| Senior Housing Properties Trust, 5.625% Cv. | 37,850 | 961,012 | ||||||
|
|
||||||||
| Southern Co. (The), 5.25% Jr. Sub. | 41,275 | 1,052,925 | ||||||
|
|
||||||||
| State Street Corp., 6% Non-Cum., Non-Vtg. | 51,650 | 1,377,506 | ||||||
|
|
||||||||
| US Bancorp, 6.50% Non-Cum., Non-Vtg.8 | 54,000 | 1,574,100 | ||||||
|
|
||||||||
| Validus Holdings Ltd., 5.80% Non-Cum. | 36,350 | 914,203 | ||||||
|
|
||||||||
| Ventas Realty LP/Ventas Capital Corp., 5.45% Sr. Unsec. | 42,050 | 1,070,593 | ||||||
|
|
||||||||
| Wells Fargo & Co., 5.625% Non-Cum., Non-Vtg. | 13,730 | 359,589 | ||||||
|
|
||||||||
| Wells Fargo & Co., 6.625% Non-Cum Non-Vtg.8 | 31,525 | 911,388 | ||||||
|
|
||||||||
| Zions Bancorporation, 6.30% Non-Cum.8 | 30,162 | 836,091 | ||||||
|
|
|
|||||||
| Total Preferred Stocks (Cost $39,026,679) |
|
40,214,573
|
| |||||
|
|
||||||||
| Common Stocks—0.3% | ||||||||
|
|
||||||||
| Arco Capital Corp. Ltd.1,7,10,15 | 2,494,716 | — | ||||||
|
|
||||||||
| Carrizo Oil & Gas, Inc.15 | 30,616 | 524,452 | ||||||
|
|
||||||||
| Dynegy, Inc.15 | 272,001 | 2,662,890 | ||||||
|
|
||||||||
| EP Energy Corp., Cl. A15 | 514,297 | 1,676,608 | ||||||
|
|
||||||||
| Frontier Communications Corp. | 40,226 | 474,264 | ||||||
|
|
||||||||
| JSC Astana Finance, GDR3,7,15 | 1,681,847 | — | ||||||
|
|
||||||||
| Newfield Exploration Co.15 | 20,203 | 599,423 | ||||||
|
|
||||||||
| Parsley Energy, Inc., Cl. A15 | 24,793 | 653,048 | ||||||
|
|
||||||||
| Peabody Energy Corp.15 | 64,512 | 1,871,493 | ||||||
|
|
||||||||
| Premier Holdings Ltd.7,15 | 1,088,661 | — | ||||||
|
|
||||||||
| Quicksilver Resources, Inc.7,15 | 12,760,000 | 269,236 | ||||||
|
|
||||||||
| Range Resources Corp. | 52,103 | 1,019,656 | ||||||
|
|
||||||||
| RSP Permian, Inc.15 | 18,706 | 647,041 | ||||||
|
|
||||||||
| Sabine Oil15 | 2,464 | 109,648 | ||||||
60 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Shares | Value | |||||||||||
|
|
||||||||||||
| Common Stocks (Continued) | ||||||||||||
|
|
||||||||||||
| Schlumberger Ltd. | 9,836 | $ | 686,159 | |||||||||
|
|
||||||||||||
| SM Energy Co. | 35,520 | 630,125 | ||||||||||
|
|
||||||||||||
| Valeant Pharmaceuticals International, Inc.15 | 237,651 | 3,405,539 | ||||||||||
|
|
|
|||||||||||
| Total Common Stocks (Cost $35,371,388) |
|
15,229,582
|
| |||||||||
| Units | ||||||||||||
|
|
||||||||||||
| Rights, Warrants and Certificates—0.0% | ||||||||||||
| Affinion Group Wts., Strike Price $1, Exp. 11/10/227,15 | 25,422 | 243,034 | ||||||||||
|
|
||||||||||||
| Sabine Oil Tranche 1 Wts., Strike Price $4.49, Exp. 8/11/2615 | 7,816 | 52,758 | ||||||||||
|
|
||||||||||||
| Sabine Oil Tranche 2 Wts., Strike Price $2.72, Exp. 8/11/2615 | 1,392 | 8,004 | ||||||||||
|
|
|
|||||||||||
| Total Rights, Warrants and Certificates (Cost $1,590,968) | 303,796 | |||||||||||
| Principal Amount | ||||||||||||
|
|
||||||||||||
| Structured Securities—0.5% | ||||||||||||
|
|
||||||||||||
| Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds: | ||||||||||||
| 3.003%, 4/30/251,16 | $ | 2,876,315 | 1,422,840 | |||||||||
| 3.054%, 4/30/251,16 | 3,664,867 | 1,812,917 | ||||||||||
| 3.098%, 4/30/251,16 | 3,164,026 | 1,565,163 | ||||||||||
| 3.131%, 4/30/251,16 | 2,828,240 | 1,399,058 | ||||||||||
| 3.179%, 4/30/251,16 | 3,521,388 | 1,741,941 | ||||||||||
| 3.231%, 4/30/251,16 | 4,019,131 | 1,988,162 | ||||||||||
| 3.265%, 4/30/251,16 | 3,210,815 | 1,588,308 | ||||||||||
| 3.346%, 4/30/251,16 | 3,018,029 | 1,492,942 | ||||||||||
| 74.66%, 12/31/173,7,13 | BRL | 14,420,000 | 7,905,507 | |||||||||
|
|
||||||||||||
| LB Peru Trust II Certificates, Series 1998-A, 99.999%, 2/28/167,9,16 | 115,443 | — | ||||||||||
|
|
||||||||||||
| Morgan Stanley, Russian Federation Total Return Linked | ||||||||||||
| Bonds, Series 007, Cl. VR, 5%, 8/22/347 | RUB | 100,368,564 | 768,957 | |||||||||
|
|
|
|||||||||||
| Total Structured Securities (Cost $32,125,828) |
|
21,685,795
|
| |||||||||
|
|
||||||||||||
| Short-Term Notes—0.9% | ||||||||||||
|
|
||||||||||||
| Arab Republic of Egypt Treasury Bills, 19.026%, 11/14/1716 | EGP | 438,975,000 | 24,387,013 | |||||||||
|
|
||||||||||||
| Egypt Treasury Bills: | ||||||||||||
| 18.696%, 2/27/1816 | EGP | 145,500,000 | 7,719,307 | |||||||||
| 21.693%, 1/16/1816 | EGP | 131,200,000 | 7,075,456 | |||||||||
|
|
|
|||||||||||
| Total Short-Term Notes (Cost $38,329,390) | 39,181,776 | |||||||||||
| Counterparty | Exercise Price |
Expiration Date |
Notional Amount (000’s) |
Contracts (000’s) |
||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Over-the-Counter Options Purchased—0.0% | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL | ||||||||||||||||||||||||||||
| BRL Currency Call15 |
BNP | BRL | 3.120 | 12/13/17 | BRL 156,000 | 113,465 | 292,740 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BRL | ||||||||||||||||||||||||||||
| BRL Currency Call15 |
BAC | BRL | 3.105 | 12/7/17 | BRL 155,250 | 114,885 | 233,331 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CNH | ||||||||||||||||||||||||||||
| CNH Currency Call15,19 |
BNP | CNH | 6.500 | 11/10/17 | CNH 2,000 | 1,455 | 89,120 | |||||||||||||||||||||
61 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Notional | ||||||||||||||||||||||||||
| Exercise Expiration | Amount |
Contracts | ||||||||||||||||||||||||
| Counterparty |
Price | Date | (000’s) |
(000’s) |
Value | |||||||||||||||||||||
| Over-the-Counter Options Purchased (Continued) | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR | ||||||||||||||||||||||||||
| EUR Currency Put15 | BAC | NOK | 9.260 | 11/16/17 |
|
EUR 80,000 |
|
58,215 | $ | 238,536 | ||||||||||||||||
| IDR | ||||||||||||||||||||||||||
| IDR Currency Call15 | HSBC | IDR | 13525.000 | |
IDR 12/28/17676,250,000 |
|
|
513,950,000 |
|
513,950 | ||||||||||||||||
| JPY | ||||||||||||||||||||||||||
| JPY Currency Call15 | BNP | JPY | 109.000 | 12/22/17 | |
JPY 10,900,000 |
|
|
7,924,000 |
|
673,540 | |||||||||||||||
| SGD | ||||||||||||||||||||||||||
| SGD Currency Put15 | BAC | SGD | 1.366 | 11/3/17 | |
SGD 136,600 |
|
102,450 | 217,809 | |||||||||||||||||
| SGD | ||||||||||||||||||||||||||
| SGD Currency Put15 | GSCO-OT | SGD | 1.362 | 12/1/17 | SGD 68,100 | 49,555 | 205,801 | |||||||||||||||||||
| EUR | ||||||||||||||||||||||||||
| SX5E Index Put15 | JPM | EUR | 3407.650 | 6/15/18 | EUR 91,202 | 21 | 52,334 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Over-the-Counter Options Purchased (Cost $5,015,670) | 2,517,161 | |||||||||||||||||||||||||
| Pay/Receive | Notional | |||||||||||||||||||||||
| Floating | Floating | Fixed Expiration | Amount | |||||||||||||||||||||
| Counterparty | Rate |
Rate |
Rate | Date | (000’s) |
|||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased—0.2% | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Interest Rate Swap Maturing 10/17/47 Call15 | BAC | Pay | Six-Month EUR EURIBOR |
1.615 | % | 10/13/17 | |
EUR 25,900 |
|
339,882 | ||||||||||||||
| Interest Rate Swap Maturing 11/10/47 Call15 | CITNA-B | Receive | Three- Month USD BBA LIBOR |
2.550 | 11/8/17 | |
USD 50,320 |
|
736,444 | |||||||||||||||
| Interest Rate Swap Maturing 12/14/22 Call15 | CITNA-B | Receive | Three- Month USD BBA LIBOR |
1.960 | 12/12/17 | |
USD 228,000 |
|
1,605,393 | |||||||||||||||
| Interest Rate Swap Maturing 12/15/27 Call15 | UBS | Receive | Three- Month USD BBA LIBOR |
2.250 | 12/13/17 | |
USD 114,000 |
|
1,473,295 | |||||||||||||||
| Interest Rate Swap Maturing 12/22/18 Call15 | CITNA-B | Receive | Three- Month USD BBA LIBOR |
1.600 | 12/20/17 | |
USD 1,091,500 |
|
1,154,796 | |||||||||||||||
62 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Pay/Receive | Notional | |||||||||||||||||||
| Floating | Floating | Fixed Expiration | Amount | |||||||||||||||||
| Counterparty | Rate | Rate | Rate | Date | (000’s) | Value | ||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased (Continued) | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Interest Rate Swap Maturing 12/22/18 Call15 | CITNA-B | Receive | Three- Month USD BBA LIBOR |
1.800% | 12/20/17 | |
USD 1,091,500 |
|
$ | 212,613 | ||||||||||
|
|
||||||||||||||||||||
| Interest Rate Swap Maturing 12/29/47 Call15 | CITNA-B | Receive | Three- Month USD BBA LIBOR |
2.530 | 12/27/17 | |
USD 50,320 |
|
1,303,691 | |||||||||||
|
|
||||||||||||||||||||
| Interest Rate Swap Maturing 3/13/28 Call15 | BAC | Receive | Six-Month GBP BBA LIBOR |
1.440 | 3/12/18 | |
GBP 76,000 |
|
1,785,519 | |||||||||||
|
|
|
|||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $6,460,937) |
8,611,633 | |||||||||||||||||||
| Shares | ||||||||
|
|
||||||||
| Investment Companies—22.6% | ||||||||
|
|
||||||||
| Oppenheimer Institutional Government Money Market Fund, Cl. E, 0.98%17,18 | 86,779,823 | 86,779,823 | ||||||
|
|
||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC17 | 6,320,389 | 96,270,049 | ||||||
|
|
||||||||
| Oppenheimer Master Loan Fund, LLC17 | 38,995,828 | 646,607,370 | ||||||
|
|
||||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y17 | 37,732,519 | 189,039,922 | ||||||
|
|
|
|||||||
| Total Investment Companies (Cost $1,028,784,473) | 1,018,697,164 | |||||||
|
|
||||||||
| Total Investments, at Value (Cost $4,846,299,795) | 108.1% | 4,868,139,133 | ||||||
|
|
||||||||
| Net Other Assets (Liabilities) |
(8.1) | (365,329,887) | ||||||
|
|
|
|
|
|||||
| Net Assets |
100.0% | $ | 4,502,809,246 | |||||
|
|
|
|
|
|||||
Footnotes to Consolidated Statement of Investments
1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $1,319,794,895 or 29.31% of the Fund’s net assets at period end.
2. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].
3. Restricted security. The aggregate value of restricted securities at period end was $30,629,419, which represents 0.68% of the Fund’s net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:
63 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments (Continued)
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
|
|
||||||||||||||||
| Affinion Group, Inc., 12.50% Sr. Unsec. Nts., 11/10/22 | 11/8/10-1/31/13 | $ | 5,473,863 | $ | 5,569,579 | $ | 95,716 | |||||||||
| American Greetings Corp., 7.875% Sr. Unsec. Nts., 2/15/25 | 2/2/17 | 2,896,011 | 3,142,875 | 246,864 | ||||||||||||
| Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997- CTL1, Cl. IO, 0%, 6/22/24 | 4/21/97 | $ | 99,485 | $ | 2,269 | $ | (97,216 | ) | ||||||||
| Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 74.66% Sr. Sec. Nts., 12/31/17 | 9/19/07 | 7,311,597 | 7,905,507 | 593,910 | ||||||||||||
| Fideicomiso PA Pacifico Tres, 8.25% Sr. Sec. Nts., 1/15/35 | 2/12/16-9/9/16 | 1,109,545 | 1,279,037 | 169,492 | ||||||||||||
| JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/35 | 3/21/07 | 1,842,161 | 111,109 | (1,731,052 | ) | |||||||||||
| JSC Astana Finance, GDR | 6/5/15 | — | — | — | ||||||||||||
| LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/23 | 4/17/14 | 1,349,325 | 1,371,500 | 22,175 | ||||||||||||
| Taylor Morrison Communities, Inc./ Taylor Morrison Holdings II, Inc., 5.875% Sr. Unsec. Nts., 4/15/23 | 1/22/16-1/27/16 | 2,903,903 | 3,248,250 | 344,347 | ||||||||||||
| Trilogy International Partners LLC/ Trilogy International Finance, Inc., 8.875% Sr. Sec. Nts., 5/1/22 | 4/21/17 | 3,567,290 | 3,746,325 | 179,035 | ||||||||||||
| Westlake Automobile Receivables Trust, Series 2017-2A, Cl. E, 4.63%, 7/15/24 | 8/1/17 | 1,844,992 | 1,840,418 | (4,574 | ) | |||||||||||
| Zekelman Industries, Inc., 9.875% Sr. Sec. Nts., 6/15/23 | 12/8/16 | 2,330,704 | 2,412,550 | 81,846 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $ | 30,728,876 | $ | 30,629,419 | $ | (99,457 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||
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. These securities amount to $9,160,280 or 0.20% of the Fund’s net assets at period end.
5. Interest rate is less than 0.0005%.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Consolidated Notes.
7. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying Consolidated Notes.
8. This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.
9. This security is not accruing income because its issuer has missed or is expected to miss interest and/or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Consolidated Notes.
10. Security received as the result of issuer reorganization.
11. All or a portion of this security is owned by the subsidiary. See Note 2 of the accompanying Consolidated Notes.
12. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
13. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
14. Interest or dividend is paid-in-kind, when applicable.
64 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Footnotes to Consolidated Statement of Investments (Continued)
15. Non-income producing security.
16. Zero coupon bond reflects effective yield on the original acquisition date.
17. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the reporting period in which the issuer was an affiliate are as follows:
| Shares 2016 |
Gross Additions |
Gross Reductions |
Shares 2017 |
|||||||||||||
|
|
||||||||||||||||
| Oppenheimer Institutional | ||||||||||||||||
| Government Money Market Fund, Cl. E | 391,270,487 | 1,209,746,429 | 1,514,237,093 | 86,779,823 | ||||||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | 6,701,817 | — | 381,428 | 6,320,389 | ||||||||||||
| Oppenheimer Master Loan Fund, LLC | 30,338,936 | 10,569,776 | 1,912,884 | 38,995,828 | ||||||||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | 24,645,140 | 13,087,379 | — | 37,732,519 | ||||||||||||
| Value | Income | Realized Gain (Loss) |
Change in Unrealized Gain (Loss) |
|||||||||||||
|
|
||||||||||||||||
| Oppenheimer Institutional | ||||||||||||||||
| Government Money Market Fund, Cl. E | $ | 86,779,823 | $ | 1,206,238 | $ | — | $ | — | ||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | 96,270,049 | 6,634,319 | a | (302,894) | a | (10,201,183 | )a | |||||||||
| Oppenheimer Master Loan Fund, LLC | 646,607,370 | 35,964,866 | b | 2,498,851 | b | (2,101,333 | )b | |||||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | 189,039,922 | 1,566,881 | — | (1 | ) | |||||||||||
|
|
|
|||||||||||||||
| Total | $ | 1,018,697,164 | $ | 45,372,304 | $ | 2,195,957 | $ | (12,302,517 | ) | |||||||
|
|
|
|||||||||||||||
a. Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC.
b. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC.
18. Rate shown is the 7-day yield at period end.
19. One-Touch Binary option becomes eligible for exercise if at exercise date and time spot rates are less than or equal to 6.5 CNH per 1 USD.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings (Unaudited) | Value | Percent | ||||||||
|
| ||||||||||
| United States | $ | 3,770,104,340 | 77.4 | % | ||||||
| Russia | 99,674,180 | 2.0 | ||||||||
| Brazil | 96,412,704 | 2.0 | ||||||||
| Canada | 66,747,396 | 1.4 | ||||||||
| Indonesia | 58,430,041 | 1.2 | ||||||||
| Mexico | 56,397,584 | 1.2 | ||||||||
| South Africa | 53,071,872 | 1.1 | ||||||||
| Egypt | 46,914,997 | 1.0 | ||||||||
65 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Geographic Holdings (Unaudited) (Continued) | Value | Percent | ||||||||||
|
|
||||||||||||
| United Kingdom | $ | 43,709,867 | 0.9% | |||||||||
| Turkey | 39,806,161 | 0.8 | ||||||||||
| Ukraine | 37,025,942 | 0.8 | ||||||||||
| India | 36,757,376 | 0.8 | ||||||||||
| Netherlands | 34,774,334 | 0.7 | ||||||||||
| Peru | 25,802,872 | 0.5 | ||||||||||
| Argentina | 25,487,536 | 0.5 | ||||||||||
| Kazakhstan | 22,528,406 | 0.5 | ||||||||||
| Colombia | 18,142,939 | 0.4 | ||||||||||
| Luxembourg | 18,082,700 | 0.4 | ||||||||||
| France | 17,863,330 | 0.4 | ||||||||||
| Germany | 16,450,848 | 0.3 | ||||||||||
| Romania | 16,067,675 | 0.3 | ||||||||||
| Poland | 14,704,319 | 0.3 | ||||||||||
| Ireland | 14,001,146 | 0.3 | ||||||||||
| Chile | 13,441,479 | 0.3 | ||||||||||
| Hungary | 13,186,514 | 0.3 | ||||||||||
| Australia | 12,477,539 | 0.3 | ||||||||||
| Sri Lanka | 12,180,258 | 0.3 | ||||||||||
| Dominican Republic | 11,037,991 | 0.2 | ||||||||||
| Spain | 10,379,519 | 0.2 | ||||||||||
| Uruguay | 10,234,990 | 0.2 | ||||||||||
| Switzerland | 9,449,162 | 0.2 | ||||||||||
| Serbia | 9,316,292 | 0.2 | ||||||||||
| Croatia | 9,188,669 | 0.2 | ||||||||||
| Ivory Coast | 9,109,006 | 0.2 | ||||||||||
| Ecuador | 8,876,613 | 0.2 | ||||||||||
| Malaysia | 8,820,697 | 0.2 | ||||||||||
| Belgium | 8,475,958 | 0.2 | ||||||||||
| Thailand | 6,686,038 | 0.1 | ||||||||||
| New Zealand | 6,619,844 | 0.1 | ||||||||||
| Hong Kong | 6,414,954 | 0.1 | ||||||||||
| United Arab Emirates | 6,142,671 | 0.1 | ||||||||||
| China | 5,455,733 | 0.1 | ||||||||||
| Italy | 5,063,386 | 0.1 | ||||||||||
| Jamaica | 4,965,650 | 0.1 | ||||||||||
| Gabon | 4,639,244 | 0.1 | ||||||||||
| Iraq | 4,352,786 | 0.1 | ||||||||||
| Honduras | 3,830,189 | 0.1 | ||||||||||
| Angola | 3,757,980 | 0.1 | ||||||||||
| Vietnam | 3,338,419 | 0.1 | ||||||||||
| Morocco | 3,325,637 | 0.1 | ||||||||||
| Senegal | 3,197,278 | 0.1 | ||||||||||
| Kuwait | 2,989,320 | 0.1 | ||||||||||
| Mauritius | 2,561,125 | 0.1 | ||||||||||
| Bermuda | 2,400,840 | 0.0 | ||||||||||
| Israel | 2,066,925 | 0.0 | ||||||||||
| Nigeria | 1,900,388 | 0.0 | ||||||||||
| Panama | 1,780,110 | 0.0 | ||||||||||
| Norway | 1,697,688 | 0.0 | ||||||||||
66 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Geographic Holdings (Unaudited) (Continued) | Value | Percent | ||||||||||
| Portugal | $ | 1,658,540 | 0.0% | |||||||||
| Belarus | 1,568,090 | 0.0 | ||||||||||
| Bahamas | 1,553,375 | 0.0 | ||||||||||
| Lebanon | 1,433,017 | 0.0 | ||||||||||
| Guernsey | 1,155,218 | 0.0 | ||||||||||
| Macau | 723,534 | 0.0 | ||||||||||
| Japan | 673,540 | 0.0 | ||||||||||
| Eurozone | 630,752 | 0.0 | ||||||||||
| Singapore |
|
423,610 |
|
0.0 | ||||||||
|
|
|
|||||||||||
| Total | $ | 4,868,139,133 | 100.0 | % | ||||||||
|
|
|
|||||||||||
|
| ||||||||||||||
| Forward Currency Exchange Contracts as of September 30, 2017 | ||||||||||||||
| Counterparty | Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | 10/2017 | BRL | 35,360 | USD | 11,303 | $ | — | $ | 138,652 | |||||||||||||||||||
| BAC | 12/2017 | CLP | 22,832,000 | USD | 36,483 | — | 875,047 | |||||||||||||||||||||
| BAC | 10/2017 - 04/2018 | IDR | 1,068,069,000 | USD | 78,297 | 307,510 | — | |||||||||||||||||||||
| BAC | 12/2017 | MXN | 192,700 | USD | 10,666 | — | 216,902 | |||||||||||||||||||||
| BAC | 12/2017 | MYR | 61,785 | USD | 14,478 | 140,326 | — | |||||||||||||||||||||
| BAC | 10/2017 | USD | 11,179 | BRL | 35,360 | 14,338 | 64 | |||||||||||||||||||||
| BAC | 12/2017 | USD | 42,281 | CLP | 26,620,000 | 764,905 | — | |||||||||||||||||||||
| BAC | 12/2017 | USD | 11,260 | COP | 33,059,000 | 102,096 | — | |||||||||||||||||||||
| BAC | 12/2017 | USD | 22,249 | EUR | 18,835 | — | 112,075 | |||||||||||||||||||||
| BAC | 12/2017 - 04/2018 | USD | 102,135 | IDR | 1,407,024,000 | — | 709,006 | |||||||||||||||||||||
| BAC | 12/2017 | USD | 11,386 | MXN | 205,800 | 227,110 | — | |||||||||||||||||||||
| BAC | 12/2017 | ZAR | 23,370 | USD | 1,751 | — | 46,763 | |||||||||||||||||||||
| BOA | 12/2017 | COP | 32,744,000 | USD | 11,044 | 7,958 | — | |||||||||||||||||||||
| BOA | 03/2018 | CZK | 215,400 | USD | 10,016 | — | 124,409 | |||||||||||||||||||||
| BOA | 12/2017 | EUR | 18,835 | USD | 22,294 | 67,310 | — | |||||||||||||||||||||
| BOA | 10/2017 | IDR | 303,359,000 | USD | 22,686 | — | 177,584 | |||||||||||||||||||||
| BOA | 12/2017 | INR | 3,920,000 | USD | 60,714 | — | 1,291,258 | |||||||||||||||||||||
| BOA | 12/2017 | TWD | 84,302 | USD | 2,828 | — | 42,654 | |||||||||||||||||||||
| BOA | 03/2018 | USD | 22,729 | EUR | 18,790 | 317,924 | — | |||||||||||||||||||||
| BOA | 10/2017 | USD | 862 | IDR | 11,527,500 | 6,748 | — | |||||||||||||||||||||
| BOA | 12/2017 | USD | 33,569 | ZAR | 452,050 | 602,192 | — | |||||||||||||||||||||
| CITNA-B | 03/2018 | EUR | 18,790 | USD | 22,557 | — | 146,227 | |||||||||||||||||||||
| CITNA-B | 12/2017 | MXN | 332,700 | USD | 18,601 | — | 561,138 | |||||||||||||||||||||
| CITNA-B | 12/2017 | PEN | 40,070 | USD | 12,352 | — | 122,223 | |||||||||||||||||||||
| CITNA-B | 12/2017 | USD | 22,500 | COP | 66,284,000 | 128,071 | — | |||||||||||||||||||||
| CITNA-B | 11/2017 - 01/2018 | USD | 22,360 | EGP | 419,485 | — | 1,014,962 | |||||||||||||||||||||
| CITNA-B | 12/2017 | USD | 10,805 | MXN | 194,800 | 242,330 | — | |||||||||||||||||||||
| GSCO-OT | 10/2017 | BRL | 21,540 | USD | 6,799 | 1,825 | — | |||||||||||||||||||||
| GSCO-OT | 12/2017 | MYR | 3,575 | USD | 851 | — | 5,465 | |||||||||||||||||||||
| GSCO-OT | 10/2017 | USD | 6,847 | BRL | 21,540 | 45,940 | — | |||||||||||||||||||||
| GSCO-OT | 11/2017 | USD | 3,836 | EGP | 71,690 | — | 180,978 | |||||||||||||||||||||
| GSCO-OT | 12/2017 | USD | 3,370 | MYR | 14,190 | 12,478 | — | |||||||||||||||||||||
| HSBC | 12/2017 | CNH | 26,170 | USD | 3,957 | — | 38,712 | |||||||||||||||||||||
| HSBC | 12/2017 | COP | 241,000 | USD | 82 | — | 882 | |||||||||||||||||||||
| HSBC | 12/2017 | SGD | 32,920 | USD | 24,237 | 53,973 | — | |||||||||||||||||||||
| HSBC | 12/2017 | USD | 24,324 | SGD | 32,920 | 33,150 | — | |||||||||||||||||||||
67 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Forward Currency Exchange Contracts (Continued) |
| Counterparty | Settlement Month(s) |
Currency |
Currency Sold |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPM | 11/2017 | ARS | 197,910 | USD | 11,056 | $ | 89,667 | $ | — | |||||||||||||||||||
| JPM | 10/2017 | BRL | 35,380 | USD | 11,405 | 138 | 234,342 | |||||||||||||||||||||
| JPM | 12/2017 | CLP | 14,372,000 | USD | 22,530 | — | 115,954 | |||||||||||||||||||||
| JPM | 12/2017 | COP | 102,919,000 | USD | 34,973 | — | 236,716 | |||||||||||||||||||||
| JPM | 10/2017 - 04/2018 | IDR | 479,005,000 | USD | 35,044 | 75,376 | 127,180 | |||||||||||||||||||||
| JPM | 12/2017 - 03/2018 | PHP | 58,000 | USD | 1,142 | 1,901 | 15,748 | |||||||||||||||||||||
| JPM | 12/2017 | THB | 396,300 | USD | 11,991 | — | 97,522 | |||||||||||||||||||||
| JPM | 10/2017 | USD | 11,262 | BRL | 35,380 | 91,209 | — | |||||||||||||||||||||
| JPM | 12/2017 | USD | 13,225 | COP | 38,933,000 | 84,427 | — | |||||||||||||||||||||
| JPM | 03/2018 | USD | 29,640 | EUR | 24,465 | 460,311 | — | |||||||||||||||||||||
| JPM | 12/2017 | USD | 26,252 | INR | 1,720,000 | 178,279 | — | |||||||||||||||||||||
| JPM | 12/2017 | USD | 591 | RON | 2,285 | 3,580 | — | |||||||||||||||||||||
| JPM | 12/2017 | USD | 29,274 | RUB | 1,715,400 | — | 49,440 | |||||||||||||||||||||
| JPM | 12/2017 | USD | 2,103 | TRY | 7,450 | 59,842 | — | |||||||||||||||||||||
| JPM | 12/2017 | USD | 22,942 | TWD | 691,000 | 111,045 | — | |||||||||||||||||||||
| JPM | 12/2017 | USD | 10,945 | ZAR | 147,930 | 156,713 | — | |||||||||||||||||||||
| JPM | 12/2017 | ZAR | 436,150 | USD | 32,447 | — | 639,701 | |||||||||||||||||||||
| TDB | 10/2017 - 11/2017 | BRL | 57,760 | USD | 18,112 | 117,814 | — | |||||||||||||||||||||
| TDB | 12/2017 | HUF | 1,771,000 | USD | 6,858 | — | 115,965 | |||||||||||||||||||||
| TDB | 12/2017 | PLN | 28,650 | USD | 7,959 | — | 105,669 | |||||||||||||||||||||
| TDB | 10/2017 - 11/2017 | USD | 24,022 | BRL | 76,540 | — | 110,233 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Unrealized Appreciation and Depreciation | $ | 4,506,486 | $ | 7,653,471 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Futures Contracts as of September 30, 2017 |
| Description | Buy/Sell | Expiration Date |
Number of Contracts |
Notional Amount (000’s) |
Value | Unrealized Appreciation |
||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Euro-BOBL | Sell | 12/7/17 | 728 | EUR | 112,759 | $ | 112,870,315 | $ | (110,960) | |||||||||||||||||||
| United States Treasury Long Bonds | Sell | 12/19/17 | 199 | USD | 30,870 | 30,409,688 | 460,768 | |||||||||||||||||||||
| United States Treasury Nts., 10 yr. | Buy | 12/19/17 | 1,600 | USD | 202,584 | 200,500,000 | (2,083,791) | |||||||||||||||||||||
| United States Treasury Nts., 10 yr. | Sell | 12/19/17 | 747 | USD | 94,544 | 93,608,438 | 935,690 | |||||||||||||||||||||
| United States Treasury Nts., 2 yr. | Buy | 12/29/17 | 1,307 | USD | 282,688 | 281,923,986 | (764,373) | |||||||||||||||||||||
| United States Treasury Nts., 2 yr. | Sell | 12/29/17 | 528 | USD | 114,208 | 113,891,251 | 316,800 | |||||||||||||||||||||
| United States Treasury Nts., 5 yr. | Sell | 12/29/17 | 95 | USD | 11,246 | 11,162,500 | 83,910 | |||||||||||||||||||||
| United States Ultra Bonds | Buy | 12/19/17 | 1,474 | USD | 248,478 | 243,394,250 | (5,083,842) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| $ | (6,245,798) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
68 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
|
|
||||||||||||||||||||||||||||||||||||||||
|
Over-the-Counter Options Written at September 30, 2017 |
|
|||||||||||||||||||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of (000’s) |
Notional Amount (000’s) |
Premiums Received |
Value | |||||||||||||||||||||||||||||||||
| BRL Currency Put |
BAC | BRL | 3.300 | 12/7/17 | BRL | (122,100) | BRL | 165,000 | $ | 281,200 | $ | (380,464) | ||||||||||||||||||||||||||||
| BRL Currency Call |
BAC | BRL | 3.050 | 12/7/17 | BRL | (112,850) | BRL | 152,500 | 384,800 | (113,188) | ||||||||||||||||||||||||||||||
| BRL Currency Call |
BNP | BRL | 3.060 | 12/13/17 | BRL | (111,285) | BRL | 153,000 | 371,496 | (138,438) | ||||||||||||||||||||||||||||||
| BRL Currency Put |
BNP | BRL | 3.305 | 12/13/17 | BRL | (120,195) | BRL | 165,250 | 261,701 | (399,769) | ||||||||||||||||||||||||||||||
| EUR Currency Call |
BAC | NOK | 9.650 | 11/16/17 | EUR | (58,215) | EUR | 80,000 | 250,055 | (192,493) | ||||||||||||||||||||||||||||||
| EUR Currency Put |
BAC | NOK | 9.000 | 11/16/17 | EUR | (58,215) | EUR | 80,000 | 182,601 | (28,267) | ||||||||||||||||||||||||||||||
| IDR Currency Put |
HSBC | IDR | 14135.000 | 12/28/17 | IDR | (537,130,000) | IDR | 706,750,000 | 237,500 | — | ||||||||||||||||||||||||||||||
| IDR Currency Call |
HSBC | IDR | 13350.000 | 12/28/17 | IDR | (507,300,000) | IDR | 667,500,000 | 199,500 | — | ||||||||||||||||||||||||||||||
| JPY Currency Call |
BNP | JPY | 107.000 | 12/22/17 | JPY | (7,778,000) | JPY | 10,700,000 | 494,303 | (420,012) | ||||||||||||||||||||||||||||||
| RUB Currency Call |
HSBC | RUB | 57.500 | 11/29/17 | RUB | (2,093,000) | RUB | 2,875,000 | 366,184 | (516,971) | ||||||||||||||||||||||||||||||
| RUB Currency Put |
HSBC | RUB | 62.250 | 11/29/17 | RUB | (2,265,900) | RUB | 3,112,500 | 301,756 | (154,081) | ||||||||||||||||||||||||||||||
| SGD Currency Call |
BAC | SGD | 1.338 | 11/3/17 | SGD | (100,313) | SGD | 133,750 | 305,250 | (106,632) | ||||||||||||||||||||||||||||||
| SGD Currency Put |
BAC | SGD | 1.385 | 11/3/17 | SGD | (103,875) | SGD | 138,500 | 237,000 | (55,158) | ||||||||||||||||||||||||||||||
| SGD Currency Put |
GSCO-OT | SGD | 1.376 | 12/1/17 | SGD | (50,064) | SGD | 68,800 | 144,298 | (105,685) | ||||||||||||||||||||||||||||||
| SGD Currency Call |
GSCO-OT | SGD | 1.335 | 12/1/17 | SGD | (48,572) | SGD | 66,750 | 103,839 | (86,945) | ||||||||||||||||||||||||||||||
| TRY Currency Put |
HSBC | TRY | 3.680 | 11/24/17 | TRY | (133,755) | TRY | 184,000 | 387,090 | (421,730) | ||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||||
| Total Over-the-Counter Options Written |
|
$ | 4,508,573 | $ | (3,119,833) | |||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||||||
69 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Centrally Cleared Credit Default Swaps at September 30, 2017 |
|
|||||||||||||||||||||||||||||||
| Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received/ (Paid) |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
| CDX.EM.28 |
Sell | 1.000% | 12/20/22 | USD | 6,000 | $ | 252,667 | $ | (237,578 | ) | $ | 15,089 | ||||||||||||||||||||
| CDX.EM.28 |
Sell | 1.000 | 12/20/22 | USD | 3,000 | 127,967 | (118,789 | ) | 9,178 | |||||||||||||||||||||||
| Federative Republic of Brazil |
Sell | 1.000 | 6/20/22 | USD | 7,500 | 464,303 | (265,860 | ) | 198,443 | |||||||||||||||||||||||
| People’s Republic of China |
Buy | 1.000 | 12/20/22 | USD | 12,600 | 200,689 | (218,477 | ) | (17,788 | ) | ||||||||||||||||||||||
| Republic of Korea |
Buy | 1.000 | 12/20/22 | USD | 18,800 | 217,738 | (228,510 | ) | (10,772 | ) | ||||||||||||||||||||||
| Republic of South Africa |
Buy | 1.000 | 12/20/22 | USD | 11,000 | (484,765 | ) | 470,707 | (14,058 | ) | ||||||||||||||||||||||
| Republic of South Africa |
Buy | 1.000 | 12/20/22 | USD | 9,000 | (400,324 | ) | 385,124 | (15,200 | ) | ||||||||||||||||||||||
| Republic of South Africa |
Buy | 1.000 | 12/20/22 | USD | 7,000 | (311,850 | ) | 299,541 | (12,309 | ) | ||||||||||||||||||||||
| Republic of South Africa |
Buy | 1.000 | 12/20/22 | USD | 18,198 | (755,947 | ) | 778,721 | 22,774 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Centrally Cleared Credit Default Swaps |
|
$ | (689,522 | ) | $ | 864,879 | $ | 175,357 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
|
Over-the-Counter Credit Default Swaps at September 30, 2017 |
| |||||||||||||||||||||||||||||||||||
| Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received/ (Paid) |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||||||
| CMBX.NA.BBB-.7 |
FIB | Sell | 3.000% | 1/17/47 | USD | 3,640 | $ | 398,657 | $ | (401,886 | ) | $ | (3,229 | ) | ||||||||||||||||||||||
|
CMBX.NA.BBB-.7 |
FIB | Sell | 3.000 | 1/17/47 | USD | 10,915 | 1,092,623 | (1,205,107 | ) | (112,484 | ) | |||||||||||||||||||||||||
| CMBX.NA.BBB-.7 |
FIB | Sell | 3.000 | 1/17/47 | USD | 7,275 | 796,765 | (803,220 | ) | (6,455 | ) | |||||||||||||||||||||||||
|
CMBX.NA.BBB-.7 |
FIB | Sell | 3.000 | 1/17/47 | USD | 7,275 | 796,765 | (803,220 | ) | (6,455 | ) | |||||||||||||||||||||||||
| CMBX.NA.BBB-.7 |
FIB | Sell | 3.000 | 1/17/47 | USD | 7,275 | 796,765 | (803,220 | ) | (6,455 | ) | |||||||||||||||||||||||||
|
CMBX.NA.BBB-.7 |
MSCO | Sell | 3.000 | 1/17/47 | USD | 14,555 | 1,456,997 | (1,606,993 | ) | (149,996 | ) | |||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
FIB | Sell | 3.000 | 9/17/58 | USD | 10,385 | 1,555,717 | (1,320,467 | ) | 235,250 | ||||||||||||||||||||||||||
|
CMBX.NA.BBB-.9 |
FIB | Sell | 3.000 | 9/17/58 | USD | 6,675 | 1,030,092 | (848,735 | ) | 181,357 | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MSCO | Sell | 3.000 | 9/17/58 | USD | 11,120 | 1,697,201 | (1,413,923 | ) | 283,278 | ||||||||||||||||||||||||||
|
CMBX.NA.BBB-.9 |
MSCO | Sell | 3.000 | 9/17/58 | USD | 11,125 | 1,695,871 | (1,414,559 | ) | 281,312 | ||||||||||||||||||||||||||
| CMBX.NA.BBB-.9 |
MSCO | Sell | 3.000 | 9/17/58 | USD | 7,420 | 1,065,715 | (943,463 | ) | 122,252 | ||||||||||||||||||||||||||
| Federative Republic of Brazil |
BNP | Sell | 1.000 | 12/20/18 | USD | 3,545 | 280,477 | 16,400 | 296,877 | |||||||||||||||||||||||||||
| Oriental Republic of Uruguay |
BOA | Sell | 1.000 | 12/20/21 | USD | 7,501 | 135,567 | 33,643 | 169,210 | |||||||||||||||||||||||||||
| State Bank of India |
BNP | Sell | 1.000 | 9/20/19 | USD | 5,225 | 215,578 | 70,770 | 286,348 | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaps |
|
$ | 13,014,790 | $ | (11,443,980 | ) | $ | 1,570,810 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
70 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Type of Reference Asset on which the Fund Sold Protection |
Total Maximum Potential Payments for Selling Credit Protection (Undiscounted) |
Amount Recoverable* |
Reference Asset Rating Range** |
|||||||||
|
|
||||||||||||
| Investment Grade |
||||||||||||
| CMBS Indexes |
$ | 97,660,000 | $ | — | BBB- | |||||||
| Investment Grade Single Name Corporate Debt |
5,225,000 | — | BBB- | |||||||||
| Non-Investment Grade Corporate Debt Indexes |
9,000,000 | — | BB | |||||||||
| Investment Grade Sovereign Debt |
7,501,000 | — | BBB | |||||||||
| Non-Investment Grade Sovereign Debt |
11,045,000 | — | BB | |||||||||
|
|
|
|
|
|||||||||
| Total USD |
$ | 130,431,000 | $ | — | ||||||||
|
|
|
|
|
|||||||||
*The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.
| Centrally Cleared Interest Rate Swaps at September 30, 2017 |
| Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Maturity Date |
Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | Receive | Three-Month USD BBA LIBOR | 2.675% | 11/15/43 | USD 24,100 | $ | (877,080) | $ | (877,080) | |||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | Receive | Three-Month USD BBA LIBOR | 2.688 | 11/15/43 | USD 24,000 | (933,403) | (933,403) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | Receive | Three-Month USD BBA LIBOR | 1.839 | 8/24/22 | USD 95,534 | 650,361 | 650,361 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| BNP | Pay | MXN TIIE BANXICO | 7.403 | 2/28/22 | MXN 335,650 | 426,006 | 426,006 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| BOA | Pay | Three-Month CAD BA CDOR | 1.945 | 8/2/22 | CAD 114,700 | (626,606) | (626,606) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| BOA | Receive | Three-Month USD BBA LIBOR | 1.960 | 8/4/22 | USD 94,720 | 48,674 | 48,674 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CITNA-B | Receive | Three-Month USD BBA LIBOR | 1.930 | 9/5/22 | USD 91,055 | 254,102 | 254,102 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CITNA-B | Receive | Three-Month USD BBA LIBOR | 2.523 | 11/15/43 | USD 22,960 | 28,863 | 28,863 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CITNA-B | Receive | Three-Month USD BBA LIBOR | 2.563 | 11/15/43 | USD 22,600 | (145,660) | (145,660) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CITNA-B | Pay | BZDI | 11.710 | 1/4/21 | BRL 48,250 | 1,043,013 | 1,043,013 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CITNA-B | Pay | MXN TIIE BANXICO | 6.600 | 6/21/22 | MXN 765,760 | (357,995) | (357,995) | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CITNA-B | Pay | Six-Month HUF BUBOR | 1.390 | 1/25/22 | HUF 2,216,000 | 299,157 | 299,157 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| CITNA-B | Pay | MXN TIIE BANXICO | 6.790 | 9/12/22 | MXN 596,290 | (30,167) | (30,167) | |||||||||||||||||
71 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Centrally Cleared Interest Rate Swaps (Continued) |
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CITNA-B | Pay | Three-Month CAD BA CDOR | 1.920% | 9/5/22 | CAD | 115,095 | $ | (846,318) | $ | (846,318) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| DEU | Receive | Three-Month ZAR JIBAR SAFEX | 7.705 | 9/21/27 | ZAR | 267,550 | 181,994 | 181,994 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| DEU | Pay | MXN TIIE BANXICO | 7.430 | 2/28/22 | MXN | 165,455 | 219,516 | 219,516 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| DEU | Pay | BZDI | 10.570 | 1/4/21 | BRL | 44,500 | 529,396 | 529,396 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| DEU | Pay | Three-Month ZAR JIBAR SAFEX | 7.675 | 2/21/22 | ZAR | 73,535 | 108,502 | 108,502 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| DEU | Pay | MXN TIIE BANXICO | 7.380 | 2/18/22 | MXN | 507,300 | 615,911 | 615,911 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| DEU | Receive | Three-Month ZAR JIBAR SAFEX | 8.310 | 6/29/26 | ZAR | 81,950 | (221,739) | (221,739) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| GSCOI | Pay | BZDI | 8.826 | 1/4/21 | BRL | 382,535 | 177,364 | 177,364 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| GSCOI | Receive | BZDI | 9.400 | 1/2/23 | BRL | 141,815 | 65,181 | 65,181 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| GSCOI | Receive | BZDI | 7.520 | 1/2/19 | BRL | 412,350 | (297,543) | (297,543) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPM | Receive | BZDI | 7.650 | 7/2/18 | BRL | 264,515 | (277,011) | (277,011) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPM | Pay | BZDI | 10.430 | 7/1/20 | BRL | 319,170 | 90,717 | 90,717 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Centrally Cleared Interest Rate Swaps | $ | 125,235 | $ | 125,235 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps at September 30, 2017 |
| Counterparty | Pay/Receive Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received / (Paid) |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| BNP | Receive | Three-Month KRW CD KSDA | 1.850% | 3/6/24 | KRW | 18,678,000 | $ | 76 | $ | 93,658 | $ | 93,734 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| BOA | Pay | Six-Month INR FBIL MIBOR OIS Compound | 6.330 | 1/31/22 | INR | 590,000 | — | 71,459 | 71,459 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| BOA | Pay | Six-Month THB THBFIX | 2.200 | 3/20/22 | THB | 275,500 | — | 175,124 | 175,124 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| BOA | Receive | Three-Month KRW CD KSDA | 1.860 | 3/6/24 | KRW | 12,427,500 | 51 | 55,661 | 55,712 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CITNA-B | Pay | Three-Month COP IBR OIS Compound | 5.370 | 3/24/20 | COP | 35,967,910 | — | 163,620 | 163,620 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CITNA-B | Receive | 1 Time COP IBR OIS Compound | 5.870 | 3/24/18 | COP | 110,839,890 | — | (172,164) | (172,164) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CITNA-B | Pay | Three-Month COP IBR OIS Compound | 6.160 | 7/18/27 | COP | 14,580,000 | — | 65,251 | 65,251 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| DEU | Pay | Three-Month KRW CD KSDA | 1.480 | 4/20/18 | KRW | 303,370,000 | (558) | 36,020 | 35,462 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| GSCOI | Pay | Three-Month COP IBR OIS Compound | 5.530 | 1/17/19 | COP | 59,128,230 | — | 203,211 | 203,211 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPM | Pay | Six-Month THB THBFIX | 2.603 | 3/24/27 | THB | 146,800 | — | 158,454 | 158,454 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
72 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Over-the-Counter Interest Rate Swaps (Continued) |
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received / (Paid) |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPM | Receive | Three-Month MYR KLIBOR BNM | 4.005% | 2/21/22 | MYR 36,770 | $ | — | $ | (113,461) | $ | (113,461) | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SCB | Pay | Three-Month MYR KLIBOR BNM | 3.310 | 8/19/21 | MYR 130,000 | — | (386,242) | (386,242) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaps |
|
$ | (431) | $ | 350,591 | $ | 350,160 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Over-the-Counter Total Return Swaps at September 30, 2017 |
| Reference Asset | Counterparty | Pay/Receive Total Return* |
Floating Rate | Maturity Date |
Notional Amount (000’s) |
Value | Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| PowerShares Senior Loan Exchange Traded Fund | CITNA-B | Receive | |
One-Month USD BBA LIBOR plus 30 basis points |
|
1/12/18 | USD 47,416 | $ | 236,900 | $ | 236,900 | |||||||||||||||||
* Fund will pay or receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.
| Over-the-Counter Interest Rate Swaptions Written at September 30, 2017 | ||||||||||||||||
| Description | Counterparty | Pay/ Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional |
Premiums Received |
Value | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap Maturing 3/13/28 Call | BAC | Pay | |
Six-Month GBP BBA LIBOR |
|
1.690% | 3/12/18 | GBP | 76,000 | $ | 535,907 | $ | (905,733) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap Maturing 10/17/27 Call | BAC | Receive | |
Six- Month EUR EURIBOR |
|
1.000 | 10/13/17 | EUR | 66,600 | 600,010 | (695,279) | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap Maturing 12/29/22 Call | CITNA-B | Pay | |
Three-Month USD BBA LIBOR |
|
2.030 | 12/27/17 | USD | 233,100 | 1,258,000 | (1,368,651) | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap Maturing 12/14/22 Call | CITNA-B | Pay | |
Three-Month USD BBA LIBOR |
|
2.160 | 12/12/17 | USD | 228,000 | 228,000 | (624,460) | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap Maturing 11/10/22 Call | CITNA-B | Pay | |
Three-Month USD BBA LIBOR |
|
1.960 | 11/8/17 | USD | 232,360 | 1,221,000 | (1,196,773) | |||||||||||||||||||||||||
73 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENT OF INVESTMENTS Continued
| Over-the-Counter Interest Rate Swaptions Written (Continued) |
| Description | Counterparty | Pay/ Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional |
Premiums Received |
Value | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap Maturing 12/22/18 Call | CITNA-B | Pay | |
Three-Month USD BBA LIBOR |
|
1.700% | 12/20/17 | USD | 2,183,000 | $ | 240,130 | $ | (1,097,743) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap Maturing 12/15/27 Call | UBS | Pay | |
Three-Month USD BBA LIBOR |
|
2.500 | 12/13/17 | USD | 114,000 | 294,500 | (467,634) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Written |
|
$ | 4,377,547 | $ | (6,356,273) | |||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Glossary: | ||
| Counterparty Abbreviations | ||
| BAC | Barclays Bank plc | |
| BNP | BNP Paribas | |
| BOA | Bank of America NA | |
| CITNA-B | Citibank NA | |
| DEU | Deutsche Bank AG | |
| FIB | Credit Suisse International | |
| GSCOI | Goldman Sachs International | |
| GSCO-OT | Goldman Sachs Bank USA | |
| HSBC | HSBC Bank USA NA | |
| JPM | JPMorgan Chase Bank NA | |
| MSCO | Morgan Stanley Capital Services, Inc. | |
| SCB | Standard Chartered Bank | |
| TDB | Toronto Dominion Bank | |
| UBS | UBS AG | |
| Currency abbreviations indicate amounts reporting in currencies | ||
| ARS | Argentine Peso | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CLP | Chilean Peso | |
| CNH | Offshore Chinese Renminbi | |
| COP | Colombian Peso | |
| CZK | Czech Koruna | |
| EGP | Egyptian Pounds | |
| EUR | Euro | |
| GBP | British Pound Sterling | |
| HUF | Hungarian Forint | |
| IDR | Indonesian Rupiah | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| KRW | South Korean Won | |
| MXN | Mexican Nuevo Peso | |
| MYR | Malaysian Ringgit | |
| PEN | Peruvian New Sol | |
| PHP | Philippine Peso | |
74 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Currency abbreviations indicate amounts reporting in currencies (Continued)
| PLN | Polish Zloty | |
| RON | New Romanian Leu | |
| RUB | Russian Ruble | |
| SGD | Singapore Dollar | |
| THB | Thailand Baht | |
| TRY | New Turkish Lira | |
| TWD | New Taiwan Dollar | |
| UYU | Uruguay Peso | |
| ZAR | South African Rand | |
| Definitions | ||
| BA CDOR | Canada Bankers Acceptances Deposit Offering Rate | |
| BANXICO | Banco de Mexico | |
| BBA LIBOR | British Bankers’ Association London - Interbank Offered Rate | |
| BNM | Bank Negara Malaysia | |
| BOBL | German Federal Obligation | |
| BUBOR | Budapest Interbank Offered Rate | |
| BZDI | Brazil Interbank Deposit Rate | |
| CD | Certificate of Deposit | |
| CMBX.NA.BBB-.7 | Markit CMBX North American Index | |
| CMBX.NA.BBB-.9 | Markit CMBX North American Index | |
| EURIBOR | Euro Interbank Offered Rate | |
| FBIL | Financial Benchmarks India Private Ltd. | |
| H15T10Y | US Treasury Yield Curve Rate T Note Constant Maturity 10 Year | |
| H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year | |
| H15T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year | |
| ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate | |
| IBR | Indicador Bancario de Referencia | |
| JIBAR SAFEX | South Africa Johannesburg Interbank Agreed Rate/Futures Exchange | |
| KLIBOR | Kuala Lumpur Interbank Offered Rate | |
| KSDA | Korean Securities Dealers Assn. | |
| LIBOR01M | ICE LIBOR USD 1 Month | |
| LIBOR12 | London Interbank Offered Rate-Quarterly | |
| LIBOR4 | London Interbank Offered Rate-Quarterly | |
| MIBOR | Mumbai Interbank Offered Rate | |
| OIS | Overnight Index Swap | |
| THBFIX | Thai Baht Interest Rate Fixing | |
| TIIE | Interbank Equilibrium Interest Rate | |
| US0001M | ICE LIBOR USD 1 Month | |
| US0003M | ICE LIBOR USD 3 Month | |
| USISDA05 | USD ICE Swap Rate 11:00am NY 5 Year | |
| USSW5 | USD Swap Semi 30/360 5 Year | |
See accompanying Notes to Consolidated Financial Statements.
75 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
ASSETS AND LIABILITIES September 30, 2017
|
|
||||
| Assets | ||||
| Investments, at value—see accompanying Consolidated statement of investments: | ||||
| Unaffiliated companies (cost $3,817,515,322) | $ | 3,849,441,969 | ||
| Affiliated companies (cost $1,028,784,473) | 1,018,697,164 | |||
|
|
|
|||
| 4,868,139,133 | ||||
|
|
||||
| Cash | 52,639,093 | |||
|
|
||||
| Cash—foreign currencies (cost $6,362,381) | 6,252,265 | |||
|
|
||||
| Cash used for collateral on futures | 7,337,000 | |||
|
|
||||
| Cash used for collateral on OTC derivatives | 15,958,000 | |||
|
|
||||
| Cash used for collateral on centrally cleared swaps | 28,169,687 | |||
|
|
||||
| Cash used for collateral on forward roll transactions | 555,000 | |||
|
|
||||
| Unrealized appreciation on forward currency exchange contracts | 4,506,486 | |||
|
|
||||
| Swaps, at value (premiums received $631,191) | 1,380,171 | |||
|
|
||||
| Centrally cleared swaps, at value (premiums paid $1,952,886) | 6,672,850 | |||
|
|
||||
| Receivables and other assets: | ||||
| Investments sold (including $118,235,727 sold on a when-issued or delayed delivery basis) | 139,817,915 | |||
| Interest, dividends and principal paydowns | 41,327,150 | |||
| Shares of beneficial interest sold | 1,868,432 | |||
| Variation margin receivable | 614,398 | |||
| Other | 502,012 | |||
|
|
|
|||
| Total assets |
|
5,175,739,592
|
| |
|
|
||||
| Liabilities | ||||
| Unrealized depreciation on forward currency exchange contracts | 7,653,471 | |||
|
|
||||
| Options written, at value (premiums received $4,508,573) | 3,119,833 | |||
|
|
||||
| Swaps, at value (premiums received $12,383,168) | 12,236,660 | |||
|
|
||||
| Centrally cleared swaps, at value (premiums received $1,263,364) | 5,682,736 | |||
|
|
||||
| Swaptions written, at value (premiums received $4,377,547) | 6,356,273 | |||
|
|
||||
| Payables and other liabilities: | ||||
| Investments purchased (including $618,921,304 purchased on a when-issued or delayed delivery basis) | 629,507,678 | |||
| Shares of beneficial interest redeemed | 3,791,412 | |||
| Dividends | 2,748,599 | |||
| Distribution and service plan fees | 817,769 | |||
| Trustees’ compensation | 393,568 | |||
| Variation margin payable | 332,767 | |||
| Shareholder communications | 51,789 | |||
| Other | 237,791 | |||
|
|
|
|||
| Total liabilities |
|
672,930,346
|
| |
|
|
||||
| Net Assets | $ | 4,502,809,246 | ||
|
|
|
|||
76 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
|
|
||||
| Composition of Net Assets | ||||
| Par value of shares of beneficial interest | $ | 1,137,468 | ||
|
|
||||
| Additional paid-in capital | 5,374,874,865 | |||
|
|
||||
| Accumulated net investment income | 17,397,825 | |||
|
|
||||
| Accumulated net realized loss on investments and foreign currency transactions | (904,744,237) | |||
|
|
||||
| Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 14,143,325 | |||
|
|
|
|||
| Net Assets | $ | 4,502,809,246 | ||
|
|
|
|||
|
|
||||
| Net Asset Value Per Share | ||||
| Class A Shares: | ||||
| Net asset value and redemption price per share (based on net assets of $3,124,886,912 and 789,046,486 shares of beneficial interest outstanding) | $3.96 | |||
| Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | $4.16 | |||
|
|
||||
| Class B Shares: | ||||
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $15,796,384 and 3,975,128 shares of beneficial interest outstanding) | $3.97 | |||
|
|
||||
| Class C Shares: | ||||
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $696,936,278 and 176,331,324 shares of beneficial interest outstanding) | $3.95 | |||
|
|
||||
| Class I Shares: | ||||
| Net asset value, redemption price and offering price per share (based on net assets of $47,347,630 and 12,010,424 shares of beneficial interest outstanding) | $3.94 | |||
|
|
||||
| Class R Shares: | ||||
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $123,824,690 and 31,244,358 shares of beneficial interest outstanding) | $3.96 | |||
|
|
||||
| Class Y Shares: | ||||
| Net asset value, redemption price and offering price per share (based on net assets of $494,017,352 and 124,860,267 shares of beneficial interest outstanding) | $3.96 | |||
See accompanying Notes to Consolidated Financial Statements.
77 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
OPERATIONS For the Year Ended September 30, 2017
|
|
||||
| Allocation of Income and Expenses from Master Funds1 | ||||
| Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: | ||||
| Interest | $ | 6,623,540 | ||
| Dividends | 10,779 | |||
| Net expenses | (477,884) | |||
|
|
|
|||
| Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC |
|
6,156,435
|
| |
|
|
||||
| Net investment income allocated from Oppenheimer Master Loan Fund, LLC: Interest |
34,551,657 | |||
| Dividends | 1,413,209 | |||
| Net expenses | (2,134,245) | |||
|
|
|
|||
| Net investment income allocated from Oppenheimer Master Loan Fund, LLC | 33,830,621 | |||
|
|
|
|||
| Total allocation of net investment income from master funds |
|
39,987,056
|
| |
|
|
||||
| Investment Income | ||||
| Interest (net of foreign withholding taxes of $462,690) | 190,543,516 | |||
|
|
||||
| Fee income on when-issued securities | 5,284,357 | |||
|
|
||||
| Dividends: | ||||
| Unaffiliated companies (net of foreign withholding taxes of $601) | 1,454,135 | |||
| Affiliated companies | 2,773,119 | |||
|
|
|
|||
| Total investment income |
|
200,055,127
|
| |
|
|
||||
| Expenses | ||||
| Management fees | 25,530,576 | |||
|
|
||||
| Distribution and service plan fees: | ||||
| Class A | 7,957,651 | |||
| Class B | 276,055 | |||
| Class C | 7,680,701 | |||
| Class R | 666,617 | |||
|
|
||||
| Transfer and shareholder servicing agent fees: | ||||
| Class A | 7,310,403 | |||
| Class B | 60,874 | |||
| Class C | 1,694,534 | |||
| Class I | 13,607 | |||
| Class R | 295,686 | |||
| Class Y | 918,271 | |||
|
|
||||
| Shareholder communications: | ||||
| Class A | 127,880 | |||
| Class B | 3,192 | |||
| Class C | 28,702 | |||
| Class I | 82 | |||
| Class R | 3,947 | |||
| Class Y | 11,845 | |||
|
|
||||
| Custodian fees and expenses | 214,083 | |||
|
|
||||
| Trustees’ compensation | 147,839 | |||
|
|
||||
| Borrowing fees | 106,149 | |||
|
|
||||
| Other | 597,379 | |||
|
|
|
|||
| Total expenses | 53,646,073 | |||
78 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
|
|
||||
| Expenses (Continued) | ||||
| Less reduction to custodian expenses | $ | (36,232) | ||
| Less waivers and reimbursements of expenses | (3,371,390) | |||
|
|
|
|||
| Net expenses |
|
50,238,451
|
| |
|
|
||||
| Net Investment Income | 189,803,732 | |||
|
|
||||
| Realized and Unrealized Gain (Loss) | ||||
| Net realized gain (loss) on: | ||||
| Investment transactions in unaffiliated companies (net of foreign capital gains tax of $243,360) | (31,817,465) | |||
| Option contracts written | 5,510,742 | |||
| Futures contracts | (10,466,027) | |||
| Foreign currency transactions | (334,445) | |||
| Forward currency exchange contracts | 25,585,596 | |||
| Short positions | (5,010) | |||
| Swap contracts | (4,164,526) | |||
| Swaption contracts written | (11,097,362) | |||
|
|
||||
| Net realized gain (loss) allocated from: | ||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | (302,894) | |||
| Oppenheimer Master Loan Fund, LLC | 2,498,851 | |||
|
|
|
|||
| Net realized loss | (24,592,540) | |||
|
|
||||
| Net change in unrealized appreciation/depreciation on: | ||||
| Investment transactions in: | ||||
| Unaffiliated companies |
63,542,948 | |||
| Affiliated companies |
(1) | |||
| Translation of assets and liabilities denominated in foreign currencies | (103,614) | |||
| Forward currency exchange contracts | (16,616,236) | |||
| Futures contracts | (3,243,040) | |||
| Option contracts written | 770,444 | |||
| Swap contracts | 3,691,799 | |||
| Swaption contracts written | (2,129,106) | |||
|
|
||||
| Net change in unrealized appreciation/depreciation allocated from: | ||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | (10,201,183) | |||
| Oppenheimer Master Loan Fund, LLC | (2,101,333) | |||
|
|
|
|||
| Net change in unrealized appreciation/depreciation |
|
33,610,678
|
| |
|
|
||||
| Net Increase in Net Assets Resulting from Operations | $ | 198,821,870 | ||
|
|
|
|||
1. The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. See Note 4 of the accompanying Consolidated Notes.
See accompanying Notes to Consolidated Financial Statements.
79 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
|||||||
|
|
||||||||
| Operations | ||||||||
| Net investment income | $ | 189,803,732 | $ | 197,593,530 | ||||
|
|
||||||||
| Net realized loss | (24,592,540) | (245,328,300) | ||||||
|
|
||||||||
| Net change in unrealized appreciation/depreciation | 33,610,678 | 334,214,044 | ||||||
|
|
|
|||||||
| Net increase in net assets resulting from operations |
|
198,821,870
|
|
|
286,479,274
|
| ||
|
|
||||||||
| Dividends and/or Distributions to Shareholders | ||||||||
| Dividends from net investment income: | ||||||||
| Class A | (90,940,126) | (132,168,320) | ||||||
| Class B | (605,469) | (1,646,042) | ||||||
| Class C | (17,172,978) | (25,477,649) | ||||||
| Class I | (1,371,798) | (1,841,877) | ||||||
| Class R | (3,445,165) | (5,032,996) | ||||||
| Class Y | (12,202,079) | (13,989,926) | ||||||
|
|
|
|||||||
|
|
(125,737,615)
|
|
|
(180,156,810)
|
| |||
|
|
||||||||
| Tax return of capital distribution: | ||||||||
| Class A | (45,342,135) | (12,329,956) | ||||||
| Class B | (301,883) | (153,559) | ||||||
| Class C | (8,562,331) | (2,376,804) | ||||||
| Class I | (683,970) | (171,828) | ||||||
| Class R | (1,717,736) | (469,527) | ||||||
| Class Y | (6,083,875) | (1,305,117) | ||||||
|
|
|
|||||||
|
|
(62,691,930)
|
|
|
(16,806,791)
|
| |||
|
|
||||||||
| Beneficial Interest Transactions | ||||||||
| Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
| Class A | (489,059,547) | (465,767,802) | ||||||
| Class B | (27,486,595) | (33,500,290) | ||||||
| Class C | (154,909,331) | (141,661,382) | ||||||
| Class I | 1,379,541 | (3,499,434) | ||||||
| Class R | (25,498,279) | (16,269,790) | ||||||
| Class Y | 122,895,934 | (40,212,960) | ||||||
|
|
|
|||||||
|
|
(572,678,277)
|
|
|
(700,911,658)
|
| |||
|
|
||||||||
| Net Assets | ||||||||
| Total decrease | (562,285,952) | (611,395,985) | ||||||
|
|
||||||||
| Beginning of period | 5,065,095,198 | 5,676,491,183 | ||||||
|
|
|
|||||||
| End of period (including accumulated net investment income (loss) of $17,397,825 and $(55,227,734), respectively) | $ | 4,502,809,246 | $ | 5,065,095,198 | ||||
|
|
|
|||||||
See accompanying Notes to Consolidated Financial Statements.
80 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS
| Class A | Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
Year Ended September 30, 2015 |
Year Ended September 30, 2014 |
Year Ended September 30, 2013 |
|||||||||||||||
|
|
||||||||||||||||||||
| Per Share Operating Data | ||||||||||||||||||||
| Net asset value, beginning of period | $3.95 | $3.87 | $4.13 | $4.13 | $4.30 | |||||||||||||||
|
|
||||||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income1 | 0.16 | 0.15 | 0.18 | 0.19 | 0.23 | |||||||||||||||
| Net realized and unrealized gain (loss) | 0.01 | 0.08 | (0.26) | 0.002 | (0.17) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total from investment operations | 0.17 | 0.23 | (0.08) | 0.19 | 0.06 | |||||||||||||||
|
|
||||||||||||||||||||
| Dividends and/or distributions to shareholders: | ||||||||||||||||||||
| Dividends from net investment income | (0.11) | (0.14) | (0.17) | (0.14) | (0.18) | |||||||||||||||
| Tax return of capital distribution | (0.05) | (0.01) | (0.01) | (0.05) | (0.05) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total dividends and/or distributions to shareholders | (0.16) | (0.15) | (0.18) | (0.19) | (0.23) | |||||||||||||||
|
|
||||||||||||||||||||
| Net asset value, end of period | $3.96 | $3.95 | $3.87 | $4.13 | $4.13 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Total Return, at Net Asset Value3 | 4.45% | 6.07% | (2.06)% | 4.62% | 1.30% | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios/Supplemental Data | ||||||||||||||||||||
| Net assets, end of period (in thousands) | $3,124,887 | $3,607,387 | $4,008,783 | $4,774,652 | $5,599,883 | |||||||||||||||
|
|
||||||||||||||||||||
| Average net assets (in thousands) | $3,321,318 | $3,745,267 | $4,432,764 | $5,171,641 | $6,198,248 | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios to average net assets:4,5 | ||||||||||||||||||||
| Net investment income | 4.13% | 3.87% | 4.43% | 4.53% | 5.39% | |||||||||||||||
| Expenses excluding specific expenses listed below | 1.08% | 1.06% | 1.05% | 1.00% | 0.96% | |||||||||||||||
| Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total expenses7 | 1.08% | 1.06% | 1.05% | 1.00% | 0.96% | |||||||||||||||
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.01% | 1.02% | 1.00% | 0.97% | 0.93% | |||||||||||||||
|
|
||||||||||||||||||||
| Portfolio turnover rate8 | 69% | 78% | 79% | 93% | 95% | |||||||||||||||
81 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Less than $0.005 per share.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| Year Ended September 30, 2017 | 1.09% | |||
| Year Ended September 30, 2016 | 1.07% | |||
| Year Ended September 30, 2015 | 1.06% | |||
| Year Ended September 30, 2014 | 1.01% | |||
| Year Ended September 30, 2013 | 0.96% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| Purchase Transactions | Sale Transactions | |||||||
|
|
||||||||
| Year Ended September 30, 2017 |
$5,559,676,349 | $5,415,035,851 | ||||||
| Year Ended September 30, 2016 |
$4,468,857,111 | $4,304,402,600 | ||||||
| Year Ended September 30, 2015 |
$4,009,637,043 | $4,100,638,359 | ||||||
| Year Ended September 30, 2014 |
$3,978,597,684 | $4,262,483,862 | ||||||
| Year Ended September 30, 2013 |
$19,306,537,913 | $20,594,832,307 | ||||||
See accompanying Notes to Consolidated Financial Statements.
82 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Class B | Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
Year Ended September 30, 2015 |
Year Ended September 30, 2014 |
Year Ended September 30, 2013 |
|||||||||||||||
|
|
||||||||||||||||||||
| Per Share Operating Data | ||||||||||||||||||||
| Net asset value, beginning of period | $3.96 | $3.89 | $4.14 | $4.14 | $4.32 | |||||||||||||||
|
|
||||||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income1 | 0.13 | 0.12 | 0.15 | 0.16 | 0.19 | |||||||||||||||
| Net realized and unrealized gain (loss) | 0.01 | 0.07 | (0.25) | (0.01) | (0.18) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total from investment operations | 0.14 | 0.19 | (0.10) | 0.15 | 0.01 | |||||||||||||||
|
|
||||||||||||||||||||
| Dividends and/or distributions to shareholders: | ||||||||||||||||||||
| Dividends from net investment income | (0.09) | (0.11) | (0.14) | (0.12) | (0.15) | |||||||||||||||
| Tax return of capital distribution | (0.04) | (0.01) | (0.01) | (0.03) | (0.04) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total dividends and/or distributions to shareholders | (0.13) | (0.12) | (0.15) | (0.15) | (0.19) | |||||||||||||||
|
|
||||||||||||||||||||
| Net asset value, end of period | $3.97 | $3.96 | $3.89 | $4.14 | $4.14 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Total Return, at Net Asset Value2 | 3.65% | 4.99% | (2.54)% | 3.76% | 0.15% | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios/Supplemental Data | ||||||||||||||||||||
| Net assets, end of period (in thousands) | $15,796 | $43,363 | $76,276 | $122,339 | $205,204 | |||||||||||||||
|
|
||||||||||||||||||||
| Average net assets (in thousands) | $27,568 | $57,748 | $97,858 | $160,934 | $252,333 | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios to average net assets:3,4 | ||||||||||||||||||||
| Net investment income | 3.28% | 3.15% | 3.66% | 3.71% | 4.50% | |||||||||||||||
| Expenses excluding specific expenses listed below | 1.85% | 1.82% | 1.83% | 1.83% | 1.87% | |||||||||||||||
| Interest and fees from borrowings | |
0.00%5 |
|
|
0.00%5 |
|
|
0.00%5 |
|
0.00% | 0.00% | |||||||||
|
|
|
|||||||||||||||||||
| Total expenses6 | 1.85% | 1.82% | 1.83% | 1.83% | 1.87% | |||||||||||||||
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.78% | 1.78% | 1.77% | 1.80% | 1.84% | |||||||||||||||
|
|
||||||||||||||||||||
| Portfolio turnover rate7 | 69% | 78% | 79% | 93% | 95% | |||||||||||||||
83 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
5. Less than 0.005%.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| Year Ended September 30, 2017 | 1.86% | |||
| Year Ended September 30, 2016 | 1.83% | |||
| Year Ended September 30, 2015 | 1.84% | |||
| Year Ended September 30, 2014 | 1.84% | |||
| Year Ended September 30, 2013 | 1.87% |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| Purchase Transactions | Sale Transactions | |||||||
|
|
||||||||
| Year Ended September 30, 2017 | $5,559,676,349 | $5,415,035,851 | ||||||
| Year Ended September 30, 2016 | $4,468,857,111 | $4,304,402,600 | ||||||
| Year Ended September 30, 2015 | $4,009,637,043 | $4,100,638,359 | ||||||
| Year Ended September 30, 2014 | $3,978,597,684 | $4,262,483,862 | ||||||
| Year Ended September 30, 2013 | $19,306,537,913 | $20,594,832,307 | ||||||
See accompanying Notes to Consolidated Financial Statements.
84 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Class C | Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
Year Ended September 30, 2015 |
Year Ended September 30, 2014 |
Year Ended September 30, 2013 |
|||||||||||||||
| Per Share Operating Data | ||||||||||||||||||||
| Net asset value, beginning of period | $3.94 | $3.87 | $4.12 | $4.12 | $4.30 | |||||||||||||||
|
|
||||||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income1 | 0.13 | 0.12 | 0.15 | 0.16 | 0.20 | |||||||||||||||
| Net realized and unrealized gain (loss) | 0.01 | 0.07 | (0.25) | 0.002 | (0.18) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total from investment operations | 0.14 | 0.19 | (0.10) | 0.16 | 0.02 | |||||||||||||||
|
|
||||||||||||||||||||
| Dividends and/or distributions to shareholders: | ||||||||||||||||||||
| Dividends from net investment income | (0.09) | (0.11) | (0.14) | (0.12) | (0.15) | |||||||||||||||
| Tax return of capital distribution | (0.04) | (0.01) | (0.01) | (0.04) | (0.05) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total dividends and/or distributions to shareholders | (0.13) | (0.12) | (0.15) | (0.16) | (0.20) | |||||||||||||||
|
|
||||||||||||||||||||
| Net asset value, end of period | $3.95 | $3.94 | $3.87 | $4.12 | $4.12 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
|
||||||||||||||||||||
| Total Return, at Net Asset Value3 | 3.67% | 5.01% | (2.56)% | 3.84% | 0.30% | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios/Supplemental Data | ||||||||||||||||||||
| Net assets, end of period (in thousands) | $696,936 | $850,319 | $977,069 | $1,156,140 | $1,337,248 | |||||||||||||||
|
|
||||||||||||||||||||
| Average net assets (in thousands) | $769,686 | $897,334 | $1,087,495 | $1,236,681 | $1,510,477 | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios to average net assets:4,5 | ||||||||||||||||||||
| Net investment income | 3.37% | 3.12% | 3.67% | 3.78% | 4.65% | |||||||||||||||
| Expenses excluding specific expenses listed below | 1.84% | 1.81% | 1.80% | 1.76% | 1.71% | |||||||||||||||
| Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total expenses7 | 1.84% | 1.81% | 1.80% | 1.76% | 1.71% | |||||||||||||||
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.77% | 1.77% | 1.76% | 1.73% | 1.68% | |||||||||||||||
|
|
||||||||||||||||||||
| Portfolio turnover rate8 | 69% | 78% | 79% | 93% | 95% | |||||||||||||||
85 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Less than $0.005 per share.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| Year Ended September 30, 2017 | 1.85% | |||
| Year Ended September 30, 2016 | 1.82% | |||
| Year Ended September 30, 2015 | 1.81% | |||
| Year Ended September 30, 2014 | 1.77% | |||
| Year Ended September 30, 2013 | 1.71% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| Purchase Transactions | Sale Transactions | |||||||
|
|
||||||||
| Year Ended September 30, 2017 | $5,559,676,349 | $5,415,035,851 | ||||||
| Year Ended September 30, 2016 | $4,468,857,111 | $4,304,402,600 | ||||||
| Year Ended September 30, 2015 | $4,009,637,043 | $4,100,638,359 | ||||||
| Year Ended September 30, 2014 | $3,978,597,684 | $4,262,483,862 | ||||||
| Year Ended September 30, 2013 | $19,306,537,913 | $20,594,832,307 | ||||||
See accompanying Notes to Consolidated Financial Statements.
86 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Class I | Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
Year Ended September 30, 2015 |
Year Ended September 30, 2014 |
Year Ended September 30, 2013 |
|||||||||||||||
|
|
||||||||||||||||||||
| Per Share Operating Data | ||||||||||||||||||||
| Net asset value, beginning of period | $3.93 | $3.86 | $4.11 | $4.11 | $4.29 | |||||||||||||||
|
|
||||||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income1 | 0.18 | 0.16 | 0.20 | 0.20 | 0.24 | |||||||||||||||
| Net realized and unrealized gain (loss) | 0.01 | 0.07 | (0.25) | 0.002 | (0.18) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total from investment operations | 0.19 | 0.23 | (0.05) | 0.20 | 0.06 | |||||||||||||||
|
|
||||||||||||||||||||
| Dividends and/or distributions to shareholders: | ||||||||||||||||||||
| Dividends from net investment income | (0.12) | (0.15) | (0.19) | (0.15) | (0.19) | |||||||||||||||
| Tax return of capital distribution | (0.06) | (0.01) | (0.01) | (0.05) | (0.05) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total dividends and/or distributions to shareholders | (0.18) | (0.16) | (0.20) | (0.20) | (0.24) | |||||||||||||||
|
|
||||||||||||||||||||
| Net asset value, end of period | $3.94 | $3.93 | $3.86 | $4.11 | $4.11 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Total Return, at Net Asset Value3 | 4.89% | 6.27% | (1.41)% | 5.05% | 1.43% | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios/Supplemental Data | ||||||||||||||||||||
| Net assets, end of period (in thousands) | $47,348 | $45,840 | $48,488 | $119,074 | $87,639 | |||||||||||||||
|
|
||||||||||||||||||||
| Average net assets (in thousands) | $45,371 | $46,967 | $121,467 | $109,381 | $76,202 | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios to average net assets:4,5 | ||||||||||||||||||||
| Net investment income | 4.57% | 4.30% | 4.87% | 4.93% | 5.69% | |||||||||||||||
| Expenses excluding specific expenses listed below | 0.65% | 0.62% | 0.60% | 0.59% | 0.60% | |||||||||||||||
| Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total expenses7 | 0.65% | 0.62% | 0.60% | 0.59% | 0.60% | |||||||||||||||
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.59% | 0.58% | 0.57% | 0.56% | 0.57% | |||||||||||||||
|
|
||||||||||||||||||||
| Portfolio turnover rate8 | 69% | 78% | 79% | 93% | 95% | |||||||||||||||
87 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Less than $0.005 per share.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| Year Ended September 30, 2017 | 0.66% | |||
| Year Ended September 30, 2016 | 0.63% | |||
| Year Ended September 30, 2015 | 0.61% | |||
| Year Ended September 30, 2014 | 0.60% | |||
| Year Ended September 30, 2013 | 0.60% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| Purchase Transactions | Sale Transactions | |||||||
|
|
||||||||
| Year Ended September 30, 2017 |
$5,559,676,349 | $5,415,035,851 | ||||||
| Year Ended September 30, 2016 |
$4,468,857,111 | $4,304,402,600 | ||||||
| Year Ended September 30, 2015 |
$4,009,637,043 | $4,100,638,359 | ||||||
| Year Ended September 30, 2014 |
$3,978,597,684 | $4,262,483,862 | ||||||
| Year Ended September 30, 2013 |
$19,306,537,913 | $20,594,832,307 | ||||||
See accompanying Notes to Consolidated Financial Statements.
88 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Class R | Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
Year Ended September 30, 2015 |
Year Ended September 30, 2014 |
Year Ended September 30, 2013 |
|||||||||||||||
|
|
||||||||||||||||||||
| Per Share Operating Data | ||||||||||||||||||||
| Net asset value, beginning of period | $3.95 | $3.88 | $4.13 | $4.13 | $4.31 | |||||||||||||||
|
|
||||||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income1 | 0.15 | 0.14 | 0.17 | 0.18 | 0.22 | |||||||||||||||
| Net realized and unrealized gain (loss) | 0.01 | 0.07 | (0.25) | 0.002 | (0.19) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total from investment operations | 0.16 | 0.21 | (0.08) | 0.18 | 0.03 | |||||||||||||||
|
|
||||||||||||||||||||
| Dividends and/or distributions to shareholders: | ||||||||||||||||||||
| Dividends from net investment income | (0.10) | (0.13) | (0.16) | (0.14) | (0.16) | |||||||||||||||
| Tax return of capital distribution | (0.05) | (0.01) | (0.01) | (0.04) | (0.05) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total dividends and/or distributions to shareholders | (0.15) | (0.14) | (0.17) | (0.18) | (0.21) | |||||||||||||||
|
|
||||||||||||||||||||
| Net asset value, end of period | $3.96 | $3.95 | $3.88 | $4.13 | $4.13 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Total Return, at Net Asset Value3 | 4.19% | 5.53% | (2.06)% | 4.31% | 0.68% | |||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Ratios/Supplemental Data | ||||||||||||||||||||
| Net assets, end of period (in thousands) | $123,825 | $149,098 | $162,623 | $185,991 | $208,523 | |||||||||||||||
|
|
||||||||||||||||||||
| Average net assets (in thousands) | $134,309 | $152,830 | $175,389 | $196,503 | $233,104 | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios to average net assets:4,5 | ||||||||||||||||||||
| Net investment income | 3.87% | 3.61% | 4.17% | 4.24% | 5.01% | |||||||||||||||
| Expenses excluding specific expenses listed below | 1.34% | 1.31% | 1.30% | 1.30% | 1.34% | |||||||||||||||
| Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total expenses7 | 1.34% | 1.31% | 1.30% | 1.30% | 1.34% | |||||||||||||||
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.27% | 1.27% | 1.26% | 1.27% | 1.31% | |||||||||||||||
|
|
||||||||||||||||||||
| Portfolio turnover rate8 | 69% | 78% | 79% | 93% | 95% | |||||||||||||||
89 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Less than $0.005 per share.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| Year Ended September 30, 2017 | 1.35% | |||
| Year Ended September 30, 2016 | 1.32% | |||
| Year Ended September 30, 2015 | 1.31% | |||
| Year Ended September 30, 2014 | 1.31% | |||
| Year Ended September 30, 2013 | 1.34% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| Purchase Transactions | Sale Transactions | |||||||
|
|
||||||||
| Year Ended September 30, 2017 |
$5,559,676,349 | $5,415,035,851 | ||||||
| Year Ended September 30, 2016 |
$4,468,857,111 | $4,304,402,600 | ||||||
| Year Ended September 30, 2015 |
$4,009,637,043 | $4,100,638,359 | ||||||
| Year Ended September 30, 2014 |
$3,978,597,684 | $4,262,483,862 | ||||||
| Year Ended September 30, 2013 |
$19,306,537,913 | $20,594,832,307 | ||||||
See accompanying Notes to Consolidated Financial Statements.
90 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Class Y | Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
Year Ended September 30, 2015 |
Year Ended |
Year Ended September 30, 2013 |
|||||||||||||||
|
|
||||||||||||||||||||
| Per Share Operating Data | ||||||||||||||||||||
| Net asset value, beginning of period | $3.95 | $3.87 | $4.13 | $4.12 | $4.30 | |||||||||||||||
|
|
||||||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income1 | 0.17 | 0.16 | 0.19 | 0.20 | 0.24 | |||||||||||||||
| Net realized and unrealized gain (loss) | 0.01 | 0.08 | (0.26) | 0.01 | (0.18) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total from investment operations | 0.18 | 0.24 | (0.07) | 0.21 | 0.06 | |||||||||||||||
|
|
||||||||||||||||||||
| Dividends and/or distributions to shareholders: | ||||||||||||||||||||
| Dividends from net investment income | (0.11) | (0.15) | (0.18) | (0.15) | (0.18) | |||||||||||||||
| Tax return of capital distribution | (0.06) | (0.01) | (0.01) | (0.05) | (0.06) | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total dividends and/or distributions to shareholders | (0.17) | (0.16) | (0.19) | (0.20) | (0.24) | |||||||||||||||
|
|
||||||||||||||||||||
| Net asset value, end of period | $3.96 | $3.95 | $3.87 | $4.13 | $4.12 | |||||||||||||||
|
|
|
|||||||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Total Return, at Net Asset Value2 | 4.70% | 6.33% | (1.83)% | 5.13% | 1.30% | |||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Ratios/Supplemental Data | ||||||||||||||||||||
| Net assets, end of period (in thousands) | $494,017 | $369,088 | $403,252 | $558,288 | $572,859 | |||||||||||||||
|
|
||||||||||||||||||||
| Average net assets (in thousands) | $417,814 | $372,918 | $453,869 | $533,576 | $678,607 | |||||||||||||||
|
|
||||||||||||||||||||
| Ratios to average net assets:3,4 | ||||||||||||||||||||
| Net investment income | 4.43% | 4.11% | 4.68% | 4.78% | 5.64% | |||||||||||||||
| Expenses excluding specific expenses listed below | 0.84% | 0.81% | 0.80% | 0.76% | 0.72% | |||||||||||||||
| Interest and fees from borrowings | 0.00%5 | 0.00%5 | 0.00%5 | 0.00% | 0.00% | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total expenses6 | 0.84% | 0.81% | 0.80% | 0.76% | 0.72% | |||||||||||||||
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.77% | 0.77% | 0.76% | 0.73% | 0.69% | |||||||||||||||
|
|
||||||||||||||||||||
| Portfolio turnover rate7 | 69% | 78% | 79% | 93% | 95% | |||||||||||||||
91 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds.
5. Less than 0.005%.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| Year Ended September 30, 2017 | 0.85% | |||
| Year Ended September 30, 2016 | 0.82% | |||
| Year Ended September 30, 2015 | 0.81% | |||
| Year Ended September 30, 2014 | 0.77% | |||
| Year Ended September 30, 2013 | 0.72% |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| Purchase Transactions | Sale Transactions | |||||||
|
|
||||||||
| Year Ended September 30, 2017 |
$5,559,676,349 | $5,415,035,851 | ||||||
| Year Ended September 30, 2016 |
$4,468,857,111 | $4,304,402,600 | ||||||
| Year Ended September 30, 2015 |
$4,009,637,043 | $4,100,638,359 | ||||||
| Year Ended September 30, 2014 |
$3,978,597,684 | $4,262,483,862 | ||||||
| Year Ended September 30, 2013 |
$19,306,537,913 | $20,594,832,307 | ||||||
See accompanying Notes to Consolidated Financial Statements.
92 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
CONSOLIDATED FINANCIAL STATEMENTS September 30, 2017
1. Organization
Oppenheimer Global Strategic Income Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI. Effective January 26, 2017, the sub-sub-advisory agreement with Apollo Credit Management, LLC (the “Sub-Sub-Adviser”) terminated.
The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a CDSC. Class R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and R shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer Global Strategic Income Fund (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in Regulation S securities. The Fund applies its investment restrictions and compliance policies and procedures, on a look-through basis, to the Subsidiary.
The financial statements have been consolidated and include accounts of the Fund and the
93 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At period end, the Fund owned 155,194 shares with net assets of $13,560,817 in the Subsidiary.
Other financial information at period end:
| Total market value of investments |
$ | 1,664,773 | ||
| Net assets |
$ | 13,560,817 | ||
| Net income (loss) |
$ | (75,777) | ||
| Net realized gain (loss) |
$ | 59,320 | ||
| Net change in unrealized appreciation/depreciation |
$ | 102,425 |
Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(1) Value of investment securities, other assets and liabilities — at the exchange rates prevailing at Market Close as described in Note 3.
(2) Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets and the values are presented at the foreign exchange rates at Market Close, the Fund does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments shown in the Consolidated Statement of Operations.
For securities, which are subject to foreign withholding tax upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.
94 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
2. Significant Accounting Policies (Continued)
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Consolidated Statement of Operations, are amortized or accreted daily.
Return of Capital Estimates. Distributions received from the Fund’s investments in Master Limited Partnerships (MLPs), generally are comprised of income and return of capital. The Fund records investment income and return of capital based on estimates. Such estimates are based on historical information available from each MLP and other industry sources. These estimates may subsequently be revised based on information received from MLPs after their tax reporting periods are concluded.
Custodian Fees. “Custodian fees and expenses” in the Consolidated Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open
95 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions for the fiscal year ended September 30, 2017, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.
Subchapter M requires, among other things, that at least 90% of the Fund’s gross income be derived from securities or derived with respect to its business of investing in securities (typically referred to as “qualifying income”). Income from commodity-linked derivatives may not be treated as “qualifying income” for purposes of the 90% gross income requirement. The Internal Revenue Service (IRS) has previously issued a number of private letter rulings which conclude that income derived from commodity index-linked notes and investments in a wholly-owned subsidiary will be “qualifying income.” As a result, the Fund will gain exposure to commodities through commodity-linked notes and its wholly-owned subsidiary.
The IRS has suspended the granting of private letter rulings pending further review. As a result, there can be no assurance that the IRS will not change its position with respect to commodity-linked notes and wholly-owned subsidiaries. In addition, future legislation and guidance from the Treasury and the IRS may adversely affect the Fund’s ability to gain exposure to commodities through commodity-linked notes and its wholly-owned subsidiary.
The Fund is required to include in income for federal income tax purposes all of the subsidiary’s net income and gains whether or not such income is distributed by the subsidiary. Net income and gains from the subsidiary are generally treated as ordinary income by the Fund, regardless of the character of the subsidiary’s underlying income. Net losses from the subsidiary do not pass through to the Fund for federal income tax purposes.
The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.
| Undistributed Net Investment Income |
Undistributed Long-Term Gain |
Accumulated Loss Carryforward1,2,3,4,5 |
Net Unrealized Appreciation Based on cost of Securities and Other Investments Tax Purposes | |||
|
| ||||||
| $— | $— | $892,862,499 | $24,163,577 | |||
1. At period end, the Fund had $889,888,084 of net capital loss carryforward available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.
| Expiring | ||||
|
|
||||
| 2018 |
$ | 240,345,967 | ||
| No expiration |
649,542,117 | |||
|
|
|
|||
| Total |
$ | 889,888,084 | ||
|
|
|
|||
96 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
2. Significant Accounting Policies (Continued)
2. The Fund had $2,974,415 of post-October foreign currency losses which were deferred.
3. During the reporting period, the Fund did not utilize any capital loss carryforward.
4. During the previous reporting period, the Fund did not utilize any capital loss carryforward.
5. During the reporting period, $114,107,166 of unused capital loss carryforward expired.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
Accordingly, the following amounts have been reclassified for the reporting period. Net assets of the Fund were unaffected by the reclassifications.
| Reduction to Paid-in Capital |
Reduction to Accumulated |
Reduction to Accumulated Net on Investments |
||||||
|
|
||||||||
| $174,088,469 |
$71,251,372 | $102,837,097 | ||||||
The tax character of distributions paid during the reporting periods:
| Year Ended September 30, 2017 |
Year Ended September 30, 2016 |
|||||||
|
|
||||||||
| Distributions paid from: |
||||||||
| Ordinary income |
$ | 125,737,615 | $ | 180,156,810 | ||||
| Return of capital |
62,691,930 | 16,806,791 | ||||||
|
|
|
|||||||
| Total |
$ | 188,429,545 | $ | 196,963,601 | ||||
|
|
|
|||||||
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
| Federal tax cost of securities |
$ | 4,840,218,751 | ||
| Federal tax cost of other investments |
351,334,058 | |||
|
|
|
|||
| Total federal tax cost |
$ | 5,191,552,809 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 151,724,115 | ||
| Gross unrealized depreciation |
(127,560,538) | |||
|
|
|
|||
| Net unrealized appreciation |
$ | 24,163,577 | ||
|
|
|
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP
97 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Fund’s assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded, or if no sales occurred, the security is valued at the mean between the quoted bid and asked prices. Over-the-counter equity securities are valued at the last published sale price, or if no sales occurred, at the mean between the quoted bid and asked prices. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the time when the Fund’s assets are valued.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, short-term notes, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Pricing services generally price debt securities assuming orderly transactions of an institutional “round lot” size, but some trades
98 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
3. Securities Valuation (Continued)
may occur in smaller, “odd lot” sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.
Loans are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. Standard inputs generally considered by third-party pricing vendors include information obtained from market participants regarding broker-dealer price quotations.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers. Standard inputs generally considered by third-party pricing vendors include market information relevant to the underlying reference asset such as the price of financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates, or the occurrence of other specific events.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
Securities for which market quotations are not readily available or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Those standardized fair valuation methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager regularly
99 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
3. Securities Valuation (Continued)
compares prior day prices and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs may be used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.
The table below categorizes amounts that are included in the Fund’s Consolidated Statement of Assets and Liabilities at period end based on valuation input level:
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant Observable Inputs |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||||
|
|
||||||||||||||||
| Assets Table |
||||||||||||||||
| Investments, at Value: |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 167,998,278 | $ | — | $ | 167,998,278 | ||||||||
| Mortgage-Backed Obligations |
— | 985,406,679 | 49,931 | 985,456,610 | ||||||||||||
| Foreign Government Obligations |
— | 523,118,831 | — | 523,118,831 | ||||||||||||
| Corporate Loans |
— | 7,311,923 | — | 7,311,923 | ||||||||||||
| Corporate Bonds and Notes |
— | 2,037,700,893 | 111,118 | 2,037,812,011 | ||||||||||||
| Preferred Stocks |
39,824,078 | 390,495 | — | 40,214,573 | ||||||||||||
| Common Stocks |
14,850,698 | 109,648 | 269,236 | 15,229,582 | ||||||||||||
| Rights, Warrants and Certificates |
— | 60,762 | 243,034 | 303,796 | ||||||||||||
100 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
3. Securities Valuation (Continued)
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||||
|
|
||||||||||||||||
| .Investments, at Value: (Continued) | ||||||||||||||||
| Structured Securities |
$ | — | $ | 13,011,331 | $ | 8,674,464 | $ | 21,685,795 | ||||||||
| Short-Term Notes |
— | 39,181,776 | — | 39,181,776 | ||||||||||||
| Over-the-Counter Options Purchased |
— | 2,517,161 | — | 2,517,161 | ||||||||||||
| Over-the-Counter Interest Rate |
||||||||||||||||
| Swaptions Purchased |
— | 8,611,633 | — | 8,611,633 | ||||||||||||
| Investment Companies |
275,819,745 | 742,877,419 | — | 1,018,697,164 | ||||||||||||
|
|
|
|||||||||||||||
| Total Investments, at Value |
330,494,521 | 4,528,296,829 | 9,347,783 | 4,868,139,133 | ||||||||||||
| Other Financial Instruments: | ||||||||||||||||
| Swaps, at value |
— | 1,380,171 | — | 1,380,171 | ||||||||||||
| Centrally cleared swaps, at value |
— | 6,672,850 | — | 6,672,850 | ||||||||||||
| Futures contracts |
1,797,168 | — | — | 1,797,168 | ||||||||||||
| Forward currency exchange contracts |
— | 4,506,486 | — | 4,506,486 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | $ | 332,291,689 | $ | 4,540,856,336 | $ | 9,347,783 | $ | 4,882,495,808 | ||||||||
|
|
|
|||||||||||||||
| Liabilities Table | ||||||||||||||||
| Other Financial Instruments: | ||||||||||||||||
| Swaps, at value |
$ | — | $ | (12,236,660 | ) | $ | — | $ | (12,236,660) | |||||||
| Centrally cleared swaps, at value |
— | (5,682,736 | ) | — | (5,682,736) | |||||||||||
| Options written, at value |
— | (3,119,833 | ) | — | (3,119,833) | |||||||||||
| Futures contracts |
(8,042,966 | ) | — | — | (8,042,966) | |||||||||||
| Forward currency exchange contracts |
— | (7,653,471 | ) | — | (7,653,471) | |||||||||||
| Swaptions written, at value |
— | (6,356,273 | ) | — | (6,356,273) | |||||||||||
|
|
|
|||||||||||||||
| Total Liabilities | $ | (8,042,966 | ) | $ | (35,048,973 | ) | $ | — | $ | (43,091,939) | ||||||
|
|
|
|||||||||||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The table below shows the transfers between Level 1 and Level 2. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| Transfers out of Level 1* |
Transfers into Level 2* |
|||||||
|
|
||||||||
| Assets Table | ||||||||
| Investments, at Value: | ||||||||
| Common Stocks | $ | (119,552) | $ | 119,552 | ||||
| Rights, Warrants and Certificates | (67,668) | 67,668 | ||||||
|
|
|
|||||||
| Total Assets | $ | (187,220) | $ | 187,220 | ||||
|
|
|
|||||||
* Transfers from Level 1 to Level 2 are a result of a change from the use of an exchange traded price to a valuation received from a third-party pricing service or a fair valuation determined based on observable market information other than quoted prices from an active market.
101 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
4. Investments and Risks
Risks of Foreign Investing. The Fund may invest in foreign securities which are subject to special risks. Securities traded in foreign markets may be less liquid and more volatile than those traded in U.S. markets. Foreign issuers are usually not subject to the same accounting and disclosure requirements that U.S. companies are subject to, which may make it difficult for the Fund to evaluate a foreign company’s operations or financial condition. A change in the value of a foreign currency against the U.S. dollar will result in a change in the U.S. dollar value of investments denominated in that foreign currency and in the value of any income or distributions the Fund may receive on those investments. The value of foreign investments may be affected by exchange control regulations, foreign taxes, higher transaction and other costs, delays in the settlement of transactions, changes in economic or monetary policy in the United States or abroad, expropriation or nationalization of a company’s assets, or other political and economic factors. In addition, due to the inter-relationship of global economies and financial markets, changes in political and economic factors in one country or region could adversely affect conditions in another country or region. Investments in foreign securities may also expose the Fund to time-zone arbitrage risk. Foreign securities may trade on weekends or other days when the Fund does not price its shares. At times, the Fund may emphasize investments in a particular country or region and may be subject to greater risks from adverse events that occur in that country or region. Foreign securities and foreign currencies held in foreign banks and securities depositories may be subject to limited or no regulatory oversight.
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (“Affiliated Funds”). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Fund’s investments in Affiliated Funds are included in the Consolidated Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
Investments in Money Market Instruments. The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund (“IGMMF”), which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.
102 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
4. Investments and Risks (Continued)
Investment in Oppenheimer Master Funds. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the 1940 Act, as amended, that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund,
LLC (“Master Loan”) and Oppenheimer Master Event-Linked Bond Fund, LLC (“Master Event-Linked Bond”) (the “Master Funds”). Each Master Fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Master Fund than in another, the Fund will have greater exposure to the risks of that Master Fund.
The investment objective of Master Loan is to seek income. The investment objective of Master Event-Linked Bond is to seek total return. The Fund’s investments in the Master Funds are included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its investments in each Master Fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master Fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Funds. As a shareholder, the Fund is subject to its proportional share of the Master Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Master Funds. The Fund owns 41.5% of Master Loan and 37.1% of Master Event-Linked Bond at period end.
Master Limited Partnerships (“MLPs”). MLPs issue common units that represent an equity ownership interest in a partnership and provide limited voting rights. MLP common units are registered with the Securities and Exchange Commission (“SEC”), and are freely tradable on securities exchanges such as the NYSE and the NASDAQ Stock Market (“NASDAQ”), or in the over-the-counter (“OTC”) market. An MLP consists of one or more general partners, who conduct the business, and one or more limited partners, who contribute capital. MLP common unit holders have a limited role in the partnership’s operations and management. The Fund, as a limited partner, normally would not be liable for the debts of the MLP beyond the amounts the Fund has contributed, but would not be shielded to the same extent that a shareholder of a corporation would be. In certain circumstances creditors of an MLP would have the right to seek return of capital distributed to a limited partner. This right of an MLP’s creditors would continue after the Fund sold its investment in the MLP.
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Consolidated Statement of Operations. The Fund records a realized gain or loss when a
103 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
4. Investments and Risks (Continued)
structured security is sold or matures.
Loans. The Fund invests in loans made to U.S. and foreign borrowers that are corporations, partnerships or other business entities. The Fund will do so directly as an original lender or by assignment or indirectly through participation agreements or certain derivative instruments. While many of these loans will be collateralized, the Fund can also invest in uncollateralized loans. Loans are often issued in connection with recapitalizations, acquisitions, leveraged buyouts, and refinancing of borrowers. The loans often pay interest at rates that float above (or are adjusted periodically based on) a benchmark that reflects current interest rates although the Fund can also invest in loans with fixed interest rates.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
| When-Issued or Delayed Delivery Basis Transactions |
||||
|
|
||||
| Purchased securities |
$618,921,304 | |||
| Sold securities |
118,235,727 | |||
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and
104 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
4. Investments and Risks (Continued)
sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
At period end, the Fund pledged $555,000 of collateral to the counterparty for forward roll transactions.
Restricted Securities. At period end, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the
Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest and/or principal payment.
Information concerning securities not accruing interest at period end is as follows:
105 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
4. Investments and Risks (Continued)
| Cost |
$20,904,595 | |||
| Market Value |
$9 | |||
| Market Value as % of Net Assets |
Less than 0.005% |
Sovereign Debt Risk. The Fund invests in sovereign debt securities, which are subject to certain special risks. These risks include, but are not limited to, the risk that a governmental entity may delay or refuse, or otherwise be unable, to pay interest or repay the principal on its sovereign debt. There may also be no legal process for collecting sovereign debt that a government does not pay or bankruptcy proceedings through which all or part of such sovereign debt may be collected. In addition, a restructuring or default of sovereign debt may also cause additional impacts to the financial markets, such as downgrades to credit ratings, reduced liquidity and increased volatility, among others.
5. Market Risk Factors
The Fund’s investments in securities and/or financial derivatives may expose the Fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market.
Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price
106 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
5. Market Risk Factors (Continued)
typically indicate lower volatility risk.
6. Use of Derivatives
The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities as a receivable (or payable) and in the Consolidated Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the
107 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
close date is recorded as a realized gain (loss) in the Consolidated Statement of Operations.
The Fund may enter into forward foreign currency exchange contracts in order to decrease exposure to foreign exchange rate risk associated with either specific transactions or portfolio instruments or to increase exposure to foreign exchange rate risk.
During the reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $951,080,340 and $931,911,860, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations. Realized gains (losses) are reported in the Consolidated Statement of Operations at the closing or expiration of futures contracts.
The Fund may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.
During the reporting period, the Fund had an ending monthly average market value of $566,207,202 and $224,830,698 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
108 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
6. Use of Derivatives (Continued)
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Consolidated Statement of Operations.
Foreign Currency Options. The Fund may purchase or write call and put options on currencies to increase or decrease exposure to foreign exchange rate risk. A purchased call, or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put, or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
Interest Rate Options. The Fund may purchase or write call and put options on treasury and/or euro futures to increase or decrease exposure to interest rate risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
Index/Security Options. The Fund may purchase or write call and put options on individual equity securities and/or equity indexes to increase or decrease exposure to equity risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the reporting period, the Fund had an ending monthly average market value of $1,878,546 and $1,954,482 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.
The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing
109 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
During the reporting period, the Fund had an ending monthly average market value of $2,296,349 and $1,317,162 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Consolidated Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Consolidated Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference
110 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
6. Use of Derivatives (Continued)
asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations.
The Fund may purchase or sell credit protection through credit default swaps to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same reference asset but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
For the reporting period, the Fund had ending monthly average notional amounts of $132,881,084 and $106,901,881 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
The Fund may enter into interest rate swaps in which it pays the fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Typically, if relative interest rates rise, floating payments under a swap agreement will be greater than the fixed payments.
For the reporting period, the Fund had ending monthly average notional amounts of $271,448,553 and $686,817,028 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on the value of asset or non-asset
111 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
The Fund may enter into total return swaps to increase or decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay to, or receive payments from, the counterparty based on the movement of credit spreads of the related indexes or securities.
For the reporting period, the Fund had ending monthly average notional amounts of $36,793,024 on total return swaps which are long the reference asset.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement of Assets and Liabilities. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Consolidated Statement of Operations for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund may purchase swaptions which give it the option to enter into an interest rate swap in which it pays a floating or fixed interest rate and receives a fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Purchasing the fixed portion
112 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
6. Use of Derivatives (Continued)
of this swaption becomes more valuable as the reference interest rate decreases relative to the preset interest rate. Purchasing the floating portion of this swaption becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund may purchase swaptions which give it the option to buy or sell credit protection through credit default swaps in order to decrease or increase exposure to the credit risk of individual issuers and/ or indexes of issuers. A swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed or floating interest rate and receives a floating or fixed interest rate in order to increase or decrease exposure to interest rate risk. A written swaption paying a fixed rate becomes more valuable as the reference interest rate increases relative to the preset interest rate. A written swaption paying a floating rate becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to sell or buy credit protection through credit default swaps in order to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.
During the reporting period, the Fund had an ending monthly average market value of $ 4,047,932 and $3,455,689 on purchased and written swaptions, respectively.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty.
113 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
At period end, the Fund has required certain counterparties to post collateral of $2,172,788.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are
114 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
6. Use of Derivatives (Continued)
established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
The following table presents by counterparty the Fund’s OTC derivative assets net of the related collateral pledged by the Fund at period end:
| Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities |
||||||||||||||||||||
| Counterparty | Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities* |
Financial Instruments Available for Offset |
Financial Instruments Collateral Received** |
Cash Collateral Received** |
Net Amount | |||||||||||||||
|
|
||||||||||||||||||||
| Bank of America NA | $ | 1,338,019 | $ | (1,338,019) | $ | – | $ | – | $ | – | ||||||||||
| Barclays Bank plc | 4,371,362 | (4,371,362) | – | – | – | |||||||||||||||
| BNP Paribas | 1,236,228 | (958,219) | (278,009) | – | – | |||||||||||||||
| Citibank NA | 5,849,109 | (5,849,109) | – | – | – | |||||||||||||||
| Deutsche Bank AG | 36,020 | – | – | (36,020) | – | |||||||||||||||
| Goldman Sachs Bank USA | 266,044 | (266,044) | – | – | – | |||||||||||||||
| Goldman Sachs International | 203,211 | – | – | – | 203,211 | |||||||||||||||
| HSBC Bank USA NA | 601,073 | (601,073) | – | – | – | |||||||||||||||
| JPMorgan Chase Bank NA | 1,523,276 | (1,523,276) | – | – | – | |||||||||||||||
| Toronto Dominion Bank | 117,814 | (117,814) | – | – | – | |||||||||||||||
115 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
| Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities |
||||||||||||||||||||
| Counterparty | Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities* |
Financial Instruments Available for Offset |
Financial Instruments Collateral Received** |
Cash Collateral Received** |
Net Amount | |||||||||||||||
|
|
||||||||||||||||||||
| UBS AG | $ | 1,473,295 | $ | (467,634) | $ | (372,266) | $ | (510,000) | $ | 123,395 | ||||||||||
|
|
|
|||||||||||||||||||
| $ | 17,015,451 | $ | (15,492,550) | $ | (650,275) | $ | (546,020) | $ | 326,606 | |||||||||||
|
|
|
|||||||||||||||||||
*OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures, if any, are excluded from these reported amounts.
**Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
The following table presents by counterparty the Fund’s OTC derivative liabilities net of the related collateral pledged by the Fund at period end:
| Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities |
||||||||||||||||||||
| Counterparty | Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities* |
Financial Instruments Available for Offset |
Financial Instruments Collateral Pledged** |
Cash Collateral Pledged** |
Net Amount | |||||||||||||||
|
|
||||||||||||||||||||
| Bank of America NA | $ | (1,635,905) | $ | 1,338,019 | $ | – | $ | 297,886 | $ | – | ||||||||||
| Barclays Bank plc | (4,575,723) | 4,371,362 | – | 204,361 | – | |||||||||||||||
| BNP Paribas | (958,219) | 958,219 | – | – | – | |||||||||||||||
| Citibank NA | (6,304,341) | 5,849,109 | – | 340,000 | (115,232 | ) | ||||||||||||||
| Credit Suisse International | (6,185,855) | – | – | 6,185,855 | – | |||||||||||||||
| Goldman Sachs Bank USA | (379,073) | 266,044 | – | 113,029 | – | |||||||||||||||
| HSBC Bank USA NA | (1,132,376) | 601,073 | – | 531,303 | – | |||||||||||||||
| JPMorgan Chase Bank NA | (1,630,064) | 1,523,276 | – | – | (106,788 | ) | ||||||||||||||
| Morgan Stanley Capital Services, Inc. | (5,378,938) | – | – | 5,378,938 | – | |||||||||||||||
| Standard Chartered Bank | (386,242) | – | – | 386,242 | – | |||||||||||||||
| Toronto Dominion Bank | (331,867) | 117,814 | – | 214,053 | – | |||||||||||||||
| UBS AG | (467,634) | 467,634 | – | – | – | |||||||||||||||
|
|
|
|||||||||||||||||||
| $ (29,366,237) | $ 15,492,550 | $ – | $ 13,651,667 | $ (222,020 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||
*OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures, if any, are excluded from these reported amounts.
**Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Consolidated Statement of Investments may exceed these amounts.
116 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
6. Use of Derivatives (Continued)
The following table presents the valuations of derivative instruments by risk exposure as reported within the Consolidated Statement of Assets and Liabilities at period end:
| Asset Derivatives | Liability Derivatives | |||||||||||||
|
|
|
|||||||||||||
| Derivatives Not Accounted for as Hedging Instruments |
Consolidated Statement of Assets and Liabilities Location |
Value | Consolidated Statement of Assets and Liabilities Location |
Value | ||||||||||
|
|
||||||||||||||
| Credit contracts | Swaps, at value | $ | 357,713 | Swaps, at value | $ | 11,564,793 | ||||||||
| Interest rate contracts | Swaps, at value | 1,022,458 | Swaps, at value | 671,867 | ||||||||||
| Credit contracts | Centrally cleared swaps, at value | 1,934,093 | Centrally cleared swaps, at value | 1,069,214 | ||||||||||
| Interest rate contracts | Centrally cleared swaps, at value | 4,738,757 | Centrally cleared swaps, at value | 4,613,522 | ||||||||||
| Interest rate contracts | Variation margin receivable | 614,398* | Variation margin payable | 332,767 | * | |||||||||
| Forward currency exchange contracts | Unrealized appreciation on forward currency exchange contracts | 4,506,486 | Unrealized depreciation on forward currency exchange contracts | 7,653,471 | ||||||||||
| Forward currency exchange contracts | Options written, at value | 3,119,833 | ||||||||||||
| Forward currency exchange contracts | Swaptions written, at value | 6,356,273 | ||||||||||||
| Equity contracts | Investments, at value | 52,334** | ||||||||||||
| Forward currency exchange contracts | Investments, at value | 2,464,827** | ||||||||||||
| Interest rate contracts | Investments, at value | 8,611,633** | ||||||||||||
|
|
|
|
|
|||||||||||
| Total | $ | 24,302,699 | $ | 35,381,740 | ||||||||||
|
|
|
|
|
|||||||||||
*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Consolidated Statement of Assets and Liabilities upon receipt or payment.
**Amounts relate to purchased option contracts and purchased swaption contracts, if any.
The effect of derivative instruments on the Consolidated Statement of Operations is as follows:
| Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||
|
|
||||||||||||||||
| Derivatives Not Accounted for as Hedging Instruments |
Investment transactions in unaffiliated companies** |
Swaption written |
Option contracts written |
Futures contracts |
||||||||||||
|
|
||||||||||||||||
| Credit contracts | $ | (820,081) | $ | 274,894 | $ | — | $ | — | ||||||||
| Equity contracts | 295,139 | — | 43,489 | — | ||||||||||||
| Forward currency exchange contracts | (284,757) | — | 6,017,565 | — | ||||||||||||
| Interest rate contracts | 4,763,542 | (11,372,256) | (550,312) | (10,466,027) | ||||||||||||
|
|
|
|||||||||||||||
| Total | $ | 3,953,843 | $ | (11,097,362) | $ | 5,510,742 | $ | (10,466,027) | ||||||||
|
|
|
|||||||||||||||
117 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
| Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||
|
|
||||||||||||
| Derivatives Not Accounted for as Hedging Instruments |
Forward currency exchange contracts |
Swap contracts | Total | |||||||||
|
|
||||||||||||
| Credit contracts | $ | — | $ | (6,401,471) | $ | (6,946,658) | ||||||
| Equity contracts | — | — | 338,628 | |||||||||
| Forward currency exchange contracts | 25,585,596 | — | 31,318,404 | |||||||||
| Interest rate contracts | — | 2,236,945 | (15,388,108) | |||||||||
|
|
|
|||||||||||
| Total | $ | 25,585,596 | $ | (4,164,526) | $ | 9,322,266 | ||||||
|
|
|
|||||||||||
*Includes purchased option contracts and purchased swaption contracts, if any.
| Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||
|
|
||||||||||||||||
| Derivatives Not Accounted for as Hedging Instruments |
Investment transactions* |
Option contracts written |
Swaption contracts written |
Futures contracts |
||||||||||||
|
|
||||||||||||||||
| Credit contracts | $ | 396,128 | $ | — | $ | (150,380) | $ | — | ||||||||
| Equity contracts | (104,696) | — | — | — | ||||||||||||
| Forward currency exchange contracts | (88,981) | 809,161 | — | — | ||||||||||||
| Interest rate contracts | 2,601,580 | (38,717) | (1,978,726) | (3,243,040) | ||||||||||||
|
|
|
|||||||||||||||
| Total | $ | 2,804,031 | $ | 770,444 | $ | (2,129,106) | $ | (3,243,040) | ||||||||
|
|
|
|||||||||||||||
| Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||
|
|
||||||||||||
| Derivatives Not Accounted for as Hedging Instruments |
Forward currency exchange contracts |
Swap contracts | Total | |||||||||
|
|
||||||||||||
| Credit contracts | $ | — | $ | 4,743,514 | $ | 4,989,262 | ||||||
| Equity contracts | — | — | (104,696) | |||||||||
| Forward currency exchange contracts | (16,616,236 | ) | — | (15,896,056) | ||||||||
| Interest rate contracts | — | (1,051,715) | (3,710,618) | |||||||||
|
|
|
|||||||||||
| Total | $ | (16,616,236) | $ | 3,691,799 | $ | (14,722,108) | ||||||
|
|
|
|||||||||||
*Includes purchased option contracts and purchased swaption contracts, if any.
7. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
118 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
7. Shares of Beneficial Interest (Continued)
| Year Ended September 30, 2017 | Year Ended September 30, 2016 | |||||||||||||||
| Shares | Amount | Shares | Amount | |||||||||||||
|
|
||||||||||||||||
| Class A | ||||||||||||||||
| Sold | 48,921,616 | $ | 192,308,690 | 49,594,876 | $ | 190,847,491 | ||||||||||
| Dividends and/or distributions reinvested | 31,238,755 | 122,750,966 | 33,139,619 | 127,427,433 | ||||||||||||
| Redeemed | (204,805,470 | ) | (804,119,203 | ) | (203,845,428 | ) | (784,042,726) | |||||||||
|
|
|
|||||||||||||||
| Net decrease | (124,645,099 | ) | $ | (489,059,547 | ) | (121,110,933 | ) | $ | (465,767,802) | |||||||
|
|
|
|||||||||||||||
|
|
||||||||||||||||
| Class B | ||||||||||||||||
| Sold | 61,590 | $ | 242,525 | 136,749 | $ | 530,027 | ||||||||||
| Dividends and/or distributions reinvested | 216,903 | 854,138 | 433,444 | 1,669,645 | ||||||||||||
| Redeemed | (7,248,102 | ) | (28,583,258 | ) | (9,245,651 | ) | (35,699,962) | |||||||||
|
|
|
|||||||||||||||
| Net decrease | (6,969,609 | ) | $ | (27,486,595 | ) | (8,675,458 | ) | $ | (33,500,290) | |||||||
|
|
|
|||||||||||||||
|
|
||||||||||||||||
| Class C | ||||||||||||||||
| Sold | 10,191,444 | $ | 39,924,389 | 15,087,056 | $ | 57,785,579 | ||||||||||
| Dividends and/or distributions reinvested | 6,097,118 | 23,910,475 | 6,577,937 | 25,237,910 | ||||||||||||
| Redeemed | (55,764,924 | ) | (218,744,195 | ) | (58,582,619 | ) | (224,684,871) | |||||||||
|
|
|
|||||||||||||||
| Net decrease | (39,476,362 | ) | $ | (154,909,331 | ) | (36,917,626 | ) | $ | (141,661,382) | |||||||
|
|
|
|||||||||||||||
|
|
||||||||||||||||
| Class I | ||||||||||||||||
| Sold | 3,674,488 | $ | 14,395,136 | 1,610,491 | $ | 6,191,607 | ||||||||||
| Dividends and/or distributions reinvested | 523,645 | 2,048,739 | 523,820 | 2,005,298 | ||||||||||||
| Redeemed | (3,851,222 | ) | (15,064,334 | ) | (3,045,914 | ) | (11,696,339) | |||||||||
|
|
|
|||||||||||||||
| Net increase (decrease) | 346,911 | $ | 1,379,541 | (911,603 | ) | $ | (3,499,434) | |||||||||
|
|
|
|||||||||||||||
|
|
||||||||||||||||
| Class R | ||||||||||||||||
| Sold | 4,992,953 | $ | 19,622,247 | 6,009,296 | $ | 23,174,414 | ||||||||||
| Dividends and/or distributions reinvested | 1,219,626 | 4,794,536 | 1,333,790 | 5,131,759 | ||||||||||||
| Redeemed | (12,707,380 | ) | (49,915,062 | ) | (11,555,117 | ) | (44,575,963) | |||||||||
|
|
|
|||||||||||||||
| Net decrease | (6,494,801 | ) | $ | (25,498,279 | ) | (4,212,031 | ) | $ | (16,269,790) | |||||||
|
|
|
|||||||||||||||
|
|
||||||||||||||||
| Class Y | ||||||||||||||||
| Sold | 65,302,057 | $ | 256,466,227 | 23,220,479 | $ | 89,437,668 | ||||||||||
| Dividends and/or distributions reinvested | 4,342,868 | 17,080,573 | 3,653,084 | 14,040,449 | ||||||||||||
| Redeemed | (38,336,517 | ) | (150,650,866 | ) | (37,490,600 | ) | (143,691,077) | |||||||||
|
|
|
|||||||||||||||
| Net increase (decrease) | 31,308,408 | $ | 122,895,934 | (10,617,037 | ) | $ | (40,212,960) | |||||||||
|
|
|
|||||||||||||||
8. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:
| Purchases | Sales | |||||||
|
|
||||||||
| Investment securities | $ | 2,934,308,064 | $ | 3,288,127,775 | ||||
| U.S. government and government agency obligations | 101,082,407 | 230,140,452 | ||||||
119 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
8. Purchases and Sales of Securities (Continued)
| Purchases | Sales | |||||||
|
|
||||||||
| To Be Announced (TBA) mortgage-related securities | 5,559,676,349 | 5,415,035,851 | ||||||
9. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
| Fee Schedule | ||
|
| ||
| Up to $200 million in assets |
0.75% | |
| Next $200 million in assets |
0.72 | |
| Next $200 million in assets |
0.69 | |
| Next $200 million in assets |
0.66 | |
| Next $200 million in assets |
0.60 | |
| Next $4 billion in assets |
0.50 | |
| Next $5 billion in assets |
0.48 | |
| Over $10 billion in assets |
0.46 | |
The Manager also provides investment management related services to the Subsidiary. The Subsidiary pays the Manager a monthly management fee at an annual rate according to the above schedule. The Subsidiary also pays certain other expenses including custody and directors’ fees.
The Fund’s effective management fee for the reporting period was 0.54% of average annual net assets before any Subsidiary management fees or any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund and the Subsidiary. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund and the Subsidiary, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Sub-Sub-Adviser Fees. The Sub-Adviser retains the Sub-Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Sub-Advisory Agreement, the Sub-Adviser pays the Sub-Sub-Adviser an annual fee in monthly installments, based on the average daily net assets of the Fund. The fee paid to the Sub-Sub-Adviser under the Sub-Sub-Advisory agreement is paid by the Sub-Adviser, not by the Fund.
Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets, which shall be calculated after any applicable fee waivers. Fees incurred and average net assets for each class with respect to these services are detailed in the Consolidated Statement of Operations and Consolidated Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a
120 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
9. Fees and Other Transactions with Affiliates (Continued)
wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees’ Compensation. The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Consolidated Statement of Assets and Liabilities. Deferral of Trustees’ fees under the plan will not affect the net assets of the Fund and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to
0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Consolidated Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class R Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class R shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares’ daily net assets and 0.25% on Class R shares’ daily net assets. The Fund also
121 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
NOTES TO
CONSOLIDATED FINANCIAL STATEMENTS Continued
9. Fees and Other Transactions with Affiliates (Continued)
pays a service fee under the Plans at an annual rate of 0.25% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Consolidated Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
| Year Ended | Class A Front-End Sales Charges Retained by Distributor |
Class A Contingent Deferred Sales Charges Retained by Distributor |
Class B Contingent Deferred Sales Charges Retained by Distributor |
Class C Contingent Deferred Sales Charges Retained by Distributor |
Class R Contingent Deferred Sales Charges Retained by Distributor |
|||||||||||||||
|
|
||||||||||||||||||||
| $428,249 | $3,168 | $40,537 | $30,931 | $— | ||||||||||||||||
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive the management fee it receives from the Fund in an amount equal to the management fee it receives from the Subsidiary. During the reporting period, the Manager waived $101,193. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.
Effective January 1, 2017, the Transfer Agent has voluntarily agreed to waive fees and/or reimburse Fund expenses in an amount equal to 0.015% of average annual net assets for Classes A, B, C, R and Y.
During the reporting period, the Transfer Agent waived fees and/or reimbursed the Fund for transfer agent and shareholder servicing agent fees as follows:
| Class A |
$ | 366,218 | ||
| Class B |
2,725 | |||
| Class C |
84,477 | |||
| Class R |
14,710 | |||
| Class Y |
49,070 |
This fee waiver and/or reimbursement may be terminated at any time.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investments in Affiliated Funds. During the reporting period, the Manager waived fees and/or reimbursed the Fund $2,752,997 for these management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.
122 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
10. Borrowing and Other Financing
Securities Sold Short. The Fund sells securities that it does not own, and it will therefore be obligated to purchase such securities at a future date. Upon entering into a short position, the Fund is required to segregate cash or securities at its custodian which are pledged for the benefit of the lending broker and/or to deposit and pledge cash directly at the lending broker, with a value equal to a certain percentage, exceeding 100%, of the value of the securities that it sold short. Cash that has been segregated and pledged for this purpose will be disclosed on the Consolidated Statement of Assets and Liabilities; securities that have been segregated and pledged for this purpose are disclosed as such in the Consolidated Statement of Investments. The value of the open short position is recorded as a liability, and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the change in value of the open short position. The Fund records a realized gain or loss when the short position is closed out. By entering into short sales, the Fund bears the market risk of increases in value of the security sold short in excess of the proceeds received. Until the security is replaced, the Fund is required to pay the lender any dividend or interest earned. Dividend expense on short sales is treated as an expense in the Consolidated Statement of Operations.
At period end, the Fund had no outstanding securities sold short.
Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 billion revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Consolidated Statement of Operations. The Fund did not utilize the Facility during the reporting period.
123 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of Oppenheimer Global Strategic Income Fund:
We have audited the accompanying consolidated statement of assets and liabilities of Oppenheimer Global Strategic Income Fund (the Fund) and subsidiary, including the consolidated statement of investments, as of September 30, 2017, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years in the five-year period then ended. These consolidated financial statements and consolidated financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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 September 30, 2017, by correspondence with the custodian, transfer agent and brokers, or by other appropriate auditing procedures where replies from brokers were not received. 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 consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Global Strategic Income Fund and subsidiary as of September 30, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Denver, Colorado
124 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
FEDERAL INCOME TAX INFORMATION Unaudited
In early 2017, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2016.
Dividends, if any, paid by the Fund during the reporting period which are not designated as capital gain distributions should be multiplied by the maximum amount allowable but not less than 0.79% to arrive at the amount eligible for the corporate dividend-received deduction.
A portion, if any, of the dividends paid by the Fund during the reporting period which are not designated as capital gain distributions are eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. The maximum amount allowable but not less than $1,000,417 of the Fund’s fiscal year taxable income may be eligible for the lower individual income tax rates. In early 2017, shareholders of record received information regarding the percentage of distributions that are eligible for lower individual income tax rates.
Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the reporting period, the maximum amount allowable but not less than $103,236,787 of the ordinary distributions to be paid by the Fund qualifies as an interest related dividend.
The foregoing information is presented to assist shareholders in reporting distributions received from the Fund 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 state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.
125 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY, SUB-ADVISORY AND SUB-SUB-ADVISORY AGREEMENTS Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Managers and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Managers’ duties include providing the Fund with the services of the portfolio managers and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Fund’s shares. OFI Global also provides the Fund with office space, facilities and equipment.
126 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that the Sub-Adviser has over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance and risk management services, among other services, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of their staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Michael Mata, Krishna Memani, Ruta Ziverte, and Chris Kelly, the portfolio managers for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the review or renewal of the Fund’s service agreements or service providers. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.
Investment Performance of the Managers and the Fund. Throughout the year, the Managers provided information on the investment performance of the Fund and the Managers including comparative performance information. The Board reviewed information, prepared by the Managers and the independent consultant, comparing the Fund’s historical performance to relevant benchmarks or market indices and to the performance of other retail funds in the multisector bond fund category. The Board considered that the Fund underperformed its category median for the one-, three-, five- and ten-year periods. The Board considered several factors that contributed to the Fund’s underperformance, noting that, as a result of conversations with the Board and in an effort to address performance, two portfolio managers were recently added to the Fund’s investment team in January 2017. The Board further considered that the Adviser recently has made changes to the Fund’s outcome objectives and, corresponding to that, also changed the Fund’s benchmark. The Board also noted that the Fund’s performance improved in 2017 and that the Fund outperformed its benchmark index in the year-to-date period ended June 30, 2017. The Board concluded it was appropriate to permit the Fund’s performance to reflect these changes and additional investments on the part of the Adviser.
Fees and Expenses of the Fund. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board noted that the Adviser, not the Fund, pays the Sub-Adviser’s fee under the sub-advisory agreement. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail multisector bond funds with comparable asset levels and distribution features. The Board noted that the Fund’s contractual management fee and total expenses, net of waivers, were lower than its peer group medians and category medians.
Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser
127 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY, SUB-ADVISORY AND SUB-SUB-ADVISORY AGREEMENTS Unaudited / Continued
and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow. The Board considered that the current management fee breakpoints are appropriate given the Fund’s current asset level.
Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates.
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through August 31, 2018. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
128 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
129 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited
| Name, Position(s) Held with the Fund, Length of Service, Year of Birth | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/ Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
| INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
| Robert J. Malone, Chairman of the Board of Trustees (since 2016), Trustee (since 2002) Year of Birth: 1944 |
Chairman - Colorado Market of MidFirst Bank (since January 2015); Chairman of the Board (2012-2016) and Director (August 2005-January 2016) of Jones International University (educational organization); Trustee of the Gallagher Family Foundation (non-profit organization) (2000-2016); Chairman, Chief Executive Officer and Director of Steele Street Bank Trust (commercial banking) (August 2003-January 2015); Director of Opera Colorado Foundation (non-profit organization) (2008-2012); Director of Colorado UpLIFT (charitable organization) (1986-2010); Director of Jones Knowledge, Inc. (2006-2010); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004); Chairman of the Board (1991-1994) and Trustee (1985-1994) of Regis University; and Chairman of the Board (1990- 1991) and Member (1984-1999) of Young Presidents Organization. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
| Andrew J. Donohue, Trustee (since 2017) Year of Birth: 1950 |
Of Counsel, Shearman & Sterling LLP (since September 2017); Chief of Staff of the U.S. Securities and Exchange Commission (regulator) (June 2015-February 2017); Managing Director and Investment Company General Counsel of Goldman Sachs (investment bank) (November 2012-May 2015); Partner at Morgan Lewis & Bockius, LLP (law firm) (March 2011-October 2012); Director of the Division of Investment Management of U.S. Securities and Exchange Commission (regulator) (May 2006-November 2010); Global General Counsel of Merrill Lynch Investment Managers (investment firm) (May 2003-May 2006); General Counsel (October 1991-November 2001) and Executive Vice President (January 1993-November 2001) of OppenheimerFunds, Inc. (investment firm) (June 1991-November 2001). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Donohue has served on the Boards of certain Oppenheimer funds since 2017, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Board’s deliberations. | |
| Jon S. Fossel, Trustee (since 1990) Year of Birth: 1942 |
Chairman of the Board of Jack Creek Preserve Foundation (non-profit organization) (2005-2015); Director of Jack Creek Preserve Foundation (non-profit organization) (since March 2005); Chairman of the Board (2006-December 2011) and Director (June 2002-December 2011) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (November 2004-December 2009); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of | |
130 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Jon S. Fossel, Continued |
Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Sub-Adviser; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Sub- Adviser), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations | |
| Richard F. Grabish, Trustee (since 2012) Year of Birth: 1948 |
Formerly Senior Vice President and Assistant Director of Sales and Marketing (March 1997-December 2007), Director (March 1987-December 2007) and Manager of Private Client Services (June 1985-June 2005) of A.G. Edwards & Sons, Inc. (broker/dealer and investment firm); Chairman and Chief Executive Officer of A.G. Edwards Trust Company, FSB (March 2001-December 2007); President and Vice Chairman of A.G. Edwards Trust Company, FSB (investment adviser) (April 1987-March 2001); President of A.G. Edwards Trust Company, FSB (investment adviser) (June 2005-December 2007). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Grabish has served on the Boards of certain Oppenheimer funds since 2001, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
| Beverly L. Hamilton, Trustee (since 2002) Year of Birth: 1946 |
Trustee of Monterey Institute for International Studies (educational organization) (2000-2014); Board Member of Middlebury College (educational organization) (December 2005-June 2011); Director (1991-2016), Vice Chairman of the Board (2006-2009) and Chairman of the Board (2010-2013) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
| Victoria J. Herget, Trustee (since 2012) Year of Birth: 1951 |
Board Chair (2008-2015) and Director (2004-Present), United Educators (insurance company); Trustee (since 2000) and Chair (since 2010), Newberry Library (independent research library); Trustee, Mather LifeWays (senior living organization) (since 2001); Independent Director of the First American Funds (mutual fund family) (2003-2011); former Managing Director (1993-2001), Principal (1985- 1993), Vice President (1978-1985) and Assistant Vice President (1973-1978) of Zurich Scudder Investments (investment adviser) (and its predecessor firms); | |
131 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
| Victoria J. Herget, Continued |
Trustee (1992-2007), Chair of the Board of Trustees (1999-2007), Investment Committee Chair (1994-1999) and Investment Committee member (2007-2010) of Wellesley College; Trustee, BoardSource (non-profit organization) (2006-2009) and Chicago City Day School (K-8 School) (1994-2005). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Herget has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
| F. William Marshall, Jr., Trustee (since 2000) Year of Birth: 1942 |
Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (1996-2015), MML Series Investment Fund (investment company) (1996-2015) and Mass Mutual Premier Funds (investment company) (January 2012-December 2015); President and Treasurer of the SIS Charitable Fund (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999- July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
| Karen L. Stuckey, Trustee (since 2012) Year of Birth: 1953 |
Member (since May 2015) of Desert Mountain Community Foundation Advisory Board (non-profit organization); Partner (1990-2012) of PricewaterhouseCoopers LLP (professional services firm) (held various positions 1975-1990); Trustee (1992-2006); member of Executive, Nominating and Audit Committees and Chair of Finance Committee (1992-2006), and Emeritus Trustee (since 2006) of Lehigh University; and member, Women’s Investment Management Forum (professional organization) since inception. Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Stuckey has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
| James D. Vaughn, Trustee (since 2012) Year of Birth: 1945 |
Retired; former managing partner (1994-2001) of Denver office of Deloitte & Touche LLP, (held various positions 1969-1993); Trustee and Chairman of the Audit Committee of Schroder Funds (2003-2012); Board member and Chairman of Audit Committee of AMG National Trust Bank (since 2005); Trustee and Investment Committee member, University of South Dakota Foundation (since 1996); Board member, Audit Committee Member and past Board Chair, Junior Achievement (since 1993); former Board member, Mile High United Way, Boys and Girls Clubs, Boy Scouts, Colorado Business Committee for the Arts, Economic Club of Colorado and Metro Denver Network. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Vaughn has served on the Boards of certain Oppenheimer funds since 2012, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
132 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| INTERESTED TRUSTEE AND OFFICER | Mr. Steinmetz is an “Interested Trustee” because he is affiliated with the Manager and the Sub-Adviser by virtue of his positions as Chairman of the Sub-Adviser and officer and director of the Manager. Both as a Trustee and as an officer, Mr. Steinmetz serves for an indefinite term, or until his resignation, retirement, death or removal. Mr. Steinmetz’s address is 225 Liberty Street, New York, New York 10281-1008. | |
| Trustee (since 2015), President and Principal Executive Officer (since 2014) Year of Birth: 1958 |
Chairman of the Sub-Adviser (since January 2015); CEO and Chairman of the Manager (since July 2014), President of the Manager (since May 2013), a Director of the Manager (since January 2013), Director of the Sub-Adviser (since July 2014), President, Management Director and CEO of Oppenheimer Acquisition Corp. (the Sub-Adviser’s parent holding company) (since July 2014), and President and Director of OFI SteelPath, Inc. (since January 2013). Chief Investment Officer of the OppenheimerFunds advisory entities from (January 2013-December 2013); Executive Vice President of the Manager (January 2013-May 2013); Chief Investment Officer of the Sub-Adviser (October 2010-December 2012); Chief Investment Officer, Fixed-Income, of the Sub-Adviser (April 2009-October 2010); Executive Vice President of the Sub-Adviser (October 2009-December 2012); Director of Fixed Income of the Sub-Adviser (January 2009-April 2009); and a Senior Vice President of the Sub-Adviser (March 1993-September 2009). An officer of 101 portfolios in the OppenheimerFunds complex. | |
| OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Mata, Memani, Kelly, Mss. Ziverte, Lo Bessette, Foxson and Picciotto, 225 Liberty Street, New York, New York 10281-1008, for Mr. Petersen, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
| Michael Mata, Vice President (since 2014) Year of Birth: 1963 |
Senior Vice President of the Sub-Adviser and the Head of Multi-Sector Fixed Income (since July 2014). Portfolio manager with ING Investment Management and Head of Multi-Sector Fixed-Income (August 2004-December 2013), managing the Global Bond and Core Plus strategies and the macro and quantitative research teams, along with the emerging markets sovereign team. Senior Vice President and Senior Risk Manager at Putnam Investments (March 2000-August 2004) and a Vice President and Risk Manager for Fixed Income Trading at Lehman Brothers (September 1994-March 2000). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. | |
| Krishna Memani, Vice President (since 2009) Year of Birth: 1960 |
President of the Sub-Adviser (since January 2013); Executive Vice President of the Manager (since January 2014) and Chief Investment Officer of the OppenheimerFunds advisory entities (since January 2014). Chief Investment Officer, Fixed Income of the Sub-Adviser (January 2013-December 2013); Head of the Investment Grade Fixed Income Team of the Sub-Adviser (March 2009-January 2014); Director of Fixed Income of the Sub-Adviser (October 2010-December 2012); Senior Vice President of the Sub-Adviser (March 2009-December 2012) and Senior Vice President of OFI Global Institutional, Inc. (April 2009-December 2012). Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009). Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006). Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. | |
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TRUSTEES AND OFFICERS Unaudited / Continued
| Chris Kelly, Vice President (since 2017) Year of Birth: 1967 |
Senior Vice President of the Sub-Adviser (since January 2016); Portfolio Manager of the Sub-Adviser(since March 2015); Co-Head of the Global Debt Team (since March 2015); Vice President of the Sub-Adviser (March 2015-January 2016). Deputy Head of Emerging Markets Fixed Income at BlackRock, Inc. (June 2012 - January 2015); Portfolio Manager and Deputy Chief Investment Officer of Emerging Markets at Fisher Francis Trees and Watts, a BNP Paribas Investment Partner (February 2008 - April 2012). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. | |
| Ruta Ziverte, Vice President (since 2017) Year of Birth: 1973 |
Vice President and Senior Portfolio Manager of the Sub-Adviser (July 2015). Prior to joining the Sub-Adviser, she was Senior Vice President and Portfolio Manager at GE Asset Management (June 2009 to June 2015). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex | |
| Cynthia Lo Bessette, Secretary and Chief Legal Officer (since 2016) Year of Birth: 1969 |
Executive Vice President, General Counsel and Secretary of the Manager (since February 2016); Senior Vice President and Deputy General Counsel of the Manager (March 2015-February 2016); Chief Legal Officer of the Sub-Adviser and the Distributor (since February 2016); Vice President, General Counsel and Secretary of Oppenheimer Acquisition Corp. (since February 2016); General Counsel of OFI SteelPath, Inc., VTL Associates, LLC and Index Management Solutions, LLC (since February 2016); Chief Legal Officer of OFI Global Institutional, Inc., HarbourView Asset Management Corporation, OFI Global Trust Company, Oppenheimer Real Asset Management, Inc., OFI Private Investments Inc., Shareholder Services, Inc. and Trinity Investment Management Corporation (since February 2016); Corporate Counsel (February 2012-March 2015) and Deputy Chief Legal Officer (April 2013-March 2015) of Jennison Associates LLC; Assistant General Counsel (April 2008-September 2009) and Deputy General Counsel (October 2009-February 2012) of Lord Abbett & Co. LLC. An officer of 101 portfolios in the OppenheimerFunds complex. | |
| Jennifer Foxson, Vice President and Chief Business Officer (since 2014) Year of Birth: 1969 |
Senior Vice President of OppenheimerFunds Distributor, Inc. (since June 2014); Vice President of OppenheimerFunds Distributor, Inc. (April 2006-June 2014); Vice President of the Sub-Adviser (January 1998-March 2006); Assistant Vice President of the Sub-Adviser (October 1991-December 1998). An officer of 101 portfolios in the OppenheimerFunds complex. | |
| Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer (since 2014) Year of Birth: 1973 |
Senior Vice President and Chief Compliance Officer of the Manager (since March 2014); Chief Compliance Officer of the Sub-Adviser, OFI SteelPath, Inc., OFI Global Trust Company, OFI Global Institutional, Inc., Oppenheimer Real Asset Management, Inc., OFI Private Investments, Inc., Harborview Asset Management Corporation, Trinity Investment Management Corporation, and Shareholder Services, Inc. (since March 2014); Managing Director of Morgan Stanley Investment Management Inc. and certain of its various affiliated entities; Chief Compliance Officer of various Morgan Stanley Funds (May 2010-January 2014); Chief Compliance Officer of Morgan Stanley Investment Management Inc. (April 2007-January 2014). An officer of 101 portfolios in the OppenheimerFunds complex. | |
134 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Treasurer and Principal Financial & Accounting Officer (since 2016) Year of Birth: 1970 |
Senior Vice President of the Manager (since January 2017); Vice President of the Manager (January 2013-January 2017); Vice President of the Sub-Adviser (February 2007-December 2012); Assistant Vice President of the Sub-Adviser (August 2002- 2007). An officer of 101 portfolios in the OppenheimerFunds complex. |
The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and Officers and is available without charge upon request by calling 1.800.CALL OPP (225.5677).
135 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
| Manager | OFI Global Asset Management, Inc. | |
| Sub-Adviser | OppenheimerFunds, Inc. | |
| Distributor | OppenheimerFunds Distributor, Inc. | |
| Transfer and Shareholder Servicing Agent | OFI Global Asset Management, Inc. | |
| Sub-Transfer Agent | Shareholder Services, Inc. | |
| DBA OppenheimerFunds Services | ||
| Independent Registered Public Accounting Firm | KPMG LLP | |
| Legal Counsel | Ropes & Gray LLP | |
©2017 OppenheimerFunds, Inc. All rights reserved.
136 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
| ● | Applications or other forms |
| ● | When you create a user ID and password for online account access |
| ● | When you enroll in eDocs Direct,SM our electronic document delivery service |
| ● | Your transactions with us, our affiliates or others |
| ● | Technologies on our website, including: “cookies” and web beacons, which are used to collect data on the pages you visit and the features you use. |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
137 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
PRIVACY POLICY NOTICE Continued
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
| ● | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. |
| ● | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
| ● | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, safeguard that information. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated November 2016. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
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Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800.CALL OPP (800.225.5677) for 24-hr automated information and automated transactions. Representatives also available Mon–Fri 8am-8pm ET.
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Call Us 800 225 5677
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Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2017 OppenheimerFunds Distributor, Inc. All rights reserved.
RA0230.001.0917 November 21, 2017 |
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant has determined that Karen L. Stuckey, the Chairwoman of the Board’s Audit Committee, is the audit committee financial expert and that Ms. Stuckey is “independent” for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
| (a) | Audit Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed $105,700 in fiscal 2017 and $92,900 in fiscal 2016.
| (b) | Audit-Related Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed $8,500 in fiscal 2017 and $7,921 in fiscal 2016.
The principal accountant for the audit of the registrant’s annual financial statements billed $386,986 in fiscal 2017 and $598,285 in fiscal 2016 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: Internal control reviews, GIPS attestation procedures, custody audits, and additional audit services.
| (c) | Tax Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed $5,093 in fiscal 2017 and $8,660 in fiscal 2016.
The principal accountant for the audit of the registrant’s annual financial statements billed $286,402 in fiscal 2017 and $45,432 in fiscal 2016 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
| (d) | All Other Fees |
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2017 and no such fees in fiscal 2016.
The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2017 and no such fees in fiscal 2016 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such fees would include the cost to the principal accountant of attending audit committee meetings and consultations regarding the registrant’s retirement plan with respect to its Trustees.
| (e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting.
Under applicable laws, pre-approval of non-audit services may be waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to its principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit.
(2) 0%
| (f) | Not applicable as less than 50%. |
| (g) | The principal accountant for the audit of the registrant’s annual financial statements billed $686,981 in fiscal 2017 and $660,298 in fiscal 2016 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
| (h) | The registrant’s audit committee of the board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 9/30/2017, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that
have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
| (a) | (1) Exhibit attached hereto. |
(2) Exhibits attached hereto.
(3) Not applicable.
| (b) | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Global Strategic Income Fund
| By: | ||
| Arthur P. Steinmetz | ||
| Principal Executive Officer | ||
| Date: | 11/14/2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | ||
| Arthur P. Steinmetz | ||
| Principal Executive Officer | ||
| Date: | 11/14/2017 |
| By: | ||
| Brian S. Petersen | ||
| Principal Financial Officer | ||
| Date: | 11/14/2017 |
| This ‘N-CSR’ Filing | Date | Other Filings | ||
|---|---|---|---|---|
 | ||||
| 8/31/18 | ||||
| Filed on / Effective on: | 12/7/17 | |||
| 11/28/17 | ||||
| 11/21/17 | ||||
| For Period End: | 9/30/17 | NSAR-B | ||
| 6/30/17 | N-PX, N-Q | |||
| 4/1/17 | ||||
| 1/26/17 | 485BPOS | |||
| 1/1/17 | ||||
| 9/30/16 | 24F-2NT, N-CSR, NSAR-B | |||
| 9/30/15 | 24F-2NT, N-CSR, NSAR-B, NSAR-B/A | |||
| 9/30/14 | 24F-2NT, N-CSR, NSAR-B | |||
| 9/30/13 | 24F-2NT, N-CSR, NSAR-B, NSAR-B/A | |||
| 6/29/12 | N-14, N-Q | |||
| List all Filings | ||||
